NPORT-P
false
0000822671
XXXXXXXX
S000003876
C000010848
C000010847
Putnam Variable Trust
811-05346
0000822671
549300TBVD21LYBGBD46
100 FEDERAL STREET
BOSTON
02110
1-800-225-1581
Putnam VT Income Fund
S000003876
T240UNT2CVVGMZTWE450
2022-12-31
2022-09-30
N
298971742.6622
140648661.0922
158323081.57
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
193468.04
USD
N
Bloomberg US Aggregate Bond Index
IDX00144
TOWD POINT MORTGAGE TRUST 2018-5
N/A
ASSET BACKED SECURITY
89176VAC6
153000
PA
USD
123268.2
0.077858641190
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Variable
3.25
N
N
N
N
N
N
FIRSTPLUS HOME LOAN OWNER TRUST 1997-3
N/A
ASSET BACKED SECURITY
337925CC3
77730.78
PA
USD
7.77
0.000004907686
Long
ABS-MBS
CORP
US
N
2
2023-11-10
Fixed
7.79
Y
Y
N
N
N
N
MADISON PARK FUNDING XXX LTD
549300FFTJ3WPTJK8589
ASSET BACKED SECURITY
55821TAA5
240647.78
PA
USD
235388.9
0.148676300174
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
3.262
N
N
N
N
N
N
RAD CLO 6 LTD
N/A
ASSET BACKED SECURITY
48661NAA6
285000
PA
USD
277807.17
0.175468521232
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
4.09
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS 29 LTD
5493003U22XL00FIHD56
ASSET BACKED SECURITY
67591JAL6
330000
PA
USD
317485.41
0.200530084970
Long
ABS-MBS
CORP
KY
N
2
2033-01-24
Floating
3.963
N
N
N
N
N
N
GULF STREAM MERIDIAN 4 LTD
N/A
ASSET BACKED SECURITY
402562AA0
536000
PA
USD
513692.75
0.324458534350
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
3.712
N
N
N
N
N
N
ELMWOOD CLO IV LTD
N/A
ASSET BACKED SECURITY
29002GAB7
400000
PA
USD
386784.4
0.244300702187
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
3.752
N
N
N
N
N
N
CARVAL CLO II LTD
N/A
ASSET BACKED SECURITY
14686AAQ2
285000
PA
USD
275734.08
0.174159116451
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
3.82
N
N
N
N
N
N
GALAXY XXII CLO LTD
54930022KENWLYJ8SJ86
ASSET BACKED SECURITY
36320TAV5
250000
PA
USD
241314.5
0.152419026719
Long
ABS-CBDO
CORP
KY
N
2
2034-04-16
Floating
3.94
N
N
N
N
N
N
AGL CLO 6 LTD
5493008ZSC34VKNPZN79
ASSET BACKED SECURITY
00119VAN9
204000
PA
USD
195450.97
0.123450711079
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
3.91
N
N
N
N
N
N
PALMER SQUARE CLO 2021-2 LTD
N/A
ASSET BACKED SECURITY
69701XAA2
253000
PA
USD
241527.72
0.152553700702
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
3.662
N
N
N
N
N
N
MARATHON CLO XIII LTD
N/A
ASSET BACKED SECURITY
56579AAS9
100000
PA
USD
96470.9
0.060932934758
Long
ABS-MBS
CORP
KY
N
2
2032-04-15
Floating
3.832
N
N
N
N
N
N
SOUND POINT CLO XXIII
N/A
ASSET BACKED SECURITY
83614BAQ2
350000
PA
USD
329706.65
0.208249262666
Long
ABS-MBS
CORP
KY
N
2
2034-07-15
Floating
3.682
N
N
N
N
N
N
BLUEMOUNTAIN CLO XXXII LTD
N/A
ASSET BACKED SECURITY
09631EAA5
250000
PA
USD
238691.75
0.150762445774
Long
ABS-MBS
CORP
KY
N
2
2034-10-15
Floating
3.682
N
N
N
N
N
N
REGATTA XXIII FUNDING LTD
N/A
ASSET BACKED SECURITY
75889FAC8
594000
PA
USD
562996.17
0.355599552773
Long
ABS-MBS
CORP
KY
N
2
2035-01-20
Floating
3.86
N
N
N
N
N
N
ROCKFORD TOWER CLO 2021-1 LTD
5493000QG193Z8ZVLY16
ASSET BACKED SECURITY
77341KAA9
250000
PA
USD
239087
0.151012093517
Long
ABS-MBS
CORP
KY
N
2
2034-07-20
Floating
3.88
N
N
N
N
N
N
NEUBERGER BERMAN LOAN ADVISERS CLO 34 LTD
5493009EGZQAPYYVLD80
ASSET BACKED SECURITY
64132YAQ5
250000
PA
USD
242666.75
0.153273134652
Long
ABS-MBS
CORP
KY
N
2
2035-01-20
Floating
3.717
N
N
N
N
N
N
OCP CLO 2020-8R LTD
254900K70GBA8CMARX66
ASSET BACKED SECURITY
670898AC9
250000
PA
USD
243349.25
0.153704215195
Long
ABS-MBS
CORP
KY
N
2
2032-01-17
Floating
3.96
N
N
N
N
N
N
CENT CLO 21 LTD
5493002BI0SI5QMH0P08
ASSET BACKED SECURITY
15137EBN2
283000
PA
USD
276532.88
0.174663654382
Long
ABS-MBS
CORP
KY
N
2
2030-07-27
Floating
3.739
N
N
N
N
N
N
PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2019-1
N/A
ASSET BACKED SECURITY
70017WAC7
250000
PA
USD
234612.5
0.148185910528
Long
ABS-MBS
CORP
KY
N
2
2032-05-15
Floating
4.905
N
N
N
N
N
N
RR 14 LTD
54930006FTQV76P0VH16
ASSET BACKED SECURITY
74980PAA1
300000
PA
USD
286806
0.181152360828
Long
ABS-MBS
CORP
KY
N
2
2036-04-15
Floating
3.632
N
N
N
N
N
N
LCM XXI LP
N/A
ASSET BACKED SECURITY
50189CAN1
129387.81
PA
USD
128143.88
0.080938217428
Long
ABS-MBS
CORP
KY
N
2
2028-04-20
Floating
3.59
N
N
N
N
N
N
SOUND POINT CLO XVIII LTD
549300G09B8CGBRMLL31
ASSET BACKED SECURITY
83609TAA5
250000
PA
USD
240963.25
0.152197170249
Long
ABS-MBS
CORP
KY
N
2
2031-01-21
Floating
3.83
N
N
N
N
N
N
MAGNETITE XXXIII LTD
5493006NSAO246ZPZB29
ASSET BACKED SECURITY
55953YAA4
250000
PA
USD
242663.25
0.153270923983
Long
ABS-MBS
CORP
KY
N
2
2035-07-20
Floating
4.207
N
N
N
N
N
N
MADISON PARK FUNDING XVIII LTD
N/A
ASSET BACKED SECURITY
55819BAW0
284000
PA
USD
277821.58
0.175477622874
Long
ABS-MBS
CORP
KY
N
2
2030-10-21
Floating
3.672
N
N
N
N
N
N
OZLM VII LTD
N/A
ASSET BACKED SECURITY
67108WBE8
315215.87
PA
USD
308633.22
0.194938866108
Long
ABS-MBS
CORP
KY
N
2
2029-07-17
Floating
3.75
N
N
N
N
N
N
WELLFLEET CLO 2018-1 LTD
25490019KM1XIY7M0487
ASSET BACKED SECURITY
94950JAA9
250000
PA
USD
242281.75
0.153029961012
Long
ABS-MBS
CORP
US
N
2
2031-07-17
Floating
3.84
N
N
N
N
N
N
DRYDEN 72 CLO LTD
N/A
ASSET BACKED SECURITY
26252NAN9
250000
PA
USD
241509.5
0.152542192588
Long
ABS-MBS
CORP
KY
N
2
2032-05-15
Floating
3.985
N
N
N
N
N
N
MADISON PARK FUNDING XIV LTD
254900Q2IOW6JYPYIV98
ASSET BACKED SECURITY
55818RAY2
250000
PA
USD
239495.75
0.151270268128
Long
ABS-MBS
CORP
KY
N
2
2030-10-22
Floating
4.159
N
N
N
N
N
N
SOUND POINT CLO XIV LTD
549300TT7IR66ASPWY89
ASSET BACKED SECURITY
83609NAN0
146493.21
PA
USD
144053.22
0.090986872269
Long
ABS-MBS
CORP
KY
N
2
2029-01-23
Floating
3.773
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST
N/A
ASSET BACKED SECURITY
35563PLU1
370000
PA
USD
333643.58
0.210735905777
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.75
N
N
N
N
N
N
FS RIALTO 2022-FL5 ISSUER LLC
N/A
COLLATERALIZED DEBT OBLIGATION
30327MAJ3
168000
PA
USD
164421.6
0.103851945256
Long
ABS-MBS
CORP
US
N
2
2037-06-19
Floating
7.836
N
N
N
N
N
N
TIAA REAL ESTATE CDO LTD
N/A
COLLATERALIZED DEBT OBLIGATION
88631FAA6
859373.09
PA
USD
8.59
0.000005425614
Long
ABS-MBS
CORP
US
N
2
2038-12-28
Fixed
8
Y
Y
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10
N/A
COMMERCIAL MORT BACKED SEC IO
92890NAA7
2587986.42
PA
USD
2774.32
0.001752315564
Long
ABS-MBS
CORP
US
N
2
2045-12-15
Variable
1.569
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2014-GC22
N/A
COMMERCIAL MORT BACKED SEC IO
36253BAW3
13463136.08
PA
USD
135909.01
0.085842827623
Long
ABS-MBS
CORP
US
N
2
2047-06-10
Variable
1.094
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19
N/A
COMMERCIAL MORT BACKED SEC IO
17322AAJ1
8669196.16
PA
USD
93202.53
0.058868567410
Long
ABS-MBS
CORP
US
N
2
2047-03-11
Variable
1.271
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17
N/A
COMMERCIAL MORT BACKED SEC IO
61763UBA9
2574484.71
PA
USD
29006.72
0.018321219946
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
1.185
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC23
N/A
COMMERCIAL MORT BACKED SEC IO
17322VAY2
16178268.73
PA
USD
212237.85
0.134053637597
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Variable
1.056
N
N
N
N
N
N
CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST
549300ZAGI6FKGY8O078
COMMERCIAL MORT BACKED SEC IO
12635FAV6
14259095.01
PA
USD
212931.07
0.134491489105
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Variable
.834
N
N
N
N
N
N
COMM 2015-CCRE23 MORTGAGE TRUST
N/A
COMMERCIAL MORT BACKED SEC IO
12593ABB0
4642433.04
PA
USD
76090.41
0.048060212854
Long
ABS-MBS
CORP
US
N
2
2048-05-10
Variable
1.017
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2016-UBS12
N/A
COMMERCIAL MORT BACKED SEC IO
61691EBB0
8773320.01
PA
USD
189201.03
0.119503124954
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
.791
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C26
N/A
COMMERCIAL MORT BACKED SEC IO
61690VBA5
4129962.28
PA
USD
78134.76
0.049351464881
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
1.123
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST 2017-C7
N/A
COMMERCIAL MORT BACKED SEC IO
90276WAT4
4754018.11
PA
USD
173570.15
0.109630350975
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
1.157
N
N
N
N
N
N
WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2006-C29
N/A
COMMERCIAL MORT BACKED SEC IO
92978PAG4
349966.76
PA
USD
141.56
0.000089412105
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
.356
N
N
N
N
N
N
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2007-1
N/A
COMMERCIAL MORT BACKED SEC IO
059497BW6
54888.59
PA
USD
0.44
0.000000277913
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
.508
N
N
N
N
N
N
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C2
N/A
COMMERCIAL MORT BACKED SEC IO
22545YBS9
3118449.08
PA
USD
1.25
0.000000789525
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
.048
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2
N/A
COMMERCIAL MORT BACKED SEC IO
90269CAH3
1766849.18
PA
USD
29.68
0.000018746477
Long
ABS-MBS
CORP
US
N
2
2063-05-10
Variable
.803
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C7
N/A
COMMERCIAL MORT BACKED SEC IO
61690KAF9
5545716.46
PA
USD
55.46
0.000035029637
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Variable
1.383
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11
N/A
COMMERCIAL MORT BACKED SEC IO
46639YAS6
3173082.53
PA
USD
9728.35
0.006144618904
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
1.354
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2011-GC5
N/A
COMMERCIAL MORT BACKED SEC IO
36191YAA6
866323.55
PA
USD
8.66
0.000005469828
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
.093
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11
N/A
COMMERCIAL MORT BACKED SEC IO
92937EAS3
3824175.84
PA
USD
1649.75
0.001042014837
Long
ABS-MBS
CORP
US
N
2
2045-03-15
Variable
1.238
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C14
549300GADFYEKC4OLM57
COMMERCIAL MORT BACKED SEC IO
92890PAL8
14047188.98
PA
USD
32044.45
0.020239910493
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
.784
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II
5493005BBCF84ICNQ550
COMMERCIAL MORT BACKED SEC IO
36192CAG0
4518826.76
PA
USD
4834.24
0.003053401912
Long
ABS-MBS
CORP
US
N
2
2046-02-10
Variable
1.595
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12
N/A
COMMERCIAL MORT BACKED SEC IO
61762XAV9
9722695.54
PA
USD
28766.54
0.018169517492
Long
ABS-MBS
CORP
US
N
2
2046-10-15
Variable
.714
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C16
N/A
COMMERCIAL MORT BACKED SEC IO
46641BAF0
4131640.84
PA
USD
24583.68
0.015527540114
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Variable
1.012
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-LC20
549300W6NRTMFPYUPG47
COMMERCIAL MORT BACKED SEC IO
94989EAJ6
13766000
PA
USD
144543
0.091296227036
Long
ABS-MBS
CORP
US
N
2
2050-04-15
Variable
.622
N
N
N
N
N
N
CSMC TRUST 2016-NXSR
N/A
COMMERCIAL MORT BACKED SEC IO
12594PAX9
5940739.63
PA
USD
145548.12
0.091931080773
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
.858
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2013-GC13
549300WF5YRKNHB1FX69
COMMERCIAL MORT BACKED SEC IO
36198EAG0
103025120.02
PA
USD
23603.05
0.014908154747
Long
ABS-MBS
CORP
US
N
2
2046-07-10
Variable
.088
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41
N/A
COMMERCIAL MORT BACKED SEC IO
95001ABE5
3252441.9
PA
USD
143741.67
0.090790091106
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
1.307
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
COMMERCIAL MORT BACKED SEC IO
90278MBB2
4300329.96
PA
USD
311625.13
0.196828615834
Long
ABS-MBS
CORP
US
N
2
2052-10-15
Variable
1.614
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50
N/A
COMMERCIAL MORT BACKED SEC IO
95001XBF2
4667956.68
PA
USD
322065.67
0.203423068075
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
1.598
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2015-GS1
549300WZ62L3Y22NOZ64
COMMERCIAL MORT BACKED SEC IO
36252AAE6
19474338.38
PA
USD
414686.56
0.261924260119
Long
ABS-MBS
CORP
US
N
2
2048-11-10
Variable
.906
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST 2018-C12
N/A
COMMERCIAL MORT BACKED SEC IO
90353DBA2
4979009.18
PA
USD
179086
0.113114271289
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
.947
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C43
549300RVQJTKIK3XGD11
COMMERCIAL MORT BACKED SEC IO
95001LAV4
12655988.99
PA
USD
321797.5
0.203253686581
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
.754
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16
549300PX4QZK7CUM8D08
COMMERCIAL MORT BACKED SEC IO
94988XAX4
6378713.09
PA
USD
82988.33
0.052417076005
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Variable
1.244
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25
N/A
COMMERCIAL MORT BACKED SEC IO
46643PBG4
2809326.22
PA
USD
37656.21
0.023784409466
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
.958
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2013-GCJ12
549300SSCQUZ3RRV2T53
COMMERCIAL MORT BACKED SEC IO
36197XAM6
3331857
PA
USD
9685.71
0.006117686634
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
1.514
N
N
N
N
N
N
COMM 2014-UBS6 MORTGAGE TRUST
N/A
COMMERCIAL MORT BACKED SEC IO
12592PBG7
7492355.81
PA
USD
103454.45
0.065343883516
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
.999
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2014-GC18
N/A
COMMERCIAL MORT BACKED SEC IO
36252RAT6
4520489.4
PA
USD
42944.65
0.027124693111
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Variable
1.2
N
N
N
N
N
N
COMM 2014-LC15 MORTGAGE TRUST
N/A
COMMERCIAL MORT BACKED SEC IO
12591TAF3
4478535.93
PA
USD
48816.04
0.030833179544
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
1.218
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-LC9
N/A
COMMERCIAL MORT BACKED SEC IO
46639EAG6
1163463.52
PA
USD
549.5
0.000347075104
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
1.308
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6
549300G1IXWLFE766Q13
COMMERCIAL MORT BACKED SEC IO
90349GAG0
4328950.09
PA
USD
8112.45
0.005123984399
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
1.188
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17
N/A
COMMERCIAL MORT BACKED SEC IO
17321RAF3
3415968.79
PA
USD
24707.36
0.015605658856
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
1.144
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C13
N/A
COMMERCIAL MORT BACKED SEC IO
61763BAA2
55988000
PA
USD
67185.6
0.042435758156
Long
ABS-MBS
CORP
US
N
2
2046-11-15
Variable
.152
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17
N/A
COMMERCIAL MORT BACKED SEC IO
46640UAF9
2229806.31
PA
USD
13474.05
0.008510477352
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Variable
.873
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9
N/A
COMMERCIAL MORT BACKED SEC IO
92930RAG7
8086678.75
PA
USD
66.31
0.000041882712
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Variable
.882
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C22
N/A
COMMERCIAL MORT BACKED SEC IO
92890KBD6
13980515.65
PA
USD
36461.18
0.023029604805
Long
ABS-MBS
CORP
US
N
2
2057-09-15
Variable
.938
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2016-BNK2
N/A
COMMERCIAL MORT BACKED SEC IO
61690YBV3
3380528.38
PA
USD
100522.72
0.063492144672
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
1.094
N
N
N
N
N
N
COMM 2014-CCRE19 MORTGAGE TRUST
N/A
COMMERCIAL MORT BACKED SEC IO
12592GBE2
4266229.95
PA
USD
55878.65
0.035294064167
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
1.091
N
N
N
N
N
N
COMM 2013-CCRE11 MORTGAGE TRUST
549300BCCWSDWINK2593
COMMERCIAL MORT BACKED SEC IO
12626LAF9
7794162.28
PA
USD
41831.27
0.026421460210
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Variable
1.066
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22
N/A
COMMERCIAL MORT BACKED SEC IO
46642NBF2
14837789.59
PA
USD
168717.54
0.106565346207
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
.957
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C24
N/A
COMMERCIAL MORT BACKED SEC IO
92939KAH1
5966657.18
PA
USD
80750.35
0.051003523428
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
.988
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25
N/A
COMMERCIAL MORT BACKED SEC IO
61765TAG8
4866435.45
PA
USD
106254.24
0.067112286438
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
1.195
N
N
N
N
N
N
LCCM 2017-LC26
N/A
COMMERCIAL MORT BACKED SEC IO
50190DAL0
4657680.27
PA
USD
249660.98
0.157690829110
Long
ABS-MBS
CORP
US
N
2
2050-07-12
Variable
1.686
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46643PAQ3
517000
PA
USD
296947.74
0.187558085060
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
3.332
N
N
N
N
N
N
COMM 2014-UBS4 MORTGAGE TRUST
5493004GWEVMOU8S3L34
COMMERCIAL MORTGAGE BACKED SECURITIES
12591QAW2
283000
PA
USD
263976.94
0.166733073524
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
4.806
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61763UAG7
290000
PA
USD
201636.13
0.127357380870
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.5
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46642NBK1
287000
PA
USD
261490.87
0.165162822380
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
4.699
N
N
N
N
N
N
COMM 2014-CCRE19 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12592GAG8
178000
PA
USD
161730.02
0.102151889918
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
4.854
N
N
N
N
N
N
COMM 2014-UBS6 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12592PBL6
83000
PA
USD
76685.72
0.048436222463
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
4.587
N
N
N
N
N
N
CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST
549300UFJ8EKD81Y8R30
COMMERCIAL MORTGAGE BACKED SECURITIES
126281AL8
502000
PA
USD
336208.12
0.212355720130
Long
ABS-MBS
CORP
US
N
2
2050-04-15
Variable
3.901
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61764PAN2
261000
PA
USD
225301.2
0.142304708679
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.25
N
N
N
N
N
N
CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST
549300UFJ8EKD81Y8R30
COMMERCIAL MORTGAGE BACKED SECURITIES
126281BF0
262000
PA
USD
229042.37
0.144667705889
Long
ABS-MBS
CORP
US
N
2
2050-04-15
Variable
4.401
N
N
N
N
N
N
COMM 2013-CCRE13 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12630BAG3
123000
PA
USD
88477.63
0.055884226812
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
5.04
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61690QAS8
531000
PA
USD
457851.72
0.289188231722
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Variable
4.281
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
17324DAY0
585000
PA
USD
538967.4
0.340422504827
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
4.514
N
N
N
N
N
N
BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2015-UBS7
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
06054ABC2
285000
PA
USD
264820.26
0.167265731171
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
4.484
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33
549300JPCJUA5JJLRW54
COMMERCIAL MORTGAGE BACKED SECURITIES
95000LAJ2
244000
PA
USD
199808.67
0.126203120871
Long
ABS-MBS
CORP
US
N
2
2059-03-15
Fixed
3.123
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST 2012-C1
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
90269GAN1
49252.13
PA
USD
44932.69
0.028380378625
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Variable
6.66
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16
549300PX4QZK7CUM8D08
COMMERCIAL MORTGAGE BACKED SECURITIES
94988XAC0
247000
PA
USD
37388.12
0.023615078502
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
3.938
N
N
N
N
N
N
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
90268TAQ7
336000
PA
USD
297357.31
0.187816777599
Long
ABS-MBS
CORP
US
N
2
2045-01-10
Variable
6.663
N
N
N
N
N
N
COMM 2017-COR2 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12595EAN5
389000
PA
USD
293741.68
0.185533073944
Long
ABS-MBS
CORP
US
N
2
2050-09-10
Fixed
3
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10
549300P1YQ48837ZOI22
COMMERCIAL MORTGAGE BACKED SECURITIES
61762MBG5
273000
PA
USD
60801.2
0.038403244427
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.206
N
N
N
N
N
N
COMM 2018-COR3 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12595VAH0
594000
PA
USD
514886.57
0.325212574752
Long
ABS-MBS
CORP
US
N
2
2051-05-10
Variable
4.712
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II
5493005BBCF84ICNQ550
COMMERCIAL MORTGAGE BACKED SECURITIES
36250SAL3
283000
PA
USD
265705.87
0.167825100020
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Variable
4.555
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46629PAQ1
263500.34
PA
USD
237902.36
0.150263851386
Long
ABS-MBS
CORP
US
N
2
2047-05-15
Fixed
5.337
N
N
N
N
N
N
BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
07388VAH1
5023.23
PA
USD
4973
0.003141045482
Long
ABS-MBS
CORP
US
N
2
2045-01-12
Variable
5.566
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2010-C1
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
36249KAL4
621000
PA
USD
461730.33
0.291638038763
Long
ABS-MBS
CORP
US
N
2
2043-08-10
Variable
6.566
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46635TAU6
352397.84
PA
USD
338687.06
0.213921467825
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Variable
5.013
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46635TBA9
148000
PA
USD
110128.03
0.069559049071
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Variable
5.709
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46635TBG6
635000
PA
USD
114502.12
0.072321811112
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Variable
5.709
N
N
N
N
N
N
DBUBS 2011-LC3 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
23305YAM1
291715.65
PA
USD
266628.1
0.168407598789
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
5.541
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92936CAU3
263190.36
PA
USD
244848.2
0.154650981760
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
4.987
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92936CAY5
55000
PA
USD
41305.47
0.026089354496
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
4.987
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12527DAG5
597000
PA
USD
504451.03
0.318621280610
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
5.249
N
N
N
N
N
N
COMM 2012-LC4 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
126192AF0
182135.04
PA
USD
181822.59
0.114842755836
Long
ABS-MBS
CORP
US
N
2
2044-12-10
Variable
4.934
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46634SAM7
288000
PA
USD
256233.6
0.161842226325
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
5.129
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
90269CAT7
816000
PA
USD
8160
0.005154017923
Long
ABS-MBS
CORP
US
N
2
2063-05-10
Variable
4.87
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92936TAJ1
231000
PA
USD
83535.33
0.052762572059
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
4.814
N
N
N
N
N
N
COMM 2012-CCRE2 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12624KAG1
243153.81
PA
USD
240722.27
0.152044962499
Long
ABS-MBS
CORP
US
N
2
2045-08-15
Fixed
4.393
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2012-GCJ9
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
36192PAG1
481000
PA
USD
474954.17
0.299990478514
Long
ABS-MBS
CORP
US
N
2
2045-11-10
Variable
4.448
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92890NAE9
768000
PA
USD
574282.83
0.362728431196
Long
ABS-MBS
CORP
US
N
2
2045-12-15
Variable
4.534
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-LC9
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46639EAN1
127000
PA
USD
125323.85
0.079157030521
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
4.472
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
17318UAG9
602673.79
PA
USD
593245.86
0.374705857236
Long
ABS-MBS
CORP
US
N
2
2045-09-10
Fixed
4.285
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C4
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
90270RAG9
327000
PA
USD
325173.38
0.205385959378
Long
ABS-MBS
CORP
US
N
2
2045-12-10
Variable
3.718
N
N
N
N
N
N
COMM 2013-CCRE6 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12624XAV0
205000
PA
USD
201059.31
0.126993049912
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Variable
4.221
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II
5493005BBCF84ICNQ550
COMMERCIAL MORTGAGE BACKED SECURITIES
36192CAN5
339000
PA
USD
335221.4
0.211732488198
Long
ABS-MBS
CORP
US
N
2
2046-02-10
Variable
4.285
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6
549300G1IXWLFE766Q13
COMMERCIAL MORTGAGE BACKED SECURITIES
90349GAN5
234000
PA
USD
229297.35
0.144828756317
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
3.875
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46639YAV9
289000
PA
USD
282363.81
0.178346585476
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Fixed
3.499
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46639NAW1
256000
PA
USD
249050.27
0.157305092555
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Variable
4.231
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2013-GCJ12
549300SSCQUZ3RRV2T53
COMMERCIAL MORTGAGE BACKED SECURITIES
36197XAQ7
549000
PA
USD
539623.57
0.340836954820
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
3.777
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61762TAN6
319000
PA
USD
22421.2
0.014161674835
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.495
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15
5493003CHVRASC16O965
COMMERCIAL MORTGAGE BACKED SECURITIES
92938CAL1
919000
PA
USD
553678.66
0.349714428566
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.671
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46640LAN2
715000
PA
USD
423043.98
0.267202972431
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.699
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12527DAF7
72758.35
PA
USD
73510.67
0.046430797879
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
5.249
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C15
549300UOGMFS1M8XVM16
COMMERCIAL MORTGAGE BACKED SECURITIES
46640NAL2
246000
PA
USD
241399.31
0.152472594398
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Variable
5.357
N
N
N
N
N
N
COMM 2013-CCRE13 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12630BAE8
389000
PA
USD
350482
0.221371385981
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
5.04
