0000869392-23-002111.txt : 20230925
0000869392-23-002111.hdr.sgml : 20230925
20230925131318
ACCESSION NUMBER: 0000869392-23-002111
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230731
FILED AS OF DATE: 20230925
DATE AS OF CHANGE: 20230925
PERIOD START: 20230731
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PUTNAM PREMIER INCOME TRUST
CENTRAL INDEX KEY: 0000827773
IRS NUMBER: 042995046
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05452
FILM NUMBER: 231274524
BUSINESS ADDRESS:
STREET 1: 100 FEDERAL STREET
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 6172921000
MAIL ADDRESS:
STREET 1: 100 FEDERAL STREET
CITY: BOSTON
STATE: MA
ZIP: 02110
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000827773
XXXXXXXX
Putnam Premier Income Trust
811-05452
0000827773
G5048SOHSFOQHNEL1E85
100 FEDERAL STREET
BOSTON
02110
1-800-225-1581
Putnam Premier Income Trust
G5048SOHSFOQHNEL1E85
2023-07-31
2023-07-31
N
668582840.89
298769991.51
369812849.06
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
83893.88
AUD
CAD
CHF
EUR
GBP
NZD
SEK
USD
N
CITIGROUP MORTGAGE LOAN TRUST INC
549300R1KUK063S4I339
ASSET BACKED SECURITY
17312EAE6
1600626.58
PA
USD
1311973.42
0.354766856624
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.762
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4
N/A
ASSET BACKED SECURITY
35563PMX4
346000
PA
USD
293289.94
0.079307666228
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
4.5
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-2
N/A
ASSET BACKED SECURITY
89177JAB4
1033000
PA
USD
916704.24
0.247883285378
Long
ABS-MBS
CORP
US
N
2
2058-12-25
Variable
3.75
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2018-5
N/A
ASSET BACKED SECURITY
89176VAC6
815000
PA
USD
642877.13
0.173838505513
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Variable
3.25
N
N
N
N
N
N
ROCKET SOFTWARE INC
549300PVG26ISP5X1556
BANK LOAN NOTE
77313DAN1
643320.31
PA
USD
640669.83
0.173241636041
Long
DBT
CORP
US
N
2
2025-11-28
Floating
9.392
N
N
N
N
N
N
ROBERTSHAW US HOLDING CORP
549300NMXRV2JIXFIY04
BANK LOAN NOTE
77051UAL3
162000
PA
USD
35640
0.009637307111
Long
DBT
CORP
US
N
2
2027-02-28
Floating
13.342
N
N
N
N
N
N
FOREST CITY ENTERPRISES LP
54930078MCT017XXRD21
BANK LOAN NOTE
34555QAF7
185142.85
PA
USD
160148.57
0.043305301697
Long
DBT
CORP
US
N
2
2025-12-07
Floating
8.933
N
N
N
N
N
N
GENESYS CLOUD SERVICES HOLDINGS II LLC
549300CVRD4OUCPHWQ42
BANK LOAN NOTE
39479UAQ6
125951.52
PA
USD
125715.99
0.033994489461
Long
DBT
CORP
US
N
2
2027-12-01
Floating
9.346
N
N
N
N
N
N
PETSMART LLC
N/A
BANK LOAN NOTE
71677HAL9
1357168.86
PA
USD
1354983.82
0.366397171825
Long
DBT
CORP
US
N
2
2028-01-29
Floating
9.169
N
N
N
N
N
N
CQP HOLDCO LP
549300LPL012JY5D4B69
BANK LOAN NOTE
12657QAB9
1691110.39
PA
USD
1689351.64
0.456812586230
Long
DBT
CORP
US
N
2
2028-05-27
Floating
9.048
N
N
N
N
N
N
DIRECTV FINANCING LLC
N/A
BANK LOAN NOTE
25460HAB8
531654.54
PA
USD
527752.2
0.142707913298
Long
DBT
CORP
US
N
2
2027-07-22
Floating
10.433
N
N
N
N
N
N
VISION SOLUTIONS INC
N/A
BANK LOAN NOTE
70477BAE2
446590.92
PA
USD
426413.94
0.115305333788
Long
DBT
CORP
US
N
2
2028-04-24
Floating
9.863
N
N
N
N
N
N
IRB HOLDING CORP
549300HVW4WNWYBXN830
BANK LOAN NOTE
N/A
802967.01
PA
USD
798149.21
0.215825169955
Long
DBT
CORP
US
N
2
2027-12-15
Floating
8.419
N
N
N
N
N
N
PROOFPOINT INC
529900C5FODDK0WSR085
BANK LOAN NOTE
74345HAD3
115000
PA
USD
113885.65
0.030795482171
Long
DBT
CORP
US
N
2
2029-08-31
Floating
11.56
N
N
N
N
N
N
CLOUD SOFTWARE GROUP INC
04EEB871XLHVNY4RZJ65
BANK LOAN NOTE
N/A
287280
PA
USD
274743.1
0.074292470015
Long
DBT
CORP
US
N
2
2029-03-30
Floating
9.842
N
N
N
N
N
N
AXALTA COATING SYSTEMS US HOLDINGS INC
549300NZ43V4QV4UGN28
BANK LOAN NOTE
90347BAJ7
502762.5
PA
USD
503938.96
0.136268645419
Long
DBT
CORP
US
N
2
2029-12-07
Floating
8.242
N
N
N
N
N
N
CHART INDUSTRIES INC
EM7QGKC1GYOF3LSZSL80
BANK LOAN NOTE
N/A
1076302.5
PA
USD
1076302.5
0.291039779374
Long
DBT
CORP
US
N
2
2029-12-08
Floating
9.105
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
BANK LOAN NOTE
C7052BAJ3
242942.89
PA
USD
243163.97
0.065753250764
Long
DBT
CORP
CA
N
2
2027-05-31
Floating
8.145
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HOLDINGS INC
N/A
BANK LOAN NOTE
18452RAD7
494773.71
PA
USD
478461.02
0.129379230932
Long
DBT
CORP
US
N
2
2026-08-21
Floating
8.81
N
N
N
N
N
N
TIAA REAL ESTATE CDO LTD
N/A
COLLATERALIZED DEBT OBLIGATION
88631FAA6
1081996.2
PA
USD
10.82
0.000002925804
Long
ABS-MBS
CORP
US
N
2
2038-12-28
Fixed
8
Y
Y
N
N
N
N
MEZZ CAP COMMERCIAL MORTGAGE TRUST
N/A
COMMERCIAL MORT BACKED SEC IO
59317EAB9
26213.44
PA
USD
0.26
0.000000070306
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
6.571
N
N
N
N
N
N
COMM 2014-CCRE17 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12631DAG8
617000
PA
USD
544002.92
0.147102222484
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
4.844
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92936CBA6
2560000
PA
USD
1616243.2
0.437043548949
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
5
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46641WAG2
914000
PA
USD
858600.63
0.232171659850
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Variable
4.628
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46643PAN0
1404000
PA
USD
974589.41
0.263535843191
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
3.934
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46643PAQ3
1823000
PA
USD
1127195.54
0.304801615970
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
3.332
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21
5493000F7E2NMQ4HIO61
COMMERCIAL MORTGAGE BACKED SECURITIES
92939FAY5
514000
PA
USD
426240.67
0.115258480359
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
4.234
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61763UAG7
1025000
PA
USD
782331.25
0.211547882122
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.5
N
N
N
N
N
N
COMM 2014-CCRE19 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12592GAG8
507000
PA
USD
443914.29
0.120037551731
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
4.697
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46643AAG8
574000
PA
USD
459199.83
0.124170869446
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
3.98
N
N
N
N
N
N
COMM 2015-DC1 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12629NAJ4
906000
PA
USD
781045.39
0.211200176518
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
4.035
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46641JAG1
914000
PA
USD
535957.72
0.144926743720
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Variable
4.235
N
N
N
N
N
N
CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST
549300UFJ8EKD81Y8R30
COMMERCIAL MORTGAGE BACKED SECURITIES
126281AL8
1390000
PA
USD
837310.42
0.226414637060
Long
ABS-MBS
CORP
US
N
2
2050-04-15
Variable
3.751
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61764PAN2
1493000
PA
USD
1203873.09
0.325535765742
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.25
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12527DAH3
2121000
PA
USD
1357440
0.367061340202
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
5.25
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C22
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61690FAS2
1227000
PA
USD
1063364.83
0.287541342250
Long
ABS-MBS
CORP
US
N
2
2048-04-15
Variable
4.201
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92938JAQ5
616000
PA
USD
589737.02
0.159469045356
Long
ABS-MBS
CORP
US
N
2
2046-03-15
Variable
5.027
N
N
N
N
N
N
BWAY 2022-26BW MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12429EAN7
1247000
PA
USD
762965.73
0.206311309069
Long
ABS-MBS
CORP
US
N
2
2044-02-10
Variable
4.866
N
N
N
N
N
N
RIAL 2022-FL8 ISSUER LTD
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
76243NAE6
1046000
PA
USD
1004160
0.271531939075
Long
ABS-MBS
CORP
BM
N
2
2037-01-19
Floating
8.48
N
N
N
N
N
N
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
35563GAB5
1746000
PA
USD
1638771.68
0.443135408671
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Floating
9.069
N
N
N
N
N
N
READY CAPITAL MORTGAGE FINANCING 2022-FL9 LLC
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
75574EAA5
903683.03
PA
USD
901317.19
0.243722518644
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
7.765
N
N
N
N
N
N
CSMC 2022-NWPT
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12663MAA2
511000
PA
USD
510472.49
0.138035357965
Long
ABS-MBS
CORP
US
N
2
2024-09-09
Floating
8.365
N
N
N
N
N
N
COMM 2015-LC19 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
200474AG9
781000
PA
USD
601056.43
0.162529893574
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
4.214
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
17323CAS6
886000
PA
USD
670970.64
0.181435188557
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3
N
N
N
N
N
N
COMM 2014-UBS3 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12591YAG0
481000
PA
USD
320518.78
0.086670536412
Long
ABS-MBS
CORP
US
N
2
2047-06-10
Variable
4.764
N
N
N
N
N
N
COMM 2014-CCRE17 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12631DAJ2
919000
PA
USD
615261.31
0.166370993210
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
4.844
N
N
N
N
N
N
CD 2019-CD8 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12515BAR9
814000
PA
USD
510459.4
0.138031818337
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
3
N
N
N
N
N
N
BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
07335CAV6
802000
PA
USD
469198.87
0.126874680313
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
3.25
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01
549300HG8ZEWVWVSN227
COMMERCIAL MORTGAGE BACKED SECURITIES
62547NAB5
1191035.13
PA
USD
1172466.89
0.317043307981
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Floating
8.433
N
N
N
N
N
N
BENCHMARK 2019-B13 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
08162DAR9
781000
PA
USD
444482.72
0.120191259208
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.5
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01
5493002KQF9IH3CTQZ40
COMMERCIAL MORTGAGE BACKED SECURITIES
62548QAD3
1558000
PA
USD
1498204.12
0.405124950041
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
8.933
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61690QAS8
