0001752724-24-294667.txt : 20241226
0001752724-24-294667.hdr.sgml : 20241226
20241226105135
ACCESSION NUMBER: 0001752724-24-294667
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20241031
FILED AS OF DATE: 20241226
DATE AS OF CHANGE: 20241226
PERIOD START: 20241031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: iShares U.S. ETF Trust
CENTRAL INDEX KEY: 0001524513
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22649
FILM NUMBER: 241578437
BUSINESS ADDRESS:
STREET 1: 400 HOWARD STREET
CITY: SAN FRANCISCO
STATE: CA
ZIP: 94105
BUSINESS PHONE: (415) 670-2000
MAIL ADDRESS:
STREET 1: 400 HOWARD STREET
CITY: SAN FRANCISCO
STATE: CA
ZIP: 94105
0001524513
S000042862
iShares Interest Rate Hedged Corporate Bond ETF
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iShares Interest Rate Hedged Corporate Bond ETF
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BlackRock Interest Rate Hedged Corporate Bond Index
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Notional Amount
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LCH Ltd.
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Notional Amount
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N/A
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LCH Ltd.
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Chicago Mercantile Exchange
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Notional Amount
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Chicago Mercantile Exchange
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USD
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LCH Ltd.
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Notional Amount
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LCH Ltd.
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Notional Amount
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US
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LCH Ltd.
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N/A
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500000.00000000
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N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
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Notional Amount
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0.002190292171
N/A
DIR
US
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LCH Ltd.
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N/A
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6.43000000
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N
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Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
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Notional Amount
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0.007671625672
N/A
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Chicago Mercantile Exchange
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N/A
N/A
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USD
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USD
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N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.680200 29-OCT-2054 SOF
000000000
800000.00000000
OU
Notional Amount
USD
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-0.00116473678
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-10-29
28.60000000
USD
0.00000000
USD
800000.00000000
USD
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N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
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800000.00000000
OU
Notional Amount
USD
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0.011129488038
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-09-11
16.88000000
USD
0.00000000
USD
800000.00000000
USD
47525.66000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
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000000000
300000.00000000
OU
Notional Amount
USD
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0.000777060821
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
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8.24000000
USD
0.00000000
USD
300000.00000000
USD
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N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
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000000000
700000.00000000
OU
Notional Amount
USD
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0.010929701694
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
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USD
0.00000000
USD
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USD
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N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.698700 12-JAN-2029 SOF
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2000000.00000000
OU
Notional Amount
USD
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0.008349813977
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-01-12
16.72000000
USD
0.00000000
USD
2000000.00000000
USD
35651.71000000
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N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.612200 07-FEB-2054 SOF
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Notional Amount
USD
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0.003476213100
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DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
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USD
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USD
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USD
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N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.854700 13-MAY-2054 SOF
000000000
850000.00000000
OU
Notional Amount
USD
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-0.00574526431
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
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30.16000000
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0.00000000
USD
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USD
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N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.800700 07-MAR-2031 SOF
000000000
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Notional Amount
USD
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0.004055144973
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-07
25.05000000
USD
0.00000000
USD
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USD
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N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.907700 28-MAR-2031 SOF
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1000000.00000000
OU
Notional Amount
USD
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0.000225096734
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
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USD
0.00000000
USD
1000000.00000000
USD
948.94000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.167700 07-MAY-2031 SOF
000000000
1500000.00000000
OU
Notional Amount
USD
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-0.00601141201
N/A
DIR
US
N
2
LCH Ltd.
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N/A
N/A
Y
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USD
0.00000000
USD
1500000.00000000
USD
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N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.812700 24-OCT-2044 SOF
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1500000.00000000
OU
Notional Amount
USD
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-0.00033459015
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-10-24
41.97000000
USD
0.00000000
USD
1500000.00000000
USD
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N
N
LCH Ltd.
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Notional Amount
USD
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0.005488920532
N/A
DIR
US
N
2
LCH Ltd.
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N/A
N/A
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2044-08-22
11.13000000
USD
0.00000000
USD
400000.00000000
USD
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N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.724200 11-MAR-2039 SOF
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Notional Amount
USD
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0.002412467396
N/A
DIR
US
N
2
LCH Ltd.
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N/A
N/A
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2039-03-11
10.30000000
USD
0.00000000
USD
500000.00000000
USD
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N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.275500 23-AUG-2031
000000000
5000000.00000000
OU
Notional Amount
USD
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0.183164850485
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-08-23
0.00000000
USD
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USD
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USD
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N
N
LCH Ltd.
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Notional Amount
USD
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N/A
DIR
US
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LCH Ltd.
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N/A
N/A
Y
2029-05-14
17.92000000
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USD
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N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
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Notional Amount
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N/A
DIR
US
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LCH Ltd.
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N/A
N/A
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BlackRock Cash Funds: Treasury, SL Agency Shares
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Long
STIV
RF
US
N
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N
N
N
LCH Ltd.
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Notional Amount
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N/A
DIR
US
N
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LCH Ltd.
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N/A
N/A
Y
2034-10-23
34.33000000
USD
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USD
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USD
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N
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LCH Ltd.