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2011-C3
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61760RAN2
252000
PA
USD
223649.6
0.141261525346
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Variable
5.253
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2014-GC18
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
36252RBJ7
584000
PA
USD
402960
0.254517532127
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Variable
5.225
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92936TAL6
641383.65
PA
USD
6.41
0.000004048683
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
4.5
Y
Y
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
90269CAV2
629000
PA
USD
6.29
0.000003972889
Long
ABS-MBS
CORP
US
N
2
2063-05-10
Variable
5
N
N
N
N
N
N
COMM 2014-UBS2 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12591UAL7
224000
PA
USD
213891.75
0.135098273656
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Variable
5.113
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46639YAC1
498000
PA
USD
356806.54
0.225366090946
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
3.25
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46640LAQ5
441000
PA
USD
349848.39
0.220971185332
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.699
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6
549300G1IXWLFE766Q13
COMMERCIAL MORTGAGE BACKED SECURITIES
90349GAU9
150000
PA
USD
134815.95
0.085152429237
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.5
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10
549300P1YQ48837ZOI22
COMMERCIAL MORTGAGE BACKED SECURITIES
61762MBE0
683000
PA
USD
248202.2
0.156769434715
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.206
N
N
N
N
N
N
COMM 2014-CCRE17 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12631DAG8
198000
PA
USD
175727.71
0.110993108685
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
5.007
N
N
N
N
N
N
COMM 2014-CCRE17 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12631DBG7
912000
PA
USD
856901.79
0.541236174475
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
4.943
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92936CBA6
402000
PA
USD
212376.6
0.134141274850
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
5
N
N
N
N
N
N
PFP 2022-9 LTD
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
69291QAA3
280000
PA
USD
278208.28
0.175721870268
Long
ABS-MBS
CORP
BM
N
2
2035-08-19
Floating
5.321
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2014-GC24
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
36253GAS1
510000
PA
USD
358582.99
0.226488132017
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Variable
4.665
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01
549300HG8ZEWVWVSN227
COMMERCIAL MORTGAGE BACKED SECURITIES
62547NAB5
806779.18
PA
USD
764989.79
0.483182731421
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Floating
6.334
N
N
N
N
N
N
BENCHMARK 2019-B13 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
08162DAR9
185000
PA
USD
136533.7
0.086237394223
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.5
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C53
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
95002BAL7
203000
PA
USD
133164.63
0.084109422757
Long
ABS-MBS
CORP
US
N
2
2052-10-15
Fixed
2.5
N
N
N
N
N
N
BANK 2018-BNK13
549300664283JRAXM588
COMMERCIAL MORTGAGE BACKED SECURITIES
06539LBC3
7843146
PA
USD
146674.67
0.092642632107
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Variable
.641
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
90278MBF3
526000
PA
USD
452091.74
0.285550114056
Long
ABS-MBS
CORP
US
N
2
2052-10-15
Variable
3.758
N
N
N
N
N
N
COMM 2013-LC6 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
20048EAG6
261000
PA
USD
244006.03
0.154119050476
Long
ABS-MBS
CORP
US
N
2
2046-01-10
Fixed
3.5
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01
5493002KQF9IH3CTQZ40
COMMERCIAL MORTGAGE BACKED SECURITIES
62548QAD3
403000
PA
USD
376476.03
0.237789731141
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
6.834
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
95002XBG9
230000
PA
USD
186831.78
0.118006659640
Long
ABS-MBS
CORP
US
N
2
2053-08-15
Variable
4.157
N
N
N
N
N
N
COMM 2015-CCRE23 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12593ABE4
293000
PA
USD
273549.4
0.172779229211
Long
ABS-MBS
CORP
US
N
2
2048-05-10
Variable
4.428
N
N
N
N
N
N
BBCMS TRUST 2021-C10
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
05551VAE3
247000
PA
USD
142709.02
0.090137848875
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Fixed
2
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1MEM
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46654BAJ6
650000
PA
USD
453635.85
0.286525404572
Long
ABS-MBS
CORP
US
N
2
2042-10-09
Variable
2.742
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1MEM
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46654BAL1
250000
PA
USD
173300.45
0.109460003103
Long
ABS-MBS
CORP
US
N
2
2042-10-09
Variable
2.742
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C27
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61690AAJ3
587000
PA
USD
535935.29
0.338507363983
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
4.65
N
N
N
N
N
N
RREF 2012 LT1 LLC
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
76243NAE6
345000
PA
USD
342412.5
0.216274529654
Long
ABS-MBS
CORP
US
N
2
2037-01-19
Floating
6.268
N
N
N
N
N
N
COMM 2012-CCRE1 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12624BAL0
115000
PA
USD
97341.34
0.061482721935
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
5.458
N
N
N
N
N
N
MELLO WAREHOUSE SECURITIZATION TRUST 2021-3
N/A
CORP CMO
58552FAD8
287000
PA
USD
267868.87
0.169191293742
Long
ABS-CBDO
CORP
US
N
2
2055-11-25
Floating
5.084
N
N
N
N
N
N
VISIO 2022-1 TRUST
N/A
CORP CMO
92838CAB4
152986.62
PA
USD
146724.72
0.092674244681
Long
ABS-CBDO
CORP
US
N
2
2057-08-25
Variable
5.85
N
N
N
N
N
N
RMF PROPRIETARY ISSUANCE TRUST
N/A
CORP CMO
74970FAA5
116000
PA
USD
105942.8
0.066915574753
Long
ABS-CBDO
CORP
US
N
2
2062-08-25
Variable
4
N
N
N
N
N
N
NYMT LOAN TRUST 2022-SP1
N/A
CORP CMO
62956BAA7
165560.85
PA
USD
157666.41
0.099585233206
Long
ABS-CBDO
CORP
US
N
2
2062-07-25
Variable
5.25
N
N
N
N
N
N
MRA ISSUANCE TRUST 2020-2
N/A
CORP CMO
55346HAC3
500000
PA
USD
500000
0.315809921738
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Floating
3.54
N
N
N
N
N
N
ONSLOW BAY MORTGAGE LOAN TRUST
N/A
CORP CMO
67117DAA8
306976.98
PA
USD
299743.77
0.189324113091
Long
ABS-CBDO
CORP
US
N
2
2062-08-25
Variable
5.35
N
N
N
N
N
N
FINANCE OF AMERICA HECM BUYOUT 2022-HB2
N/A
CORP CMO
317380AA1
309957.07
PA
USD
296735.54
0.187424055329
Long
ABS-CBDO
CORP
US
N
2
2024-12-25
Variable
4
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2022-A
N/A
CORP CMO
17330VAA4
155400.69
PA
USD
153662.69
0.097056404206
Long
ABS-CBDO
CORP
US
N
2
2062-09-25
Variable
6.17
N
N
N
N
N
N
MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST II SERIES 2022-1
N/A
CORP CMO
N/A
125000
PA
USD
125000
0.078952480435
Long
ABS-CBDO
CORP
US
N
2
2025-03-30
Floating
2.889
N
N
N
N
N
N
EAGLE RE 2018-1 LTD
549300BLEDGL5R7YKU33
CORP CMO
269826AA1
216801.04
PA
USD
213162.47
0.134637645937
Long
ABS-CBDO
CORP
BM
N
2
2028-11-25
Floating
4.784
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2019-R01
N/A
CORP CMO
20754FAK8
18033.67
PA
USD
17999.86
0.011369068756
Long
ABS-CBDO
CORP
US
N
2
2031-07-25
Floating
5.534
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2019-R02
N/A
CORP CMO
20753KAF9
59000
PA
USD
58852.5
0.037172406838
Long
ABS-CBDO
CORP
US
N
2
2031-08-25
Floating
7.234
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-DNA2
549300Y6KOVOWQ8OJC33
CORP CMO
35564LBD8
90000
PA
USD
89837.8
0.056743337174
Long
ABS-CBDO
CORP
US
N
2
2049-03-25
Floating
7.434
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-DNA1
5493007222WHFWMBOC78
CORP CMO
35563KBD1
400000
PA
USD
404184.6
0.255291013788
Long
ABS-CBDO
CORP
US
N
2
2049-01-25
Floating
7.734
N
N
N
N
N
N
STACR TRUST 2018-DNA3
549300BL200YC56BUV20
CORP CMO
35563WBD5
70000
PA
USD
69300
0.043771255153
Long
ABS-CBDO
CORP
US
N
2
2048-09-25
Floating
6.984
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2
N/A
CORP CMO
35563PKR9
235000
PA
USD
202295.57
0.127773896259
Long
ABS-CBDO
CORP
US
N
2
2058-08-25
Variable
4.75
N
N
N
N
N
N
ARROYO MORTGAGE TRUST 2019-3
N/A
CORP CMO
04285AAD7
330000
PA
USD
275790.5
0.174194752442
Long
ABS-CBDO
CORP
US
N
2
2048-10-25
Variable
4.204
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XR30
297000
PA
USD
305469.01
0.192940288283
Long
ABS-CBDO
CORP
US
N
2
2030-12-25
Floating
7.584
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XEX8
66977.59
PA
USD
66591.46
0.042060487542
Long
ABS-CBDO
CORP
US
N
2
2029-07-25
Floating
4.334
N
N
N
N
N
N
RADNOR RE 2019-1 LTD
254900JBDDKUTX6TX151
CORP CMO
75049SAC7
150000
PA
USD
143547.06
0.090667171569
Long
ABS-CBDO
CORP
BM
N
2
2029-02-25
Floating
6.284
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XVK7
298863.83
PA
USD
297314.1
0.187789485305
Long
ABS-CBDO
CORP
US
N
2
2030-05-25
Floating
4.084
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2019-HRP1
549300Z5THZ1JXIHVK60
CORP CMO
20754PAC4
149700.59
PA
USD
145683.31
0.092016469459
Long
ABS-CBDO
CORP
US
N
2
2039-11-25
Floating
5.234
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-HQA2
549300NKHCH87PYOHD44
CORP CMO
35564MBD6
463000
PA
USD
452580
0.285858508761
Long
ABS-CBDO
CORP
US
N
2
2049-04-25
Floating
7.184
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01
N/A
CORP CMO
20754CAB5
162798.73
PA
USD
160470.35
0.101356257350
Long
ABS-CBDO
CORP
US
N
2
2040-01-25
Floating
5.134
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-HQA1
549300TCRXCIFPAC3B85
CORP CMO
35565JAH4
225659.03
PA
USD
223202.84
0.140979342864
Long
ABS-CBDO
CORP
US
N
2
2050-01-25
Floating
4.984
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02
N/A
CORP CMO
20754WAB1
147222.78
PA
USD
144195.73
0.091076884413
Long
ABS-CBDO
CORP
US
N
2
2040-01-25
Floating
5.084
N
N
N
N
N
N
TOORAK MORTGAGE CORP 2018-1 LTD
N/A
CORP CMO
89052WAA7
366490.47
PA
USD
363250.33
0.229436116577
Long
ABS-CBDO
CORP
US
N
2
2023-03-25
Variable
2.734
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-HQA2
N/A
CORP CMO
35565LAH9
181052.11
PA
USD
183494.67
0.115898874744
Long
ABS-CBDO
CORP
US
N
2
2050-03-25
Floating
6.184
N
N
N
N
N
N
EAGLE RE 2019-1 LTD
254900L82OLW9QTLJ788
CORP CMO
269822AC6
191000
PA
USD
183682.81
0.116017707702
Long
ABS-CBDO
CORP
BM
N
2
2029-04-25
Floating
6.384
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-2
N/A
CORP CMO
85573DAB5
250663.44
PA
USD
249709.44
0.157721437407
Long
ABS-CBDO
CORP
US
N
2
2060-04-25
Variable
3.97
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1
N/A
CORP CMO
31574PAB1
179000
PA
USD
170705.52
0.107820993823
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Variable
3.149
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2020-INV1
N/A
CORP CMO
92537TAE5
100000
PA
USD
95661.54
0.060421726922
Long
ABS-CBDO
CORP
US
N
2
2060-03-25
Variable
3.889
N
N
N
N
N
N
COLT 2020-2 MORTGAGE LOAN TRUST
N/A
CORP CMO
19688JAB3
224000
PA
USD
214592
0.135540565451
Long
ABS-CBDO
CORP
US
N
2
2065-03-25
Variable
3.094
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST 2020-RPL1
N/A
CORP CMO
10568YAF5
353000
PA
USD
308197.38
0.194663580916
Long
ABS-CBDO
CORP
US
N
2
2059-05-26
Variable
3.25
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2020-2
N/A
CORP CMO
24380NAB5
182438.28
PA
USD
180614.46
0.114079676955
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Fixed
2.594
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM
N/A
CORP CMO
64830UAB1
212000
PA
USD
186501.42
0.117797997709
Long
ABS-CBDO
CORP
US
N
2
2060-05-24
Variable
2.891
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST 2020-2
N/A
CORP CMO
76123MAC7
464000
PA
USD
450195.86
0.284352638627
Long
ABS-CBDO
CORP
US
N
2
2060-05-25
Variable
2.911
N
N
N
N
N
N
BUNKER HILL LOAN DEPOSITARY TRUST
N/A
CORP CMO
12062RAC4
332000
PA
USD
299656.23
0.189268821089
Long
ABS-CBDO
CORP
US
N
2
2055-02-25
Variable
3.253
N
N
N
N
N
N
GCAT 2020-NQM2 TRUST
N/A
CORP CMO
36166RAC8
46624.62
PA
USD
42129.13
0.026609594496
Long
ABS-CBDO
CORP
US
N
2
2065-04-25
Variable
2.935
N
N
N
N
N
N
1SHARPE MORTGAGE TRUST 2020-1
N/A
CORP CMO
68257LAA8
398936.18
PA
USD
397938.84
0.251346067834
Long
ABS-CBDO
CORP
US
N
2
2024-07-25
Floating
3.025
N
N
N
N
N
N
BELLEMEADE RE 2020-2 LTD
N/A
CORP CMO
078782AE9
151000
PA
USD
156453.97
0.098819432043
Long
ABS-CBDO
CORP
BM
N
2
2030-08-26
Floating
11.584
N
N
N
N
N
N
CSMC 2020-RPL3 TRUST
N/A
CORP CMO
12656PAC0
175116.33
PA
USD
168744.77
0.106582545215
Long
ABS-CBDO
CORP
US
N
2
2060-03-25
Variable
2.691
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-FTR2
5493008J93RJW7PJFN93
CORP CMO
35564WAH6
686000
PA
USD
656337.36
0.414555700591
Long
ABS-CBDO
CORP
US
N
2
2048-11-25
Floating
5.234
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0SE0
250000
PA
USD
253735.75
0.160264534699
Long
ABS-CBDO
CORP
US
N
2
2030-04-25
Floating
7.534
N
N
N
N
N
N
STATION PLACE SECURITIZATION TRUST SERIES 2021-14
N/A
CORP CMO
85779JAA6
179000
PA
USD
179000
0.113059951982
Long
ABS-CBDO
CORP
US
N
2
2022-12-08
Floating
3.784
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02
N/A
CORP CMO
20754BAB7
1084000
PA
USD
989573.84
0.625034473929
Long
ABS-CBDO
CORP
US
N
2
2042-01-25
Floating
5.281
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2022-HQA1
N/A
CORP CMO
35564KTJ8
911000
PA
USD
838120
0.529373223215
Long
ABS-CBDO
CORP
US
N
2
2042-03-25
Floating
7.531
N
N
N
N
N
N
STATION PLACE SECURITIZATION TRUST SERIES 2022-3
N/A
CORP CMO
85773LAA7
479000
PA
USD
479000
0.302545905025
Long
ABS-CBDO
CORP
US
N
2
2023-05-29
Floating
4.314
N
N
N
N
N
N
MORGAN STANLEY RESECURITIZATION TRUST 2015-R4
N/A
CORP CMO
61690WAY2
131589.25
PA
USD
127824.22
0.080736313829
Long
ABS-CBDO
CORP
US
N
2
2047-08-26
Variable
2.992
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XBF0
46800.04
PA
USD
48455.61
0.030605524804
Long
ABS-CBDO
CORP
US
N
2
2028-04-25
Floating
8.784
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0JJ9
510333.47
PA
USD
550027.97
0.347408580319
Long
ABS-CBDO
CORP
US
N
2
2028-09-25
Floating
9.434
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XCB8
150744.63
PA
USD
156674.08
0.098958457886
Long
ABS-CBDO
CORP
US
N
2
2028-09-25
Floating
9.084
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XCL6
214654.38
PA
USD
222025.85
0.140235932625
Long
ABS-CBDO
CORP
US
N
2
2028-10-25
Floating
8.384
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XBH6
60553.72
PA
USD
62593.22
0.039535119819
Long
ABS-CBDO
CORP
US
N
2
2028-04-25
Floating
8.634
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0AY5
141077.33
PA
USD
142207.4
0.089821015729
Long
ABS-CBDO
CORP
US
N
2
2024-04-25
Floating
6.684
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0KQ1
317547.13
PA
USD
332978.4
0.210315764889
Long
ABS-CBDO
CORP
US
N
2
2028-12-25
Floating
8.084
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XEQ3
208000
PA
USD
223246.09
0.141006660423
Long
ABS-CBDO
CORP
US
N
2
2029-07-25
Floating
8.834
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XGQ1
200000
PA
USD
211585.48
0.133641587760
Long
ABS-CBDO
CORP
US
N
2
2029-09-25
Floating
8.584
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XJW5
150000
PA
USD
156210.2
0.098665462073
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Floating
7.934
N
N
N
N
N
N
BELLEMEADE RE 2017-1 LTD
N/A
CORP CMO
078767AB6
325445.69
PA
USD
325165.68
0.205381095906
Long
ABS-CBDO
CORP
BM
N
2
2027-10-25
Floating
6.434
N
N
N
N
N
N
RADNOR RE 2018-1 LTD
549300ED4YNDE7SVU538
CORP CMO
750496AB7
200000
PA
USD
198265.62
0.125228499871
Long
ABS-CBDO
CORP
BM
N
2
2028-03-25
Floating
5.784
N
N
N
N
N
N
CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2004-3
549300TC8R2SGZ2KM445
CORP CMO
16678RBV8
63837.15
PA
USD
58699.11
0.037075522670
Long
ABS-CBDO
CORP
US
N
2
2035-08-25
Floating
3.384
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XUW2
250000
PA
USD
256610.83
0.162080492279
Long
ABS-CBDO
CORP
US
N
2
2030-05-25
Floating
7.084
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2018-DNA2
549300L8K4CLYS7FCQ06
CORP CMO
35563TAV3
310000
PA
USD
303845.82
0.191915049269
Long
ABS-CBDO
CORP
US
N
2
2030-12-25
Floating
6.784
N
N
N
N
N
N
OAKTOWN RE II LTD
254900KOPN6EP9T3LD85
CORP CMO
67400CAB4
380000
PA
USD
378619.38
0.239143513533
Long
ABS-CBDO
CORP
BM
N
2
2028-07-25
Floating
5.934
N
N
N
N
N
N
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR17 TRUST
N/A
CORP CMO
92922F7S1
570086.28
PA
USD
486055.56
0.307002336728
Long
ABS-CBDO
CORP
US
N
2
2045-12-25
Floating
3.904
N
N
N
N
N
N
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST
N/A
CORP CMO
92922F4W5
801085.36
PA
USD
749223.41
0.473224372953
Long
ABS-CBDO
CORP
US
N
2
2045-10-25
Floating
3.944
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
CORP MED TERM NOTE
06051GFH7
180000
PA
USD
177049.61
0.111828046956
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.2
N
N
N
N
N
N
BARCLAYS BANK, PLC
G5GSEF7VJP5I7OUK5573
CORP. NOTE
06740L8C2
250000
PA
USD
250000
0.157904960869
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.625
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
CORP. NOTE
26442EAD2
72000
PA
USD
71338.56
0.045058850101
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.8
N
N
N
N
N
N
FIVE CORNERS FUNDING TRUST
N/A
CORP. NOTE
33829TAA4
235000
PA
USD
232483.39
0.146841122403
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.419
N
N
N
N
N
N
SUMITOMO MITSUI FINANCIAL GROUP INC
35380028MYWPB6AUO129
CORP. NOTE
86562MAA8
205000
PA
USD
201260.8
0.127120314994
Long
DBT
CORP
JP
N
2
2024-04-02
Fixed
4.436
N
N
N
N
N
N
FAIRFAX US INC
549300JGURHUEU25AZ92
CORP. NOTE
304071AA1
25000
PA
USD
24474.16
0.015458365108
Long
DBT
CORP
US
N
2
2024-08-13
Fixed
4.875
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
CORP. NOTE
251525AP6
400000
PA
USD
371967.38
0.234941978334
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
4.5
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CORP. NOTE
161175AY0
494000
PA
USD
481728.57
0.304269323982
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.908
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
CORP. NOTE
00080QAF2
200000
PA
USD
192379.2
0.121510520192
Long
DBT
CORP
NL
N
2
2025-07-28
Fixed
4.75
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CORP. NOTE
14040HBJ3
225000
PA
USD
216341.42
0.136645533838
Long
DBT
CORP
US
N
2
2025-10-29
Fixed
4.2
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
CORP. NOTE
05971KAA7
1400000
PA
USD
1348834.2
0.851950446280
Long
DBT
CORP
ES
N
2
2025-11-19
Fixed
5.179
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
CORP. NOTE
780082AD5
140000
PA
USD
136323.04
0.086104337187
Long
DBT
CORP
CA
N
2
2026-01-27
Fixed
4.65
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC
353800V2V8PUY9TK3E06
CORP. NOTE
606822AD6
200000
PA
USD
189721.7
0.119831990458
Long
DBT
CORP
JP
N
2
2026-03-01
Fixed
3.85
N
N
N
N
N
N
GLP CAPITAL LP / GLP FINANCING II INC
N/A
CORP. NOTE
361841AH2
128000
PA
USD
122433.28
0.077331289150
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.375
N
N
N
N
N
N
SHELL INTERNATIONAL FINANCE BV
213800ITMMKU4Z7I4F78
CORP. NOTE
822582BT8
230000
PA
USD
214243.17
0.135320237501
Long
DBT
CORP
NL
N
2
2026-05-10
Fixed
2.875
N
N
N
N
N
N
WESTLAKE CORP
GOXNEVUM0LL78B1OS344
CORP. NOTE
960413AT9
726000
PA
USD
675127.46
0.426423900612
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.6
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
CORP. NOTE
031162CJ7
100000
PA
USD
91605.02
0.057859548394
Long
DBT
CORP
US
N
2
2026-08-19
Fixed
2.6
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
CORP. NOTE
785592AS5
103000
PA
USD
98816.26
0.062414310674
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL CO INC
5493008B6JBRUJ90QL97
CORP. NOTE
37045XBQ8
95000
PA
USD
87863.37
0.055496248007
Long
DBT
CORP
US
N
2
2026-10-06
Fixed
4
N
N
N
N
N
N
SPECTRA ENERGY PARTNERS LP
2HKVXE7U4NF5B6UGSU72
CORP. NOTE
84756NAH2
145000
PA
USD
133764.37
0.084488230442
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.375
N
N
N
N
N
N
JOHNSON CONTROLS INTERNATIONAL PLC
549300XQ6S1GYKGBL205
CORP. NOTE
478375AR9
138000
PA
USD
132355.82
0.083598562312
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
3.9
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
CORP. NOTE
11134LAH2
122000
PA
USD
112225.25
0.070883694839
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.875
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC/THE
784F5XWPLTWKTBV3E584
CORP. NOTE
38141GWB6
405000
PA
USD
376312.65
0.237686537091
Long
DBT
CORP
US
N
2
2027-01-26
Fixed
3.85
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
CORP. NOTE
378272AN8
124000
PA
USD
115504
0.072954618401
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
CORP. NOTE
075887BW8
146000
PA
USD
135866.75
0.085816135369
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
3.7
N
N
N
N
N
N
MOODY'S CORP
549300GCEDD8YCF5WU84
CORP. NOTE
615369AM7
66000
PA
USD
59666.16
0.037686330640
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD INC
549300OSW32RVX8CCZ87
CORP. NOTE
01626PAH9
260000
PA
USD
233350
0.147388490475
Long
DBT
CORP
CA
N
2
2027-07-26
Fixed
3.55
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
CORP. NOTE
023135BC9
165000
PA
USD
153759.83
0.097117759758
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
CORP. NOTE
462613AM2
30000
PA
USD
28776.24
0.018175644205
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.7
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
CORP. NOTE
031162CQ1
218000
PA
USD
199935.89
0.126283475547
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
3.2
N
N
N
N
N
N
FIRST-CITIZENS BANK AND TRUST CO
L9VVX1KT5TFTKS0MLF66
CORP. NOTE
125581GX0
107000
PA
USD
106209.85
0.067084248833
Long
DBT
CORP
US
N
2
2028-03-09
Fixed
6.125
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
CORP. NOTE
05964HAJ4
200000
PA
USD
178407.8
0.112685906711
Long
DBT
CORP
ES
N
2
2028-04-12
Fixed
4.379
N
N
N
N
N
N
FAIRFAX FINANCIAL HOLDINGS LTD
GLS7OQD0WOEDI8YAP031
CORP. NOTE
303901BB7
220000
PA
USD
206711.27
0.130562940002
Long
DBT
CORP
CA
N
2
2028-04-17
Fixed
4.85
N
N
N
N
N
N
OSHKOSH CORP
549300FEKNPCFSA2B506
CORP. NOTE
688239AF9
128000
PA
USD
118205.76
0.074661103629
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.6
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
CORP. NOTE
91324PDK5
220000
PA
USD
206777.62
0.130604847979
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.85
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
CORP. NOTE
526057CD4
208000
PA
USD
192046.38
0.121300304475
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
4.75
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
CORP. NOTE
05565EBE4
140000
PA
USD
130270.19
0.082281237018
Long
DBT
CORP
US
N
2
2028-08-14
Fixed
3.95
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
CORP. NOTE
98978VAN3
285000
PA
USD
263881.06
0.166672513814
Long
DBT
CORP
US
N
2
2028-08-20
Fixed
3.9
N
N
N
N
N
N
INTERNATIONAL FLAVORS AND FRAGRANCES INC
BZLRL03D3GPGMOGFO832
CORP. NOTE
459506AK7
75000
PA
USD
68822.84
0.043469871428
Long
DBT
CORP
US
N
2
2028-09-26
Fixed
4.45
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC
5493009NTB34VXE1T760
CORP. NOTE
10373QAT7
370000
PA
USD
345903.66
0.218479615587
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
3.119
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
CORP. NOTE
67077MAT5
95000
PA
USD
87905.7
0.055522984475
Long
DBT
CORP
CA
N
2
2029-04-01
Fixed
4.2
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
CORP. NOTE
29278NAM5
84000
PA
USD
84171.43
0.053164345442
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.875
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
CORP. NOTE
29278NAN3
182000
PA
USD
177285.41
0.111976982915
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.5
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CORP. NOTE
15089QAJ3
13000
PA
USD
12423.9
0.007847181773
Long
DBT
CORP
US
N
2
2024-05-08
Fixed
3.5
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
CORP. NOTE
629377CK6
123000
PA
USD
118410.38
0.074790345681
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
CORP. NOTE
92840VAD4
98000
PA
USD
93377.36
0.058978993507
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55
N
N
N
N
N
N
KKR GROUP FINANCE CO VI LLC
549300TUJWGHJM3FSJ07
CORP. NOTE
48252AAA9
110000
PA
USD
97899.9
0.061835519514
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.75
N
N
N
N
N
N
L3HARRIS TECHNOLOGIES INC
549300UTE50ZMDBG8A20
CORP. NOTE
502431AM1
73000
PA
USD
68585.38
0.043319886980
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.4
N
N
N
N
N
N
L3HARRIS TECHNOLOGIES INC
549300UTE50ZMDBG8A20
CORP. NOTE
502431AL3
132000
PA
USD
124636.9
0.078723139269
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
3.85
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CORP. NOTE
125523AF7
96000
PA
USD
95292.98
0.060188937112
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
CORP. NOTE
03027XAX8
235000
PA
USD
207808.86
0.131256199626
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.75
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
CORP. NOTE
29444UBE5
193000
PA
USD
163158.3
0.103054019908
Long
DBT
CORP
US
N
2
2029-11-18
Fixed
3.2
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
CORP. NOTE
25278XAM1
90000
PA
USD
83000.84
0.052424977569
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25
N
N
N
N
N
N
ISTAR INC
QFFLKWYYS3UPWD86E794
CORP. NOTE
45031UCG4
75000
PA
USD
72753.57
0.045952598496
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.25
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
CORP. NOTE
29278NAP8
37000
PA
USD
34487.58
0.021783039881
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.9
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD INC
549300OSW32RVX8CCZ87
CORP. NOTE
01626PAM8
134000
PA
USD
110175.9
0.069589284713
Long
DBT
CORP
CA
N
2
2030-01-25
Fixed
2.95
N
N
N
N
N
N
VICI PROPERTIES LP / VICI NOTE CO INC
N/A
CORP. NOTE
92564RAD7
81000
PA
USD
70944.66
0.044810055044
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.75
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC/THE
784F5XWPLTWKTBV3E584
CORP. NOTE
38141GXG4
62000
PA
USD
50250.69
0.031739332952
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
2.6
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
CORP. NOTE
87264ABF1
7000
PA
USD
6209.11
0.003921797086
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.875
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