1499000
PA
USD
1244480.29
0.336516238731
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Variable
4.139
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
94989NAL1
265000
PA
USD
192551.57
0.052067301201
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Variable
4.498
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
17324DAA2
1273000
PA
USD
1003483.11
0.271348903249
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
3.225
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29
549300NYO16WLNMVJJ46
COMMERCIAL MORTGAGE BACKED SECURITIES
94989KBC6
819000
PA
USD
693953.69
0.187649967210
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Variable
4.218
N
N
N
N
N
N
COMM 2015-CCRE26 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12593QBK5
658000
PA
USD
425399.04
0.115030897677
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
3.466
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1
549300ZJL46M82UL2Z22
COMMERCIAL MORTGAGE BACKED SECURITIES
94989QBA7
710000
PA
USD
616969.62
0.166832932271
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
4.453
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33
549300JPCJUA5JJLRW54
COMMERCIAL MORTGAGE BACKED SECURITIES
95000LAJ2
1698000
PA
USD
1190656.28
0.321961847196
Long
ABS-MBS
CORP
US
N
2
2059-03-15
Fixed
3.123
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16
549300PX4QZK7CUM8D08
COMMERCIAL MORTGAGE BACKED SECURITIES
94988XAC0
2218000
PA
USD
164657.44
0.044524531914
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
3.938
N
N
N
N
N
N
CD 2017-CD3 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12515GAM9
1309000
PA
USD
614761.77
0.166235914075
Long
ABS-MBS
CORP
US
N
2
2050-02-10
Fixed
3.25
N
N
N
N
N
N
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46590TAL9
680000
PA
USD
484019.31
0.130882231710
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
4.512
N
N
N
N
N
N
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
465968AM7
577000
PA
USD
390570.15
0.105612920425
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
4.381
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST 2017-C3
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
90276GAY8
629000
PA
USD
505194.56
0.136608168506
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Variable
4.389
N
N
N
N
N
N
BENCHMARK 2018-B1 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
08162PBB6
735000
PA
USD
572445.71
0.154793353302
Long
ABS-MBS
CORP
US
N
2
2051-01-15
Variable
4.189
N
N
N
N
N
N
BENCHMARK 2018-B3 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
08161BAA1
1213000
PA
USD
758020.8
0.204974165156
Long
ABS-MBS
CORP
US
N
2
2051-04-10
Variable
3.025
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10
549300P1YQ48837ZOI22
COMMERCIAL MORTGAGE BACKED SECURITIES
61762MBG5
1988000
PA
USD
100041.73
0.027051988662
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
3.989
N
N
N
N
N
N
COMM 2018-COR3 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12595VAN7
672000
PA
USD
341837.19
0.092435184680
Long
ABS-MBS
CORP
US
N
2
2051-05-10
Variable
2.809
N
N
N
N
N
N
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2018-C8
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46591ABG9
420000
PA
USD
339486
0.091799406338
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Variable
4.769
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-H3
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61767YBE9
576000
PA
USD
467319.17
0.126366396189
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Variable
4.851
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2014-GC24
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
36253GAS1
2827000
PA
USD
1267995.16
0.342874825259
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Variable
4.525
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2019-GC38
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
36252SAA5
1109000
PA
USD
709809.24
0.191937419645
Long
ABS-MBS
CORP
US
N
2
2052-02-10
Fixed
3
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2006-HQ10
549300T7A7LUR8384661
COMMERCIAL MORTGAGE BACKED SECURITIES
61750HAH9
384504.91
PA
USD
322215.11
0.087129235996
Long
ABS-MBS
CORP
US
N
2
2041-11-12
Variable
5.448
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46635TBG6
1113000
PA
USD
281160.61
0.076027809935
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Variable
5.526
N
N
N
N
N
N
DBUBS 2011-LC3 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
23305YAM1
467785.53
PA
USD
410442.04
0.110986419494
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
5.359
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2011-GC5
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
36191YAG3
533000
PA
USD
415574.66
0.112374316105
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
5.152
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12527DAG5
1068000
PA
USD
875760
0.236811674399
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
5.08
N
N
N
N
N
N
WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2004-C15
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
929766WV1
20811.82
PA
USD
18726.48
0.005063772134
Long
ABS-MBS
CORP
US
N
2
2041-10-15
Variable
5.395
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46634SAM7
659000
PA
USD
529878.84
0.143282971737
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
4.964
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61761DAH5
668133.79
PA
USD
615172.16
0.166346886422
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Variable
4.536
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61761DAS1
619000
PA
USD
434230.91
0.117419097553
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Variable
4.522
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92890NAE9
687000
PA
USD
358149.52
0.096846153645
Long
ABS-MBS
CORP
US
N
2
2045-12-15
Variable
4.393
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2013-GC10
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
36192CAQ8
1423000
PA
USD
1211130.95
0.327498342223
Long
ABS-MBS
CORP
US
N
2
2046-02-10
Variable
4.537
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46639YAV9
508000
PA
USD
445685.93
0.120516615670
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Fixed
3.499
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46639YAX5
1312000
PA
USD
806751.29
0.218151232995
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
4.168
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61762TAN6
1900000
PA
USD
110980.14
0.030009811796
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.326
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15
5493003CHVRASC16O965
COMMERCIAL MORTGAGE BACKED SECURITIES
92938CAL1
2693000
PA
USD
665529.17
0.179963776730
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.414
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12
549300V2DF3KW9L1CV04
COMMERCIAL MORTGAGE BACKED SECURITIES
94988QAU5
356000
PA
USD
132081.91
0.035715879082
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.195
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46640LAN2
1265000
PA
USD
664406.08
0.179660085281
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.355
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
61762XAC1
929000
PA
USD
770046.43
0.208225980238
Long
ABS-MBS
CORP
US
N
2
2046-10-15
Variable
4.913
N
N
N
N
N
N
COMM 2013-CCRE12 MORTGAGE TRUST
549300MGZ5FI5VFL1177
COMMERCIAL MORTGAGE BACKED SECURITIES
12591KAG0
1123000
PA
USD
950698.56
0.257075589022
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Fixed
4.3
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92938JAN2
457000
PA
USD
434393.72
0.117463122524
Long
ABS-MBS
CORP
US
N
2
2046-03-15
Variable
5.027
N
N
N
N
N
N
COMM 2013-CCRE13 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12630BAE8
581000
PA
USD
490677.86
0.132682750545
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
4.872
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2014-GC18
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
36252RBC2
700000
PA
USD
577489.5
0.156157229655
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Variable
4.885
N
N
N
N
N
N
COMM 2012-CCRE3 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12624PAW5
1755510
PA
USD
393905.9
0.106514930728
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
4.75
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
92930RAK8
537000
PA
USD
463659.23
0.125376722626
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Variable
4.719
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46641JAE6
2173000
PA
USD
1510311.06
0.408398751920
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Variable
4.735
N
N
N
N
N
N
COMM 2014-CCRE16 MORTGAGE TRUST
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
12591VAK7
912000
PA
USD
782378.72
0.211560718344
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
4.916
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11
N/A
COMMERCIAL MORTGAGE BACKED SECURITIES
46639YAC1
1807000
PA
USD
786045
0.212552106288
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
1277000
PA
USD
225100.11
0.060868655746
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.355
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10
549300P1YQ48837ZOI22
COMMERCIAL MORTGAGE BACKED SECURITIES
61762MBE0
2187000
PA
USD
579876.49
0.156802688569
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
3.989
N
N
N
N
N
N
PROGRESS SOFTWARE CORP
549300R65B3JG6972S24
CONV. NOTE
743312AB6
167000
PA
USD
187374
0.050667249793
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
1
N
N
N
N
N
PROGRESS SOFTWARE CORP
COMMON STOCK
USD
XXXX
N
N
N
JOHN BEAN TECHNOLOGIES CORP
5493007CT6ATBZ2L6826
CONV. NOTE
477839AB0
235000
PA
USD
224072.5
0.060590782762
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
.25
N
N
N
N
N
JOHN BEAN TECHNOLOGIES CORP
COMMON STOCK
USD
XXXX
N
N
N
ETSY INC
54930089Q7XT501AEA40
CONV. NOTE
29786AAN6
450000
PA
USD
363600
0.098320001840
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
.25
N
N
N
N
N
ETSY INC
COMMON STOCK
USD
XXXX
N
N
N
CHEESECAKE FACTORY INC/THE
529900872XMLK10SY247
CONV. NOTE
163072AA9
158000
PA
USD
133510
0.036102044680
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
.375
N
N
N
N
N
CHEESECAKE FACTORY INC/THE
COMMON STOCK
USD