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Notional Amount
USD
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-0.00211209027
N/A
DIR
US
N
2
LCH Ltd.
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N/A
N/A
Y
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USD
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USD
1000000.00000000
USD
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N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.240700 09-SEP-2029 SOF
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OU
Notional Amount
USD
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0.012503590349
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-09-09
19.07000000
USD
0.00000000
USD
2000000.00000000
USD
53393.31000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.067700 20-MAY-2031 SOF
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1000000.00000000
OU
Notional Amount
USD
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-0.00268731407
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-05-20
12.88000000
USD
0.00000000
USD
1000000.00000000
USD
-11492.45000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.137700 13-MAY-2031 SOF
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1000000.00000000
OU
Notional Amount
USD
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-0.00364089918
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-05-13
12.85000000
USD
0.00000000
USD
1000000.00000000
USD
-15565.91000000
N
N
N
LCH Ltd.
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SWP: OIS 3.787700 25-JAN-2029 SOF
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Notional Amount
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0.012196410417
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-01-25
33.71000000
USD
0.00000000
USD
4000000.00000000
USD
52066.47000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.223700 25-APR-2034 SOF
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900000.00000000
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Notional Amount
USD
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-0.00629075098
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-04-25
14.82000000
USD
0.00000000
USD
900000.00000000
USD
-26887.42000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.727700 29-OCT-2031 SOF
000000000
3000000.00000000
OU
Notional Amount
USD
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0.001795001086
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
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40.91000000
USD
0.00000000
USD
3000000.00000000
USD
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N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.012200 20-MAY-2039 SOF
000000000
500000.00000000
OU
Notional Amount
USD
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-0.00186224029
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-05-20
10.40000000
USD
0.00000000
USD
500000.00000000
USD
-7965.45000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.928200 14-DEC-2028 SOF
000000000
900000.00000000
OU
Notional Amount
USD
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0.001807630531
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-12-14
7.42000000
USD
0.00000000
USD
900000.00000000
USD
7714.35000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.731700 24-OCT-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
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0.000902973692
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-10-24
17.17000000
USD
0.00000000
USD
1000000.00000000
USD
3840.12000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.091200 03-JUL-2031 SOF
000000000
2500000.00000000
OU
Notional Amount
USD
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-0.00874429509
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-07-03
32.72000000
USD
0.00000000
USD
2500000.00000000
USD
-37386.28000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.565200 15-OCT-2031 SOF
000000000
1500000.00000000
OU
Notional Amount
USD
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0.004555418463
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-15
20.36000000
USD
0.00000000
USD
1500000.00000000
USD
19439.31000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.131200 14-MAY-2034 SOF
000000000
800000.00000000
OU
Notional Amount
USD
-18286.28000000
-0.00428073330
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-05-14
13.24000000
USD
0.00000000
USD
800000.00000000
USD
-18299.52000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.799200 14-FEB-2034 SOF
000000000
700000.00000000
OU
Notional Amount
USD
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0.001527863166
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-02-14
11.33000000
USD
0.00000000
USD
700000.00000000
USD
6515.34000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.248200 10-SEP-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
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0.010697755329
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-09-10
17.00000000
USD
0.00000000
USD
1000000.00000000
USD
45681.28000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.925700 26-FEB-2044 SOF
000000000
500000.00000000
OU
Notional Amount
USD
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-0.00067541193
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-02-26
13.69000000
USD
0.00000000
USD
500000.00000000
USD
-2898.89000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.510200 28-DEC-2033 SOF
000000000
800000.00000000
OU
Notional Amount
USD
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0.006804655846
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-12-28
12.84000000
USD
0.00000000
USD
800000.00000000
USD
29055.04000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
FSWP: OIS 3.967200 02-APR-2029 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
1320.96000000
0.000309230607
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-04-02
8.75000000
USD
0.00000000
USD
1000000.00000000
USD
1312.21000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.786700 20-MAY-2054 SOF
000000000
300000.00000000
OU
Notional Amount
USD
-5039.22000000
-0.00117965802
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-05-20
10.65000000
USD
0.00000000
USD
300000.00000000
USD
-5049.87000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.910000 25-SEP-2035
000000000
26000000.00000000
OU
Notional Amount
USD
6757310.55000000
1.581855048954
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2035-09-25