CORP. NOTE
87264ABD6
55000
PA
USD
50756.24
0.032058648364
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
CORP. NOTE
462613AP5
105000
PA
USD
91096.68
0.057538470763
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.25
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
CORP. NOTE
09857LAR9
355000
PA
USD
333641.34
0.210734490948
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
4.625
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
CORP. NOTE
097023CT0
202000
PA
USD
197093.19
0.124487969818
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.875
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
CORP. NOTE
50077LBC9
182000
PA
USD
170093.48
0.107434417214
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.875
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
CORP. NOTE
25470DBJ7
18000
PA
USD
14782.3
0.009336794012
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.625
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
CORP. NOTE
67077MAW8
25000
PA
USD
20896.18
0.013198441941
Long
DBT
CORP
CA
N
2
2030-05-13
Fixed
2.95
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
CORP. NOTE
00287YCX5
130000
PA
USD
125905.54
0.079524437468
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.8
N
N
N
N
N
N
AT AND T INC
549300Z40J86GGSTL398
CORP. NOTE
00206RJX1
303000
PA
USD
264827.59
0.167270360945
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.3
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
CORP. NOTE
694308JF5
100000
PA
USD
80836.87
0.051058171177
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.1
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
CORP. NOTE
92556VAC0
110000
PA
USD
89813.92
0.056728254092
Long
DBT
CORP
US
N
2
2027-06-22
Fixed
2.3
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
CORP. NOTE
674599DZ5
323000
PA
USD
345674.6
0.218334936746
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
8.5
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
CORP. NOTE
04010LAZ6
237000
PA
USD
215624.61
0.136192782418
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.875
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CORP. NOTE
126650DM9
446000
PA
USD
371575.69
0.234694579158
Long
DBT
CORP
US
N
2
2027-08-21
Fixed
1.3
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
CORP. NOTE
26884LAL3
210000
PA
USD
195937.66
0.123758114140
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
CORP. NOTE
00130HCE3
222000
PA
USD
191233.81
0.120787069140
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.375
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
CORP. NOTE
08576PAH4
182000
PA
USD
158672.24
0.100220535393
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.57
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL CO INC
5493008B6JBRUJ90QL97
CORP. NOTE
37045XDD5
37000
PA
USD
31800.22
0.020085649979
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
1.25
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
CORP. NOTE
92343VGH1
250000
PA
USD
211053.34
0.133305477576
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.1
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
CORP. NOTE
68389XCC7
240000
PA
USD
210288.44
0.132822351558
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
CORP. NOTE
29444UBS4
70000
PA
USD
53928.18
0.034062108611
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.5
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
CORP. NOTE
023135BZ8
101000
PA
USD
81904.2
0.051732317984
Long
DBT
CORP
US
N
2
2031-05-12
Fixed
2.1
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
CORP. NOTE
08576PAF8
168000
PA
USD
139306.83
0.087988958160
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
CORP. NOTE
345397B69
200000
PA
USD
148590
0.093852392542
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
3.625
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CORP. NOTE
15089QAK0
65000
PA
USD
52998.36
0.033474815848
Long
DBT
CORP
US
N
2
2026-08-05
Fixed
1.4
N
N
N
N
N
N
STELLANTIS FINANCE US INC
549300QZ0AI8Q7LNON33
CORP. NOTE
85855CAA8
200000
PA
USD
166738
0.105315029462
Long
DBT
CORP
US
N
2
2027-01-29
Fixed
1.711
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CORP. NOTE
161175CD4
83000
PA
USD
64986.74
0.041046914547
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
CORP. NOTE
37940XAG7
60000
PA
USD
51341.6
0.032428373356
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.15
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
CORP. NOTE
345397B93
200000
PA
USD
151500
0.095690406287
Long
DBT
CORP
US
N
2
2029-02-10
Fixed
2.9
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL CO INC
5493008B6JBRUJ90QL97
CORP. NOTE
37045XDR4
236000
PA
USD
200248.34
0.126480825167
Long
DBT
CORP
US
N
2
2027-02-26
Fixed
2.35
N
N
N
N
N
N
S AND P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
CORP. NOTE
78409VAY0
65000
PA
USD
63438.9
0.040069268088
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.75
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
CORP. NOTE
55903VAL7
548000
PA
USD
451011.67
0.284867920412
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.279
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
CORP. NOTE
2027A0KK4
182000
PA
USD
164409.07
0.103844031060
Long
DBT
CORP
AU
N
2
2027-03-14
Fixed
2.552
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
CORP. NOTE
98138HAH4
130000
PA
USD
116635.61
0.073669365732
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.7
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
CORP. NOTE
21871XAE9
215000
PA
USD
189487.87
0.119684298790
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.85
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
CORP. NOTE
925650AB9
214000
PA
USD
196774.84
0.124286893641
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.75
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
CORP. NOTE
025816CV9
210000
PA
USD
204767.96
0.129335506844
Long
DBT
CORP
US
N
2
2024-05-03
Fixed
3.375
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
CORP. NOTE
45866FAT1
20000
PA
USD
19352.16
0.012223208270
Long
DBT
CORP
US
N
2
2025-05-23
Fixed
3.65
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
CORP. NOTE
45866FAU8
200000
PA
USD
189846.6
0.119910879777
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
5493002SQ1AVQBY41K40
CORP. NOTE
928668BS0
200000
PA
USD
187851.21
0.118650551857
Long
DBT
CORP
US
N
2
2027-06-08
Fixed
4.35
N
N
N
N
N
N
KINETIK HOLDINGS LP
549300RD6AJIMYC0HY12
CORP. NOTE
49461MAA8
130000
PA
USD
119035.67
0.075185291253
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
5.875
N
N
N
N
N
N
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP
N/A
CORP. NOTE
709599BN3
75000
PA
USD
70379.82
0.044453290892
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
4.4
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
CORP. NOTE
02005NBQ2
20000
PA
USD
18451.55
0.011654365123
Long
DBT
CORP
US
N
2
2027-06-09
Fixed
4.75
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CORP. NOTE
15089QAM6
500000
PA
USD
473202.41
0.298884032138
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.165
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
CORP. NOTE
30303M8B1
122000
PA
USD
114083.8
0.072057591899
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.5
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
CORP. NOTE
26884LAP4
15000
PA
USD
14907.68
0.009415986508
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.678
N
N
N
N
N
N
INTERPUBLIC GROUP OF COS INC/THE
5493008IUOJ5VWTRC333
CORPORATE BONDS
460690BT6
78000
PA
USD
59235.72
0.037414456195
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.4
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY CO
549300JD0S5IZJE9LY15
CORPORATE BONDS
084659AX9
100000
PA
USD
80402.75
0.050783972370
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
4.25
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
CORPORATE BONDS
594918CE2
251000
PA
USD
177029.3
0.111815218757
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
2.921
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
CORPORATE BONDS
68389XBZ7
475000
PA
USD
322726.37
0.203840379305
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
CORPORATE BONDS
68389XCA1
55000
PA
USD
36476.3
0.023039154897
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95
N
N
N
N
N
N
BLOCK INC
549300OHIIUWSTIZME52
CORPORATE BONDS
852234AP8
242000
PA
USD
187626.23
0.118508450025
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.5
N
N
N
N
N
N
SALESFORCE INC
RCGZFPDMRW58VJ54VR07
CORPORATE BONDS
79466LAL8
186000
PA
USD
122860.05
0.077600845550
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
2.9
N
N
N
N
N
N
SALESFORCE INC
RCGZFPDMRW58VJ54VR07
CORPORATE BONDS
79466LAM6
313000
PA
USD
195313.06
0.123363604386
Long
DBT
CORP
US
N
2
2061-07-15
Fixed
3.05
N
N
N
N
N
N
AUTONATION INC
N/A
CORPORATE BONDS
05329WAS1
39000
PA
USD
27674.47
0.017479744410
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.4
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
CORPORATE BONDS
82967NBM9
130000
PA
USD
100807.2
0.063671827885
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
3.875
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
CORPORATE BONDS
629377CS9
70000
PA
USD
54603.15
0.034488433056
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.875
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS LP
5493005UEC8AZ34LDV29
CORPORATE BONDS
16411QAN1
89000
PA
USD
68339.1
0.043164331645
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25
N
N
N
N
N
N
FIDELITY NATIONAL FINANCIAL INC
549300CAZYIH39SYQ287
CORPORATE BONDS
31620RAL9
89000
PA
USD
51113.23
0.032284130332
Long
DBT
CORP
US
N
2
2051-09-17
Fixed
3.2
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
CORPORATE BONDS
00774MAX3
655000
PA
USD
492604.62
0.311138852980
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.3
N
N
N
N
N
N
AMERICAN TRANSMISSION SYSTEMS INC
N/A
CORPORATE BONDS
030288AC8
65000
PA
USD
51026.85
0.032229571010
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL CO INC
5493008B6JBRUJ90QL97
CORPORATE BONDS
37045XDS2
62000
PA
USD
46762.36
0.029536034504
Long
DBT
CORP
US
N
2
2032-01-12
Fixed
3.1
N
N
N
N
N
N
NEWS CORP
549300ITS31QK8VRBQ14
CORPORATE BONDS
65249BAB5
66000
PA
USD
57915
0.036580263235
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
5.125
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
CORPORATE BONDS
096630AJ7
74000
PA
USD
58514.29
0.036958786691
Long
DBT
CORP
US
N
2
2032-09-01
Fixed
3.6
N
N
N
N
N
N
WASTE CONNECTIONS INC
549300HDLRTPBQU69P29
CORPORATE BONDS
94106BAE1
22000
PA
USD
18418.66
0.011633591146
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
3.2
N
N
N
N
N
N
DT MIDSTREAM INC
N/A
CORPORATE BONDS
23345MAC1
160000
PA
USD
137558.4
0.086884615077
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
4.3
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
CORPORATE BONDS
11135FBV2
273000
PA
USD
225107.98
0.142182667093
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.926
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
CORPORATE BONDS
53079EBN3
200000
PA
USD
172499.2
0.108953917704
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
5.5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
CORPORATE BONDS
694308KG1
121000
PA
USD
110342.02
0.069694209401
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
5.9
N
N
N
N
N
N
CABOT CORP
K05C0SER542GQ6VLRO68
CORPORATE BONDS
127055AM3
75000
PA
USD
67325.44
0.042524083875
Long
DBT
CORP
US
N
2
2032-06-30
Fixed
5
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CORPORATE BONDS
15089QAP9
90000
PA
USD
83634.3
0.052825083475
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
6.379
N
N
N
N
N
N
WASTE CONNECTIONS INC
549300HDLRTPBQU69P29
CORPORATE BONDS
94106BAF8
90000
PA
USD
81536.55
0.051500102949
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
4.2
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
CORPORATE BONDS
30303M8E5
223000
PA
USD
181986.31
0.114946164637
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.45
N
N
N
N
N
N
WEYERHAEUSER CO
08IRJODWFYBI7QWRGS31
CORPORATE BONDS
962166BR4
32000
PA
USD
34523.72
0.021805866623
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
7.375
N
N
N
N
N
N
WESTROCK MWV LLC
4DL8C98Z5G5IXZLH3578
CORPORATE BONDS
961548AV6
105000
PA
USD
117894.61
0.074464575115
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
8.2
N
N
N
N
N
N
WESTROCK MWV LLC
4DL8C98Z5G5IXZLH3578
CORPORATE BONDS
961548AY0
39000
PA
USD
43890.62
0.027722186534
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
7.95
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
CORPORATE BONDS
202795HG8
2000
PA
USD
2034.91
0.001285289536
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
5.875
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
CORPORATE BONDS
03027XAP5
480000
PA
USD
433316.15
0.273691078839
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.55
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
CORPORATE BONDS
224044CJ4
56000
PA
USD
51265.98
0.032380610263
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.5
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
CORPORATE BONDS
22822VAH4
130000
PA
USD
117683.18
0.074331031731
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.65
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
CORPORATE BONDS
045054AF0
335000
PA
USD
307318.95
0.194108747096
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.375
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
CORPORATE BONDS
26441CAX3
180000
PA
USD
162864.77
0.102868620535
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.15
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
CORPORATE BONDS
666807BN1
240000
PA
USD
218377.64
0.137931650796
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
CORPORATE BONDS
20030NCE9
168000
PA
USD
128732.59
0.081310058346
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.999
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
CORPORATE BONDS
68389XBQ7
85000
PA
USD
56954.21
0.035973409206
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4
N
N
N
N
N
N
SERVICE CORP INTERNATIONAL/US
549300RKVM2ME20JHZ15
CORPORATE BONDS
817565CD4
25000
PA
USD
22625
0.014290398959
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.625
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
CORPORATE BONDS
29379VBQ5
315000
PA
USD
242109.32
0.152921050803
Long
DBT
CORP
US
N
2
2048-02-15
Fixed
4.25
N
N
N
N
N
N
TELEFONICA EMISIONES SA
549300Y5MFC4SW5Z3K71
CORPORATE BONDS
87938WAW3
13000
PA
USD
9466.6
0.005979292410
Long
DBT
CORP
ES
N
2
2048-03-06
Fixed
4.895
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
CORPORATE BONDS
035240AL4
340000
PA
USD
322984.89
0.204003665667
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
CORPORATE BONDS
035240AN0
100000
PA
USD
82813.65
0.052306744651
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.6
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
CORPORATE BONDS
67077MAS7
44000
PA
USD
39145.19
0.024724878781
Long
DBT
CORP
CA
N
2
2045-01-15
Fixed
5.25
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
CORPORATE BONDS
64110LAT3
300000
PA
USD
292734
0.184896603261
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.875
N
N
N
N
N
N
CONTINENTAL RESOURCES INC/OK
XXRTID9RYWOZ0UPIVR53
CORPORATE BONDS
212015AS0
478000
PA
USD
428993.23
0.270960636785
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.375
N
N
N
N
N
N
DIGITAL REALTY TRUST LP
CD4SPTZ3YBTHY0C1AH38
CORPORATE BONDS
25389JAT3
265000
PA
USD
247573.89
0.156372581651
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.45
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
CORPORATE BONDS
92343VER1
117000
PA
USD
110088.06
0.069533803226
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.329
N
N
N
N
N
N
RAYTHEON TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
CORPORATE BONDS
913017CY3
370000
PA
USD
345694.28
0.218347367024
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.125
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
CORPORATE BONDS
00912XBF0
40000
PA
USD
35905.65
0.022678721033
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.625
N
N
N
N
N
N
INTERPUBLIC GROUP OF COS INC/THE
5493008IUOJ5VWTRC333
CORPORATE BONDS
460690BP4
226000
PA
USD
208985.71
0.131999521439
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.65
N
N
N
N
N
N
AMERICAN ELECTRIC POWER CO INC
1B4S6S7G0TW5EE83BO58
CORPORATE BONDS
025537AM3
210000
PA
USD
196197.86
0.123922461624
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
4.3
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
CORPORATE BONDS
68233JBK9
161000
PA
USD
165528.6
0.104551148423
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.75
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
CORPORATE BONDS
26442EAF7
195000
PA
USD
178187.06
0.112546482947
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.65
N
N
N
N
N
N
MARSH AND MCLENNAN COS INC
549300XMP3KDCKJXIU47
CORPORATE BONDS
571748BG6
194000
PA
USD
184263.34
0.116384381969
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.375
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
CORPORATE BONDS
124857AZ6
50000
PA
USD
44084.3
0.027844518666
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.2
N
N
N
N
N
N
HUNTSMAN INTERNATIONAL LLC
3YTEJFW18LGIUQ2N5J61
CORPORATE BONDS
44701QBE1
150000
PA
USD
132252.19
0.083533107547
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.5
N
N
N
N
N
N
WALT DISNEY CO/THE
549300GZKULIZ0WOW665
CORPORATE BONDS
254687EZ5
55000
PA
USD
67593.74
0.042693547479
Long
DBT
CORP
US
N
2
2045-12-01
Fixed
7.75
N
N
N
N
N
N
WASTE CONNECTIONS INC
549300HDLRTPBQU69P29
CORPORATE BONDS
941053AJ9
110000
PA
USD
98640.6
0.062303360332
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
3.5
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
CORPORATE BONDS
92840VAE2
82000
PA
USD
69871.54
0.044132251158
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.3
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
CORPORATE BONDS
404119BX6
30000
PA
USD
26309.69
0.016617722280
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.125
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
CORPORATE BONDS
26441CBF1
65000
PA
USD
49150.53
0.031044450065
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
4.2
N
N
N
N
N
N
TOTALENERGIES CAPITAL INTERNATIONAL SA
549300U37G2I8G4RUG09
CORPORATE BONDS
89153VAT6
335000
PA
USD
288375.85
0.182143909239
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
2.829
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
CORPORATE BONDS
961214EG4
185000
PA
USD
148542.35
0.093822295857
Long
DBT
CORP
AU
N
2
2039-07-24
Fixed
4.421
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
CORPORATE BONDS
00914AAE2
260000
PA
USD
211620.83
0.133663915521
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.25
N
N
N
N
N
N
MASSACHUSETTS MUTUAL LIFE INSURANCE CO
R6ZXK5P01NP6HXSY1S07
CORPORATE BONDS
575767AN8
36000
PA
USD
23913.14
0.015104013744
Long
DBT
CORP
US
N
2
2070-10-15
Fixed
3.729
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
CORPORATE BONDS
20030NCZ2
203000
PA
USD
140900.27
0.088995406483
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45
N
N
N
N
N
N
DH EUROPE FINANCE II SARL
222100KDGL314CKTZ511
CORPORATE BONDS
23291KAH8
230000
PA
USD
196582.1
0.124165155232
Long
DBT
CORP
LU
N
2
2029-11-15
Fixed
2.6
N
N
N
N
N
N
S AND P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
CORPORATE BONDS
78409VAP9
70000
PA
USD
58490.01
0.036943450961
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.5
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
CORPORATE BONDS
29379VBX0
84000
PA
USD
70147.62
0.044306628765
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.8
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
CORPORATE BONDS
03027XBA7
95000
PA
USD
78090.75
0.049323667292
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
2.9
N
N
N
N
N
N
PROLOGIS LP
GL16H1DHB0QSHP25F723
CORPORATE BONDS
74340XBM2
54000
PA
USD
44108.33
0.027859696491
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.25
N
N
N
N
N
N
OSHKOSH CORP
549300FEKNPCFSA2B506
CORPORATE BONDS
688225AH4
21000
PA
USD
16913.19
0.010682706420
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.1
N
N
N
N
N
N
AMERICAN ELECTRIC POWER CO INC
1B4S6S7G0TW5EE83BO58
CORPORATE BONDS
025537AP6
100000
PA
USD
64405.12
0.040679551814
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.25
N
N
N
N
N
N
SHERWIN-WILLIAMS CO/THE
Z15BMIOX8DDH0X2OBP21
CORPORATE BONDS
824348BM7
50000
PA
USD
32787.49
0.020709229302
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.3
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
CORPORATE BONDS
666807BU5
45000
PA
USD
42939.88
0.027121680285
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
CORPORATE BONDS
22822VAR2
195000
PA
USD
163279.78
0.103130749087
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.3
N
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
CORPORATE BONDS
695114CW6
133000
PA
USD
111058.1
0.070146499739
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
2.7
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
CORPORATE BONDS
87264AAZ8
261000
PA
USD
209565.77
0.132365898845
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.5
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
CORPORATE BONDS
49271VAJ9
38000
PA
USD
32330.66
0.020420686409
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.2
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
CORPORATE BONDS
11135FAQ4
202000
PA
USD
174840.07
0.110432457647
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
CORPORATE BONDS
98978VAS2
39000
PA
USD
30974.31
0.019563988834
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
CORPORATE BONDS
91324PDZ2
160000
PA
USD
105087.53
0.066375369250
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.9
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
CORPORATE BONDS
023135BU9
453000
PA
USD
267244.17
0.168796720825
Long
DBT
CORP
US
N
2
2060-06-03
Fixed
2.7
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
CORPORATE BONDS
594918CD4
500000
PA
USD
314402.6
0.198582921001
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
2.675
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
CORPORATE BONDS
694308JN8
145000
PA
USD
106129.4
0.067033435016
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
CORPORATE BONDS
02079KAG2
115000
PA
USD
64652.25
0.040835644025
Long
DBT
CORP
US
N
2
2060-08-15
Fixed
2.25
N
N
N
N
N
N
SERVICE CORP INTERNATIONAL/US
549300RKVM2ME20JHZ15
CORPORATE BONDS
817565CF9
15000
PA
USD
11731.35
0.007409753451
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.375
N
N
N
N
N
N
SENSATA TECHNOLOGIES INC
5493002MMDDCUNV7NY90
CORPORATE BONDS
81728UAB0
294000
PA
USD
231585.27
0.146273851989
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75
N
N
N
N
N
N
SERVICENOW INC
549300HJTQM36M0E1G39
CORPORATE BONDS
81762PAE2
145000
PA
USD
106757.77
0.067430325977
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.4
N
N
N
N
N
N
S AND P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
CORPORATE BONDS
78409VAS3
41000
PA
USD
30697.98
0.019389453323
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.25
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
CORPORATE BONDS
45866FAN4
118000
PA
USD
86940.28
0.054913206045
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
1.85
N
N
N
N
N
N
INTERNATIONAL FLAVORS AND FRAGRANCES INC
BZLRL03D3GPGMOGFO832
CORPORATE BONDS
459506AQ4
35000
PA
USD
26872.97
0.016973501105
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.3
N
N
N
N
N
N
INTERNATIONAL FLAVORS AND FRAGRANCES INC
BZLRL03D3GPGMOGFO832
CORPORATE BONDS
459506AS0
20000
PA
USD
13090.46
0.008268194296
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
3.468
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
CORPORATE BONDS
59156RAP3
85000
PA
USD
81963.1
0.051769520393
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.4
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CORPORATE BONDS
126650BP4
16863.47
PA
USD
16854.8
0.010645826138
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.036
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
CORPORATE BONDS
59022CAJ2
300000
PA
USD
289523.1
0.182868535105
Long
DBT
CORP
US
N
2
2037-01-29
Fixed
6.11
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY CO
549300JD0S5IZJE9LY15
CORPORATE BONDS
59562VAR8
3000
PA
USD
3115.05
0.001967527393
Long
DBT
CORP
US
N
2
2037-09-15
Fixed
6.5
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC/THE
784F5XWPLTWKTBV3E584
CORPORATE BONDS
38141GFD1
314000
PA
USD
313252.99
0.197856804512
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
CORPORATE BONDS
26882PBE1
83000
PA
USD
86646.94
0.054727926681
Long
DBT
CORP
US
N
2
2037-10-15
Fixed
7
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
CORPORATE BONDS
92976GAJ0
610000
PA
USD
637020.24
0.402354624280
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
6.6
N
N
N
N
N
N
METLIFE CAPITAL TRUST IV
N/A
CORPORATE BONDS
591560AA5
340000
PA
USD
362950
0.229246422190
Long
DBT
CORP
US
N
2
2037-12-15
Fixed
7.875
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
CORPORATE BONDS
36186CBY8
205000
PA
USD
214913.25
0.135743473326
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8
N
N
N
N
N
N
TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AMERICA
O06XD7BJ4EPXNABVFN69
CORPORATE BONDS
878091BC0
173000
PA
USD
188377.17
0.118982758630
Long
DBT
CORP
US
N
2
2039-12-16
Fixed
6.85
N
N
N
N
N
N
PRUDENTIAL FINANCIAL INC
5PRBRS5FEH7NREC8OR45
CORPORATE BONDS
74432QBN4
1000
PA
USD
1061.81
0.000670660266
Long
DBT
CORP
US
N
2
2040-06-21
Fixed
6.625
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
CORPORATE BONDS
25746UBM0
135000
PA
USD
118866.65
0.075078534868
Long
DBT
CORP
US
N
2
2041-08-01
Fixed
4.9
N
N
N
N
N
N
FLORIDA POWER AND LIGHT CO
A89MY1K3YLIGJMYWVX50
CORPORATE BONDS
341081FF9
203000
PA
USD
169744
0.107213678711
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
4.125
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
CORPORATE BONDS
29273RAR0
20000
PA
USD
18612.42
0.011755973807
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
6.5
N
N
N
N
N
N
CONSOLIDATED EDISON CO OF NEW YORK INC
VZFZPMWDHTQCFKYOBP05
CORPORATE BONDS
209111FB4
85000
PA
USD
67092.88
0.042377194364
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.2
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
CORPORATE BONDS
26884TAE2
90000
PA
USD
81422.71
0.051428199346
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.625
N
N
N
N
N
N
AON GLOBAL LTD
VVT2B79I2Z4U3R6BY589
CORPORATE BONDS
00185AAB0
171000
PA
USD
132067.58
0.083416504208
Long
DBT
CORP
GB
N
2
2042-12-12
Fixed
4.25
N
N
N
N
N
N
DOLLAR GENERAL CORP