XXXX
N
N
N
BENTLEY SYSTEMS INC
549300WVEHPGE0Z56F71
CONV. NOTE
08265TAD1
235000
PA
USD
210560
0.056936907556
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
.375
N
N
N
N
N
BENTLEY SYSTEMS INC
COMMON STOCK
USD
XXXX
N
N
N
SHIFT4 PAYMENTS INC
N/A
CONV. NOTE
82452JAD1
282000
PA
USD
250698
0.067790505559
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
.5
N
N
N
N
N
SHIFT4 PAYMENTS INC
COMMON STOCK
USD
XXXX
N
N
N
UPWORK INC
5493004QJ6WWBXVE2S70
CONV. NOTE
91688FAB0
199000
PA
USD
165447.12
0.044738066949
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
.25
N
N
N
N
N
UPWORK INC
COMMON STOCK
USD
XXXX
N
N
N
BEAUTY HEALTH CO/THE
5493001Z2JZQT4C63C50
CONV. NOTE
88331LAA6
223000
PA
USD
176170
0.047637609252
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
1.25
N
N
N
N
N
BEAUTY HEALTH CO/THE
COMMON STOCK
USD
XXXX
N
N
N
BIOMARIN PHARMACEUTICAL INC
NSLL8ITTRR0J5HEMR848
CONV. NOTE
09061GAK7
180000
PA
USD
180761.85
0.048879277845
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
1.25
N
N
N
N
N
BIOMARIN PHARMACEUTICAL INC
COMMON STOCK
USD
XXXX
N
N
N
FIVE9 INC
254900MXP6EWY0SFFR59
CONV. NOTE
338307AD3
139000
PA
USD
137749
0.037248300147
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
.5
N
N
N
N
N
FIVE9 INC
COMMON STOCK
USD
XXXX
N
N
N
TELADOC HEALTH INC
549300I2PVFBC9MFAC61
CONV. NOTE
87918AAF2
202000
PA
USD
163236.2
0.044140218604
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
1.25
N
N
N
N
N
TELADOC HEALTH INC
COMMON STOCK
USD
XXXX
N
N
N
LYFT INC
549300H7I5VN334XVZ52
CONV. NOTE
55087PAB0
107000
PA
USD
97423.5
0.026344000823
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
1.5
N
N
N
N
N
LYFT INC
COMMON STOCK
USD
XXXX
N
N
N
HUBSPOT INC
529900BLNVEW0MVKJB37
CONV. NOTE
443573AD2
183000
PA
USD
379542
0.102630830963
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
.375
N
N
N
N
N
HUBSPOT INC
COMMON STOCK
USD
XXXX
N
N
N
SPLUNK INC
549300XGDSGBP6UEI867
CONV. NOTE
848637AF1
459000
PA
USD
395428.5
0.106926652496
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
1.125
N
N
N
N
N
SPLUNK INC
COMMON STOCK
USD
XXXX
N
N
N
PALO ALTO NETWORKS INC
549300QXR2YVZV231H43
CONV. NOTE
697435AF2
68000
PA
USD
170918
0.046217431448
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
.375
N
N
N
N
N
PALO ALTO NETWORKS INC
COMMON STOCK
USD
XXXX
N
N
N
OKTA INC
549300N8J06I8MRHU620
CONV. NOTE
679295AF2
338000
PA
USD
290173
0.078464823691
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
.375
N
N
N
N
N
OKTA INC
COMMON STOCK
USD
XXXX
N
N
N
DATADOG INC
549300F6JNO0KRPO1K63
CONV. NOTE
23804LAB9
208000
PA
USD
285121.17
0.077098773265
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
.125
N
N
N
N
N
DATADOG INC
COMMON STOCK
USD
XXXX
N
N
N
ZSCALER INC
529900MZ0RTK1BWRNF46
CONV. NOTE
98980GAB8
120000
PA
USD
147350.28
0.039844553907
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
.125
N
N
N
N
N
ZSCALER INC
COMMON STOCK
USD
XXXX
N
N
N
NCL CORP LTD
UNZWILHE4KMRP9K2L524
CONV. NOTE
62886HAX9
88000
PA
USD
122408
0.033099985658
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
5.375
N
N
N
N
N
NORWEGIAN CRUISE LINE HOLDINGS LTD
COMMON STOCK
USD
XXXX
N
N
N
WAYFAIR INC
54930027N9ZAVYFDHK53
CONV. NOTE
94419LAM3
263000
PA
USD
224872.81
0.060807192225
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
.625
N
N
N
N
N
WAYFAIR INC
COMMON STOCK
USD
XXXX
N
N
N
MIDDLEBY CORP/THE
JDFO86U9VQRBKW5KYA35
CONV. NOTE
596278AB7
220000
PA
USD
277310
0.074986577861
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1
N
N
N
N
N
MIDDLEBY CORP/THE
COMMON STOCK
USD
XXXX
N
N
N
CINEMARK HOLDINGS INC
549300LL2QMPTYIE0K55
CONV. NOTE
17243VAB8
86000
PA
USD
117820
0.031859358132
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
4.5
N
N
N
N
N
CINEMARK HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
BLOCK INC
549300OHIIUWSTIZME52
CONV. NOTE
852234AK9
253000
PA
USD
197656.25
0.053447642639
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
.25
N
N
N
N
N
BLOCK INC
COMMON STOCK
USD
XXXX
N
N
N
AKAMAI TECHNOLOGIES INC
OC1LZNN2LF5WTJ5RIL89
CONV. NOTE
00971TAL5
258000
PA
USD
253485
0.068544129996
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
.375
N
N
N
N
N
AKAMAI TECHNOLOGIES INC
COMMON STOCK
USD
XXXX
N
N
N
WORKIVA INC
529900RTOQ8GRWHY1O58
CONV. NOTE
98139AAB1
121000
PA
USD
173528.97
0.046923456132
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.125
N
N
N
N
N
WORKIVA INC
COMMON STOCK
USD
XXXX
N
N
N
INSULET CORP
549300TZTYD2PYN92D43
CONV. NOTE
45784PAK7
183000
PA
USD
242383.5
0.065542206177
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
.375
N
N
N
N
N
INSULET CORP
COMMON STOCK
USD
XXXX
N
N
N
ZILLOW GROUP INC
2549002XEELQDIR6FU05
CONV. NOTE
98954MAG6
318000
PA
USD
420237
0.113635045691
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
1.375
N
N
N
N
N
ZILLOW GROUP INC
COMMON STOCK
USD
XXXX
N
N
N
ZIFF DAVIS INC
5493008OJYGLHD7MXA18
CONV. NOTE
48123VAE2
182000
PA
USD
172900
0.046753378213
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
1.75
N
N
N
N
N
ZIFF DAVIS INC
COMMON STOCK
USD
XXXX
N
N
N
LUMENTUM HOLDINGS INC
549300JLWRRC38DWEF52
CONV. NOTE
55024UAD1
302000
PA
USD
260955.66
0.070564249096
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
.5
N
N
N
N
N
LUMENTUM HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
MONGODB INC
549300TPTG69WKWE1Z37
CONV. NOTE
60937PAD8
230000
PA
USD
469545
0.126968276303
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
.25
N
N
N
N
N
MONGODB INC
COMMON STOCK
USD
XXXX
N
N
N
PEGASYSTEMS INC
549300FMCOKPL06FYN26
CONV. NOTE
705573AB9
159000
PA
USD
145882.5
0.039447655854
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
.75
N
N
N
N
N
PEGASYSTEMS INC
COMMON STOCK
USD
XXXX
N
N
N
EXACT SCIENCES CORP
549300VM3X1FYD4N9Z14
CONV. NOTE
30063PAC9
398000
PA
USD
412874.12
0.111644071062
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
.375
N
N
N
N
N
EXACT SCIENCES CORP
COMMON STOCK
USD
XXXX
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
CONV. NOTE
09857LAN8
200000
PA
USD
323500
0.087476679305
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
.75
N
N
N
N
N
BOOKING HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
SOUTHWEST AIRLINES CO
UDTZ87G0STFETI6HGH41
CONV. NOTE
844741BG2
424000
PA
USD
465976
0.126003193557
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
1.25
N
N
N
N
N
SOUTHWEST AIRLINES CO
COMMON STOCK
USD
XXXX
N
N
N
NEUROCRINE BIOSCIENCES INC
549300FECER0XBN49756
CONV. NOTE
64125CAD1
92000
PA
USD
125442
0.033920400635
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
2.25
N
N
N
N
N
NEUROCRINE BIOSCIENCES INC
COMMON STOCK
USD
XXXX
N
N
N
JAZZ INVESTMENTS I LTD
N/A
CONV. NOTE
472145AD3
252000
PA
USD
241542
0.065314658648
Long
DBT
CORP
IE
N
2
2024-08-15
Fixed
1.5
N
N
N
N
N
JAZZ PHARMACEUTICALS PLC
COMMON STOCK
USD
XXXX
N
N
N
AKAMAI TECHNOLOGIES INC
OC1LZNN2LF5WTJ5RIL89
CONV. NOTE
00971TAJ0
202000
PA
USD
220353.39
0.059585109214
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
.125
N
N
N
N
N
AKAMAI TECHNOLOGIES INC
COMMON STOCK
USD
XXXX
N
N
N
INTEGER HOLDINGS CORP
549300SUD2ED5XG6X569
CONV. NOTE
45826HAA7
135000
PA
USD
164430
0.044463030535
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.125
N
N
N
N
N
INTEGER HOLDINGS CORP
COMMON STOCK
USD
XXXX
N
N
N
NABORS INDUSTRIES INC
549300VFQWRKICUFNU92
CONV. NOTE
62957HAK1
138000
PA
USD
119439
0.032297147139
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
1.75
N
N
N
N
N
NABORS INDUSTRIES LTD
COMMON STOCK
USD
XXXX
N
N
N
SOUTHERN CO/THE
549300FC3G3YU2FBZD92
CONV. NOTE
842587DN4
332000
PA
USD
333162
0.090089352181
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
3.875
N
N
N
N
N
SOUTHERN CO/THE
COMMON STOCK
USD
XXXX
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
CONV. NOTE
682189AT2
329000
PA
USD
400615.63
0.108329288995
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
.5
N
N
N
N
N
ON SEMICONDUCTOR CORP
COMMON STOCK
USD
XXXX
N
N
N
CMS ENERGY CORP
549300IA9XFBAGNIBW29
CONV. NOTE
125896BW9
179000
PA
USD
178105
0.048160846886
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.375
N
N
N
N
N
CMS ENERGY CORP
COMMON STOCK
USD
XXXX
N
N
N
DEXCOM INC
549300YSK3QDSFR5EU59
CONV. NOTE
252131AL1
558000
PA
USD
560790
0.151641567194
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
.375
N
N
N
N
N
DEXCOM INC
COMMON STOCK
USD
XXXX
N
N
N
WELLTOWER OP LLC
T6IZ0MBEG5ACZDTR7D06
CONV. NOTE
95041AAB4
335000
PA
USD
340527.5
0.092081035277
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
2.75
N
N
N
N
N
WELLTOWER INC
COMMON STOCK
USD
XXXX
N
N
N
GRANITE CONSTRUCTION INC
549300OM4BWMCIXVCZ39
CONV. NOTE
387328AC1
101000
PA
USD
110498.9
0.029879681109
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.75
N
N
N
N
N
GRANITE CONSTRUCTION INC
COMMON STOCK
USD
XXXX
N
N
N
LUMENTUM HOLDINGS INC
549300JLWRRC38DWEF52
CONV. NOTE
55024UAG4
69000
PA
USD
67896
0.018359556779
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
1.5
N
N
N
N
N
LUMENTUM HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
IMPINJ INC
549300M26VGKSMMWWN17
CONV. NOTE
453204AD1
180000
PA
USD
168564.71
0.045581085251
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
1.125
N
N
N
N
N
IMPINJ INC
COMMON STOCK
USD
XXXX
N
N
N
PATRICK INDUSTRIES INC
549300FZ5ZTCCJ3Z5W14
CONV. NOTE
703343AG8
125000
PA
USD
126500
0.034206491289
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
1.75
N
N
N
N
N
PATRICK INDUSTRIES INC
COMMON STOCK
USD
XXXX
N
N
N
NCL CORP LTD
UNZWILHE4KMRP9K2L524
CONV. NOTE
62886HBK6
81000
PA
USD
77557.5
0.020972094452
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.5
N
N
N
N
N
NORWEGIAN CRUISE LINE HOLDINGS LTD
COMMON STOCK
USD
XXXX
N
N
N
CONMED CORP
Z6C0YCECH9DCU5ZIQW84
CONV. NOTE
207410AH4
203000
PA
USD
213048.5
0.057609815490
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
2.25
N
N
N
N
N
CONMED CORP
COMMON STOCK
USD
XXXX
N
N
N
ALTAIR ENGINEERING INC
549300FJ89HZ6GU9S994
CONV. NOTE
021369AC7
189000
PA
USD
225949.5
0.061098336787
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
1.75
N
N
N
N
N
ALTAIR ENGINEERING INC
COMMON STOCK
USD
XXXX
N
N
N
CYTOKINETICS INC
549300BE5DY1HW7IHA64
CONV. NOTE
23282WAC4
113000
PA
USD
104580.36
0.028279266193
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.5
N
N
N
N
N
CYTOKINETICS INC
COMMON STOCK
USD
XXXX
N
N
N
LIBERTY MEDIA CORP-LIBERTY FORMULA ONE
N/A
CONV. NOTE
531229AQ5
303000
PA
USD
319059
0.086275801615