0.00000000
USD
-514812.43000000
USD
26000000.00000000
USD
7272122.98000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.184500 19-OCT-2050
000000000
14550000.00000000
OU
Notional Amount
USD
6073770.68000000
1.421841536696
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-10-19
1092252.55000000
USD
0.00000000
USD
14550000.00000000
USD
4981518.13000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.003200 06-JUN-2031 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
-16498.52000000
-0.00386222698
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-06-06
25.93000000
USD
0.00000000
USD
2000000.00000000
USD
-16524.45000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.584200 28-DEC-2028 SOF
000000000
800000.00000000
OU
Notional Amount
USD
19178.01000000
0.004489483163
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-12-28
6.64000000
USD
0.00000000
USD
800000.00000000
USD
19171.37000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.191200 15-APR-2034 SOF
000000000
1300000.00000000
OU
Notional Amount
USD
-34707.05000000
-0.00812475938
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-04-15
21.36000000
USD
0.00000000
USD
1300000.00000000
USD
-34728.41000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.987200 11-APR-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
-9241.90000000
-0.00216348591
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-04-11
16.42000000
USD
0.00000000
USD
1000000.00000000
USD
-9258.32000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 1.277000 17-DEC-2031
000000000
3100000.00000000
OU
Notional Amount
USD
592952.36000000
0.138807396450
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-12-17
39.00000000
USD
0.00000000
USD
3100000.00000000
USD
592913.36000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.038700 11-APR-2031 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
-15773.06000000
-0.00369240016
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-04-11
25.39000000
USD
0.00000000
USD
2000000.00000000
USD
-15798.45000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.518200 12-JAN-2054 SOF
000000000
500000.00000000
OU
Notional Amount
USD
20095.10000000
0.004704169678
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-01-12
17.65000000
USD
0.00000000
USD
500000.00000000
USD
20077.45000000
N
N
N
BlackRock Funds III
5493008LW2651I1QB503
BlackRock Cash Funds: Institutional, SL Agency Shares
066922519
197019142.77000000
NS
USD
197157056.17000000
46.15355213169
Long
STIV
RF
US
N
1
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.815200 14-DEC-2043 SOF
000000000
500000.00000000
OU
Notional Amount
USD
6864.33000000
0.001606907805
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2043-12-14
13.63000000
USD
0.00000000
USD
500000.00000000
USD
6850.70000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.529700 18-JUL-2038 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
34828.00000000
0.008153073214
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2038-07-18
19.87000000
USD
0.00000000
USD
1000000.00000000
USD
34808.13000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.681200 24-OCT-2029 SOF
000000000
4500000.00000000
OU
Notional Amount
USD
22112.88000000
0.005176522614
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-10-24
43.93000000
USD
0.00000000
USD
4500000.00000000
USD
22068.95000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.060200 03-JUL-2034 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
-38067.97000000
-0.00891153515
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-07-03
33.48000000
USD
0.00000000
USD
2000000.00000000
USD
-38101.45000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.697700 28-MAR-2054 SOF
000000000
600000.00000000
OU
Notional Amount
USD
1513.08000000
0.000354205008
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-03-28
21.24000000
USD
0.00000000
USD
600000.00000000
USD
1491.84000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.026000 23-AUG-2031
000000000
1000000.00000000
OU
Notional Amount
USD
171875.21000000
0.040235189239
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-08-23
11.21000000
USD
0.00000000
USD
1000000.00000000
USD
171864.00000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.802700 23-OCT-2039 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
2008.64000000
0.000470213304
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-10-23
21.22000000
USD
0.00000000
USD
1000000.00000000
USD
1987.42000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.724700 24-JAN-2034 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
33332.58000000
0.007803002330
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-01-24
32.25000000
USD
0.00000000
USD
2000000.00000000
USD
33300.33000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.350200 28-DEC-2053 SOF
000000000
700000.00000000
OU
Notional Amount
USD
50587.73000000
0.011842352889
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-12-28
24.72000000
USD
0.00000000
USD
700000.00000000
USD
50563.01000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.346200 10-SEP-2044 SOF
000000000
200000.00000000
OU
Notional Amount
USD
13242.84000000
0.003100087403
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-09-10
5.57000000
USD
0.00000000
USD
200000.00000000
USD
13237.27000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.778000 19-OCT-2030
000000000
25400000.00000000
OU
Notional Amount
USD
4076528.57000000
0.954296425026
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-10-19
0.00000000
USD
-358922.40000000
USD
25400000.00000000
USD
4435450.97000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.401200 22-AUG-2029 SOF
000000000
1400000.00000000
OU
Notional Amount
USD
28402.19000000
0.006648820905
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-08-22
13.23000000
USD
0.00000000
USD
1400000.00000000
USD
28388.96000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.179700 11-SEP-2054 SOF
000000000
900000.00000000
OU
Notional Amount
USD
77766.61000000
0.018204802599
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-09-11
32.10000000
USD
0.00000000
USD
900000.00000000
USD
77734.51000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.320200 03-MAY-2031 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
-26467.06000000
-0.00619581595
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-05-03
12.80000000
USD
0.00000000
USD
1000000.00000000
USD
-26479.86000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.679700 19-JAN-2049 SOF
000000000
550000.00000000
OU
Notional Amount
USD
13028.57000000