OPX52SQVOZI8IVSWYU66
CORPORATE BONDS
256677AC9
135000
PA
USD
134825.65
0.085158555950
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.25
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
CORPORATE BONDS
224044CC9
90000
PA
USD
71037.06
0.044868416718
Long
DBT
CORP
US
N
2
2043-06-30
Fixed
4.5
N
N
N
N
N
N
BERKSHIRE HATHAWAY FINANCE CORP
549300RLHFT5RU20WM87
CORPORATE BONDS
084664BV2
210000
PA
USD
180373.41
0.113927424992
Long
DBT
CORP
US
N
2
2043-05-15
Fixed
4.3
N
N
N
N
N
N
CF INDUSTRIES INC
5FVKT86LAD2F40NPC183
CORPORATE BONDS
12527GAD5
227000
PA
USD
185005
0.116852829142
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
4.95
N
N
N
N
N
N
DR HORTON INC
529900ZIUEYVSB8QDD25
CORPORATE BONDS
23331ABH1
120000
PA
USD
120951.36
0.076395279071
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
5.75
N
N
N
N
N
N
CVS PASS-THROUGH TRUST SERIES 2013
N/A
CORPORATE BONDS
12665UAA2
97529.36
PA
USD
88824.66
0.056103417846
Long
DBT
CORP
US
N
2
2036-01-10
Fixed
4.704
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
CORPORATE BONDS
26884TAL6
5000
PA
USD
4830.58
0.003051090184
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.85
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
CORPORATE BONDS
29250NAJ4
90000
PA
USD
71778.29
0.045336592295
Long
DBT
CORP
CA
N
2
2044-06-10
Fixed
4.5
N
N
N
N
N
N
MOODY'S CORP
549300GCEDD8YCF5WU84
CORPORATE BONDS
615369AE5
108000
PA
USD
99340.87
0.062745664760
Long
DBT
CORP
US
N
2
2044-07-15
Fixed
5.25
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
CORPORATE BONDS
494550BW5
86000
PA
USD
71954.74
0.045448041616
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.4
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
CORPORATE BONDS
05578QAD5
317000
PA
USD
300980.53
0.190105275249
Long
DBT
CORP
FR
N
2
2025-03-15
Fixed
4.5
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
CORPORATE BONDS
92343VCQ5
85000
PA
USD
74664.6
0.047159642965
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.4
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
CORPORATE BONDS
37045VAJ9
115000
PA
USD
87563.41
0.055306787318
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
5.2
N
N
N
N
N
N
JPMORGAN CHASE AND CO
8I5DZWZKVSZI1NUHU748
CORPORATE BONDS
46625HJZ4
46000
PA
USD
43406.38
0.027416330941
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.125
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
CORPORATE BONDS
404119BR9
95000
PA
USD
93876.56
0.059294298133
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.375
N
N
N
N
N
N
MERCK AND CO INC
4YV9Y5M8S0BRK1RP0397
CORPORATE BONDS
58933YAT2
160000
PA
USD
125563.78
0.079308575070
Long
DBT
CORP
US
N
2
2045-02-10
Fixed
3.7
N
N
N
N
N
N
LYONDELLBASELL INDUSTRIES NV
BN6WCCZ8OVP3ITUUVN49
CORPORATE BONDS
552081AM3
225000
PA
USD
168793.32
0.106613210358
Long
DBT
CORP
US
N
2
2055-02-26
Fixed
4.625
N
N
N
N
N
N
NEUBERGER BERMAN GROUP LLC / NEUBERGER BERMAN FINANCE CORP
N/A
CORPORATE BONDS
64128XAE0
75000
PA
USD
61265.89
0.038696751852
Long
DBT
CORP
US
N
2
2045-04-15
Fixed
4.875
N
N
N
N
N
N
AT AND T INC
549300Z40J86GGSTL398
CORPORATE BONDS
00206RCQ3
335000
PA
USD
280777.54
0.177344665867
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
4.75
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
CORPORATE BONDS
037833BH2
468000
PA
USD
419922.76
0.265231547944
Long
DBT
CORP
US
N
2
2045-05-13
Fixed
4.375
N
N
N
N
N
N
CNO FINANCIAL GROUP INC
11XPYHB76MPM4Y4P2897
CORPORATE BONDS
12621EAK9
70000
PA
USD
69094.03
0.043641160414
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
5.25
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
CORPORATE BONDS
91324PCR1
50000
PA
USD
44280.15
0.027968221412
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
4.75
N
N
N
N
N
N
AUTONATION INC
N/A
CORPORATE BONDS
05329WAM4
30000
PA
USD
29038.45
0.018341261244
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
4.5
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CORPORATE BONDS
172967KA8
1005000
PA
USD
930302.41
0.587597462590
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45
N
N
N
N
N
N
NOVARTIS CAPITAL CORP
5493002KF87V5RSRQS84
CORPORATE BONDS
66989HAK4
265000
PA
USD
223718.3
0.141304917629
Long
DBT
CORP
US
N
2
2045-11-20
Fixed
4
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
CORPORATE BONDS
20030NBS9
94000
PA
USD
88550.77
0.055930423487
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
CORPORATE BONDS
404119BT5
35000
PA
USD
33821.77
0.021362501074
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
CORPORATE BONDS
24703TAK2
11000
PA
USD
11864.69
0.007493973641
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
CORPORATE BONDS
26884TAR3
40000
PA
USD
36639.25
0.023142077350
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.3
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
CORPORATE BONDS
124857AR4
58000
PA
USD
51646.68
0.032621067938
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.9
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
CORPORATE BONDS
20030NBW0
286000
PA
USD
256476.28
0.161995507829
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.35
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
CORPORATE BONDS
20030NBU4
360000
PA
USD
254018.59
0.160443182056
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
3.4
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
CORPORATE BONDS
02079KAC1
120000
PA
USD
109514.09
0.069171272384
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.998
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
CORPORATE BONDS
404119BU2
178000
PA
USD
166164.89
0.104953041813
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.5
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
CORPORATE BONDS
224044CG0
44000
PA
USD
40516.41
0.025590968542
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.35
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
CORPORATE BONDS
64110LAN6
640000
PA
USD
604182.43
0.381613611868
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
4.375
N
N
N
N
N
N
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP
N/A
CORPORATE BONDS
709599AW4
135000
PA
USD
122215.12
0.077193494964
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
3.4
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
CORPORATE BONDS
717081EA7
125000
PA
USD
117470.7
0.074196825147
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
3
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
CORPORATE BONDS
29250NAL9
95000
PA
USD
90435.92
0.057121121635
Long
DBT
CORP
CA
N
2
2026-12-01
Fixed
4.25
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
CORPORATE BONDS
26138EAX7
220000
PA
USD
203259.78
0.128382910429
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.43
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
CORPORATE BONDS
61746BEG7
760000
PA
USD
607139.53
0.383481374907
Long
DBT
CORP
US
N
2
2047-01-22
Fixed
4.375
N
N
N
N
N
N
AT AND T INC
549300Z40J86GGSTL398
CORPORATE BONDS
00206RDQ2
231000
PA
USD
221683.38
0.140019621777
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.25
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
CORPORATE BONDS
961214DK6
38000
PA
USD
35455.34
0.022394296301
Long
DBT
CORP
AU
N
2
2027-03-08
Fixed
3.35
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
CORPORATE BONDS
22822VAF8
25000
PA
USD
20454.62
0.012919543883
Long
DBT
CORP
US
N
2
2047-05-15
Fixed
4.75
N
N
N
N
N
N
SHERWIN-WILLIAMS CO/THE
Z15BMIOX8DDH0X2OBP21
CORPORATE BONDS
824348AW6
135000
PA
USD
123939.05
0.078282363362
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.45
N
N
N
N
N
N
CHENIERE CORPUS CHRISTI HOLDINGS LLC
549300I7CIEWU1BBLQ53
CORPORATE BONDS
16412XAG0
152000
PA
USD
147168.72
0.092954683891
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.125
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
CORPORATE BONDS
82967NBA5
52000
PA
USD
47580
0.030052472153
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
5
N
N
N
N
N
N
EL PASO CORP NATURAL GAS
N/A
CORPORATE STEP UP
283695BK9
207000
PA
USD
230760.38
0.145752835096
Long
DBT
CORP
US
N
2
2032-06-15
Variable
8.375
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FXJE9
3475436.93
PA
USD
631073.31
0.398598425285
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137AX2K8
498847.07
PA
USD
63251.71
0.039951035170
Long
ABS-MBS
USGSE
US
N
2
2042-12-15
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137B2FV7
227940.27
PA
USD
25132.35
0.015874090973
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137B0DZ4
345698.46
PA
USD
24613.73
0.015546520290
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FQNN9
4567153.68
PA
USD
428557.5
0.270685421071
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
2.966
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FT3B1
2240896.24
PA
USD
412006.7
0.260231607365
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137F7Q24
4607860.33
PA
USD
839819.87
0.530446894838
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
3.5
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FHLMC CMO IO
3137H2HH0
3871660.29
PA
USD
736517.55
0.465199099649
Long
ABS-MBS
USGSE
US
N
2
2051-09-25
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FUF90
1946846.49
PA
USD
135675.73
0.085695483346
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Floating
2.516
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FNQB9
554539.21
PA
USD
55733.63
0.035202466657
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Floating
2.966
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FC5M2
853583.98
PA
USD
96488.79
0.060944234437
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Floating
3.382
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137BMNM4
474765.41
PA
USD
84565.19
0.053413052071
Long
ABS-MBS
USGSE
US
N
2
2045-12-15
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FJGY9
3592390.14
PA
USD
182438.53
0.115231795763
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Floating
3.232
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137AMVW4
88210.5
PA
USD
6605.49
0.004172158560
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137AV3L9
155408.11
PA
USD
30094.16
0.019008068629
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137AW3K9
227332.31
PA
USD
26416.01
0.016684876101
Long
ABS-MBS
USGSE
US
N
2
2042-11-15
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137AXVR1
937632.79
PA
USD
69769.26
0.044067649081
Long
ABS-MBS
USGSE
US
N
2
2042-12-15
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137B0NQ3
1005227.22
PA
USD
73047.25
0.046138092611
Long
ABS-MBS
USGSE
US
N
2
2042-12-15
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137AYQL8
445145.96
PA
USD
69832.23
0.044107422182
Long
ABS-MBS
USGSE
US
N
2
2043-02-15
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC STRIPS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO PO
3132HTTN6
955915.95
PA
USD
719697.27
0.454575077028
Long
ABS-MBS
USGSE
US
N
2
2043-09-15
Fixed
0
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO PO
31397BDU2
1910.94
PA
USD
1815.39
0.001146636348
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
0
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO PO
31397KMR9
2082.74
PA
USD
1770.33
0.001118175558
Long
ABS-MBS
USGSE
US
N
2
2037-09-15
Fixed
0
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO PO
31396T2M4
3026.13
PA
USD
2693.26
0.001701116460
Long
ABS-MBS
USGSE
US
N
2
2036-06-15
Fixed
0
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO PO
31397P6U9
14627.34
PA
USD
12872.06
0.008130248522
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
0
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138MAJN9
28357.46
PA
USD
25915.54
0.016368769318
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140FC3F3
183971.31
PA
USD
168709.09
0.106560009019
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138Y9DA3
252158.13
PA
USD
245035.42
0.154769233627
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140F7F79
76393.58
PA
USD
70151.48
0.044309066817
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140F8B55
75888.59
PA
USD
70067.19
0.044255827581
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140E9ZA7
15243.65
PA
USD
14064.79
0.008883600458
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138YND46
194424.63
PA
USD
188932.72
0.119333655034
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138XW2X5
128653.58
PA
USD
125329.08
0.079160333893
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138WHFD9
795998.34
PA
USD
707404.92
0.446810984845
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138M7KQ7
20789.89
PA
USD
18586.45
0.011739570640
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138X0YX0
237483.89
PA
USD
219043.91
0.138352480149
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138W1SQ1
38383.68
PA
USD
34315.55
0.021674382320
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138W1L39
158341.58
PA
USD
141559.59
0.089411846078
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138ETDK9
34266.22
PA
USD
30634.48
0.019349345463
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
31417GHQ2
56924.77
PA
USD
50891.54
0.032144106529
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138WNBL2
104167.71
PA
USD
93127.39
0.058821107495
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138M7G33
47151.65
PA
USD
42154.24
0.026625454471
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140EVB63
154458.73
PA
USD
145662.34
0.092003224391
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140EVUP0
408899.83
PA
USD
362878.77
0.229201431908
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140EVTB3
395613.64
PA
USD
351087.92
0.221754097077
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140J5JS9
495575.17
PA
USD
440573.26
0.278274813521
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3138ET7G5
440672.94
PA
USD
417642.36
0.263791202052
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
31413R3V6
4109.33
PA
USD
4127.1
0.002606758256
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN40
3140FXG55
905692.86
PA
USD
815556.22
0.515121492023
Long
ABS-MBS
USGSE
US
N
2
2057-09-01
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN40
3140FXDF6
1414613.28
PA
USD
1277806.31
0.807087821516
Long
ABS-MBS
USGSE
US
N
2
2056-06-01
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AMMX4
15011.78
PA
USD
133.38
0.000084245455
Long
ABS-MBS
USGSE
US
N
2
2044-03-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AJK62
299045.19
PA
USD
6088.86
0.003845844800
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ACYN5
244679.62
PA
USD
39783.24
0.025127883822
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136A6LM4
100898.39
PA
USD
2468.83
0.001559362018
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136A4BG3
137349.3
PA
USD
6371.15
0.004024144766
Long
ABS-MBS
USGSE
US
N
2
2041-03-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AFEH3
189051.61
PA
USD
4549.91
0.002873813442
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ABJP9
863632.13
PA
USD
66436.63
0.041962693842
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AEQA8
297565.22
PA
USD
37737.82
0.023835955962
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AEPV3
230489.93
PA
USD
10292.74
0.006501098828
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ADLY3
44131.72
PA
USD
239.55
0.000151304534
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ADBY4
82781.03
PA
USD
759.68
0.000479828963
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136A9X60
1119972.5
PA
USD
197937.22
0.125021075915
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
31398PJU4
297447.23
PA
USD
33493.12
0.021154919212
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Floating
3.316
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136BBWL2
2783464.28
PA
USD
542368.31
0.342570587069
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136BDVY1
3447943.07
PA
USD
745617.69
0.470946928651
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136BFHG1
1633252.62
PA
USD
260618.12
0.164611576162
Long
ABS-MBS
USGSE
US
N
2
2051-03-25
Fixed
2.5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136BDPM4
1995808.83
PA
USD
356744.1
0.225326652603
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136BBX23
5738403.12
PA
USD
688608.37
0.434938710876
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Floating
3.166
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136B8H51
1105335.54
PA
USD
113296.89
0.071560563928
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
2.966
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136B0RS7
1168779.44
PA
USD
138409.9
0.087422439374
Long
ABS-MBS
USGSE
US
N
2
2048-01-25
Floating
3.066
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AURL7
1392756.29
PA
USD
91016.62
0.057487903278
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Floating
3.016
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136APCA8
966547.33
PA
USD
163433.19
0.103227645887
Long
ABS-MBS
USGSE
US
N
2
2045-06-25
Fixed
5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ARSF6
2157177.53
PA
USD
239302.61
0.151148277072
Long
ABS-MBS
USGSE
US
N
2
2046-03-25
Floating
2.966
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136B3G53
2649067.46
PA
USD
222574.65
0.140582565595
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Floating
3.016
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136B3WG1
620231.72
PA
USD
46444.81
0.029335463623
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Floating
3.016
N
N
N
N
N
N
FANNIE MAE INTEREST STRIP
B1V7KEBTPIMZEU4LTD58
FNMA CMO PO
3136FCT22
8949.63
PA
USD
7182.25
0.004536451621
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
0
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0326A7
6000000
PA
USD
5395311
3.407785489328
Short
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0226A8
2000000
PA
USD
1678281.2
1.060035708854
Short
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
2.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0226A8
5000000
PA
USD
4195703
2.650089272135
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
2.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0606A8
1000000
PA
USD
1014927.2
0.641048159204
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
6
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0506A9
45000000
PA
USD
43783582.5
27.654579525501
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0426A6
12000000
PA
USD
11416872
7.211122905634
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0206A2
4000000
PA
USD
3236625.2
2.044316702217
Short
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
2
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0206A2
8000000
PA
USD
6473250.4
4.088633404434
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
2
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0306A1
9000000
PA
USD
7824375
4.942030512803
Short
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0526A5
11000000
PA
USD
10929989.4
6.903598194031
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0306A1
5000000
PA
USD
4346875
2.745572507113
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F0406A0
1000000
PA
USD
926874.8
0.585432516099
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3131XULN5
469336.52
PA
USD
416806.73
0.263263401563
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3131XUTN7
53357.96
PA
USD
48998.09
0.030948165936
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3131XVET8
675518.11
PA
USD
626443.54
0.395674170682
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3131XWED1
381763.78
PA
USD
351524.35
0.222029754925
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
31329MU32
200915.74
PA
USD
179621.48
0.113452491083
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
31329MXU9
247433.2
PA
USD
228298
0.144197547026
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3132AATC8
393736.06
PA
USD
373158.51
0.235694319678
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3131XQEG7
52233.01
PA
USD
50971.41
0.032194554006
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3131XQKR6
211267.52
PA
USD
206164.71
0.130217721861
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3131XQTV8
37635.67
PA
USD
36638.44
0.023141565738
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3131XRJN5
36184.98
PA
USD
35235.23
0.022255270457
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC GOLD POOL
S6XOOCT0IEG5ABCC6L87
FR30
3131XUBX4
35121.84
PA
USD
32273.99
0.020384892512
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BG3X6
78639.74
PA
USD
72204.82
0.045605997107
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617MUEF0
18025.25
PA
USD
17728.28
0.011197533439
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BG3Z1
139402.59
PA
USD
127995.57
0.080844541889
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617AQDL0
64247.91
PA
USD
63034.31
0.039813721016
Long
ABS-MBS
USGA
US
N
2
2067-08-20
Variable
4.7
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617ALRA0
49750.03
PA
USD
49233.8
0.031097045050
Long
ABS-MBS
USGA
US
N
2
2067-06-20
Variable
4.639
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
36196UJY8
65237.38
PA
USD
64350
0.040644736928
Long
ABS-MBS
USGA
US
N
2
2067-03-20
Variable
4.524
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
36196RRT7
90498.45
PA
USD
89553.49
0.056563761337
Long
ABS-MBS
USGA
US
N
2
2067-05-20
Variable
4.7
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BUS67
169151.87
PA
USD
155310.53
0.098097212649
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BUS59
113374.4
PA
USD
104097.21
0.065749863487
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BUS26
114075.01
PA
USD
104740.49
0.066156171899
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BG3Y4
202557.32
PA
USD
185982.48
0.117470224907
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LES54
9121.5
PA
USD
8323.8
0.005257477253
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617ATK28
102565.71
PA
USD
94172.97
0.059481516571
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617ATK85
107420.75
PA
USD
98630.74
0.062297132561
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BJUW2
23782.59
PA
USD
21836.51
0.013792373028
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BG4N7
221819.76
PA
USD
203668.71
0.128641198731
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BG4Q0
307293.43
PA
USD
282148.25
0.178210433502
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617BG4P2
98863.36
PA
USD
90773.58
0.057334394391
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617GPMJ1
27459.15
PA
USD
26667.21
0.016843539006
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617GPMK8
90127.98
PA
USD
87528.64
0.055284825897
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
36179TZ73
135372.64
PA
USD
134622.96
0.085030532924
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
36179TXX8
199086.91
PA
USD
198108.82
0.125129461880
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617GCYW8
174735.12
PA
USD
164527.93
0.103919105394
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617G0SZ4
30448.01
PA
USD
28669.38
0.018108149308
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617G0S27
15937.05
PA
USD
15006.08
0.009478137901
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617GQYF4
119000.64
PA
USD
112049.19
0.070772491849
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617GQXB4
387756.81
PA
USD
365105.92
0.230608144043
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617K4VA2
13566.72
PA
USD
13343.2
0.008427829895
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LCDT2
65703.88
PA
USD
59957.89
0.037870593097
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LEKS2
9988.24
PA
USD
9114.74
0.005757050652
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LELG7
16701.13
PA
USD
15240.57
0.009626246438
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LEPL2
10567.57
PA
USD
9643.41
0.006090969115
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GN30
36197F2T9
62428.19
PA
USD
57543.13
0.036345382764
Long
ABS-MBS
USGA
US
N
2
2047-11-15
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GN30
36197F2U6
10378.81
PA
USD
9566.66
0.006042492292
Long
ABS-MBS
USGA
US
N
2
2047-11-15
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RA48
7061614.36
PA
USD
235431.96
0.148703497725
Long
ABS-MBS
USGA
US
N
2
2066-10-20
Variable
1.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382LYL9
5383108.98
PA
USD
813441.6
0.513785856069
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
3
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376R5G7
3041157.43
PA
USD
107166.59
0.067688544802
Long
ABS-MBS
USGA
US
N
2
2067-06-20
Variable
.825
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376R2S4
1801734.62
PA
USD
71435.17
0.045119870894
Long
ABS-MBS
USGA
US
N
2
2067-05-20
Variable
1.363
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380GZN7
437713.43
PA
USD
83402.01
0.052678364502
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376R7A8
1579463.48
PA
USD
113635.97
0.071774733585
Long
ABS-MBS
USGA
US
N
2
2067-09-20
Variable
3.578
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RK62
871585.55
PA
USD
28542.68
0.018028123074
Long
ABS-MBS
USGA
US
N
2
2066-12-20
Variable
2.561
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380YXY6
407734.62
PA
USD
29210.11
0.018449685106
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380YYB5
19518.61
PA
USD
2921.94
0.001845555285
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380LQD8
2592405.77
PA
USD
108798.4
0.068719228379
Long
ABS-MBS
USGA
US
N
2
2068-11-20
Variable
1.145
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378GT57
1236208.24
PA
USD
113718.8
0.071827050656
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Floating
3.186
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379HVB8
964051.95
PA
USD
202450.91
0.127872012086
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381TSF3
896145.81
PA
USD
70248.87
0.044370580274
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Floating
3.036
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381XAJ5
1013425.69
PA
USD
90144.22
0.056936878127
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Floating
3.086
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381B7N8
596402.17
PA
USD
50813.46
0.032094789652
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Floating
3.036
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381XBB1
1035380.41
PA
USD
96093.66
0.060694662488
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Floating
3.086
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381A3Z7
697918.2
PA
USD
67674.41
0.042744500252