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
2.25
N
N
N
N
N
LIBERTY MEDIA CORP-LIBERTY FORMULA ONE
COMMON STOCK
USD
LIBERTY MEDIA CORP-LIBERTY FORMULA ONE
COMMON STOCK
USD
XXXX
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
CONV. NOTE
780153BQ4
152000
PA
USD
348688
0.094287691973
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
6
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
COMMON STOCK
USD
XXXX
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
CONV. NOTE
737446AT1
239000
PA
USD
237566
0.064239520234
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
2.5
N
N
N
N
N
POST HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
ALNYLAM PHARMACEUTICALS INC
529900S3ZI14OWRJII50
CONV. NOTE
02043QAB3
291000
PA
USD
283959.16
0.076784557573
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
1
N
N
N
N
N
ALNYLAM PHARMACEUTICALS INC
COMMON STOCK
USD
XXXX
N
N
N
SAREPTA THERAPEUTICS INC
549300IKDPIED8J8IG21
CONV. NOTE
803607AD2
190000
PA
USD
201521.34
0.054492790208
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
1.25
N
N
N
N
N
SAREPTA THERAPEUTICS INC
COMMON STOCK
USD
XXXX
N
N
N
WAYFAIR INC
54930027N9ZAVYFDHK53
CONV. NOTE
94419LAP6
176000
PA
USD
252120
0.068175024378
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
3.25
N
N
N
N
N
WAYFAIR INC
COMMON STOCK
USD
XXXX
N
N
N
NORTHERN OIL AND GAS INC
OKFF0PIZDDMNH4UCYE51
CONV. NOTE
665531AH2
223000
PA
USD
271707.19
0.073471538561
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.625
N
N
N
N
N
NORTHERN OIL AND GAS INC
COMMON STOCK
USD
XXXX
N
N
N
ENVESTNET INC
549300HLWZ5OKIDM8737
CONV. NOTE
29404KAF3
181000
PA
USD
194575
0.052614450930
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
2.625
N
N
N
N
N
ENVESTNET INC
COMMON STOCK
USD
XXXX
N
N
N
WOLFSPEED INC
549300OGU88P3AW3TO93
CONV. NOTE
977852AC6
182000
PA
USD
156702
0.042373324885
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
1.875
N
N
N
N
N
WOLFSPEED INC
COMMON STOCK
USD
XXXX
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
CONV. NOTE
143658BU5
280000
PA
USD
465220
0.125798765830
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.75
N
N
N
N
N
CARNIVAL CORP
COMMON STOCK
USD
XXXX
N
N
N
LANTHEUS HOLDINGS INC
5299005HUB5IOJGO7S39
CONV. NOTE
516544AA1
222000
PA
USD
295099.12
0.079796881247
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
2.625
N
N
N
N
N
LANTHEUS HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
AXON ENTERPRISE INC
549300QP2IEEGFE16681
CONV. NOTE
05464CAA9
321000
PA
USD
330469.5
0.089361281210
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
.5
N
N
N
N
N
AXON ENTERPRISE INC
COMMON STOCK
USD
XXXX
N
N
N
NEXTERA ENERGY PARTNERS LP
5493008F4ZOQFNG3WN54
CONV. NOTE
65341BAG1
245000
PA
USD
218907.5
0.059194130371
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
2.5
N
N
N
N
N
NEXTERA ENERGY PARTNERS LP
COMMON STOCK
USD
XXXX
N
N
N
CHEFS' WAREHOUSE INC/THE
549300JYEDC8C547E980
CONV. NOTE
163086AD3
175000
PA
USD
184362.5
0.049852918975
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
2.375
N
N
N
N
N
CHEFS' WAREHOUSE INC/THE
COMMON STOCK
USD
XXXX
N
N
N
LIVE NATION ENTERTAINMENT INC
5493007B9BM9ZXJINO78
CONV. NOTE
538034AZ2
427000
PA
USD
466284
0.126086478927
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.125
N
N
N
N
N
LIVE NATION ENTERTAINMENT INC
COMMON STOCK
USD
XXXX
N
N
N
HALOZYME THERAPEUTICS INC
529900242I3SV9AGM753
CONV. NOTE
40637HAD1
370000
PA
USD
324100.46
0.087639047919
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
.25
N
N
N
N
N
HALOZYME THERAPEUTICS INC
COMMON STOCK
USD
XXXX
N
N
N
CERIDIAN HCM HOLDING INC
549300T64GVCHFJ8L449
CONV. NOTE
15677JAD0
246000
PA
USD
218489.92
0.059081213796
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
.25
N
N
N
N
N
CERIDIAN HCM HOLDING INC
COMMON STOCK
USD
XXXX
N
N
N
JETBLUE AIRWAYS CORP
54930070J9H97ZO93T57
CONV. NOTE
477143AP6
163000
PA
USD
132159.58
0.035736881597
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
.5
N
N
N
N
N
JETBLUE AIRWAYS CORP
COMMON STOCK
USD
XXXX
N
N
N
TYLER TECHNOLOGIES INC
25490040SMU4Z8LBCW70
CONV. NOTE
902252AB1
214000
PA
USD
214107
0.057896041347
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
.25
N
N
N
N
N
TYLER TECHNOLOGIES INC
COMMON STOCK
USD
XXXX
N
N
N
MP MATERIALS CORP
N/A
CONV. NOTE
553368AA9
113000
PA
USD
102612.08
0.027747029413
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
.25
N
N
N
N
N
MP MATERIALS CORP
COMMON STOCK
USD
XXXX
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
CONVERTIBLE BONDS
629377CG5
254000
PA
USD
269875
0.072976101476
Long
DBT
CORP
US
N
2
2048-06-01
Fixed
2.75
N
N
N
N
N
NRG ENERGY INC
COMMON STOCK
USD
XXXX
N
N
N
LIBERTY TRIPADVISOR HOLDINGS INC
5299006PCRAU736ZJ155
CONVERTIBLE BONDS
531465AA0
212000
PA
USD
174476
0.047179539717
Long
DBT
CORP
US
N
2
2051-06-30
Fixed
.5
N
N
N
N
N
TRIPADVISOR INC
COMMON STOCK
USD
XXXX
N
N
N
MGP INGREDIENTS INC
2549006OMHFVZ4MS8538
CONVERTIBLE BONDS
55303JAB2
88000
PA
USD
113476
0.030684709925
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
1.875
N
N
N
N
N
MGP INGREDIENTS INC
COMMON STOCK
USD
XXXX
N
N
N
LIBERTY BROADBAND CORP
549300MIX43II8JLN536
CONVERTIBLE BONDS
530307AE7
299000
PA
USD
303784
0.082145333990
Long
DBT
CORP
US
N
2
2053-03-31
Fixed
3.125
N
N
N
N
N
CHARTER COMMUNICATIONS INC
COMMON STOCK
USD
XXXX
N
N
N
CHEGG INC
549300AKX7O8JG0O3G77
CONVERTIBLE ZERO
163092AF6
141000
PA
USD
105538.5
0.028538353999
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0
N
N
N
N
N
CHEGG INC
COMMON STOCK
USD
XXXX
N
N
N
SOLAREDGE TECHNOLOGIES INC
5493000K6Y58XXPDF853
CONVERTIBLE ZERO
83417MAD6
151000
PA
USD
170026
0.045976228363
Long
DBT
CORP
IL
N
2
2025-09-15
Fixed
0
N
N
N
N
N
SOLAREDGE TECHNOLOGIES INC
ORDINARY SHARES
ILS
XXXX
N
N
N
BLOCK INC
549300OHIIUWSTIZME52
CONVERTIBLE ZERO
852234AJ2
120000
PA
USD
100740
0.027240805790
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0
N
N
N
N
N
BLOCK INC
COMMON STOCK
USD
XXXX
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
CONVERTIBLE ZERO
90353TAJ9
122000
PA
USD
117167.16
0.031682825596
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0
N
N
N
N
N
UBER TECHNOLOGIES INC
COMMON STOCK
USD
XXXX
N
N
N
VAIL RESORTS INC
529900PSZHRNU9HKH870
CONVERTIBLE ZERO
91879QAN9
298000
PA
USD
263730
0.071314450179
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
0
N
N
N
N
N
VAIL RESORTS INC
COMMON STOCK
USD
XXXX
N
N
N
BOX INC
549300KQUCPD8687YS68
CONVERTIBLE ZERO
10316TAB0
179000
PA
USD
231447
0.062584899521
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0
N
N
N
N
N
BOX INC
COMMON STOCK
USD
XXXX
N
N
N
ALARM.COM HOLDINGS INC
549300HIH92U1EKIHZ32
CONVERTIBLE ZERO
011642AB1
242000
PA
USD
207273
0.056048079597
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0
N
N
N
N
N
ALARM.COM HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
CYBERARK SOFTWARE LTD
529900YEXNDM894PWS93
CONVERTIBLE ZERO
23248VAB1
127000
PA
USD
148666.2
0.040200387947
Long
DBT
CORP
IL
N
2
2024-11-15
Fixed
0
N
N
N
N
N
CYBERARK SOFTWARE LTD
ORDINARY SHARES
ILS
XXXX
N
N
N
RINGCENTRAL INC
549300C8EH0H1614VE84
CONVERTIBLE ZERO
76680RAF4
195000
PA
USD
179400
0.048511024010
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
0
N
N
N
N
N
RINGCENTRAL INC
COMMON STOCK
USD
XXXX
N
N
N
SOFI TECHNOLOGIES INC
549300SW81JCMVZDDY09
CONVERTIBLE ZERO
83406FAA0
257000
PA
USD
218707
0.059139913758
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0
N
N
N
N
N
SOFI TECHNOLOGIES INC
COMMON STOCK
USD
XXXX
N
N
N
3D SYSTEMS CORP
5493003HHDOCCW4OP744
CONVERTIBLE ZERO
88554DAD8
97000
PA
USD
74205
0.020065554831
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
0
N
N
N
N
N
3D SYSTEMS CORP
COMMON STOCK
USD
XXXX
N
N
N
DIGITALOCEAN HOLDINGS INC
549300EPISPY3RE3DL21
CONVERTIBLE ZERO
25402DAB8
211000
PA
USD
166952.2
0.045145051186
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
0
N
N
N
N
N
DIGITALOCEAN HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
UNITY SOFTWARE INC
549300D1ESJMGNQNG432
CONVERTIBLE ZERO
91332UAB7
177000
PA
USD
141600
0.038289637680
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
0
N
N
N
N
N
UNITY SOFTWARE INC
COMMON STOCK
USD
XXXX
N
N
N
CONFLUENT INC
254900MRZ83YWUV7SN74
CONVERTIBLE ZERO
20717MAB9
196000
PA
USD
162857.48
0.044037810047
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0
N
N
N
N
N
CONFLUENT INC
COMMON STOCK
USD
XXXX
N
N
N
SPOTIFY USA INC
N/A
CONVERTIBLE ZERO
84921RAB6
199000
PA
USD
169150
0.045739351791
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0
N
N
N
N
N
SPOTIFY TECHNOLOGY SA
ORDINARY SHARES
SEK
XXXX
N
N
N
EXPEDIA GROUP INC
CI7MUJI4USF3V0NJ1H64
CONVERTIBLE ZERO
30212PBE4
256000
PA
USD
228812.8
0.061872593281
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0
N
N
N
N
N
EXPEDIA GROUP INC
COMMON STOCK
USD
XXXX
N
N
N
ENPHASE ENERGY INC
5493008U7KIGMI59Z314
CONVERTIBLE ZERO
29355AAK3
263000
PA
USD
236974.45
0.064079560946
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0
N
N
N
N
N
ENPHASE ENERGY INC
COMMON STOCK
USD
XXXX
N
N
N
SHAKE SHACK INC
529900J74GJAHYP80N79
CONVERTIBLE ZERO
819047AB7
137000
PA
USD
108641
0.029377291859
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0
N
N
N
N
N
SHAKE SHACK INC
COMMON STOCK
USD
XXXX
N
N
N
AIRBNB INC
549300HMUDNO0RY56D37
CONVERTIBLE ZERO
009066AB7
132000
PA
USD
118734
0.032106510172
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0
N
N
N
N
N
AIRBNB INC
COMMON STOCK
USD
XXXX
N
N
N
EVERBRIDGE INC
549300WCY0UMR64ATW81
CONVERTIBLE ZERO
29978AAE4
138000
PA
USD
113850
0.030785842160
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0
N
N
N
N
N
EVERBRIDGE INC
COMMON STOCK
USD
XXXX
N
N
N
DRAFTKINGS HOLDINGS INC
5493008P45UYYL683Z97
CONVERTIBLE ZERO
26142RAB0
224000
PA
USD
172256
0.046579236075
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
0
N
N
N
N
N
DRAFTKINGS HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
FORD MOTOR CO
20S05OYHG0MQM4VUIC57
CONVERTIBLE ZERO
345370CZ1
375000
PA
USD
382500
0.103430695005
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0
N
N
N
N
N
FORD MOTOR CO
COMMON STOCK
USD
XXXX
N
N
N
DROPBOX INC
549300JCDF7UAR6TJR51
CONVERTIBLE ZERO
26210CAD6
161000
PA
USD
155123.5
0.041946487364
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0
N
N
N
N
N
DROPBOX INC
COMMON STOCK
USD
XXXX
N
N
N
SNAP INC
549300JNC0L6VP8A2Q35
CONVERTIBLE ZERO
83304AAF3
275000
PA
USD