0.003049927790
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-01-19
17.54000000
USD
0.00000000
USD
550000.00000000
USD
13011.03000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.346200 09-SEP-2044 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
66264.23000000
0.015512148807
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-09-09
27.87000000
USD
0.00000000
USD
1000000.00000000
USD
66236.36000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.234700 09-SEP-2031 SOF
000000000
3000000.00000000
OU
Notional Amount
USD
104058.28000000
0.024359560565
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-09-09
40.20000000
USD
0.00000000
USD
3000000.00000000
USD
104018.08000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.528700 07-MAR-2054 SOF
000000000
350000.00000000
OU
Notional Amount
USD
12195.94000000
0.002855012970
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-03-07
12.37000000
USD
0.00000000
USD
350000.00000000
USD
12183.57000000
N
N
N
iShares iBoxx $ Investment Grade Corporate Bond ETF
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
3707150.00000000
NS
USD
404042278.50000000
94.58442282724
Long
EC
RF
US
N
1
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.397500 19-OCT-2025
000000000
10900000.00000000
OU
Notional Amount
USD
406362.99000000
0.095127690622
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-10-19
0.00000000
USD
-19553.33000000
USD
10900000.00000000
USD
425916.32000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.250700 07-MAY-2029 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
-26911.38000000
-0.00629982920
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-05-07
17.85000000
USD
0.00000000
USD
2000000.00000000
USD
-26929.23000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.939200 07-SEP-2038 SOF
000000000
500000.00000000
OU
Notional Amount
USD
-6106.57000000
-0.00142951970
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2038-09-07
10.03000000
USD
0.00000000
USD
500000.00000000
USD
-6116.60000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.840700 11-MAR-2029 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
16527.79000000
0.003869078957
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-03-11
17.28000000
USD
0.00000000
USD
2000000.00000000
USD
16510.51000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.490000 22-SEP-2027
000000000
55232000.00000000
OU
Notional Amount
USD
5334555.26000000
1.248794636492
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-09-22
0.00000000
USD
-66484.69000000
USD
55232000.00000000
USD
5401039.95000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.293200 25-SEP-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
41270.24000000
0.009661171709
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-09-25
17.06000000
USD
0.00000000
USD
1000000.00000000
USD
41253.18000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.941200 11-APR-2044 SOF
000000000
500000.00000000
OU
Notional Amount
USD
-5060.72000000
-0.00118469107
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-04-11
13.75000000
USD
0.00000000
USD
500000.00000000
USD
-5074.47000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.781200 31-AUG-2043 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
6650.57000000
0.001556867581
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2043-08-31
26.89000000
USD
0.00000000
USD
1000000.00000000
USD
6623.68000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.760200 29-OCT-2034 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
2685.89000000
0.000628754387
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-10-29
34.38000000
USD
0.00000000
USD
2000000.00000000
USD
2651.51000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.680700 14-OCT-2044 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
17823.00000000
0.004172281609
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-10-14
27.96000000
USD
0.00000000
USD
1000000.00000000
USD
17795.04000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.719200 25-MAR-2054 SOF
000000000
400000.00000000
OU
Notional Amount
USD
-494.13000000
-0.00011567354
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-03-25
14.16000000
USD
0.00000000
USD
400000.00000000
USD
-508.29000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
FSWP: OIS 3.870700 02-APR-2031 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
3037.35000000
0.000711029543
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-04-02
12.65000000
USD
0.00000000
USD
1000000.00000000
USD
3024.70000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.713700 11-MAR-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
15383.67000000
0.003601245773
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-03-11
16.29000000
USD
0.00000000
USD
1000000.00000000
USD
15367.38000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.880700 28-MAR-2044 SOF
000000000
700000.00000000
OU
Notional Amount
USD
-572.55000000
-0.00013403129
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-03-28
19.22000000
USD
0.00000000
USD
700000.00000000
USD
-591.77000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.102700 06-JUN-2029 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
-16117.80000000
-0.00377310220
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-06-06
18.15000000
USD
0.00000000
USD
2000000.00000000
USD
-16135.95000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.868200 26-SEP-2053 SOF
000000000
350000.00000000
OU
Notional Amount
USD
-12168.02000000
-0.00284847702
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-09-26
12.27000000
USD
0.00000000
USD
350000.00000000
USD
-12180.29000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.907700 20-FEB-2031 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
5413.65000000
0.001267310348
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-20
24.89000000
USD
0.00000000
USD
2000000.00000000
USD
5388.76000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.343700 07-OCT-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
36672.48000000
0.008584857424
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-10-07
17.10000000
USD
0.00000000
USD
1000000.00000000
USD
36655.38000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.724700 29-OCT-2029 SOF
000000000
3000000.00000000
OU
Notional Amount
USD
8316.88000000
0.001946943021
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-10-29
29.36000000
USD
0.00000000
USD
3000000.00000000
USD
8287.52000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.070200 22-NOV-2033 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