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Floating
3.086
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382AAJ4
145589.04
PA
USD
19744.06
0.012470740087
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Floating
2.986
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379EZ54
713143.98
PA
USD
105446.55
0.066602133406
Long
ABS-MBS
USGA
US
N
2
2044-09-16
Floating
3.261
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382CRX1
45591.1
PA
USD
3398.04
0.002146269493
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Floating
3.036
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382AJU0
1277777.48
PA
USD
78995.14
0.049894897962
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Floating
3.136
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382BFR9
1388469.98
PA
USD
224210.13
0.141615567217
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382B6A6
841736.23
PA
USD
76808.43
0.048513728534
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
3.086
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382DRV3
1033605.23
PA
USD
115232.29
0.072783000973
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Floating
3.086
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381BFZ2
1282624.34
PA
USD
127752.33
0.080690906678
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Floating
3.136
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381RBC2
1116992.39
PA
USD
113096.04
0.071433703083
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Floating
3.086
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381YD92
1424979.26
PA
USD
214271.17
0.135337922857
Long
ABS-MBS
USGA
US
N
2
2049-09-16
Floating
3.111
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382CYA3
3211735.72
PA
USD
353315.98
0.223161383985
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Floating
3.036
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382C5A5
880681.77
PA
USD
151489.63
0.095683856389
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382EMH7
1933954.56
PA
USD
165063.02
0.104257078856
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Floating
3.036
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382LKE0
2428435.22
PA
USD
373274.78
0.235767758117
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
3
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38377XUL4
1972.58
PA
USD
165.32
0.000104419393
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376WP82
218461.67
PA
USD
42057.13
0.026564117868
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378GHD3
313016
PA
USD
58909.61
0.037208478647
Long
ABS-MBS
USGA
US
N
2
2042-11-16
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376WM85
147595.35
PA
USD
30559.91
0.019302245571
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378FMA5
233571.18
PA
USD
50264.52
0.031748068255
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375CMY3
469967.18
PA
USD
82242.28
0.051945856021
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378JNF5
167069.22
PA
USD
18945.65
0.011966448488
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378FZA1
129527.17
PA
USD
15381.35
0.009715165879
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375AX25
1194480.2
PA
USD
254949.85
0.161031384351
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375AT87
216406.49
PA
USD
41117.23
0.025970458377
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378WY49
173071.16
PA
USD
13040.91
0.008236897533
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Floating
3.136
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375AXQ2
627269.08
PA
USD
131726.51
0.083201077628
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38377TWW7
694105.72
PA
USD
64391.49
0.040670942835
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Floating
3.036
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378YP78
781822.49
PA
USD
131447.27
0.083024704103
Long
ABS-MBS
USGA
US
N
2
2044-01-16
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38377X4D1
710623.2
PA
USD
102152.58
0.064521596590
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375ARB2
321543.03
PA
USD
59321.47
0.037468617596
Long
ABS-MBS
USGA
US
N
2
2039-12-16
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379BCP1
190741.91
PA
USD
16386.64
0.010350126992
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375CGV6
214731.63
PA
USD
22636.15
0.014297441520
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379JSA0
50567.58
PA
USD
151.7
0.000095816730
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379DHV9
69781.74
PA
USD
4154.11
0.002623818308
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378HVU7
519353.66
PA
USD
86630.74
0.054717694439
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376CM30
369150.18
PA
USD
53452.95
0.033761943912
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
6
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379LL46
797641.22
PA
USD
151791.12
0.095874283456
Long
ABS-MBS
USGA
US
N
2
2045-04-16
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UVZ0
1341970.5
PA
USD
49035.6
0.030971857997
Long
ABS-MBS
USGA
US
N
2
2065-03-20
Variable
1.505
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RAF3
1199406.67
PA
USD
59970.33
0.037878450448
Long
ABS-MBS
USGA
US
N
2
2065-04-20
Variable
1.652
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379MGK4
149599.68
PA
USD
28379.06
0.017924777435
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379LWF9
330425.1
PA
USD
24484.5
0.015464896058
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376REB8
1028676.58
PA
USD
45981.84
0.029043042584
Long
ABS-MBS
USGA
US
N
2
2065-07-20
Variable
2.115
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RBE5
1931583.64
PA
USD
87500.74
0.055267203703
Long
ABS-MBS
USGA
US
N
2
2065-05-20
Variable
1.696
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376REE2
1304054.47
PA
USD
23424.73
0.014795524296
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Variable
1.395
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375USW1
1137733.87
PA
USD
24020.98
0.015172127628
Long
ABS-MBS
USGA
US
N
2
2064-12-20
Variable
1.399
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RFF8
973745.96
PA
USD
42942.2
0.027123145643
Long
ABS-MBS
USGA
US
N
2
2065-08-20
Variable
1.664
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RBT2
2069267.58
PA
USD
97048.65
0.061297853123
Long
ABS-MBS
USGA
US
N
2
2065-05-20
Variable
1.655
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RDF0
1271240.35
PA
USD
64833.26
0.040949973533
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Variable
1.812
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375BFR8
1742562.21
PA
USD
55924.05
0.035322739708
Long
ABS-MBS
USGA
US
N
2
2060-08-20
Variable
1.255
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379N2B7
40023.23
PA
USD
4452.7
0.002812413677
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RBQ8
2478910.73
PA
USD
102379.01
0.064664614272
Long
ABS-MBS
USGA
US
N
2
2065-04-20
Variable
1.538
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RJD9
2012958.82
PA
USD
75888.55
0.047932714073
Long
ABS-MBS
USGA
US
N
2
2065-09-20
Variable
1.447
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RJH0
1446996.17
PA
USD
44712.18
0.028241100133
Long
ABS-MBS
USGA
US
N
2
2065-10-20
Variable
.081
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RKS4
1541022.32
PA
USD
58287.63
0.036815623737
Long
ABS-MBS
USGA
US
N
2
2065-08-20
Variable
1.41
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RPW0
4533148.03
PA
USD
103355.78
0.065281561586
Long
ABS-MBS
USGA
US
N
2
2066-01-20
Variable
.002
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379DJU9
611499.19
PA
USD
35955.54
0.022710232547
Long
ABS-MBS
USGA
US
N
2
2029-07-16
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379B6E3
281930.04
PA
USD
57610.06
0.036387657080
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RQP4
1864223.47
PA
USD
36998.42
0.023368936249
Long
ABS-MBS
USGA
US
N
2
2066-02-20
Variable
.043
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378DRC1
1710233.97
PA
USD
294416.78
0.185959480501
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UWZ9
2078082.32
PA
USD
79650.94
0.050309114256
Long
ABS-MBS
USGA
US
N
2
2066-01-20
Variable
2.087
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RWA0
2442087.85
PA
USD
85890.67
0.054250251542
Long
ABS-MBS
USGA
US
N
2
2066-06-20
Variable
1.51
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UHX1
3881348.32
PA
USD
159237.17
0.100577356391
Long
ABS-MBS
USGA
US
N
2
2064-05-20
Variable
1.313
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379Q6W0
602491.07
PA
USD
102001.74
0.064426323053
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UKB5
4013602.34
PA
USD
151963.01
0.095982852590
Long
ABS-MBS
USGA
US
N
2
2064-06-20
Variable
1.339
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RA63
4116629.27
PA
USD
137907.08
0.087104848284
Long
ABS-MBS
USGA
US
N
2
2066-10-20
Variable
1.178
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RG26
843204.49
PA
USD
40212.42
0.025398962426
Long
ABS-MBS
USGA
US
N
2
2066-11-20
Variable
.962
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RCL8
2503508.67
PA
USD
93678.94
0.059169477420
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Variable
1.672
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376MVG9
342338.73
PA
USD
69149
0.043675880557
Long
ABS-MBS
USGA
US
N
2
2047-03-16
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376R2Q8
2226011.81
PA
USD
77242.61
0.048787965238
Long
ABS-MBS
USGA
US
N
2
2067-03-20
Variable
2.02
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UZE3
2025047.35
PA
USD
93306.08
0.058933971645
Long
ABS-MBS
USGA
US
N
2
2067-03-20
Variable
1.755
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378U8K6
1952069.77
PA
USD
51803.05
0.032719834333
Long
ABS-MBS
USGA
US
N
2
2064-12-20
Variable
0
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UB25
2217334.45
PA
USD
68293.9
0.043135782428
Long
ABS-MBS
USGA
US
N
2
2067-04-20
Variable
1.695
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376UEA3
382649.86
PA
USD
27540.85
0.017395347366
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GNMA TBA
21H0306A7
4000000
PA
USD
3530898.4
2.230185494740
Long
ABS-MBS
USGA
US
N
2
2052-10-01
Fixed
3
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GNMA TBA
21H0406A6
2000000
PA
USD
1865765
1.178454197264
Long
ABS-MBS
USGA
US
N
2
2052-10-01
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GNMA TBA
21H0326A3
6000000
PA
USD
5450989.8
3.442953324269
Long
ABS-MBS
USGA
US
N
2
2052-10-01
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GNMA TBA
21H0426A2
4000000
PA
USD
3823774
2.415171535370
Long
ABS-MBS
USGA
US
N
2
2052-10-01
Fixed
4.5
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
267
NC
USD
54839297.14
34.637588275942
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
UNITED STATES OF AMERICA
US TREASURY N/B 04.2500 09/30/2024
2023-01-05
55683188.13
USD
843890.99
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
17
NC
USD
3491640.64
2.205389514514
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
UNITED STATES OF AMERICA
US TREASURY N/B 04.2500 09/30/2024
2023-01-05
3544803.87
USD
-53163.23
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
24
NC
USD
2843625
1.796089977407
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
UNITED STATES OF AMERICA
US TREASURY N/B 02.8750 05/15/2032
2022-01-30
3029038.38
USD
-185413.38
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
31
NC
USD
3918593.75
2.475061571024
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
UNITED STATES OF AMERICA
US TREASURY N/B 04.3750 02/15/2038
2022-01-30
4253608.79
USD
-335015.04
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
152
NC
USD
16341187.58
10.321418341504
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
UNITED STATES OF AMERICA
US TREASURY N/B 01.8750 02/28/2027
2023-01-05
16860506.07
USD
-519318.49
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
123
NC
USD
13783687.5
8.706050541283
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
UNITED STATES OF AMERICA
US TREASURY N/B 03.2500 06/30/2029
2022-01-30
14400839.25
USD
-617151.75
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
72
NC
USD
9864000
6.230298136055
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
UNITED STATES OF AMERICA
US TREASURY N/B 03.0000 02/15/2048
2022-01-30
10865412
USD
-1001412
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
49
NC
USD
5267882.84
3.327299334855
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
UNITED STATES OF AMERICA
US TREASURY N/B 01.8750 02/28/2027
2023-01-05
5435444.41
USD
167561.57
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
GOVT CMO
31397QLM8
54862.47
PA
USD
57137.94
0.036089456719
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Floating
6.732
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
GOVT CMO
31396WCU8
46721.31
PA
USD
73819.67
0.046625968411
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
12.892
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
GOVT CMO
31397PUB4
89835.37
PA
USD
140143.18
0.088517213416
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Floating
14.455
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
GOVT CMO
31396HU72
4483.29
PA
USD
3945.3
0.002491929768
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Floating
0
N
N
N
N
N
N
FREMF 2019-KF65 MORTGAGE TRUST
N/A
GOVT CMO
30298JAG1
172736.26
PA
USD
161664.21
0.102110323016
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
4.953
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
GOVT CMO
31394UN99
68191.82
PA
USD
92058.96
0.058146265906
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Floating
10.561
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
GOVT CMO
31395N7D3
50769.72
PA
USD
93923.98
0.059324249546
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
21.396
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
GOVT CMO
31394V2F6
71935.17
PA
USD
72859.54
0.046019531251
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
13.259
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
GOVT CMO
31396FLW1
63294.64
PA
USD
96207.85
0.060766787158
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Floating
13.465
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
GOVT CMO
31396EU46
120407.03
PA
USD
152916.93
0.096585367392
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Floating
11.407
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
GOVT CMO
31395V3D9
25108.46
PA
USD
27117.14
0.017127723722
Long
ABS-MBS
USGSE
US
N
2
2034-06-15
Floating
9.744
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
GOVT CMO
3137ABA84
97371.66
PA
USD
82771.85
0.052280342941
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
3.182
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
GOVT CMO
31395U2R1
14194.74
PA
USD
19162.9
0.012103667899
Long
ABS-MBS
USGSE
US
N
2
2035-05-15
Floating
14.088
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
7374600
NC
USD
110029.03
0.069496518706
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-09-06
27.65
USD
0
USD
7374600
USD
-93191.289999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2141000
NC
USD
29845.54
0.018851035303
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-01-15
11.88
USD
0
USD
2141000
USD
-29857.42
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4733400
NC
USD
199702.15
0.126135840725
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-13
62.48
USD
0
USD
4733400
USD
192831.32
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
219000
NC
USD
2424.33
0.001531254935
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2042-01-15
4.27
USD
0
USD
219000
USD
2420.06
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
802000
NC
USD
23907.62
0.015100527202
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-09-26
27.27
USD
0
USD
802000
USD
23623.39
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4170000
NC
USD
66094.5
0.041746597745
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-09-26
39.2
USD
0
USD
4170000
USD
-64473.26
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
824000
NC
USD
21292.16
0.013448550766
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-19
10.87
USD
0
USD
824000
USD
20459.85
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3035000
NC
USD
2458.35
0.001552742642
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-12-21
3105.78
USD
0
USD
3035000
USD
-647.43
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
40241000
NC
USD
20925.32
0.013216847343
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-12-21
0
USD
85033.04
USD
40241000
USD
105958.36
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1111000
NC
USD
13409.77
0.008469876828
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-12-21
0
USD
5259.34
USD
1111000
USD
-8150.43
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4132000
NC
USD
39171.36
0.024741408272
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-12-21
34478.47
USD
0
USD
4132000
USD
-73649.83
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
337000
NC
USD
2449.99
0.001547462300
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2057-02-13
11.46
USD
0
USD
337000
USD
-2461.45
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
10350000
NC
USD
192199.5
0.121397018106
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-23
136.62
USD
0
USD
10350000
USD
185269.649999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1666000
NC
USD
14077.7
0.008891754671
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-26
22
USD
0
USD
1666000
USD
-13440.02
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2101869
NC
USD
34197.41
0.021599762752
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-09-28
71.46
USD
0
USD
2101869
USD
33604.69
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1090500
NC
USD
850.59
0.000537249523
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-09-29
37.08
USD
0
USD
1090500
USD
628.28
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1090500
NC
USD
229
0.000144640944
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-09-29
37.08
USD
0
USD
1090500
USD
6.5
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
132000
NC
USD
283.8
0.000179253712
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-09-29
0.5
USD
0
USD
132000
USD
-315.99
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1325000
NC
USD
13276.5
0.008385700852
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-29
17.49
USD
0
USD
1325000
USD
-13564.19
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1560000
NC
USD
3931.2
0.002483023929
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-30
20.59
USD
0
USD
1560000
USD
4065.77
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2140500
NC
USD
12500.52
0.007895576486
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-09-30
17.23
USD
0
USD
2140500
USD
-12298.56
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2140500
NC
USD
12693.16
0.008017251732
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-09-30
17.23
USD
0
USD
2140500
USD
-12491.32
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2840000
NC
USD
4458.8
0.002816266558
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-09-30
10.65
USD
0
USD
2840000
USD
4357.78
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2010000
NC
USD
11336.4
0.007160295194
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-30
26.53
USD
0
USD
2010000
USD
11281.81
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
716000
NC
USD
3408.16
0.002152661486
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-30
9.46
USD
0
USD
716000
USD
3388.5
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
175000
NC
USD
171.5
0.000108322803
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-10-03
0.65
USD
0
USD
175000
USD
-172.15
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1327000
NC
USD
5135.49
0.003243677390
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-10-03
17.51
USD
0
USD
1327000
USD
-5153
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
99JF589S7
5165700
NC
USD
987165.27
0.623513173323
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-01
0
USD
216374.65
USD
5165700
USD
-777549.68
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3832000
NC
USD
414584.08
0.261859531718
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2026-12-23
615.43
USD
0
USD
3832000
USD
-382951.11999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
13584000
NC
USD
2417001.12
1.526625869098
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2031-12-23
3534.07
USD
0
USD
13584000
USD
-2284936.76999999998
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
10320000
NC
USD
3170097.6
2.002296549918
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2051-12-23
18375.59
USD
0
USD
10320000
USD
-3073169.04000000001
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
16699000
NC
USD
715218.17
0.451745988587
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2023-12-23
0
USD
806.79
USD
16699000
USD
626509.68999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5436000
NC
USD
232715.16
0.146987512934
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2023-12-24
553.14
USD
0
USD
5436000
USD
203042.17999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5260000
NC
USD
567080.6
0.358179359811
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2026-12-24
704.09
USD
0
USD
5260000
USD
521817.159999999993
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
17192000
NC
USD
3059488.32
1.932433533797
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2031-12-24
7674.77
USD
0
USD
17192000
USD
2880813.03000000003
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1625000
NC
USD
499768.75
0.315663859650
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2051-12-24
878.2
USD
0
USD
1625000
USD
480824.799999999998
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
499000
NC
USD
145074.27
0.091631787710
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2051-12-31
81.33
USD
0
USD
499000
USD
139242.76
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1195000
NC
USD
127470.65
0.080512992001
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2026-12-31
158.53
USD
0
USD
1195000
USD
-117405.869999999998
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
290200
NC
USD
14370.7
0.009076819285
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2047-01-15
6.46
USD
0
USD
290200
USD
14364.24
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1514000
NC
USD
396819.4
0.250639007317
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-01-21
51.62
USD
0
USD
1514000
USD
379029.549999999996
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1314000
NC
USD
357394.86
0.225737685533
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-01-19
44.8
USD
0
USD
1314000
USD
-342415.459999999998
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4174000
NC
USD
1113247.54
0.703149236966
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-02-01
142.33
USD
0
USD
4174000
USD
1067030.75
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
860600
NC
USD
53107.63
0.033543832948
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2057-02-13
29.35
USD
0
USD
860600
USD
53078.28
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4273600
NC
USD
975577.41
0.616194051004
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-02-24
145.73
USD
0
USD
4273600
USD
-927724.089999999982
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3354000
NC
USD
128223.42
0.080988456470
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-02-29
12.71
USD
0
USD
3354000
USD
-98928.719999999995
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
51000
NC
USD
12578.13
0.007944596502
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-02-29
1.75
USD
0
USD
51000
USD
-12047.46
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1700000
NC
USD
244290
0.154298411563
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-02-29
22.61
USD
0
USD
1700000
USD
-226687.149999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3255000
NC
USD
286667.85
0.181065102547
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-02-28
26.33
USD
0
USD
3255000
USD
254351.889999999994
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1072400
NC
USD
159830.5
0.100952115393
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-03-07
14.22
USD
0
USD
1072400
USD
-160693.61
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2443000
NC
USD
391075.44
0.247011008200
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-03-09
32.4
USD
0
USD
2443000
USD
369613.77
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2533000
NC
USD
406698.48
0.256878830280
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-03-09
33.59
USD
0
USD
2533000
USD
384533.169999999998
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1335000
NC
USD
193748.55
0.122375428825
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-03-11
17.7
USD
0
USD
1335000
USD
180701.930000000001
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4800000
NC
USD
128544
0.081190941160
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-04-07
18.1
USD
0
USD
4800000
USD
71106.619999999986
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1910000
NC
USD
109385.7
0.069090178713
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-04-07
15.45
USD
0
USD
1910000
USD
-86412.199999999994
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
482000
NC
USD
47501.1
0.030002637347
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-04-07
6.39
USD
0
USD
482000
USD
42012.06
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
419000
NC
USD
76723.09
0.048459826097
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-04-07
14.28
USD
0
USD
419000
USD
-72445.15
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
7267000
NC
USD
201659.25
0.127371983921
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-04-14
27.4
USD
0
USD
7267000
USD
119706.95
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1330000
NC
USD
183766.1
0.116070315318
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-04-14
45.35
USD
0
USD
1330000
USD
-169228.980000000001
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
496000
NC
USD
42358.4
0.026754405978
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-04-14
6.58
USD
0
USD
496000
USD
-36558.98
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
164000
NC
USD
9295.52
0.005871234887
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-04-14
1.33
USD
0
USD
164000
USD
7384.93