206112.5
0.055734272220
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0
N
N
N
N
N
SNAP INC
COMMON STOCK
USD
XXXX
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
CONVERTIBLE ZERO
682189AS4
47000
PA
USD
96820
0.026180810171
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0
N
N
N
N
N
ON SEMICONDUCTOR CORP
COMMON STOCK
USD
XXXX
N
N
N
CLOUDFLARE INC
5493007DY18BGNLDWU14
CONVERTIBLE ZERO
18915MAC1
122000
PA
USD
104554
0.028272138263
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0
N
N
N
N
N
CLOUDFLARE INC
COMMON STOCK
USD
XXXX
N
N
N
BILL HOLDINGS INC
549300IBF9VZZIGOZW63
CONVERTIBLE ZERO
090043AD2
228000
PA
USD
187957.5
0.050825032304
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0
N
N
N
N
N
BILL HOLDINGS INC
COMMON STOCK
USD
XXXX
N
N
N
FREDDIE MAC STACR TRUST 2018-HQA2
5493005RUXPCBST1N217
CORP CMO
35563XBE1
1619000
PA
USD
1960481.42
0.530127989058
Long
ABS-CBDO
CORP
US
N
2
2048-10-25
Floating
16.183
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-HQA2
5493000ITBJ4KEFYWF83
CORP CMO
35565LBE5
625000
PA
USD
696634.38
0.188374844674
Long
ABS-CBDO
CORP
US
N
2
2050-03-25
Floating
12.783
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XDY7
396408.53
PA
USD
420326.16
0.113659155183
Long
ABS-CBDO
CORP
US
N
2
2029-04-25
Floating
14.433
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-HQA1
54930047IR7X5WWFY307
CORP CMO
35563MBD7
410000
PA
USD
441945.03
0.119505049953
Long
ABS-CBDO
CORP
US
N
2
2049-02-25
Floating
9.583
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01
N/A
CORP CMO
20754CAB5
231809.3
PA
USD
233302.24
0.063086569489
Long
ABS-CBDO
CORP
US
N
2
2040-01-25
Floating
7.233
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2020-R01
N/A
CORP CMO
20754CAF6
459000
PA
USD
453895.37
0.122736506088
Long
ABS-CBDO
CORP
US
N
2
2040-01-25
Floating
8.433
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-HQA2
549300NKHCH87PYOHD44
CORP CMO
35564MBE4
298000
PA
USD
358330.22
0.096895016198
Long
ABS-CBDO
CORP
US
N
2
2049-04-25
Floating
16.433
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-3
N/A
CORP CMO
35563PCF4
879000
PA
USD
814749.5
0.220314005333
Long
ABS-CBDO
CORP
US
N
2
2056-07-25
Variable
4.75
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0FZ7
1178970.86
PA
USD
1210564.21
0.327345091734
Long
ABS-CBDO
CORP
US
N
2
2027-12-25
Floating
12.733
N
N
N
N
N
N
ALTERNATIVE LOAN TRUST 2006-OA7
N/A
CORP CMO
02146BAB2
347900.51
PA
USD
296722.85
0.080235949279
Long
ABS-CBDO
CORP
US
N
2
2046-06-25
Floating
5.154
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0GZ6
1284220.96
PA
USD
1381743.54
0.373633188655
Long
ABS-CBDO
CORP
US
N
2
2028-04-25
Floating
14.533
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0HM4
826885.51
PA
USD
892834.92
0.241428853072
Long
ABS-CBDO
CORP
US
N
2
2028-05-25
Floating
15.683
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0HZ5
2795203.06
PA
USD
3086156.86
0.834518559278
Long
ABS-CBDO
CORP
US
N
2
2028-07-25
Floating
15.183
N
N
N
N
N
N
ALTERNATIVE LOAN TRUST 2006-OA7
N/A
CORP CMO
02146BAA4
892902.88
PA
USD
792004.85
0.214163691720
Long
ABS-CBDO
CORP
US
N
2
2046-06-25
Variable
3.319
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XBQ6
833698.87
PA
USD
934091.05
0.252584801305
Long
ABS-CBDO
CORP
US
N
2
2028-08-25
Floating
16.933
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XCH5
2300099.31
PA
USD
2649420.68
0.716422019066
Long
ABS-CBDO
CORP
US
N
2
2028-09-25
Floating
17.433
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XCR3
1289698.16
PA
USD
1460503.59
0.394930461100
Long
ABS-CBDO
CORP
US
N
2
2028-10-25
Floating
16.933
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XCY8
238576.98
PA
USD
278942.42
0.075427995731
Long
ABS-CBDO
CORP
US
N
2
2028-10-25
Floating
17.933
N
N
N
N
N
N
STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR1
N/A
CORP CMO
86362XAP3
547798.51
PA
USD
469540.45
0.126967045951
Long
ABS-CBDO
CORP
US
N
2
2037-01-25
Floating
5.592
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XDB7
266785.65
PA
USD
289914.04
0.078394799082
Long
ABS-CBDO
CORP
US
N
2
2029-01-25
Floating
15.433
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XDN1
268947.64
PA
USD
292273.5
0.079032813690
Long
ABS-CBDO
CORP
US
N
2
2029-01-25
Floating
15.933
N
N
N
N
N
N
STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7
N/A
CORP CMO
86361HAA2
401196.89
PA
USD
304909.64
0.082449714977
Long
ABS-CBDO
CORP
US
N
2
2036-08-25
Floating
5.832
N
N
N
N
N
N
AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1
N/A
CORP CMO
026932AC7
627288.43
PA
USD
347502.92
0.093967237992
Long
ABS-CBDO
CORP
US
N
2
2047-05-25
Floating
5.602
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XGQ1
872000
PA
USD
968643.5
0.261928027234
Long
ABS-CBDO
CORP
US
N
2
2029-09-25
Floating
10.683
N
N
N
N
N
N
CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4
5493000OPBL8EFF3O717
CORP CMO
16678XAB0
504970.32
PA
USD
369419.87
0.099893735693
Long
ABS-CBDO
CORP
US
N
2
2047-11-25
Floating
5.592
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2007-OA1
N/A
CORP CMO
3622NAAE0
541904
PA
USD
313755.37
0.084841662694
Long
ABS-CBDO
CORP
US
N
2
2037-05-25
Floating
5.722
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST 2005-2
N/A
CORP CMO
41161PLQ4
402186.79
PA
USD
129186.66
0.034932983083
Long
ABS-CBDO
CORP
US
N
2
2035-05-19
Floating
5.881
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2019-R01
N/A
CORP CMO
20754FAK8
11092.34
PA
USD
11133.94
0.003010695823
Long
ABS-CBDO
CORP
US
N
2
2031-07-25
Floating
7.633
N
N
N
N
N
N
MORGAN STANLEY RE-REMIC TRUST 2010-R4
N/A
CORP CMO
61759FAU5
425962.76
PA
USD
350061.9
0.094659204214
Long
ABS-CBDO
CORP
US
N
2
2037-02-26
Floating
3.746
N
N
N
N
N
N
JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2
N/A
CORP CMO
466278AC2
648846.38
PA
USD
263558.41
0.071268051034
Long
ABS-CBDO
CORP
US
N
2
2037-06-25
Floating
5.812
N
N
N
N
N
N
ALTERNATIVE LOAN TRUST 2006-OA10
N/A
CORP CMO
02146QAC7
516022.7
PA
USD
452464.13
0.122349488708
Long
ABS-CBDO
CORP
US
N
2
2046-08-25
Floating
5.792
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-10
N/A
CORP CMO
07386HYW5
120961.9
PA
USD
107530.04
0.029076880447
Long
ABS-CBDO
CORP
US
N
2
2036-01-25
Floating
5.912
N
N
N
N
N
N
ALTERNATIVE LOAN TRUST 2005-38
N/A
CORP CMO
12667GZ30
421122.74
PA
USD
362382.22
0.097990705548
Long
ABS-CBDO
CORP
US
N
2
2035-09-25
Floating
6.112
N
N
N
N
N
N
ALTERNATIVE LOAN TRUST 2006-OA10
N/A
CORP CMO
02146QAD5
2680086.18
PA
USD
2208208.23
0.597115063907
Long
ABS-CBDO
CORP
US
N
2
2046-08-25
Floating
5.792
N
N
N
N
N
N
ALTERNATIVE LOAN TRUST 2006-OA10
N/A
CORP CMO
02146QAA1
210257.37
PA
USD
192549.62
0.052066773907
Long
ABS-CBDO
CORP
US
N
2
2046-08-25
Floating
5.174
N
N
N
N
N
N
ALTERNATIVE LOAN TRUST 2005-59
N/A
CORP CMO
12668AEV3
1081948.01
PA
USD
960050.55
0.259604433010
Long
ABS-CBDO
CORP
US
N
2
2035-11-20
Floating
6.029
N
N
N
N
N
N
ALTERNATIVE LOAN TRUST 2007-OH1
N/A
CORP CMO
02150KAZ2
414597.43
PA
USD
328737.74
0.088893001105
Long
ABS-CBDO
CORP
US
N
2
2047-04-25
Floating
5.622
N
N
N
N
N
N
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST
N/A
CORP CMO
92922F4V7
256088.66
PA
USD
235059.43
0.063561726045
Long
ABS-CBDO
CORP
US
N
2
2045-10-25
Floating
6.392
N
N
N
N
N
N
MORTGAGEIT TRUST 2005-3
N/A
CORP CMO
61915RAN6
80176.46
PA
USD
75667.18
0.020460938605
Long
ABS-CBDO
CORP
US
N
2
2035-08-25
Floating
6.207
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0EZ8
727626.09
PA
USD
774973.37
0.209558259528
Long
ABS-CBDO
CORP
US
N
2
2027-10-25
Floating
14.383
N
N
N
N
N
N
HOME RE 2021-2 LTD
N/A
CORP CMO
43730VAE8
300000
PA
USD
280740.3
0.075914155150
Long
ABS-CBDO
CORP
BM
N
2
2034-01-25
Floating
9.219
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-HQA3
5493000ITAM9GTFUKP51
CORP CMO
35565MBE3
1027000
PA
USD
1294949.44
0.350163452485
Long
ABS-CBDO
CORP
US
N
2
2050-07-25
Floating
15.183
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
S6XOOCT0IEG5ABCC6L87
CORP CMO
3137G0KV0
482634.14
PA
USD
551816.22
0.149214993855
Long
ABS-CBDO
CORP
US
N
2
2028-12-25
Floating
16.433
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-DNA4
5493000ITFTMJUMPDE35
CORP CMO
35565XBE9
966000
PA
USD
1242991.81
0.336113743251
Long
ABS-CBDO
CORP
US
N
2
2050-08-25
Floating
15.183
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-DNA5
5493000ITF7RKPWPZQ19
CORP CMO
35566ABD0
900000
PA
USD
972000
0.262835648483
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Floating
9.869
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-DNA5
5493000ITF7RKPWPZQ19
CORP CMO
35566ABE8
491000
PA
USD
633248.1
0.171234747957
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Floating
16.569
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-HQA3
5493000ITAM9GTFUKP51
CORP CMO
35565MBD5
576603.55
PA
USD
627518.57
0.169685442676
Long
ABS-CBDO
CORP
US
N
2
2050-07-25
Floating
10.933
N
N
N
N
N
N
STACR TRUST 2018-DNA3
549300BL200YC56BUV20
CORP CMO
35563WBD5
420000
PA
USD
441313.4
0.119334252750
Long
ABS-CBDO
CORP
US
N
2
2048-09-25
Floating
9.083
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2019-R03
N/A
CORP CMO
20753MAE8
578000
PA
USD
607541.81
0.164283586020
Long
ABS-CBDO
CORP
US
N
2
2031-09-25
Floating
9.283
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2
N/A
CORP CMO
35563PKR9
685000
PA
USD
600047.19
0.162256987967
Long
ABS-CBDO
CORP
US
N
2
2058-08-25
Variable
4.75
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XWW0
180000
PA
USD
195696.65
0.052917752992
Long
ABS-CBDO
CORP
US
N
2
2030-05-25
Floating
9.633
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES
B1V7KEBTPIMZEU4LTD58
CORP CMO
30711XR30
699000
PA
USD
762083.84
0.206072839799
Long
ABS-CBDO
CORP
US
N
2
2030-12-25
Floating
9.683
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-DNA1
5493007222WHFWMBOC78
CORP CMO
35563KBE9
315000
PA
USD
377254.52
0.102012280254
Long
ABS-CBDO
CORP
US
N
2
2049-01-25
Floating
15.933
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-DNA2
549300Y6KOVOWQ8OJC33
CORP CMO
35564LBE6
252000
PA
USD
292758.81
0.079164044934
Long
ABS-CBDO
CORP
US
N
2
2049-03-25
Floating
15.683
N
N
N
N
N
N
STACR TRUST 2018-DNA3
549300BL200YC56BUV20
CORP CMO
35563WBE3
389000
PA
USD
426029.8
0.115201459626
Long
ABS-CBDO
CORP
US
N
2
2048-09-25
Floating
12.933
N
N
N
N
N
N
LHOME MORTGAGE TRUST 2023-RTL2
N/A
CORP CMO
50205BAA1
786000
PA
USD