-9990.75000000
-0.00233878822
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-11-22
15.90000000
USD
0.00000000
USD
1000000.00000000
USD
-10006.65000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.266200 15-APR-2031 SOF
000000000
1200000.00000000
OU
Notional Amount
USD
-26735.12000000
-0.00625856755
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-04-15
15.25000000
USD
0.00000000
USD
1200000.00000000
USD
-26750.37000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.184700 10-SEP-2029 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
58388.07000000
0.013668376293
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-09-10
19.08000000
USD
0.00000000
USD
2000000.00000000
USD
58368.99000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.198700 10-SEP-2031 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
36850.60000000
0.008626554490
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-09-10
13.40000000
USD
0.00000000
USD
1000000.00000000
USD
36837.20000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.621700 15-OCT-2049 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
18310.28000000
0.004286351596
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-10-15
32.41000000
USD
0.00000000
USD
1000000.00000000
USD
18277.87000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.598700 15-MAR-2054 SOF
000000000
900000.00000000
OU
Notional Amount
USD
19342.43000000
0.004527973123
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-03-15
31.84000000
USD
0.00000000
USD
900000.00000000
USD
19310.59000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.371200 22-AUG-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
36353.35000000
0.008510150572
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-08-22
16.93000000
USD
0.00000000
USD
1000000.00000000
USD
36336.42000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.216500 12-FEB-2031
000000000
13180000.00000000
OU
Notional Amount
USD
2272156.60000000
0.531901318302
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-02-12
132874.75000000
USD
0.00000000
USD
13180000.00000000
USD
2139281.85000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.804200 14-FEB-2044 SOF
000000000
500000.00000000
OU
Notional Amount
USD
6110.14000000
0.001430355425
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-02-14
13.67000000
USD
0.00000000
USD
500000.00000000
USD
6096.47000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.779200 15-MAR-2044 SOF
000000000
500000.00000000
OU
Notional Amount
USD
7160.02000000
0.001676127462
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-03-15
13.72000000
USD
0.00000000
USD
500000.00000000
USD
7146.30000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 1.352500 15-DEC-2036
000000000
6400000.00000000
OU
Notional Amount
USD
1745811.31000000
0.408686327912
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-12-15
112.75000000
USD
0.00000000
USD
6400000.00000000
USD
1745698.56000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.816700 23-MAY-2054 SOF
000000000
400000.00000000
OU
Notional Amount
USD
-8989.38000000
-0.00210437215
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-05-23
14.20000000
USD
0.00000000
USD
400000.00000000
USD
-9003.58000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.333200 20-AUG-2054 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
60093.31000000
0.014067565065
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-08-20
35.63000000
USD
0.00000000
USD
1000000.00000000
USD
60057.68000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 3.537000 24-MAY-2028 SOF
000000000
1500000.00000000
OU
Notional Amount
USD
26440.34000000
0.006189560923
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-05-24
10.08000000
USD
0.00000000
USD
1500000.00000000
USD
26430.26000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.739700 26-FEB-2054 SOF
000000000
300000.00000000
OU
Notional Amount
USD
-1018.65000000
-0.00023846123
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-02-26
10.60000000
USD
0.00000000
USD
300000.00000000
USD
-1029.25000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.950200 26-FEB-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
-4082.47000000
-0.00095568728
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-02-26
16.23000000
USD
0.00000000
USD
1000000.00000000
USD
-4098.70000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.519200 28-DEC-2043 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
55698.70000000
0.013038807253
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2043-12-28
27.29000000
USD
0.00000000
USD
1000000.00000000
USD
55671.41000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.353700 25-SEP-2049 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
62512.74000000
0.014633942403
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-25
32.37000000
USD
0.00000000
USD
1000000.00000000
USD
62480.37000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.864200 14-FEB-2029 SOF
000000000
500000.00000000
OU
Notional Amount
USD
4229.85000000
0.000990188260
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-02-14
4.26000000
USD
0.00000000
USD
500000.00000000
USD
4225.59000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
FSWP: OIS 3.821200 02-APR-2034 SOF
000000000
1200000.00000000
OU
Notional Amount
USD
6277.21000000
0.001469465737
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-04-02
19.66000000
USD
0.00000000
USD
1200000.00000000
USD
6257.55000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.308700 05-SEP-2054 SOF
000000000
1500000.00000000
OU
Notional Amount
USD
95224.83000000
0.022291690903
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-09-05
53.49000000
USD
0.00000000
USD
1500000.00000000
USD
95171.34000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
FSWP: OIS 3.611700 02-APR-2054 SOF
000000000
200000.00000000
OU
Notional Amount
USD
3605.68000000
0.000844072959
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-04-02
7.08000000
USD
0.00000000
USD
200000.00000000
USD
3598.60000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.660700 23-OCT-2029 SOF
000000000
3000000.00000000
OU
Notional Amount
USD
17633.05000000
0.004127815195
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-10-23
29.27000000
USD
0.00000000
USD
3000000.00000000
USD
17603.78000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.189000 20-OCT-2028
000000000
22300000.00000000
OU
Notional Amount
USD
2167108.71000000
0.507310094627
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-10-20
165.77000000