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
8507100
NC
USD
414040.56
0.261516233700
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-05-02
80.31
USD
0
USD
8507100
USD
-318388.32
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
12392500
NC
USD
329640.5
0.208207481014
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-05-25
46.72
USD
0
USD
12392500
USD
215416.05
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
968000
NC
USD
104060
0.065726360912
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-05-25
33.01
USD
0
USD
968000
USD
-95498.649999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
413700
NC
USD
22153.64
0.013992678629
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2057-05-28
14.11
USD
0
USD
413700
USD
22139.53
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3285000
NC
USD
213853.5
0.135074114197
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-06-07
43.56
USD
0
USD
3285000
USD
-184993.429999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
664000
NC
USD
56174.4
0.035480865735
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-06-07
22.64
USD
0
USD
664000
USD
-50642.54
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
9738800
NC
USD
580042.93
0.366366624656
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-06-08
129.13
USD
0
USD
9738800
USD
-493099.07999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1694800
NC
USD
332689.24
0.210133125695
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-06-22
212720.51
USD
0
USD
1694800
USD
110757.03
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5520000
NC
USD
244591.2
0.154488655460
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-06-10
44.66
USD
0
USD
5520000
USD
196449.149999999997
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
6617000
NC
USD
153646.74
0.097046329870
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-06-10
24.95
USD
0
USD
6617000
USD
-95382.320000000003
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
27978500
NC
USD
423874.28
0.267727406387
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2024-06-15
105.48
USD
0
USD
27978500
USD
-146096.08000000002
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
14788500
NC
USD
414965.31
0.262100324150
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-06-15
119.63
USD
0
USD
14788500
USD
274775.71
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2972500
NC
USD
168956.9
0.106716530732
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-02-03
42.1
USD
0
USD
2972500
USD
168914.8
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
361000
NC
USD
33544.12
0.021187131824
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-07-08
12.31
USD
0
USD
361000
USD
-31390.42
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5960000
NC
USD
406293.2
0.256622847390
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-07-15
79.03
USD
0
USD
5960000
USD
-371705.999999999997
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3424700
NC
USD
313086.07
0.197751374528
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-08-22
116.79
USD
0
USD
3424700
USD
303428
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2240200
NC
USD
182419.49
0.115219769721
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-01-31
31.72
USD
0
USD
2240200
USD
182387.77
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2240200
NC
USD
181478.6
0.114625484926
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-01-31
31.72
USD
0
USD
2240200
USD
181446.88
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2109900
NC
USD
180417.55
0.113955304691
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-02-01
29.88
USD
0
USD
2109900
USD
180387.67
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
7145000
NC
USD
661627
0.417896742180
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-08-02
94.74
USD
0
USD
7145000
USD
-633409.959999999996
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2063100
NC
USD
191270
0.120809927462
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-02-01
29.21
USD
0
USD
2063100
USD
191240.79
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
404600
NC
USD
12886.51
0.008139375429
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2042-04-01
7.92
USD
0
USD
404600
USD
-12894.43
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
650000
NC
USD
46949.5
0.029654235841
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2035-03-24
9.79
USD
0
USD
650000
USD
-46959.29
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
610500
NC
USD
63589.68
0.040164503728
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2042-08-10
18.01
USD
0
USD
610500
USD
61290.1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
99NV599V8
1034800
NC
USD
113683.13
0.071804520777
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2042-08-10
2307.09
USD
0
USD
1034800
USD
-112182.45
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
424400
NC
USD
47443.68
0.029966369736
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2042-08-10
12.52
USD
0
USD
424400
USD
45877.87
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5095000
NC
USD
250724.95
0.158362853675
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2029-02-06
47.89
USD
0
USD
5095000
USD
250677.06
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3427000
NC
USD
265695.31
0.167818430115
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-08-16
45.23
USD
0
USD
3427000
USD
-254583.789999999999
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
430100
NC
USD
3776.28
0.002385173383
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2047-01-15
9.55
USD
0
USD
430100
USD
3766.73
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
220000
NC
USD
12929.4
0.008166465604
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-08-25
2.9
USD
0
USD
220000
USD
-12308.12
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
748000
NC
USD
31640.4
0.019984704496
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2035-02-21
11.22
USD
0
USD
748000
USD
31629.18
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
49000
NC
USD
8967
0.005663735136
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
0
USD
2043.63
USD
49000
USD
-6898.87
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
11595.77
NC
USD
4350.73
0.002748007402
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2057-10-17
4206.27
USD
0
USD
11595.77
USD
134.8
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
2000
NC
USD
397.4
0.000251005726
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
90.34
USD
2000
USD
-306.06
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
187000
NC
USD
62233.6
0.039307976691
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
45085.96
USD
0
USD
187000
USD
16991.81
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
165000
NC
USD
54912
0.034683508845
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
38750.47
USD
0
USD
165000
USD
16024.03
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
109000
NC
USD
35566.7
0.022464633487
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2058-09-17
0
USD
22260.26
USD
109000
USD
-13215.61
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
35000
NC
USD
6954.5
0.004392600201
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
1764.9
USD
0
USD
35000
USD
5172.1
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
226000
NC
USD
42036
0.026550771740
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
19571.87
USD
0
USD
226000
USD
22351.13
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
106000
NC
USD
35276.8
0.022281526894
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2059-11-17
23982.5
USD
0
USD
106000
USD
11205.97
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
35000
NC
USD
6954.5
0.004392600201
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
1782.21
USD
0
USD
35000
USD
5154.79
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
6000
NC
USD
1957.8
0.001236585330
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2058-09-17
0
USD
1221.59
USD
6000
USD
-731.21
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
102000
NC
USD
17646
0.011145563758
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2057-10-17
12973.13
USD
0
USD
102000
USD
4621.87
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
85000
NC
USD
14705
0.009287969798
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2057-10-17
10784.38
USD
0
USD
85000
USD
3878.12
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
63776.67
NC
USD
23929.01
0.015114037551
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
22740.37
USD
0
USD
63776.67
USD
1135.49
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
42000
NC
USD
7266
0.004589349783
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
5591.25
USD
0
USD
42000
USD
1653.75
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
19000
NC
USD
3775.3
0.002384554395
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
1040.3
USD
0
USD
19000
USD
2725.5
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
121000
NC
USD
10514.9
0.006641419492
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
1011.03
USD
0
USD
121000
USD
-11485.6
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
43000
NC
USD
7869
0.004970216548
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2061-08-17
2381.09
USD
0
USD
43000
USD
5466.41
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
98697.54
NC
USD
10067.15
0.006358611707
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
15160.31
USD
0
USD
98697.54
USD
-5126.08
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
2000
NC
USD
182.8
0.000115460107
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
26.65
USD
0
USD
2000
USD
-208.78
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
157161.69
NC
USD
16030.49
0.010125175585
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
20937.5
USD
0
USD
157161.69
USD
-4959.43
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
80000
NC
USD
7312
0.004618404296
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
1246.51
USD
0
USD
80000
USD
-8531.84
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
163000
NC
USD
14898.2
0.009409998752
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
2539.76
USD
0
USD
163000
USD
-17383.63
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
31000
NC
USD
2833.4
0.001789631665
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
459.83
USD
0
USD
31000
USD
-3282.9
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
11000
NC
USD
2246.2
0.001418744492
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
617.03
USD
11000
USD
-1623.67
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
11000
NC
USD
2246.2
0.001418744492
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
669.01
USD
11000
USD
-1571.69
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
91000
NC
USD
8317.4
0.005253434886
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2072-12-16
602.3
USD
0
USD
91000
USD
-8889.37
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
156000
NC
USD
26988
0.017046156336
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2057-10-17
21255
USD
0
USD
156000
USD
5655
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
156000
NC
USD
26988
0.017046156336
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2057-10-17
21157.5
USD
0
USD
156000
USD
5752.5
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
79000
NC
USD
16700.6
0.010548430358
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2064-11-18
0
USD
7302.15
USD
79000
USD
-9358.95
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
179000
NC
USD
43944.5
0.027756218212
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
0
USD
19625.61
USD
179000
USD
-24169.72
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
118000
NC
USD
20414
0.012893887485
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
16372.5
USD
0
USD
118000
USD
3982.5
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
59000
NC
USD
10974
0.006931396162
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
0
USD
7320.81
USD
59000
USD
-3623.69
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
59000
NC
USD
10207
0.006446943742
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
8186.25
USD
0
USD
59000
USD
1991.25
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
84000
NC
USD
7677.6
0.004849324510
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
1073.81
USD
84000
USD
-6575.79
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
71000
NC
USD
15009.4
0.009480234879
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2064-11-18
0
USD
7416.29
USD
71000
USD
-7557.61
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
1669057.12
NC
USD
170243.83
0.107529381257
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2063-05-11
0
USD
207482.92
USD
1669057.12
USD
37795.79
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
229000
NC
USD
42594
0.026903215613
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2059-11-17
28875.43
USD
0
USD
229000
USD
13604.07
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
44000
NC
USD
7189.6
0.004541094027
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2054-11-18
4846.17
USD
0
USD
44000
USD
2321.43
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
20000
NC
USD
3660
0.002311728627
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2061-08-17
2402.92
USD
0
USD
20000
USD
1247.08
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
223000
NC
USD
20382.2
0.012873801974
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
6264.71
USD
223000
USD
-14043.16
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
83000
NC
USD
27622.4
0.017446855964
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
25211.25
USD
0
USD
83000
USD
2341.98
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
24000
NC
USD
5073.6
0.003204586438
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2064-11-18
0
USD
4078.04
USD
24000
USD
-983.56
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
14000
NC
USD
2858.8
0.001805674809
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
2279.66
USD
0
USD
14000
USD
572.14
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
356442.71
NC
USD
36357.16
0.022963903708
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
45647.89
USD
0
USD
356442.71
USD
-9409.62
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
363357.82
NC
USD
37062.5
0.023409410449
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
47451.9
USD
0
USD
363357.82
USD
-10510.6
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
62000
NC
USD
12660.4
0.007996559866
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
12331.9
USD
0
USD
62000
USD
297.5
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
8500
NC
USD
1735.7
0.001096302562
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
1634.07
USD
0
USD
8500
USD
97.38
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
152000
NC
USD
26296
0.016609075404
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
22800
USD
0
USD
152000
USD
3420
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
906880.22
NC
USD
203775.99
0.128708958908
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
236585.29
USD
0
USD
906880.22
USD
-33272.28
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
58000
NC
USD
10034
0.006337673509
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2057-10-17
0
USD
9044.37
USD
58000
USD
-960.63
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
65000
NC
USD
10621
0.006708434358
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2054-11-18
20804.62
USD
0
USD
65000
USD
-10216.12
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
53000
NC
USD
8660.2
0.005469954168
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2054-11-18
16963.76
USD
0
USD
53000
USD
-8330.06
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
146000
NC
USD
26718
0.016875618978
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
50748.61
USD
0
USD
146000
USD
-24103.61
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
60000
NC
USD
9804
0.006192400945
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2054-11-18
18989.77
USD
0
USD
60000
USD
-9215.77
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
45000
NC
USD
8235
0.005201389411
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2061-08-17
14955.17
USD
0
USD
45000
USD
-6742.67
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
67000
NC
USD
12261
0.007744290901
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
23551.01
USD
0
USD
67000
USD
-11323.51
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
8000
NC
USD
1307.2
0.000825653459
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
2564.28
USD
0
USD
8000
USD
-1261.08
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
89000
NC
USD
16287
0.010287192391
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
29727.49
USD
0
USD
89000
USD
-13484.99
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
33318.28
NC
USD
3398.46
0.002146534773
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
5763.75
USD
33318.28
USD
2376.4
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
72000
NC
USD
13176
0.008322223058
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
13698.14
USD
0
USD
72000
USD
-558.14
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
31000
NC
USD
5673
0.003583179372
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
5250.57
USD
0
USD
31000
USD
406.93
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
47000
NC
USD
7679.8
0.004850714074
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
6752
USD
0
USD
47000
USD
904.3
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
78000
NC
USD
14508
0.009163540689
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2059-11-17
16900.32
USD
0
USD
78000
USD
-2431.32
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
17000
NC
USD
3111
0.001964969333
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
3466.16
USD
0
USD
17000
USD
-363.66
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
32000
NC
USD
5856
0.003698765803
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2061-08-17
6677.56
USD
0
USD
32000
USD
-837.56
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
49000
NC
USD
8967
0.005663735136
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
11056.38
USD
0
USD
49000
USD
-2113.88
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
7000
NC
USD
1390.9
0.000878520040
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
1421.82
USD
7000
USD
34.42
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
50000
NC
USD
9300
0.005874064544
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
12303.36
USD
0
USD
50000
USD
-3028.36
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
228000
NC
USD
41724
0.026353706349
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2061-08-17
53096.35
USD
0
USD
228000
USD
-11486.35
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
171000
NC
USD
31806
0.020089300742
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
41688.4
USD
0
USD
171000
USD
-9967.9
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
36000
NC
USD
6696
0.004229326472
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
8588.68
USD
0
USD
36000
USD
-1910.68
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
63000
NC
USD
12518.1
0.007906680363
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
11844.31
USD
63000
USD
-642.29
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
38000
NC
USD
7068
0.004464289054
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
8987.45
USD
0
USD
38000
USD
-1938.45
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
73000
NC
USD
13578
0.008576134235
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
16945.48
USD
0
USD
73000
USD
-3403.98
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
19000
NC
USD
3534
0.002232144527
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
4362.3
USD
0
USD
19000
USD
-837.8
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
29000
NC
USD
5394
0.003406957436
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
6311.38
USD
0
USD
29000
USD
-931.88
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
21000
NC
USD
3906
0.002467107109
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
4584.09
USD
0
USD
21000
USD
-688.59
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
44000
NC
USD
8184
0.005169176799
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
9604.76
USD
0
USD
44000
USD
-1442.76
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
25000
NC
USD
4650
0.002937032272
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2059-11-17
5468.06
USD
0
USD
25000
USD
-830.56
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
22000
NC
USD
4026
0.002542901490
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2061-08-17
4288.98
USD
0
USD
22000
USD
-273.98
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
28000
NC
USD
2433.2
0.001536857403
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2072-12-16
0
USD
2257.15
USD
28000
USD
-166.72
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
12000
NC
USD
2232
0.001409775491
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
2601.88
USD
0
USD
12000
USD
-375.88
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
11000
NC
USD
2046
0.001292294200
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
2378.68
USD
0
USD
11000
USD
-338.18
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
69000
NC
USD
12834
0.008106209071
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
12016.3
USD
0
USD
69000
USD
783.2
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
17000
NC
USD
3377.9
0.002133548669
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
1561.65
USD
17000
USD
-1807.75
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
76000
NC
USD
14136
0.008928578107
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
11987.22
USD
0
USD
76000
USD
2110.78
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
29000
NC
USD
5394
0.003406957436
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2059-11-17
4522.14
USD
0
USD
29000
USD
857.36
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
199000
NC
USD
36417
0.023001699840
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
13699.87
USD
0
USD
199000
USD
22617.63
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
16000
NC
USD
2928
0.001849382902
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
1091.9
USD
0
USD
16000
USD
1828.1
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
133000
NC
USD
21732.2
0.013726488762
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
0
USD
8330.69
USD
133000
USD
-13335.01
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
133000
NC
USD
23009
0.014532940979
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
20814.9
USD
0
USD
133000
USD
2127.6
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
1000
NC
USD
163.4
0.000103206682
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2054-11-18
0
USD
63.51
USD
1000
USD
-99.39
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
20000
NC
USD
4084
0.002579535441
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
0
USD
918.65
USD
20000
USD
-3155.35
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
42500
NC
USD
8678.5
0.005481512812
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
0
USD
1888.71
USD
42500
USD
-6768.54
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
24000
NC
USD
6523.2
0.004120182563
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
2300.51
USD
24000
USD
-4202.69
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
72000
NC
USD
13392
0.008458652944
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
8883.75
USD
0
USD
72000
USD
4472.25
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
92000
NC
USD
25005.6
0.015794033158
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
8851.99
USD
92000
USD
-16076.94
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
100000
NC
USD
17300
0.010927023292
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
15869.05
USD
0
USD
100000
USD
1380.95
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
100000
NC
USD
17300
0.010927023292
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
15806.55
USD
0
USD
100000
USD
1443.45
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
177000
NC
USD
32922
0.020794188487
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
22448.18
USD
0
USD
177000
USD
10385.32
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
157000
NC
USD
29202
0.018444562669
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
19911.66
USD
0
USD
157000
USD
9211.84
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
113000
NC
USD
30713.4
0.019399192901
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
10437.64
USD
113000
USD
-20181.59
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
84000
NC
USD
15624
0.009868428434
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
10708.04
USD
0
USD
84000
USD
4873.96
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
121000
NC
USD
32887.8
0.020772587088
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
0
USD
12096.91
USD
121000
USD
-20690.06
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
289000
NC
USD
49997
0.031579097314
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
45156.25
USD
0
USD
289000
USD
4696.25
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
119000
NC
USD
21777
0.013754785331
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2061-08-17
0
USD
7012.82
USD
119000
USD
-14704.68
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
289000
NC
USD
52887
0.033404478662
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
0
USD
17031.12
USD
289000
USD
-35711.38
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
102000
NC
USD
18972
0.011983091670
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
0
USD
11127.46
USD
102000
USD
-7793.54
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
173046.82
NC
USD
38883.62
0.024559665978
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
65672.5
USD
0
USD
173046.82
USD
-26877.22
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
141000
NC
USD
46924.8
0.029638634831
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
35955
USD
0
USD
141000
USD
10852.3
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
57000
NC
USD
10431
0.006588426587
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2061-08-17
2349.96
USD
0
USD
57000
USD
8052.54
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