781984.33
0.211454072509
Long
ABS-CBDO
CORP
US
N
2
2028-06-25
Variable
8
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02
N/A
CORP CMO
20754BAF8
402000
PA
USD
415065
0.112236500450
Long
ABS-CBDO
CORP
US
N
2
2042-01-25
Floating
9.569
N
N
N
N
N
N
NEWREZ WAREHOUSE SECURITIZATION TRUST 2021-1
N/A
CORP CMO
65246PAF8
416000
PA
USD
414605.57
0.112112267341
Long
ABS-CBDO
CORP
US
N
2
2055-05-25
Floating
10.662
N
N
N
N
N
N
MELLO WAREHOUSE SECURITIZATION TRUST 2021-3
N/A
CORP CMO
58552FAD8
1086000
PA
USD
1049317.09
0.283742734377
Long
ABS-CBDO
CORP
US
N
2
2055-11-25
Floating
7.412
N
N
N
N
N
N
MELLO WAREHOUSE SECURITIZATION TRUST 2021-3
N/A
CORP CMO
58552FAE6
1286000
PA
USD
1257065
0.339919232984
Long
ABS-CBDO
CORP
US
N
2
2055-11-25
Floating
8.662
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-HQA4
5493000IT4TAVS1FNX06
CORP CMO
35565RBD4
801364.96
PA
USD
868086.93
0.234736822208
Long
ABS-CBDO
CORP
US
N
2
2050-09-25
Floating
10.433
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-HQA1
54930047IR7X5WWFY307
CORP CMO
35563MBE5
254000
PA
USD
312772.83
0.084575976956
Long
ABS-CBDO
CORP
US
N
2
2049-02-25
Floating
17.433
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
CORP. NOTE
893647BL0
840000
PA
USD
796164.73
0.215288552581
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.5
N
N
N
N
N
N
PATTERSON-UTI ENERGY INC
254900XGFBKIXD6G0697
CORP. NOTE
703481AC5
1321000
PA
USD
1226221.21
0.331578854850
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.15
N
N
N
N
N
N
STANDARD INDUSTRIES INC/NJ
54930064UHXCIUWVI755
CORP. NOTE
N/A
370000
PA
362342.11
0.097979859521
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.25
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
CORP. NOTE
577081BD3
380000
PA
USD
372614.01
0.100757453654
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.875
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
CORP. NOTE
345397A45
260000
PA
USD
242714.32
0.065631662236
Long
DBT
CORP
US
N
2
2027-01-09
Fixed
4.271
N
N
N
N
N
N
STATION CASINOS LLC
5493004E7Q60TX54WL62
CORP. NOTE
857691AG4
250000
PA
USD
226767.5
0.061319529750
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.5
N
N
N
N
N
N
AG ISSUER LLC
N/A
CORP. NOTE
00119LAA9
235000
PA
USD
226680.3
0.061295950256
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
6.25
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
CORP. NOTE
694308HP5
122000
PA
USD
112343.68
0.030378522619
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.95
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
CORP. NOTE
71647NAV1
300000
PA
USD
297364.04
0.080409331573
Long
DBT
CORP
NL
N
2
2025-01-27
Fixed
5.299
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV
5493004T21MOAFINJP35
CORP. NOTE
88167AAK7
435000
PA
USD
431621.88
0.116713597458
Long
DBT
CORP
NL
N
2
2028-03-01
Fixed
6.75
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
CORP. NOTE
78454LAP5
137000
PA
USD
134743.03
0.036435464680
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.625
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
CORP. NOTE
92840VAA0
224000
PA
USD
216607.87
0.058572294216
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.5
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
CORP. NOTE
28414HAG8
585000
PA
USD
577260.45
0.156095292921
Long
DBT
CORP
US
N
2
2028-08-28
Fixed
6.65
N
N
N
N
N
N
PATTERSON-UTI ENERGY INC
254900XGFBKIXD6G0697
CORP. NOTE
703481AB7
124000
PA
USD
114212.37
0.030883829561
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.95
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
CORP. NOTE
893647BE6
205000
PA
USD
203896.28
0.055134990717
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25
N
N
N
N
N
N
MATCH GROUP HOLDINGS II LLC
5493003RFFE030RC9167
CORP. NOTE
57665RAJ5
430000
PA
USD
408578.84
0.110482597086
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
5.625
N
N
N
N
N
N
PERMIAN RESOURCES OPERATING LLC
5493004CTVUMQLRPOE23
CORP. NOTE
15138AAC4
877000
PA
USD
868230
0.234775509344
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
6.875
N
N
N
N
N
N
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO
N/A
CORP. NOTE
N/A
895000
PA
954452.54
0.258090691664
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.375
N
N
N
N
N
N
CONSTELLIUM SE
724500KRJEMC79KAAU28
CORP. NOTE
N/A
650000
PA
612762.56
0.165695313605
Long
DBT
CORP
FR
N
2
2029-07-15
Fixed
3.125
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
CORP. NOTE
88033GDM9
120000
PA
USD
107524.91
0.029075493259
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.25
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
CORP. NOTE
36168QAN4
678000
PA
USD
618446.24
0.167232220722
Long
DBT
CORP
CA
N
2
2029-06-15
Fixed
4.75
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
CORP. NOTE
78454LAW0
291000
PA
USD
284445.95
0.076916189019
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.5
N
N
N
N
N
N
EVERI HOLDINGS INC
5299006DK5S7BG10K532
CORP. NOTE
30034TAA1
710000
PA
USD
624800
0.168950322194
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5
N
N
N
N
N
N
VICTORIA'S SECRET AND CO
5493006T3O70U3UWVF17
CORP. NOTE
926400AA0
100000
PA
USD
75000
0.020280528432
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.625
N
N
N
N
N
N
ADT SECURITY CORP/THE
5493009JEEDYLVRA0J13
CORP. NOTE
00109LAA1
150000
PA
USD
130125
0.035186716830
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.125
N
N
N
N
N
N
MCGRAW-HILL EDUCATION INC
254900U6YJ9QZ4IQOR26
CORP. NOTE
57767XAA8
1535000
PA
USD
1347730
0.364435687788
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
5.75
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
CORP. NOTE
670001AG1
693000
PA
USD
629713.78
0.170279042927
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
3.25
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
CORP. NOTE
845467AS8
757000
PA
USD
708278.19
0.191523412937
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.375
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
CORP. NOTE
443201AB4
603000
PA
USD
526384.09
0.142337966714
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
CORP. NOTE
845467AR0
505000
PA
USD
476859.16
0.128946076701
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.375
N
N
N
N
N
N
LAMB WESTON HOLDINGS INC
5493005SMYID1D2OY946
CORP. NOTE
513272AC8
185000
PA
USD
175721.27
0.047516269499
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.875
N
N
N
N
N
N
MATCH GROUP HOLDINGS II LLC
5493003RFFE030RC9167
CORP. NOTE
57665RAN6
130000
PA
USD
119921.16
0.032427526600
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.625
N
N
N
N
N
N
CLARIOS GLOBAL LP
549300474L1ZLXZY2P98
CORP. NOTE
18060TAA3
158000
PA
USD
158363.08
0.042822492621
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.75
N
N
N
N
N
N
WESCO DISTRIBUTION INC
549300I2CEZJG9N4AH67
CORP. NOTE
95081QAN4
298000
PA
USD
301419.55
0.081505970051
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.125
N
N
N
N
N
N
WESCO DISTRIBUTION INC
549300I2CEZJG9N4AH67
CORP. NOTE
95081QAP9
266000
PA
USD
271261.48
0.073351015436
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
7.25
N
N
N
N
N
N
BATH AND BODY WORKS INC
GR3KVMWVCR54YWQNXU90
CORP. NOTE
501797AU8
29000
PA
USD
30610.54
0.008277305691
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
9.375
N
N
N
N
N
N
HTA GROUP LTD/MAURITIUS
213800WEFU8O8X6EPU13
CORP. NOTE
V4256BAB0
440000
PA
USD
419100
0.113327592880
Long
DBT
CORP
MU
N
2
2025-12-18
Fixed
7
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
CORP. NOTE
345397A60
200000
PA
USD
194730.16
0.052656407287
Long
DBT
CORP
US
N
2
2025-06-16
Fixed
5.125
N
N
N
N
N
N
CAESARS RESORT COLLECTION LLC / CRC FINCO INC
N/A
CORP. NOTE
12770RAA1
625000
PA
USD
631310.63
0.170710842418
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
5.75
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
CORP. NOTE
35671DCG8
130000
PA
USD
122932.14
0.033241716807
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.375
N
N
N
N
N
N
BOISE CASCADE CO
549300Z8B8LSRHC7XA55
CORP. NOTE
09739DAD2
680000
PA
USD
620500
0.167787571897
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.875
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
CORP. NOTE
143658BG6
100000
PA
USD
105411.5
0.028504012305
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
10.5
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
CORP. NOTE
P2121VAG9
465000
PA
537224.74
0.145269354855
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
10.125
N
N
N
N
N
N
PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC
N/A
CORP. NOTE
74166MAF3
125000
PA
USD
110343.4
0.029837632814
Long
DBT
CORP
US
N
2
2027-08-31
Fixed
3.375
N
N
N
N
N
N
ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC
N/A
CORP. NOTE
013092AG6
590000
PA
USD
513625.39
0.138887924339
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.5
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
CORP. NOTE
143658BJ0
685000
PA
USD
716161.34
0.193655072240
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
9.875
N
N
N
N
N
N
HUDBAY MINERALS INC
549300WI524AL577IX21
CORP. NOTE
443628AH5
590000
PA
USD
565208.2
0.152836279604
Long
DBT
CORP
CA
N
2
2029-04-01
Fixed
6.125
N
N
N
N
N
N
FRONTIER COMMUNICATIONS HOLDINGS LLC
N/A
CORP. NOTE
35906ABE7
1275000
PA
USD
1167807.82
0.315783462627
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.875
N
N
N
N
N
N
ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER
N/A
CORP. NOTE
01883LAB9
60000
PA
USD
54750
0.014804785756
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.25
N
N
N
N
N
N
SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC
N/A
CORP. NOTE
82453AAA5
221000
PA
USD
208811.85
0.056464195479
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
4.625
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
CORP. NOTE
71654QDB5
1250000
PA
USD
1113826.06
0.301186414380
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
6.49
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
CORP. NOTE
345397B36
425000
PA
USD
365093.28
0.098723795273
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
4
N
N
N
N
N
N
AXALTA COATING SYSTEMS LLC
549300G80QONCHILSF69
CORP. NOTE
05453GAC9
150000
PA
USD
128375.03
0.034713512612
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.375
N
N
N
N
N
N
CROWDSTRIKE HOLDINGS INC
549300YBY08K9KM4HX32
CORP. NOTE
22788CAA3
542000
PA
USD
467931.64
0.126532012392