USD
0.00000000
USD
22300000.00000000
USD
2166942.94000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.680200 07-JUN-2054 SOF
000000000
500000.00000000
OU
Notional Amount
USD
798.36000000
0.000186892371
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-06-07
17.77000000
USD
0.00000000
USD
500000.00000000
USD
780.59000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 3.177500 05-JUL-2053 SOF
000000000
1200000.00000000
OU
Notional Amount
USD
109836.86000000
0.025712299333
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2053-07-05
36.57000000
USD
0.00000000
USD
1200000.00000000
USD
109800.29000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.755200 07-MAR-2034 SOF
000000000
1300000.00000000
OU
Notional Amount
USD
15650.76000000
0.003663770303
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-03-07
21.16000000
USD
0.00000000
USD
1300000.00000000
USD
15629.60000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.492200 20-AUG-2039 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
40022.17000000
0.009369004312
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-08-20
21.05000000
USD
0.00000000
USD
1000000.00000000
USD
40001.12000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.374200 25-APR-2029 SOF
000000000
3500000.00000000
OU
Notional Amount
USD
-65077.72000000
-0.01523439232
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-04-25
31.03000000
USD
0.00000000
USD
3500000.00000000
USD
-65108.75000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.079200 22-SEP-2033 SOF
000000000
600000.00000000
OU
Notional Amount
USD
-13336.35000000
-0.00312197766
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-22
9.37000000
USD
0.00000000
USD
600000.00000000
USD
-13345.72000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.266200 09-SEP-2034 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
88517.47000000
0.020721529046
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-09-09
33.99000000
USD
0.00000000
USD
2000000.00000000
USD
88483.48000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.824200 29-OCT-2039 SOF
000000000
1200000.00000000
OU
Notional Amount
USD
-744.30000000
-0.00017423717
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-10-29
25.49000000
USD
0.00000000
USD
1200000.00000000
USD
-769.79000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
FSWP: OIS 3.829700 02-APR-2039 SOF
000000000
400000.00000000
OU
Notional Amount
USD
2934.01000000
0.000686838128
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-04-02
8.26000000
USD
0.00000000
USD
400000.00000000
USD
2925.75000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.738200 22-SEP-2053 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
-11643.89000000
-0.00272578062
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-09-22
35.06000000
USD
0.00000000
USD
1000000.00000000
USD
-11678.95000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.811700 07-FEB-2039 SOF
000000000
500000.00000000
OU
Notional Amount
USD
5924.90000000
0.001386991601
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-02-07
10.25000000
USD
0.00000000
USD
500000.00000000
USD
5914.65000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.862500 30-MAR-2045
000000000
19747000.00000000
OU
Notional Amount
USD
8725835.91000000
2.042677702681
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2045-03-30
114229.54000000
USD
0.00000000
USD
19747000.00000000
USD
8611606.37000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.865200 07-JUN-2044 SOF
000000000
800000.00000000
OU
Notional Amount
USD
-1626.71000000
-0.00038080526
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-06-07
22.12000000
USD
0.00000000
USD
800000.00000000
USD
-1648.83000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.674700 24-OCT-2054 SOF
000000000
1300000.00000000
OU
Notional Amount
USD
-6539.51000000
-0.00153086895
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-10-24
46.46000000
USD
0.00000000
USD
1300000.00000000
USD
-6585.97000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.329200 20-SEP-2044 SOF
000000000
600000.00000000
OU
Notional Amount
USD
40820.75000000
0.009555948185
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-09-20
16.74000000
USD
0.00000000
USD
600000.00000000
USD
40804.01000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.387200 05-SEP-2049 SOF
000000000
600000.00000000
OU
Notional Amount
USD
34935.69000000
0.008178282943
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-05
19.40000000
USD
0.00000000
USD
600000.00000000
USD
34916.29000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.271200 07-JUL-2053 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
75909.12000000
0.017769972808
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-07-07
34.90000000
USD
0.00000000
USD
1000000.00000000
USD
75874.22000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.824200 29-OCT-2044 SOF
000000000
750000.00000000
OU
Notional Amount
USD
-2054.37000000
-0.00048091848
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-10-29
21.00000000
USD
0.00000000
USD
750000.00000000
USD
-2075.37000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.405700 25-SEP-2044 SOF
000000000
1500000.00000000
OU
Notional Amount
USD
85662.19000000
0.020053121245
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-09-25
41.86000000
USD
0.00000000
USD
1500000.00000000
USD
85620.33000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.872200 28-MAR-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
1137.83000000
0.000266360723
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-03-28
16.36000000
USD
0.00000000
USD
1000000.00000000
USD
1121.47000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.084700 13-MAY-2039 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
-24068.24000000
-0.00563426331
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-05-13
20.77000000
USD
0.00000000
USD
1000000.00000000
USD
-24089.01000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.663700 06-FEB-2034 SOF
000000000
2500000.00000000
OU
Notional Amount
USD
53123.65000000
0.012435999995
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-02-06
40.39000000
USD
0.00000000
USD
2500000.00000000
USD
53083.26000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.601700 12-JAN-2049 SOF
000000000
400000.00000000
OU
Notional Amount
USD
14814.38000000
0.003467977626
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-01-12
12.75000000
USD
0.00000000
USD
400000.00000000
USD
14801.63000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.666200 25-JAN-2054 SOF
000000000