19000
NC
USD
3287
0.002076134426
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2057-10-17
2719.38
USD
0
USD
19000
USD
558.12
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
63000
NC
USD
10899
0.006884024674
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
9016.88
USD
0
USD
63000
USD
1850.62
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
194000
NC
USD
35502
0.022423767683
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2061-08-17
0
USD
8329.45
USD
194000
USD
-27075.55
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Mortgage Backed Swap Basket Index
N/A
76111.88
NC
USD
17102.34
0.010802177314
N/A
DCR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Y
2063-05-11
0
USD
6387.9
USD
76111.88
USD
-10675.58
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Mortgage Backed Swap Basket Index
N/A
34465.76
NC
USD
7744.46
0.004891554613
N/A
DCR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Y
2063-05-11
0
USD
3280.95
USD
34465.76
USD
-4445.91
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Mortgage Backed Swap Basket Index
N/A
94062.79
NC
USD
21135.91
0.013349860166
N/A
DCR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Y
2063-05-11
0
USD
7466.99
USD
94062.79
USD
-13620.9
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
45000
NC
USD
15003
0.009476192512
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
6809.74
USD
0
USD
45000
USD
8155.76
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
349683.82
NC
USD
78573.95
0.049628866000
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
23561.37
USD
349683.82
USD
-54834.06
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
6000
NC
USD
1216.2
0.000768176054
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
0
USD
418.2
USD
6000
USD
-795
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
254000
NC
USD
51485.8
0.032519452937
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
0
USD
18774.37
USD
254000
USD
-32584.43
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
153000
NC
USD
31013.1
0.019588489368
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
0
USD
11308.98
USD
153000
USD
-19627.62
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
101000
NC
USD
20472.7
0.012930963570
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
0
USD
7954.71
USD
101000
USD
-12467.49
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
75393.84
NC
USD
16941
0.010700271768
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
5118.77
USD
75393.84
USD
-11783.74
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
7000
NC
USD
387.8
0.000244942175
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
0
USD
275
USD
7000
USD
-110.47
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
55000
NC
USD
11148.5
0.007041613825
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
0
USD
4347.43
USD
55000
USD
-6773.57
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
48826.49
NC
USD
10971.31
0.006929697105
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
5380.7
USD
48826.49
USD
-5565.68
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
152941.8
NC
USD
34366.02
0.021706260173
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
18392.78
USD
152941.8
USD
-15895.16
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
43082.2
NC
USD
9680.57
0.006114440108
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
5063.25
USD
43082.2
USD
-4595.33
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
64623.29
NC
USD
14520.85
0.009171657004
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
7594.88
USD
64623.29
USD
-6892.98
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
128000
NC
USD
42675.2
0.026954503144
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
25990.35
USD
0
USD
128000
USD
16578.18
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
171610.75
NC
USD
38560.94
0.024355854887
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
33181.83
USD
171610.75
USD
-5291.5
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
102000
NC
USD
34006.8
0.021479369693
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
16712.04
USD
0
USD
102000
USD
17209.76
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
171000
NC
USD
34661.7
0.021893017529
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
0
USD
13901.92
USD
171000
USD
-20674.28
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
466000
NC
USD
155364.4
0.098131238010
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
76650.88
USD
0
USD
466000
USD
78325.19
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
40233.39
NC
USD
4103.81
0.002592047830
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
1949.96
USD
40233.39
USD
-2140.43
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
30175.04
NC
USD
3077.85
0.001944031135
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
2472.55
USD
30175.04
USD
-595.24
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
298000
NC
USD
99353.2
0.062753452633
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
54970.67
USD
0
USD
298000
USD
44134.2
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
219000
NC
USD
44391.3
0.028038425958
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2047-01-17
22313.92
USD
0
USD
219000
USD
21967.88
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
118000
NC
USD
39341.2
0.024848682586
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2047-01-17
20470.73
USD
0
USD
118000
USD
18772.14
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
146000
NC
USD
29594.2
0.018692283972
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2047-01-17
11964.36
USD
0
USD
146000
USD
17556.84
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
13000
NC
USD
720.2
0.000454892611
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2047-01-17
12.58
USD
0
USD
13000
USD
-728.45
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
2000
NC
USD
652.6
0.000412195110
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2058-09-17
319.46
USD
0
USD
2000
USD
331.47
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
718.04
NC
USD
161.34
0.000101905546
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
105.23
USD
718.04
USD
-55.74
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
20000
NC
USD
1108
0.000699834787
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2047-01-17
148.28
USD
0
USD
20000
USD
953.05
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
157000
NC
USD
52249.6
0.033001884174
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2059-11-17
20947.53
USD
0
USD
157000
USD
31171.24
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
124000
NC
USD
41341.6
0.026112174921
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
0
USD
16586.32
USD
124000
USD
-24651.95
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
83000
NC
USD
27622.4
0.017446855964
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2059-11-17
10316.82
USD
0
USD
83000
USD
17236.41
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
157000
NC
USD
52249.6
0.033001884174
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2059-11-17
18670.02
USD
0
USD
157000
USD
33448.75
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
62000
NC
USD
20633.6
0.013032591202
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
6798.2
USD
0
USD
62000
USD
13783.73
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
76000
NC
USD
25292.8
0.015975434377
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
7931.59
USD
0
USD
76000
USD
17297.88
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
76000
NC
USD
25292.8
0.015975434377
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
7970.63
USD
0
USD
76000
USD
17258.84
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
20513.94
NC
USD
8230.19
0.005198351320
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2063-05-11
0
USD
5518.13
USD
20513.94
USD
-2694.7
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
22000
NC
USD
7178.6
0.004534146208
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2058-09-17
2295.87
USD
0
USD
22000
USD
4864.4
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
1001434.27
NC
USD
102146.3
0.064517630018
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2063-05-11
1759.14
USD
0
USD
1001434.27
USD
-103571.42
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
36000
NC
USD
11746.8
0.007419511977
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
3165.06
USD
0
USD
36000
USD
8551.74
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
72000
NC
USD
23961.6
0.015134622041
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2059-11-17
0
USD
5777.15
USD
72000
USD
-18124.45
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
36719.9
NC
USD
13777.31
0.008702022386
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
4718.22
USD
0
USD
36719.9
USD
9028.49
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
127000
NC
USD
28244.8
0.017839976155
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
9170.39
USD
0
USD
127000
USD
18968.58
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
9000
NC
USD
2936.7
0.001854877994
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2058-09-17
580.67
USD
0
USD
9000
USD
2348.53
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
10000
NC
USD
3263
0.002060975549
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
615.06
USD
0
USD
10000
USD
2639.61
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
10000
NC
USD
3263
0.002060975549
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
607.97
USD
0
USD
10000
USD
2646.7
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
7000
NC
USD
2284.1
0.001442682884
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
430.87
USD
0
USD
7000
USD
1847.4
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
9000
NC
USD
2001.6
0.001264250279
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
618.71
USD
0
USD
9000
USD
1375.39
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
18000
NC
USD
4003.2
0.002528500557
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
933.74
USD
0
USD
18000
USD
3054.46
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
31593.61
NC
USD
7099.08
0.004483919798
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
2201.26
USD
0
USD
31593.61
USD
4881.69
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
14000
NC
USD
4568.2
0.002885365769
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2058-09-17
564.39
USD
0
USD
14000
USD
3992.14
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
151000
NC
USD
50252.8
0.031740665670
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2059-11-17
8591.84
USD
0
USD
151000
USD
41535.13
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
5000
NC
USD
1631.5
0.001030487775
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
200.99
USD
0
USD
5000
USD
1426.34
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
106368.6
NC
USD
42675.08
0.026954427350
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
20083.16
USD
106368.6
USD
-22501.89
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
687000
NC
USD
229045.8
0.144669872345
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2047-01-17
0
USD
35060.09
USD
687000
USD
-193413.21
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
348000
NC
USD
70539.6
0.044554211111
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2047-01-17
81697.47
USD
0
USD
348000
USD
-11331.87
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
247000
NC
USD
82349.8
0.052013767786
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2047-01-17
0
USD
120944.85
USD
247000
USD
38800.88
N
N
N
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
126882.55
NC
USD
50905.28
0.032152784986
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES
ZBUT11V806EZRVTWT807
Y
2063-05-11
85971.43
USD
0
USD
126882.55
USD
-35173.54
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
154000
NC
USD
34249.6
0.021632726991
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
0
USD
87010
USD
154000
USD
52888.73
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
5029.17
NC
USD
512.98
0.000324008347
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
1175
USD
5029.17
USD
663.7
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
7543.76
NC
USD
769.46
0.000486006205
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
1740
USD
7543.76
USD
973.06
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
113000
NC
USD
21018
0.013275385870
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
33665.38
USD
0
USD
113000
USD
-12703.88
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
PERPETUAL BONDS
316773CM0
62000
PA
USD
55814.96
0.035253836299
Long
DBT
CORP
US
N
2
2023-06-30
Variable
5.1
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC/THE
784F5XWPLTWKTBV3E584
PERPETUAL BONDS
38144GAG6
220000
PA
USD
169070
0.106787966937
Long
DBT
CORP
US
N
2
2051-07-28
Variable
3.65
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
PERPETUAL BONDS
060505EL4
40000
PA
USD
39248.16
0.024789916676
Long
DBT
CORP
US
N
2
2024-10-23
Variable
6.5
N
N
N
N
N
N
WELLS FARGO AND CO
PBLD0EJDB5FWOLXP3B76
PERPETUAL BONDS
949746RN3
115000
PA
USD
109537.5
0.069186058605
Long
DBT
CORP
US
N
2
2025-06-15
Variable
5.875
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
PERPETUAL BONDS
060505EN0
245000
PA
USD
234587.5
0.148170120032
Long
DBT
CORP
US
N
2
2025-03-17
Variable
6.1
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
PERPETUAL BONDS
H4209UAN6
247000
PA
USD
230409.45
0.145531180745
Long
DBT
CORP
CH
N
2
2049-12-29
Variable
6.875
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
PERPETUAL BONDS
369604BQ5
208000
PA
USD
194518.16
0.122861529773
Long
DBT
CORP
US
N
2
2049-12-29
Variable
6.623
N
N
N
N
N
N
AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD/UNITED KINGDOM
JHE42UYNWWTJB8YTTU19
PERPETUAL BONDS
05254HAA2
200000
PA
USD
191010
0.120645706302
Long
DBT
CORP
GB
N
2
2026-06-15
Variable
6.75
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
PERPETUAL BONDS
29273VAJ9
125000
PA
USD
91249.78
0.057635171761
Long
DBT
CORP
US
N
2
2028-02-15
Variable
6.625
N
N
N
N
N
N
JPMORGAN CHASE AND CO
8I5DZWZKVSZI1NUHU748
PERPETUAL BONDS
48126HAC4
87000
PA
USD
83520
0.052752889327
Long
DBT
CORP
US
N
2
2024-10-01
Variable
6.1
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
PERPETUAL BONDS
060505FP4
200000
PA
USD
186889.51
0.118043123054
Long
DBT
CORP
US
N
2
2024-06-20
Variable
5.125
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
PERPETUAL BONDS
89832QAD1
185000
PA
USD
164713.95
0.104036599317
Long
DBT
CORP
US
N
2
2024-09-01
Variable
4.8
N
N
N
N
N
N
JPMORGAN CHASE AND CO
8I5DZWZKVSZI1NUHU748
PERPETUAL BONDS
48128BAG6
467000
PA
USD
406803.7
0.256945289320
Long
DBT
CORP
US
N
2
2025-02-01
Variable
4.6
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
PERPETUAL BONDS
83370RAA6
463000
PA
USD
317293.9
0.200409123454
Long
DBT
CORP
FR
N
2
2050-11-18
Variable
5.375
N
N
N
N
N
N
WELLS FARGO AND CO
PBLD0EJDB5FWOLXP3B76
PERPETUAL BONDS
949746TD3
90000
PA
USD
76106.25
0.048070217713
Long
DBT
CORP
US
N
2
2026-03-15
Variable
3.9
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
PERPETUAL BONDS
902613AD0
580000
PA
USD
378625.16
0.239147164295
Long
DBT
CORP
CH
N
2
2031-02-10
Variable
4.375
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
PERPETUAL BONDS
172967MV0
360000
PA
USD
297450
0.187875322442
Long
DBT
CORP
US
N
2
2051-02-18
Variable
3.875
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
PERPETUAL BONDS
05565ASK0
200000
PA
USD
128039.02
0.080871985771
Long
DBT
CORP
FR
N
2
2031-02-25
Variable
4.625
N
N
N
N
N
N
JPMORGAN CHASE AND CO
8I5DZWZKVSZI1NUHU748
PERPETUAL BONDS
48128BAN1
87000
PA
USD
70453.61
0.044499898121
Long
DBT
CORP
US
N
2
2026-06-01
Variable
3.65
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
PERPETUAL BONDS
22546DAB2
225000
PA
USD
206718.75
0.130567664519
Long
DBT
CORP
CH
N
2
2023-12-11
Variable
7.5
N
N
N
N
N
N
PUTNAM SHORT TERM INVESTMENT FUND
5493003MK0Q7JP8CPP42
SHORT TERM INV FUND
74676P664
22199698
NS
USD
22199698
14.021769775991
Long
STIV
PF
US
N
2
N
N
N
State Street Institutional U.S. Government Money Market Fund, Premier Class
N/A
SHORT TERM INV FUND
N/A
923000
NS
USD
923000
0.582985115529
Long
STIV
RF
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
2075200
NC
USD
132314.75
0.083572621685
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2032-11-10
0
USD
0
USD
2075200
USD
1
2.544
USD
2022-11-08
XXXX
132314.75
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
2075200
NC
USD
-41711.52
-0.026345823734
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2032-11-10
0
USD
0
USD
2075200
USD
1
2.544
USD
2022-11-08
XXXX
-41711.52
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAPTION
N/A
3311900
NC
USD
-89851.85
-0.056752211433
N/A
DIR
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2034-08-29
0
USD
0
USD
3311900
USD
1
2.81
USD
2024-08-27
XXXX
-89851.85
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAPTION
N/A
3311900
NC
USD
52294.9
0.033030496553
N/A
DIR
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2034-08-29
0
USD
0
USD
3311900
USD
1
2.81
USD
2024-08-27
XXXX
52294.9
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
4967900
NC
USD
31347.45
0.019799671462
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2037-08-26
0
USD
0
USD
4967900
USD
1
2.94
USD
2027-08-24
XXXX
31347.45
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
4967900
NC
USD
-89571.24
-0.056574972589
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2037-08-26
0
USD
0
USD
4967900
USD
1
2.94
USD
2027-08-24
XXXX
-89571.24
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
15050900
NC
USD
355351.75
0.224447216714
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2032-11-14
0
USD
0
USD
15050900
USD
1
3.102
USD
2022-11-09
XXXX
355351.75
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
15050900
NC
USD
111828.19
0.070632903864
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2032-11-14
0
USD
0
USD
15050900
USD
1
2.842
USD
2022-11-09
XXXX
111828.19
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
15050900
NC
USD
-241115.42
-0.152293283840
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2032-11-14
0
USD
0
USD
15050900
USD
1
3.362
USD
2022-11-09
XXXX
-241115.42
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2608100
NC
USD
172082.44
0.108690683818
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2041-02-05
0
USD
0
USD
2608100
USD
1
2.031
USD
2031-02-03
XXXX
172082.44
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
604200
NC
USD
-59362.65
-0.037494627701
N/A
DIR
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
Put
Written
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
2056-03-02
0
USD
0
USD
604200
USD
1
2.095
USD
2026-02-26
XXXX
-59362.65
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
604200
NC
USD
41538.75
0.026236698773
N/A
DIR
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
Call
Written
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
2056-03-02
0
USD
0
USD
604200
USD
1
2.095
USD
2026-02-26
XXXX
41538.75
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
412400
NC
USD
19923.04
0.012583787406
N/A
DIR
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
Put
Purchased
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
2041-03-05
0
USD
0
USD
412400
USD
1
2.405
USD
2031-03-03
XXXX
19923.04
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
412400
NC
USD
-7860.34
-0.004964746720
N/A
DIR
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
Call
Purchased
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
2041-03-05
0
USD
0
USD
412400
USD
1
2.405
USD
2031-03-03
XXXX
-7860.34
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
4230800
NC
USD
49584.98
0.031318857306
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2034-03-20
0
USD
0
USD
4230800
USD
1
1.29
USD
2024-03-18
XXXX
49584.98
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
2961600
NC
USD
-105995.66
-0.066948962178
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2034-03-20
0
USD
0
USD
2961600
USD
1
2.29
USD
2024-03-18
XXXX
-105995.66
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
11799100
NC
USD
132739.88
0.083841142229
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2051-03-28
0
USD
0
USD
11799100
USD
1
2.285
USD
2041-03-26
XXXX
132739.88
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
11799100
NC
USD
7905.4
0.004993207511
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2051-03-28
0
USD
0
USD
11799100
USD
1
2.285
USD
2041-03-26
XXXX
7905.4
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
8461600
NC
USD
-299456.02
-0.189142364481
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2034-05-01
0
USD
0
USD
8461600
USD
1
2.17
USD
2024-04-29
XXXX
-299456.02
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
16923300
NC
USD
175325.39
0.110738995389
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2034-05-01
0
USD
0
USD
16923300
USD
1
1.085
USD
2024-04-29
XXXX
175325.39
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAPTION
N/A
1797000
NC
USD
-59390.85
-0.037512439381
N/A
DIR
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2051-06-11
0
USD
0
USD
1797000
USD
1
2.232
USD
2031-06-09
XXXX
-59390.85
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAPTION
N/A
1797000
NC
USD
100847.64
0.063697370592
N/A
DIR
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2051-06-11
0
USD
0
USD
1797000
USD
1
2.232
USD
2031-06-09
XXXX
100847.64
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
13281900
NC
USD
-671931.32
-0.424405155166
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2025-06-26
0
USD
0
USD
13281900
USD
1
1.194
USD
2023-06-22
XXXX
-671931.32
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
13281900
NC
USD
95364.04
0.060233820018
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2025-06-26
0
USD
0
USD
13281900
USD
1
1.194
USD
2023-06-22
XXXX
95364.04
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
13281900
NC
USD
-80488.31
-0.050838013764
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2028-06-24
0
USD
0
USD
13281900
USD
1
1.9
USD
2026-06-22
XXXX
-80488.31
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
13281900
NC
USD
314781.03
0.198821944898
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2028-06-24
0
USD
0
USD
13281900
USD
1
1.9
USD
2026-06-22
XXXX
314781.03
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
4323000
NC
USD
-514307.31
-0.324846702641
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2033-08-23
0
USD
0
USD
4323000
USD
1
2.07
USD
2023-08-21
XXXX
-514307.31
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
204300
NC
USD
-20448.39
-0.012915608891
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2033-09-01
0
USD
0
USD
204300
USD
1
2.41
USD
2023-08-30
XXXX
-20448.39
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
7528300
NC
USD
-701562.28
-0.443120657483
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2033-10-10
0
USD
0
USD
7528300
USD
1
2.415
USD
2023-10-05
XXXX
-701562.28
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
2428500
NC
USD
273691.95
0.172869266620
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2054-10-09
0
USD
0
USD
2428500
USD
1
2.485
USD
2024-10-07
XXXX
273691.95
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
8921100
NC
USD
-65213.24
-0.041189976441
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2026-12-11
0
USD
0
USD
8921100
USD
1
1.39
USD
2024-12-09
XXXX
-65213.24
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
8921100
NC
USD
270309.33
0.170732736705
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2026-12-11
0
USD
0
USD
8921100
USD
1
1.39
USD
2024-12-09
XXXX
270309.33
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
7794900
NC
USD
413909.19
0.261433257801
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2031-12-16
0
USD
0
USD
7794900
USD
1
1.752
USD
2026-12-14
XXXX
413909.19
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
7794900
NC
USD
-133682.53
-0.084436538674
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2031-12-16
0
USD
0
USD
7794900
USD
1
1.752
USD
2026-12-14
XXXX
-133682.53
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
745600
NC
USD
-105972.13
-0.066934100163
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2056-12-16
0
USD
0
USD
745600
USD
1
1.71
USD
2026-12-14
XXXX
-105972.13
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
745600
NC
USD
57746.72
0.036473974248
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2056-12-16
0
USD
0
USD
745600
USD
1
1.71
USD
2026-12-14
XXXX
57746.72
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
1474600
NC
USD
42881.37
0.027084724207
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2041-12-17
0
USD
0
USD
1474600
USD
1
1.6125
USD
2031-12-15
XXXX
42881.37
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
1474600
NC
USD
-97441.57
-0.061546029192
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2041-12-17
0
USD
0
USD
1474600
USD
1
1.6125
USD
2031-12-15
XXXX
-97441.57
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
3158700
NC
USD
-202093.63
-0.127646346948
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2029-01-16
0
USD
0
USD
3158700
USD
1
1.7
USD
2024-01-11
XXXX
-202093.63
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
3158700
NC
USD
51297.29
0.032400386281
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2029-01-16
0
USD
0
USD
3158700
USD
1
1.7
USD
2024-01-11
XXXX
51297.29
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
489600
NC
USD
14531.33
0.009178276380
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2037-01-14
0
USD
0
USD
489600
USD
1
1.81
USD
2027-01-12
XXXX
14531.33
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
489600
NC
USD
-37704.1
-0.023814657740
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2037-01-14
0
USD
0
USD
489600
USD
1
1.81
USD
2027-01-12
XXXX
-37704.1
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1934400
NC
USD
-48476.06
-0.030618441430
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2042-01-15
0
USD
0
USD
1934400
USD
1
1.826
USD
2032-01-13
XXXX
-48476.06
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1934400
NC
USD
109332.29
0.069056443897
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2042-01-15
0
USD
0
USD
1934400
USD
1
1.826
USD
2032-01-13
XXXX
109332.29
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1870800
NC
USD
85589.1
0.054059773945
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2042-02-13
0
USD
0
USD
1870800
USD
1
1.99
USD
2032-02-11
XXXX
85589.1