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
CORP. NOTE
893647BP1
175000
PA
USD
156187.5
0.042234200460
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.625
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
CORP. NOTE
90290MAD3
619000
PA
USD
569329.82
0.153950794692
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.75
N
N
N
N
N
N
ZOOMINFO TECHNOLOGIES LLC/ZOOMINFO FINANCE CORP
N/A
CORP. NOTE
98981BAA0
938000
PA
USD
805680
0.217861548631
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.875
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
CORP. NOTE
629377CK6
385000
PA
USD
375653.81
0.101579436992
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75
N
N
N
N
N
N
CNO FINANCIAL GROUP INC
11XPYHB76MPM4Y4P2897
CORP. NOTE
12621EAL7
225000
PA
USD
216068.15
0.058426350125
Long
DBT
CORP
US
N
2
2029-05-30
Fixed
5.25
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
CORP. NOTE
92840VAF9
165000
PA
USD
155443.24
0.042032947312
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5
N
N
N
N
N
N
BATH AND BODY WORKS INC
GR3KVMWVCR54YWQNXU90
CORP. NOTE
501797AR5
719000
PA
USD
728101.1
0.196883667469
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
7.5
N
N
N
N
N
N
TAYLOR MORRISON COMMUNITIES INC
549300O1Z08HI2MRK572
CORP. NOTE
87724RAB8
617000
PA
USD
601430.25
0.162630977136
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
CORP. NOTE
88033GCZ1
282000
PA
USD
272933.77
0.073803214435
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
4.875
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
CORP. NOTE
88033GDB3
300000
PA
USD
284877.78
0.077032958894
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.125
N
N
N
N
N
N
1011778 BC ULC / NEW RED FINANCE INC
N/A
CORP. NOTE
68245XAH2
225000
PA
USD
205875
0.055670050547
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
3.875
N
N
N
N
N
N
SCOTTS MIRACLE-GRO CO/THE
2TH9E0JTOUXOEGI2R879
CORP. NOTE
810186AS5
368000
PA
USD
322920
0.087319843218
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.5
N
N
N
N
N
N
VIPER ENERGY PARTNERS LP
5299009LINL232255G03
CORP. NOTE
92763MAA3
80000
PA
USD
76800
0.020767261115
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.375
N
N
N
N
N
N
AVIS BUDGET FINANCE PLC
549300W3BJJPGKCIOI13
CORP. NOTE
N/A
245000
PA
269765.5
0.072946491904
Long
DBT
CORP
GB
N
2
2030-07-31
Fixed
7.25
N
N
N
N
N
N
FREEDOM MORTGAGE CORP
549300LYRWPSYPK6S325
CORP. NOTE
35640YAH0
580000
PA
USD
530593.22
0.143476145123
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.625
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
CORP. NOTE
71654QDN9
1110000
PA
USD
1023975
0.276890054687
Long
DBT
CORP
MX
N
2
2033-02-07
Fixed
10
N
N
N
N
N
N
WR GRACE HOLDINGS LLC
549300WNOVFRGYOAEB12
CORP. NOTE
92943GAE1
1315000
PA
USD
1311712.5
0.354696302017
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
7.375
N
N
N
N
N
N
BRASKEM NETHERLANDS FINANCE BV
2549000TLMHFQ74DS330
CORP. NOTE
10554TAG0
690000
PA
USD
677013.51
0.183069223182
Long
DBT
CORP
NL
N
2
2033-02-13
Fixed
7.25
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
CORP. NOTE
893647BR7
95000
PA
USD
95237.5
0.025752891021
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.75
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV
5493004T21MOAFINJP35
CORP. NOTE
88167AAR2
1070000
PA
USD
1131525
0.305972332458
Long
DBT
CORP
NL
N
2
2031-09-15
Fixed
8.125
N
N
N
N
N
N
RITCHIE BROS HOLDINGS INC
N/A
CORP. NOTE
76774LAB3
70000
PA
USD
70875
0.019165099369
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.75
N
N
N
N
N
N
RITCHIE BROS HOLDINGS INC
N/A
CORP. NOTE
76774LAC1
757000
PA
USD
787280
0.212886058989
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
7.75
N
N
N
N
N
N
DIAMOND II LTD
254900KL4GQ2XC50XL44
CORP. NOTE
25276VAA3
1220000
PA
USD
1213900
0.328247112853
Long
DBT
CORP
MU
N
2
2026-07-28
Fixed
7.95
N
N
N
N
N
N
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO
N/A
CORP. NOTE
18060TAC9
128000
PA
USD
128571.3
0.034766585403
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
6.75
N
N
N
N
N
N
BENTELER INTERNATIONAL AG
529900ZAFSOBVFCKF263
CORP. NOTE
08263DAA4
640000
PA
USD
649600
0.175656416929
Long
DBT
CORP
AT
N
2
2028-05-15
Fixed
10.5
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
CORP. NOTE
058498AZ9
20000
PA
USD
20000
0.005408140915
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
6
N
N
N
N
N
N
OWENS-BROCKWAY GLASS CONTAINER INC
V2UQUCDZJ9WY98W8QU33
CORP. NOTE
69073TAU7
245000
PA
USD
248973.9
0.067324296771
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
7.25
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
CORP. NOTE
92332YAA9
95000
PA
USD
96556.21
0.026109479496
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
8.125
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
CORP. NOTE
92332YAB7
215000
PA
USD
218164.15
0.058993123293
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
8.375
N
N
N
N
N
N
CIVITAS RESOURCES INC
IIVIHPH28S64K95M2381
CORP. NOTE
17888HAB9
520000
PA
USD
538200
0.145533072030
Long
DBT
CORP
US
N
2
2031-07-01
Fixed
8.75
N
N
N
N
N
N
CIVITAS RESOURCES INC
IIVIHPH28S64K95M2381
CORP. NOTE
17888HAA1
260000
PA
USD
267425.6
0.072313766458
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
8.375
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
CORP. NOTE
71647NBK4
473000
PA
USD
464571.61
0.125623436606
Long
DBT
CORP
NL
N
2
2033-07-03
Fixed
6.5
N
N
N
N
N
N
MATCH GROUP HOLDINGS II LLC
5493003RFFE030RC9167
CORP. NOTE
57667JAA0
70000
PA
USD
57624
0.015581935605
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
3.625
N
N
N
N
N
N
WR GRACE HOLDINGS LLC
549300WNOVFRGYOAEB12
CORP. NOTE
92943GAD3
140000
PA
USD
131967.69
0.035684993189
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
4.875
N
N
N
N
N
N
ROCKCLIFF ENERGY II LLC
5493007AZNVKZ5HEMT23
CORP. NOTE
77289KAA3
796000
PA
USD
728934.66
0.197109067966
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
5.5
N
N
N
N
N
N
VERTIV GROUP CORP
549300ZT8RQ5VK10E643
CORP. NOTE
92535UAB0
563000
PA
USD
505389.17
0.136660792421
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.125
N
N
N
N
N
N
LAMB WESTON HOLDINGS INC
5493005SMYID1D2OY946
CORP. NOTE
513272AD6
190000
PA
USD
167683.76
0.045342870164
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
4.125
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV
5493004T21MOAFINJP35
CORP. NOTE
88167AAQ4
505000
PA
USD
462706.25
0.125119030119
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.125
N
N
N
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
CORP. NOTE
G4701HAA7
1100000
PA
USD
907500
0.245394394031
Long
DBT
CORP
NG
N
2
2028-11-29
Fixed
6.25
N
N
N
N
N
N
FRONTIER COMMUNICATIONS HOLDINGS LLC
N/A
CORP. NOTE
35908MAD2
130000
PA
USD
125421.97
0.033914984382
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
8.75
N
N
N
N
N
N
KINETIK HOLDINGS LP
549300RD6AJIMYC0HY12
CORP. NOTE
49461MAA8
490000
PA
USD
471012.5
0.127365098643
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
5.875
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
CORP. NOTE
12008RAR8
70000
PA
USD
69640.01
0.018831149371
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
6.375
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
CORP. NOTE
88033GDQ0
190000
PA
USD
184632.5
0.049925928877
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
6.125
N
N
N
N
N
N
CALLON PETROLEUM CO
549300EFOWPEB0WLZW21
CORP. NOTE
13123XBF8
1445000
PA
USD
1402831.14
0.379335424274
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
7.5
N
N
N
N
N
N
UNIVISION COMMUNICATIONS INC
549300YQDE2JSGTL8V47
CORP. NOTE
914906AX0
45000
PA
USD
43799.22
0.011843617687
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
7.375
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CORP. NOTE
15089QAN4
200000
PA
USD
200743.43
0.054282437863
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
6.33
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CORP. NOTE
15089QAM6
85000
PA
USD
85607.95
0.023148992853
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.165
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
CORP. NOTE
81725WAL7
702000
PA
USD
676502.31
0.182930991100
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
5.875
N
N
N
N
N
N
CLOUD SOFTWARE GROUP INC
04EEB871XLHVNY4RZJ65
CORP. NOTE
88632QAE3
444000
PA
USD
399616.74
0.108059182101
Long
DBT
CORP
US
N
2
2029-03-31
Fixed
6.5
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
CORP. NOTE
780153BR2
1065000
PA
USD
1133829.89
0.306595590954
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
9.25
N
N
N
N
N
N
NEPTUNE BIDCO US INC
549300VG15T3VCYZ4531
CORP. NOTE
640695AA0
1509000
PA
USD
1388060.29
0.375341282362
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
9.29
N
N
N
N
N
N
CHART INDUSTRIES INC
EM7QGKC1GYOF3LSZSL80
CORP. NOTE
16115QAF7
300000
PA
USD
307454.9
0.083137971215
Long
DBT
CORP
US
N
2
2030-01-01
Fixed
7.5
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
CORP. NOTE
279158AS8
1300000
PA
USD
1333586.8
0.360611266858
Long
DBT
CORP
CO
N
2
2033-01-13
Fixed
8.875
N
N
N
N
N
N
CAESARS ENTERTAINMENT INC
549300FA4CTCW903Y781
CORP. NOTE
12769GAB6
1224000
PA
USD
1236266.11
0.334295066584
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
7
N
N
N
N
N
N
HUDBAY MINERALS INC
549300WI524AL577IX21
CORP. NOTE
443628AJ1
285000
PA
USD
270259.5
0.073080072985
Long
DBT
CORP
CA
N
2
2026-04-01
Fixed
4.5
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS LP
5493005UEC8AZ34LDV29
CORP. NOTE
16411QAK7
200000
PA
USD
177973.98
0.048125418155
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4
N
N
N
N
N
N
LOUISIANA-PACIFIC CORP
549300C7E2UAO5BVRR75
CORP. NOTE
546347AM7
345000
PA
USD
301893.16
0.081634037532
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.625
N
N
N
N
N
N
TWILIO INC
5493004W8TRGD63APX93
CORP. NOTE
90138FAC6
695000
PA
USD
596449
0.161284012039
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.625
N
N
N
N
N
N
CHARLES RIVER LABORATORIES INTERNATIONAL INC
549300BSQ0R4UZ5KX287
CORP. NOTE
159864AG2
120000
PA
USD
105600
0.028554984033
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.75
N
N
N
N
N
N
CHARLES RIVER LABORATORIES INTERNATIONAL INC
549300BSQ0R4UZ5KX287
CORP. NOTE
159864AJ6
125000
PA
USD
108281.25
0.029280012924
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
4
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
CORP. NOTE