700000.00000000
OU
Notional Amount
USD
8419.79000000
0.001971033775
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-01-25
24.72000000
USD
0.00000000
USD
700000.00000000
USD
8395.07000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.804200 24-OCT-2039 SOF
000000000
700000.00000000
OU
Notional Amount
USD
1263.71000000
0.000295828647
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-10-24
14.86000000
USD
0.00000000
USD
700000.00000000
USD
1248.85000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.283700 25-SEP-2054 SOF
000000000
950000.00000000
OU
Notional Amount
USD
63446.51000000
0.014852533628
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-09-25
33.91000000
USD
0.00000000
USD
950000.00000000
USD
63412.60000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.166200 20-MAY-2029 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
-20364.27000000
-0.00476718112
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-05-20
17.98000000
USD
0.00000000
USD
2000000.00000000
USD
-20382.25000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.546200 15-OCT-2054 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
18512.00000000
0.004333573312
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-10-15
35.72000000
USD
0.00000000
USD
1000000.00000000
USD
18476.28000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.289700 07-OCT-2031 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
60283.81000000
0.014112160231
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-07
27.06000000
USD
0.00000000
USD
2000000.00000000
USD
60256.75000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.774200 25-JAN-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
12394.10000000
0.002901401307
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-01-25
16.13000000
USD
0.00000000
USD
1000000.00000000
USD
12377.97000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.202200 09-SEP-2054 SOF
000000000
800000.00000000
OU
Notional Amount
USD
65981.27000000
0.015445909184
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-09-09
28.53000000
USD
0.00000000
USD
800000.00000000
USD
65952.74000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.465200 11-SEP-2026 SOF
000000000
4000000.00000000
OU
Notional Amount
USD
44376.61000000
0.010388358514
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-09-11
17.70000000
USD
0.00000000
USD
4000000.00000000
USD
44358.91000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.901700 07-JUN-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
-4562.69000000
-0.00106810456
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-06-07
16.65000000
USD
0.00000000
USD
1000000.00000000
USD
-4579.34000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.195700 20-SEP-2054 SOF
000000000
500000.00000000
OU
Notional Amount
USD
41457.50000000
0.009705008406
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-09-20
17.85000000
USD
0.00000000
USD
500000.00000000
USD
41439.65000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.088200 13-MAY-2034 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
-19222.79000000
-0.00449996595
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-05-13
16.54000000
USD
0.00000000
USD
1000000.00000000
USD
-19239.33000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.060000 18-SEP-2050
000000000
16655000.00000000
OU
Notional Amount
USD
7343812.50000000
1.719152434351
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-09-18
0.00000000
USD
-402263.03000000
USD
16655000.00000000
USD
7746075.53000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.641200 14-FEB-2054 SOF
000000000
600000.00000000
OU
Notional Amount
USD
9262.16000000
0.002168228683
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-02-14
21.19000000
USD
0.00000000
USD
600000.00000000
USD
9240.97000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 1.285000 07-DEC-2051
000000000
3700000.00000000
OU
Notional Amount
USD
1649252.47000000
0.386082351457
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-12-07
122.52000000
USD
0.00000000
USD
3700000.00000000
USD
1649129.95000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.880700 28-MAR-2039 SOF
000000000
700000.00000000
OU
Notional Amount
USD
1123.31000000
0.000262961659
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-03-28
14.45000000
USD
0.00000000
USD
700000.00000000
USD
1108.86000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.753200 24-OCT-2049 SOF
000000000
1900000.00000000
OU
Notional Amount
USD
-6245.60000000
-0.00146206598
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-10-24
61.63000000
USD
0.00000000
USD
1900000.00000000
USD
-6307.23000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.756700 11-MAR-2031 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
11227.59000000
0.002628326728
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-11
12.54000000
USD
0.00000000
USD
1000000.00000000
USD
11215.05000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.829200 25-JAN-2039 SOF
000000000
600000.00000000
OU
Notional Amount
USD
6224.53000000
0.001457133594
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-01-25
12.28000000
USD
0.00000000
USD
600000.00000000
USD
6212.25000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.208700 25-SEP-2029 SOF
000000000
2500000.00000000
OU
Notional Amount
USD
68522.72000000
0.016040850838
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-09-25
24.05000000
USD
0.00000000
USD
2500000.00000000
USD
68498.67000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.338700 09-SEP-2039 SOF
000000000
1000000.00000000
OU
Notional Amount
USD
56652.01000000
0.013261972701
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-09-09
21.10000000
USD
0.00000000
USD
1000000.00000000
USD
56630.91000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.330200 07-OCT-2054 SOF
000000000
600000.00000000
OU
Notional Amount
USD
34673.14000000
0.008116821206
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-10-07
21.42000000
USD
0.00000000
USD
600000.00000000
USD
34651.72000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.984700 27-JUN-2029 SOF
000000000
3000000.00000000
OU
Notional Amount
USD
-10924.47000000
-0.00255736774
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-06-27
27.54000000
USD
0.00000000
USD
3000000.00000000
USD
-10952.01000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 3.133500 27-JUN-2053 SOF
000000000
900000.00000000
OU
Notional Amount
USD
89934.30000000
0.021053202376
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2053-06-27
27.40000000
USD
0.00000000