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1870800
NC
USD
-47406.07
-0.029942614513
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2042-02-13
0
USD
0
USD
1870800
USD
1
1.99
USD
2032-02-11
XXXX
-47406.07
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1246300
NC
USD
-89459.41
-0.056504338542
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2053-03-06
0
USD
0
USD
1246300
USD
1
1.724
USD
2023-03-02
XXXX
-89459.41
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1246300
NC
USD
215198.62
0.135923718681
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2053-03-06
0
USD
0
USD
1246300
USD
1
1.724
USD
2023-03-02
XXXX
215198.62
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
564900
NC
USD
95219.54
0.060142550951
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2053-03-06
0
USD
0
USD
564900
USD
1
1.75
USD
2023-03-02
XXXX
95219.54
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
564900
NC
USD
-40119.2
-0.025340082824
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2053-03-06
0
USD
0
USD
564900
USD
1
1.75
USD
2023-03-02
XXXX
-40119.2
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1048600
NC
USD
-73548.8
-0.046454881544
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2053-03-07
0
USD
0
USD
1048600
USD
1
1.735
USD
2023-03-03
XXXX
-73548.8
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1048600
NC
USD
180537.46
0.114031042227
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2053-03-07
0
USD
0
USD
1048600
USD
1
1.735
USD
2023-03-03
XXXX
180537.46
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
10677800
NC
USD
143509.63
0.090643530038
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2025-05-01
0
USD
0
USD
10677800
USD
1
2.94
USD
2023-04-27
XXXX
143509.63
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
21355700
NC
USD
-173194.73
-0.109393228254
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2025-05-01
0
USD
0
USD
21355700
USD
1
3.69
USD
2023-04-27
XXXX
-173194.73
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
3103000
NC
USD
-43969.51
-0.027772015024
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2057-05-28
0
USD
0
USD
3103000
USD
1
2.4
USD
2027-05-26
XXXX
-43969.51
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
3103000
NC
USD
115617.78
0.073026484107
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2057-05-28
0
USD
0
USD
3103000
USD
1
2.4
USD
2027-05-26
XXXX
115617.78
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
1196000
NC
USD
-2930.2
-0.001850772465
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2059-06-11
0
USD
0
USD
1196000
USD
1
2.46
USD
2029-06-07
XXXX
-2930.2
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
1196000
NC
USD
-26850.2
-0.016959119121
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2059-06-11
0
USD
0
USD
1196000
USD
1
2.46
USD
2029-06-07
XXXX
-26850.2
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
6226000
NC
USD
40282.22
0.025443049491
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2037-06-16
0
USD
0
USD
6226000
USD
1
3.073
USD
2027-06-14
XXXX
40282.22
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
6226000
NC
USD
-51302.24
-0.032403512799
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2037-06-16
0
USD
0
USD
6226000
USD
1
3.073
USD
2027-06-14
XXXX
-51302.24
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
2465500
NC
USD
-15853.16
-0.010013170438
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2039-06-15
0
USD
0
USD
2465500
USD
1
3.101
USD
2029-06-13
XXXX
-15853.16
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
2465500
NC
USD
6015.82
0.003799711287
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2039-06-15
0
USD
0
USD
2465500
USD
1
3.101
USD
2029-06-13
XXXX
6015.82
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
6095300
NC
USD
-41630.9
-0.026294902542
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2033-01-11
0
USD
0
USD
6095300
USD
1
1.999
USD
2023-01-09
XXXX
-41630.9
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
3213400
NC
USD
-64653.61
-0.040836503028
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2032-10-24
0
USD
0
USD
3213400
USD
1
2.795
USD
2022-10-20
XXXX
-64653.61
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
3213400
NC
USD
138272.6
0.087335717969
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2032-10-24
0
USD
0
USD
3213400
USD
1
2.795
USD
2022-10-20
XXXX
138272.6
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
10419500
NC
USD
-151291.14
-0.095558486166
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2033-01-31
0
USD
0
USD
10419500
USD
1
2.25
USD
2023-01-27
XXXX
-151291.14
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
10419500
NC
USD
-152437.28
-0.096282410934
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2033-01-31
0
USD
0
USD
10419500
USD
1
2.245
USD
2023-01-27
XXXX
-152437.28
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
3646800
NC
USD
51492.82
0.032523886909
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2032-10-31
0
USD
0
USD
3646800
USD
1
2.42
USD
2022-10-27
XXXX
51492.82
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
3646800
NC
USD
51602.22
0.032592986119
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2032-10-31
0
USD
0
USD
3646800
USD
1
2.41
USD
2022-10-27
XXXX
51602.22
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
10419500
NC
USD
-149519.82
-0.094439685305
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2033-02-01
0
USD
0
USD
10419500
USD
1
2.195
USD
2023-01-30
XXXX
-149519.82
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
3646800
NC
USD
51237.54
0.032362646995
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2032-11-02
0
USD
0
USD
3646800
USD
1
2.36
USD
2022-10-31
XXXX
51237.54
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
10419500
NC
USD
-143893.29
-0.090885857307
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2033-02-01
0
USD
0
USD
10419500
USD
1
2.1075
USD
2023-01-30
XXXX
-143893.29
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
3646800
NC
USD
48684.78
0.030750273123
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2032-11-02
0
USD
0
USD
3646800
USD
1
2.27375
USD
2022-10-31
XXXX
48684.78
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
785300
NC
USD
13585.69
0.008580991391
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2047-03-25
0
USD
0
USD
785300
USD
1
2.8175
USD
2027-03-23
XXXX
13585.69
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
785300
NC
USD
-32299.39
-0.020400935656
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2047-03-25
0
USD
0
USD
785300
USD
1
2.8175
USD
2027-03-23
XXXX
-32299.39
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
875000
NC
USD
-59613.75
-0.037653227444
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2049-11-14
0
USD
0
USD
875000
USD
1
2.689
USD
2024-11-12
XXXX
-59613.75
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
875000
NC
USD
22181.25
0.014010117653
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2049-11-14
0
USD
0
USD
875000
USD
1
2.689
USD
2024-11-12
XXXX
22181.25
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
875000
NC
USD
-50583.75
-0.031949700257
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2049-11-15
0
USD
0
USD
875000
USD
1
2.505
USD
2024-11-13
XXXX
-50583.75
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
875000
NC
USD
19792.5
0.012501335752
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2049-11-15
0
USD
0
USD
875000
USD
1
2.505
USD
2024-11-13
XXXX
19792.5
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
3110300
NC
USD
286520.84
0.180972248114
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2048-04-17
-353174.57
USD
0
USD
3110300
USD
1
3
USD
2047-04-17
XXXX
-66653.73
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
126800
NC
USD
-3958.7
-0.002500393474
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2053-10-19
0
USD
0
USD
126800
USD
1
3.27
USD
2023-10-17
XXXX
-3958.7
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
126800
NC
USD
-4405.03
-0.002782304359
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2053-10-19
0
USD
0
USD
126800
USD
1
3.27
USD
2023-10-17
XXXX
-4405.03
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
3110300
NC
USD
298713.21
0.188673190945
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2049-02-02
-378523.51
USD
0
USD
3110300
USD
1
3
USD
2048-02-03
XXXX
-79810.3
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
2320400
NC
USD
85065.86
0.053729285178
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2036-02-19
0
USD
118727.13
USD
2320400
USD
1
2.97
USD
2026-02-17
XXXX
33661.27
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
2320400
NC
USD
192013.1
0.121279284167
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2036-02-19
0
USD
118727.13
USD
2320400
USD
1
2.97
USD
2026-02-17
XXXX
-73285.97
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
2320400
NC
USD
188184.44
0.118861026538
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2036-03-03
0
USD
119113.87
USD
2320400
USD
1
3.01
USD
2026-02-27
XXXX
-69070.57
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
2320400
NC
USD
88082.38
0.055634579069
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2036-03-03
0
USD
119113.87
USD
2320400
USD
1
3.01
USD
2026-02-27
XXXX
31031.49
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
3110300
NC
USD
179122.18
0.113137123295
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2049-05-27
0
USD
292368.2
USD
3110300
USD
1
2.75
USD
2025-05-22
XXXX
113246.02
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
3110300
NC
USD
261171.89
0.164961348282
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2049-05-24
-348353.6
USD
0
USD
3110300
USD
1
2.75
USD
2048-05-26
XXXX
-87181.71
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
3110300
NC
USD
159527.29
0.100760601940
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2049-02-02
0
USD
784106.63
USD
3110300
USD
1
3
USD
2024-01-31
XXXX
624579.34
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
3110300
NC
USD
76979.92
0.048622045021
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2048-04-14
0
USD
788461.05
USD
3110300
USD
1
3
USD
2023-04-12
XXXX
711481.13
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1877700
NC
USD
243932.01
0.154072297975
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2039-10-12
0
USD
120923.88
USD
1877700
USD
1
1.865
USD
2029-10-10
XXXX
-123008.13
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1877700
NC
USD
41177.96
0.026008816650
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2039-10-12
0
USD
120923.88
USD
1877700
USD
1
1.865
USD
2029-10-10
XXXX
79745.92
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
2178100
NC
USD
38704.84
0.024446744983
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
2036-10-21
0
USD
120922.1
USD
2178100
USD
1
1.9875
USD
2026-10-19
XXXX
82217.26
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
2178100
NC
USD
289447.71
0.182820917285
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
2036-10-21
0
USD
120922.1
USD
2178100
USD
1
1.9875
USD
2026-10-19
XXXX
-168525.61
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
14803400
NC
USD
948453.84
0.599062265966
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2033-12-04
0
USD
162393.3
USD
14803400
USD
1
3.229
USD
2023-11-30
XXXX
-786060.54
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
14803400
NC
USD
374970.12
0.236838568503
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2033-12-04
0
USD
1680185.9
USD
14803400
USD
1
3.229
USD
2023-11-30
XXXX
1305215.78
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
14962300
NC
USD
1198480.23
0.756983895283
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2034-02-15
0
USD
246676.48
USD
14962300
USD
1
2.9425
USD
2024-02-13
XXXX
-951803.75
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
14962300
NC
USD
311365.46
0.196664603109
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2034-02-15
0
USD
1381487.91
USD
14962300
USD
1
2.9425
USD
2024-02-13
XXXX
1070122.45
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
14363800
NC
USD
1450600.16
0.916227846007
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2055-12-02
0
USD
470098.89
USD
14363800
USD
1
3.195
USD
2025-11-28
XXXX
-980501.27
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
14363800
NC
USD
1715468.63
1.083524027570
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2055-12-02
0
USD
3836006.81
USD
14363800
USD
1
3.195
USD
2025-11-28
XXXX
2120538.18
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
785400
NC
USD
-58143.16
-0.036724373618
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2055-01-16
0
USD
0
USD
785400
USD
1
2.032
USD
2025-01-14
XXXX
-58143.16
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
785400
NC
USD
95748.11
0.060476406251
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2055-01-16
0
USD
0
USD
785400
USD
1
2.032
USD
2025-01-14
XXXX
95748.11
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
1105300
NC
USD
-68241.22
-0.043102508695
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2055-01-24
0
USD
0
USD
1105300
USD
1
1.727
USD
2025-01-22
XXXX
-68241.22
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
1105300
NC
USD
149303.92
0.094303318581
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2055-01-24
0
USD
0
USD
1105300
USD
1
1.727
USD
2025-01-22
XXXX
149303.92
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
2259800
NC
USD
-166818.44
-0.105365836962
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2050-03-07
0
USD
0
USD
2259800
USD
1
1.275
USD
2030-03-05
XXXX
-166818.44
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
2259800
NC
USD
305728.34
0.193104086257
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2050-03-07
0
USD
0
USD
2259800
USD
1
1.275
USD
2030-03-05
XXXX
305728.34
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
161600
NC
USD
1827.7
0.001154411588
N/A
DIR
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
Call
Written
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
2055-03-17
0
USD
21546.67
USD
161600
USD
1
1.17
USD
2025-03-13
XXXX
19718.97
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
323100
NC
USD
114929.9
0.072592005449
N/A
DIR
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
Put
Written
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
2055-03-17
0
USD
49362.5
USD
323100
USD
1
1.17
USD
2025-03-13
XXXX
-65567.4
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2064700
NC
USD
12883.73
0.008137619526
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2032-03-24
0
USD
66896.28
USD
2064700
USD
1
1.07
USD
2027-03-22
XXXX
54012.55
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2064700
NC
USD
209979.99
0.132627528417
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2032-03-24
0
USD
66896.28
USD
2064700
USD
1
1.07
USD
2027-03-22
XXXX
-143083.71
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
1473500
NC
USD
-69151.36
-0.043677371179
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2035-04-04
0
USD
0
USD
1473500
USD
1
.902
USD
2025-04-02
XXXX
-69151.36
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
1473500
NC
USD
234787.49
0.148296437684
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2035-04-04
0
USD
0
USD
1473500
USD
1
.902
USD
2025-04-02
XXXX
234787.49
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
4911600
NC
USD
139292.98
0.087980210225
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2032-04-04
0
USD
0
USD
4911600
USD
1
.983
USD
2030-04-02
XXXX
139292.98
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
4911600
NC
USD
-40815.4
-0.025779816559
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2032-04-04
0
USD
0
USD
4911600
USD
1
.983
USD
2030-04-02
XXXX
-40815.4
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
12278900
NC
USD
232316.79
0.146735894537
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2028-04-08
0
USD
0
USD
12278900
USD
1
.87
USD
2027-04-06
XXXX
232316.79
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
12278900
NC
USD
-51448.59
-0.032495950363
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2028-04-08
0
USD
0
USD
12278900
USD
1
.87
USD
2027-04-06
XXXX
-51448.59
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
3683700
NC
USD
433313.63
0.273689487157
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2028-04-13
0
USD
0
USD
3683700
USD
1
.8925
USD
2023-04-11
XXXX
433313.63
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
3683700
NC
USD
-76178.92
-0.048116117527
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2028-04-13
0
USD
0
USD
3683700
USD
1
.8925
USD
2023-04-11
XXXX
-76178.92
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
2946900
NC
USD
60824.02
0.038417657992
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
2030-05-08
0
USD
0
USD
2946900
USD
1
.958
USD
2025-05-06
XXXX
60824.02
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
2946900
NC
USD
-265515.69
-0.167704978558
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
2030-05-08
0
USD
0
USD
2946900
USD
1
.958
USD
2025-05-06
XXXX
-265515.69
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2175500
NC
USD
95330.41
0.060212578643
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2037-06-28
0
USD
0
USD
2175500
USD
1
1.168
USD
2027-06-24
XXXX
95330.41
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2175500
NC
USD
-272959.98
-0.172406939843
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2037-06-28
0
USD
0
USD
2175500
USD
1
1.168
USD
2027-06-24
XXXX
-272959.98
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1155500
NC
USD
-36525.35
-0.023070135850
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2032-11-25
0
USD
0
USD
1155500
USD
1
1.102
USD
2022-11-23
XXXX
-36525.35
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
1155500
NC
USD
224421.21
0.141748889533
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2032-11-25
0
USD
0
USD
1155500
USD
1
1.102
USD
2022-11-23
XXXX
224421.21
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
23206800
NC
USD
-498250
-0.314704587012
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2026-01-16
0
USD
0
USD
23206800
USD
1
1.115
USD
2025-01-14
XXXX
-498250
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
23206800
NC
USD
64282.84
0.040602317339
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2026-01-16
0
USD
0
USD
23206800
USD
1
1.115
USD
2025-01-14
XXXX
64282.84
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
24072200
NC
USD
3851.55
0.002432715408
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2025-01-31
-45135.38
USD
0
USD
24072200
USD
1
.485
USD
2024-01-29
XXXX
-41283.83
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
24072200
NC
USD
732276.32
0.462520254620
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2025-01-31
0
USD
51755.23
USD
24072200
USD
1
.985
USD
2024-01-29
XXXX
-680521.09
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
1862900
NC
USD
-48640.32
-0.030722191305
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2041-01-31
0
USD
0
USD
1862900
USD
1
1.985
USD
2031-01-29
XXXX
-48640.32
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
1862900
NC
USD
126584.06
0.079953004164
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2041-01-31
0
USD
0
USD
1862900
USD
1
1.985
USD
2031-01-29
XXXX
126584.06
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
699400
NC
USD
-61945.86
-0.039126234397
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2053-02-03
0
USD
0
USD
699400
USD
1
1.715
USD
2023-02-01
XXXX
-61945.86
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
699400
NC
USD
148223.84
0.093621118620
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2053-02-03
0
USD
0
USD
699400
USD
1
1.715
USD
2023-02-01
XXXX
148223.84
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
1398800
NC
USD
-43558.63
-0.027512495063
N/A
DIR
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
Call
Purchased
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
2036-02-04
0
USD
0
USD
1398800
USD
1
1.937
USD
2026-02-02
XXXX
-43558.63
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
1398800
NC
USD
127878.3
0.080770471830
N/A
DIR
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
Put
Purchased
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
2036-02-04
0
USD
0
USD
1398800
USD
1
1.937
USD
2026-02-02
XXXX
127878.3
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2608100
NC
USD
-65698.04
-0.041496185742
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2041-02-05
0
USD
0
USD
2608100
USD
1
2.031
USD
2031-02-03
XXXX
-65698.04
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912796YC7
3400000
PA
USD
3399771.79
2.147363325856
Long
DBT
UST
US
N
2
2022-10-04
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912796YP8
5200000
PA
USD
5185914.5
3.275526504774
Long
DBT
UST
US
N
2
2022-11-08
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912796W62
300000
PA
USD
298931.25
0.188810909335
Long
DBT
UST
US
N
2
2022-11-17
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912796W70
1700000
PA
USD
1692957.81
1.069305746965
Long
DBT
UST
US
N
2
2022-11-25
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912796YH6
199000
PA
USD
191756.4
0.121117147354
Long
DBT
UST
US
N
2
2023-09-07
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912796YE3
1400000
PA
USD
1398523.29
0.883335061528
Long
DBT
UST
US
N
2
2022-10-18
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912796YG8
1400000
PA
USD
1396990.24
0.882366756727
Long
DBT
UST
US
N
2
2022-11-01
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T. NOTE
91282CBY6
370000
PA
USD
372565.2322
0.235319593647
Long
DBT
UST
US
N
2
2023-04-30
Floating
3.331
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T. NOTE
912828X88
113000
PA
USD
105745.4
0.066790892996
Long
DBT
UST
US
N
2
2027-05-15
Fixed
2.375
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
VAR.RT. CORP. BONDS
976657AH9
305000
PA
USD
253150
0.159894563376
Long
DBT
CORP
US
N
2
2067-05-15
Variable
5.018
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
VAR.RT. CORP. BONDS
172967NX5
105000
PA
USD
104420.72
0.065954198822
Long
DBT
CORP
US
N
2
2026-09-29
Variable
5.61
N
N
N
N
N
N
PRUDENTIAL FINANCIAL INC
5PRBRS5FEH7NREC8OR45
VAR.RT. CORP. BONDS
744320AN2
196000
PA
USD
186559.27
0.117834536917
Long
DBT
CORP
US
N
2
2044-03-15
Variable
5.2
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
VAR.RT. CORP. BONDS
59022CAA1
100000
PA
USD
97154.2
0.061364520597
Long
DBT
CORP
US
N
2
2026-09-15
Floating
4.053
N
N
N
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
VAR.RT. CORP. BONDS
891160MJ9
180000
PA
USD
164080.15
0.103636278661
Long
DBT
CORP
CA
N
2
2031-09-15
Variable
3.625
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
VAR.RT. CORP. BONDS
172967LD1
64000
PA
USD
58906.4
0.037206451148
Long
DBT
CORP
US
N
2
2028-01-10
Variable
3.887
N
N
N
N
N
N
TRANSCANADA TRUST
549300Y0MFCAXLBWUV51
VAR.RT. CORP. BONDS
89356BAC2
215000
PA
USD
185024.27
0.116865000457
Long
DBT
CORP
CA
N
2
2077-03-15
Variable
5.3
N
N
N
N
N
N
JPMORGAN CHASE AND CO
8I5DZWZKVSZI1NUHU748
VAR.RT. CORP. BONDS
46647PAL0
735000
PA
USD
550571.37
0.347751802542
Long
DBT
CORP
US
N
2
2048-11-15
Variable
3.964
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
VAR.RT. CORP. BONDS
06368BGS1
95000
PA
USD
82377.18
0.052031061538
Long
DBT
CORP
CA
N
2
2032-12-15
Variable
3.803
N
N
N
N
N
N
CREDIT AGRICOLE S.A.
969500TJ5KRTCJQWXH05
VAR.RT. CORP. BONDS
225313AK1
400000
PA
USD
343022.4
0.216659754597
Long
DBT
CORP
FR
N
2
2033-01-10
Variable
4
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC/THE
784F5XWPLTWKTBV3E584
VAR.RT. CORP. BONDS
38141GWZ3
188000
PA
USD
170868.74
0.107924086814
Long
DBT
CORP
US
N
2
2029-05-01
Variable
4.223
N
N
N
N
N
N
JPMORGAN CHASE AND CO
8I5DZWZKVSZI1NUHU748
VAR.RT. CORP. BONDS
48123UAB0
63000
PA
USD
49707
0.031395927560
Long
DBT
CORP
US
N
2
2047-05-15
Floating
3.905
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
VAR.RT. CORP. BONDS
06051GHZ5
306000
PA
USD
241453.24
0.152506657655
Long
DBT
CORP
US
N
2
2031-02-13
Variable
2.496
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
VAR.RT. CORP. BONDS
172967MQ1
21000
PA
USD
19682.63
0.012431939680
Long
DBT
CORP
US
N
2
2026-04-08
Variable
3.106
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
VAR.RT. CORP. BONDS
225401AQ1
620000
PA
USD
538282.76
0.339990072618
Long
DBT
CORP
CH
N
2
2026-06-05
Variable
2.193
N
N
N
N
N
N
AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD
JHE42UYNWWTJB8YTTU19
VAR.RT. CORP. BONDS
052528AM8
245000
PA
USD
178685.36
0.112861219115
Long
DBT
CORP
AU
N
2
2035-11-25
Variable
2.57
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
VAR.RT. CORP. BONDS
46115HBQ9
410000
PA
USD
275821.76
0.174214496878
Long
DBT
CORP
IT
N
2
2032-06-01
Variable
4.198
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
VAR.RT. CORP. BONDS
14040HCG8
225000
PA
USD
159360.22
0.100655077213
Long
DBT
CORP
US
N
2
2032-07-29
Variable
2.359
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
VAR.RT. CORP. BONDS
91159HJB7
545000
PA
USD
409615.12
0.258721037980
Long
DBT
CORP
US
N
2
2036-11-03
Variable
2.491
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK NY
7LTWFZYICNSX8D621K86
VAR.RT. CORP. BONDS
251526CP2
150000
PA
USD
121674.49
0.076852022329
Long
DBT
CORP
US
N
2
2027-11-16
Variable
2.311
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
VAR.RT. CORP. BONDS
53944YAQ6
305000
PA
USD
188329.14
0.118952421929
Long
DBT
CORP
GB
N
2
2046-12-14
Variable
3.369
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
VAR.RT. CORP. BONDS
06051GKL2
600000
PA
USD
484081.68
0.305755594951
Long
DBT
CORP
US
N
2
2037-03-08
Variable
3.846
N
N
N
N
N
N
KEYCORP
RKPI3RZGV1V1FJTH5T61
VAR.RT. CORP. BONDS
49326EEL3
103000
PA
USD
100288.08
0.063343941392
Long
DBT
CORP
US
N
2
2025-05-23
Variable
3.878
N
N
N
N
N
N
CITIZENS BANK NA/PROVIDENCE RI
DRMSV1Q0EKMEXLAU1P80
VAR.RT. CORP. BONDS
75524KNQ3
270000
PA
USD
264773.64
0.167236285054
Long
DBT
CORP
US
N
2
2025-05-23
Variable
4.119
N
N
N
N
N
N
PNC FINANCIAL SERVICES GROUP INC/THE
CFGNEKW0P8842LEUIA51
VAR.RT. CORP. BONDS
693475BE4
320000
PA
USD
285463.25
0.180304253283
Long
DBT
CORP
US
N
2
2033-06-06
Variable
4.626
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
VAR.RT. CORP. BONDS
89788MAH5
105000
PA
USD
102117.25
0.064499281461
Long
DBT
CORP
US
N
2
2026-07-28
Variable
4.26
N
N
N
N
N
N
PRUDENTIAL FINANCIAL INC
5PRBRS5FEH7NREC8OR45
VAR.RT. CORP. BONDS
744320AM4
66000
PA
USD
64327.36
0.040630437054
Long
DBT
CORP
US
N
2
2043-06-15
Variable
5.625
N
N
N
N
N
N
2022-11-28
Putnam Investments Inc
Janet C. Smith
NPORT
Principal Financial Officer
XXXX