USD
900000.00000000
USD
89906.90000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.693200 24-OCT-2031 SOF
000000000
4000000.00000000
OU
Notional Amount
USD
19321.29000000
0.004523024347
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-24
54.45000000
USD
0.00000000
USD
4000000.00000000
USD
19266.84000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.280200 25-APR-2031 SOF
000000000
1200000.00000000
OU
Notional Amount
USD
-28316.14000000
-0.00662867700
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-04-25
15.31000000
USD
0.00000000
USD
1200000.00000000
USD
-28331.45000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.671200 28-MAR-2054 SOF
000000000
200000.00000000
OU
Notional Amount
USD
1477.59000000
0.000345896963
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-03-28
7.08000000
USD
0.00000000
USD
200000.00000000
USD
1470.51000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.826700 14-FEB-2039 SOF
000000000
500000.00000000
OU
Notional Amount
USD
4892.39000000
0.001145285800
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-02-14
10.26000000
USD
0.00000000
USD
500000.00000000
USD
4882.13000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 1.242000 15-DEC-2031
000000000
18300000.00000000
OU
Notional Amount
USD
3550457.67000000
0.831145668062
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-12-15
230.14000000
USD
0.00000000
USD
18300000.00000000
USD
3550227.53000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.472700 18-JUL-2043 SOF
000000000
1200000.00000000
OU
Notional Amount
USD
60939.42000000
0.014265635491
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2043-07-18
32.13000000
USD
0.00000000
USD
1200000.00000000
USD
60907.29000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.254200 22-AUG-2054 SOF
000000000
400000.00000000
OU
Notional Amount
USD
29701.00000000
0.006952866301
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-08-22
14.25000000
USD
0.00000000
USD
400000.00000000
USD
29686.75000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 1.002000 07-DEC-2026
000000000
3800000.00000000
OU
Notional Amount
USD
376016.38000000
0.088023690015
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-12-07
15.95000000
USD
0.00000000
USD
3800000.00000000
USD
376000.43000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.108000 19-OCT-2040
000000000
20700000.00000000
OU
Notional Amount
USD
6715395.23000000
1.572042867009
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2040-10-19
355351.71000000
USD
0.00000000
USD
20700000.00000000
USD
6360043.52000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.280700 09-SEP-2049 SOF
000000000
1200000.00000000
OU
Notional Amount
USD
90294.36000000
0.021137490751
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-09
38.81000000
USD
0.00000000
USD
1200000.00000000
USD
90255.55000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.052700 31-AUG-2028 SOF
000000000
800000.00000000
OU
Notional Amount
USD
-5209.38000000
-0.00121949168
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-08-31
6.13000000
USD
0.00000000
USD
800000.00000000
USD
-5215.51000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 4.135200 09-APR-2029 SOF
000000000
2000000.00000000
OU
Notional Amount
USD
-13586.92000000
-0.00318063493
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-04-09
0.00000000
USD
-41.46000000
USD
2000000.00000000
USD
-13545.46000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.745200 04-APR-2054 SOF
000000000
500000.00000000
OU
Notional Amount
USD
-3303.47000000
-0.00077332700
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-04-04
17.71000000
USD
0.00000000
USD
500000.00000000
USD
-3321.18000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.757700 07-MAR-2039 SOF
000000000
500000.00000000
OU
Notional Amount
USD
8438.70000000
0.001975460518
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2039-03-07
10.29000000
USD
0.00000000
USD
500000.00000000
USD
8428.41000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.283700 10-SEP-2049 SOF
000000000
400000.00000000
OU
Notional Amount
USD
29878.91000000
0.006994514206
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-10
12.94000000
USD
0.00000000
USD
400000.00000000
USD
29865.97000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.794200 07-FEB-2044 SOF
000000000
500000.00000000
OU
Notional Amount
USD
7001.26000000
0.001638962483
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2044-02-07
13.66000000
USD
0.00000000
USD
500000.00000000
USD
6987.60000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.512200 06-FEB-2054 SOF
000000000
600000.00000000
OU
Notional Amount
USD
23847.20000000
0.005582518880
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-02-06
21.18000000
USD
0.00000000
USD
600000.00000000
USD
23826.02000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.759200 29-OCT-2049 SOF
000000000
800000.00000000
OU
Notional Amount
USD
-3556.97000000
-0.00083267017
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-10-29
25.95000000
USD
0.00000000
USD
800000.00000000
USD
-3582.92000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.690700 15-MAR-2049 SOF
000000000
400000.00000000
OU
Notional Amount
USD
7488.25000000
0.001752964582
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-03-15
12.79000000
USD
0.00000000
USD
400000.00000000
USD
7475.46000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.560700 18-JUL-2033 SOF
000000000
1500000.00000000
OU
Notional Amount
USD
30706.97000000
0.007188359210
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-07-18
23.00000000
USD
0.00000000
USD
1500000.00000000
USD
30683.97000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.272200 20-SEP-2049 SOF
000000000
700000.00000000
OU
Notional Amount
USD
53158.17000000
0.012444080967
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-20
22.66000000
USD
0.00000000
USD
700000.00000000
USD
53135.51000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.598200 19-JAN-2054 SOF
000000000
550000.00000000
OU
Notional Amount
USD
13726.84000000
0.003213389557
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-01-19
19.41000000
USD
0.00000000
USD
550000.00000000
USD
13707.43000000
N
N
N
LCH Ltd.
F226TOH6YD6XJB17KS62
SWP: OIS 3.974200 20-FEB-2029 SOF
000000000
3500000.00000000
OU
Notional Amount
USD
10658.57000000
0.002495121786
N/A
DIR
US
N
2
LCH Ltd.
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-02-20
29.89000000
USD
0.00000000
USD
3500000.00000000
USD
10628.68000000
N
N
N
2024-11-29
iShares U.S. ETF Trust
Chuck Pulsfort
Chuck Pulsfort
Assistant Treasurer