577081BE1
55000
PA
USD
51134.63
0.013827164235
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.375
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
CORP. NOTE
577081BF8
195000
PA
USD
174474.59
0.047179158443
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.75
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
CORP. NOTE
81725WAK9
700000
PA
USD
618569.84
0.167265643033
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4
N
N
N
N
N
N
TEREX CORP
YAWJZJYEQ7M1SYMOS462
CORP. NOTE
880779BA0
603000
PA
USD
561073.41
0.151718203255
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
5
N
N
N
N
N
N
IMOLA MERGER CORP
N/A
CORP. NOTE
45258LAA5
818000
PA
USD
718229.38
0.194214284827
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.75
N
N
N
N
N
N
ORGANON AND CO / ORGANON FOREIGN DEBT CO-ISSUER BV
N/A
CORP. NOTE
68622TAA9
270000
PA
USD
241958.23
0.065427210173
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
4.125
N
N
N
N
N
N
NEWS CORP
549300ITS31QK8VRBQ14
CORP. NOTE
65249BAA7
200000
PA
USD
176616
0.047758210795
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
3.875
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
CORP. NOTE
893647BQ9
265000
PA
USD
238449.84
0.064478516797
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.875
N
N
N
N
N
N
SERVICE CORP INTERNATIONAL/US
549300RKVM2ME20JHZ15
CORP. NOTE
817565CG7
90000
PA
USD
76725
0.020746980586
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
4
N
N
N
N
N
N
GREAT LAKES DREDGE AND DOCK CORP
549300H65E3MZ1CX0P05
CORP. NOTE
390607AF6
520000
PA
USD
434200
0.117410739271
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.25
N
N
N
N
N
N
CROWN CORK AND SEAL CO INC
7HLDMDH0ZXNUH6PT7Z42
CORPORATE BONDS
228255AH8
347000
PA
USD
362615
0.098053650900
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
7.375
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
CORPORATE BONDS
012873AK1
351000
PA
USD
379818.86
0.102705695858
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
7.375
N
N
N
N
N
N
DRESDNER FUNDING TRUST I
549300ZEO4BKB37E3J03
CORPORATE BONDS
26156FAA1
200000
PA
USD
212994.4
0.057595186468
Long
DBT
CORP
US
N
2
2031-06-30
Fixed
8.151
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
CORPORATE BONDS
845467AT6
397000
PA
USD
352749.15
0.095385855547
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
CORPORATE BONDS
71643VAB1
425000
PA
USD
327463.44
0.088548421406
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.7
N
N
N
N
N
N
NEWS CORP
549300ITS31QK8VRBQ14
CORPORATE BONDS
65249BAB5
20000
PA
USD
18300
0.004948448937
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
5.125
N
N
N
N
N
N
LEVI STRAUSS AND CO
MB0UERO0RDFKU8258G77
CORPORATE BONDS
52736RBJ0
127000
PA
USD
104021.32
0.028128097838
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.5
N
N
N
N
N
N
TWILIO INC
5493004W8TRGD63APX93
CORPORATE BONDS
90138FAD4
915000
PA
USD
775105.65
0.209594028972
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.875
N
N
N
N
N
N
BLOCK INC
549300OHIIUWSTIZME52
CORPORATE BONDS
852234AP8
165000
PA
USD
138199.94
0.037370237500
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.5
N
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
CORPORATE BONDS
103304BV2
130000
PA
USD
116320.83
0.031453972001
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
4.75
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
CORPORATE BONDS
12008RAP2
165000
PA
USD
143174.53
0.038715401686
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
CORPORATE BONDS
670001AH9
255000
PA
USD
212339.32
0.057418048221
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
3.875
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
CORPORATE BONDS
629377CS9
197000
PA
USD
152445.95
0.041222458978
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.875
N
N
N
N
N
N
TAYLOR MORRISON COMMUNITIES INC
549300O1Z08HI2MRK572
CORPORATE BONDS
87724RAJ1
981000
PA
USD
915763.5
0.247628902654
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
5.125
N
N
N
N
N
N
SERVICE CORP INTERNATIONAL/US
549300RKVM2ME20JHZ15
CORPORATE BONDS
817565CF9
1155000
PA
USD
963024.56
0.260408626268
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.375
N
N
N
N
N
N
STANDARD INDUSTRIES INC/NJ
54930064UHXCIUWVI755
CORPORATE BONDS
853496AH0
95000
PA
USD
76717.7
0.020745006615
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.375
N
N
N
N
N
N
BATH AND BODY WORKS INC
GR3KVMWVCR54YWQNXU90
CORPORATE BONDS
501797AW4
601000
PA
USD
580796.6
0.157051492796
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
6.625
N
N
N
N
N
N
1011778 BC ULC / NEW RED FINANCE INC
N/A
CORPORATE BONDS
68245XAM1
490000
PA
USD
421082.58
0.113863696481
Long
DBT
CORP
CA
N
2
2030-10-15
Fixed
4
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
CORPORATE BONDS
15135BAW1
120000
PA
USD
100401.6
0.027149300046
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3
N
N
N
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
CORPORATE BONDS
432833AL5
1755000
PA
USD
1530813.44
0.413942739927
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
4
N
N
N
N
N
N
SERVICE CORP INTERNATIONAL/US
549300RKVM2ME20JHZ15
CORPORATE BONDS
817565CE2
350000
PA
USD
332500
0.089910342717
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.125
N
N
N
N
N
N
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP
N/A
CORPORATE BONDS
1248EPCB7
1478000
PA
USD
1350676.51
0.365232444852
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.375
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
CORPORATE BONDS
92840VAE2
115000
PA
USD
102538.67
0.027727178831
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.3
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
CORPORATE BONDS
404119BX6
155000
PA
USD
143801.32
0.038884890118
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.125
N
N
N
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
CORPORATE BONDS
432833AF8
422000
PA
USD
395625.13
0.106979822633
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.875
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
CORPORATE BONDS
84762LAV7
125000
PA
USD
112500
0.030420792648
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
CORPORATE BONDS
674599DJ1
248000
PA
USD
250023.68
0.067608164680
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.2
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
CORPORATE BONDS
85172FAR0
448000
PA
USD
388123.86
0.104951426373
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.375
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
CORPORATE BONDS
15135BAT8
349000
PA
USD
324475.77
0.087740534388
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.625
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
CORPORATE BONDS
670001AE6
175000
PA
USD
157282.79
0.042530374593
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
4.75
N
N
N
N
N
N
ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC
N/A
CORPORATE BONDS
013092AE1
930000
PA
USD
853275
0.230731571975
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.875
N
N
N
N
N
N
MATCH GROUP HOLDINGS II LLC
5493003RFFE030RC9167
CORPORATE BONDS
57665RAL0
55000
PA
USD
47462.25
0.012834126808
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.125
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
CORPORATE BONDS
78454LAN0
263000
PA
USD
258397.5
0.069872504608
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
6.75
N
N
N
N
N
N
STANDARD INDUSTRIES INC/NJ
54930064UHXCIUWVI755
CORPORATE BONDS
853496AC1
868000
PA
USD
831295.67
0.224788206281
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5
N
N
N
N
N
N
LEVI STRAUSS AND CO
MB0UERO0RDFKU8258G77
CORPORATE BONDS
U52799BC3
668000
PA
696531.08
0.188346911626
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.375
N
N
N
N
N
N
MATCH GROUP HOLDINGS II LLC
5493003RFFE030RC9167
CORPORATE BONDS
57665RAG1
80000
PA
USD
75803.82
0.020497887024
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5
N
N
N
N
N
N
ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC
N/A
CORPORATE BONDS
29260FAE0
1653000
PA
USD
1609526.43
0.435227287016
Long
DBT
CORP
US
N
2
2028-01-30
Fixed
5.75
N
N
N
N
N
N
STANDARD INDUSTRIES INC/NJ
54930064UHXCIUWVI755
CORPORATE BONDS
853496AD9
25000
PA
USD
23291.93
0.006298301981
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
CORPORATE BONDS
038522AQ1
589000
PA
USD
553662.08
0.149714127405
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
CORPORATE BONDS
037411BE4
83000
PA
USD
76425.81
0.020666077502
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.375
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
CORPORATE BONDS
013817AK7
625000
PA
USD
635430
0.171824749090
Long
DBT
CORP
US
N
2
2037-02-01
Fixed
5.95
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
CORPORATE BONDS
292505AE4
155000
PA
USD
157112.71
0.042484383763
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
6.625
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
CORPORATE BONDS
23311RAA4
118000
PA
USD
125749.65
0.034003591362
Long
DBT
CORP
US
N
2
2037-09-15
Fixed
6.75
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
CORPORATE BONDS
15135UAF6
96000
PA
USD
100604.35
0.027204125075
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
6.75
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
CORPORATE BONDS
037411AW5
893000
PA
USD
758826.75
0.205192099714
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.1
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
CORPORATE BONDS
35671DBC8
670000
PA
USD
623843.73
0.168691740048
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
CORPORATE BONDS
78454LAL4
140000
PA
USD
137196.31
0.037098848877
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.625
N
N
N
N
N
N
STICHTING AK RABOBANK CERTIFICATEN
DG3RU1DBUFHT4ZF9WN62
CORPORATE STEP UP
N22634XZ2
252125
PA
260925.36
0.070556055763
Long
DBT
CORP
NL
N
2
2044-01-24
Variable
6.5
N
N
N
N
N
N
HSBC BANK USA
1IE8VN30JCEQV1H4R804
CURRENCY FORWARDS
N/A
1
NC
N/A
24597.14
0.006651239962
N/A
DFE
CORP
US
N
2
HSBC BANK USA
1IE8VN30JCEQV1H4R804
24137.07
NZD
24597.14
USD
2023-10-18
-460.07
N
N
N
STATE STREET B AND T CO
571474TGEMMWANRLN572
CURRENCY FORWARDS
N/A
1
NC
N/A
47455.08
0.012832187989
N/A
DFE
CORP
US
N
2
STATE STREET B AND T CO
571474TGEMMWANRLN572
46561.52
NZD
47455.08
USD
2023-10-18
-893.56
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY FORWARDS
N/A
1
NC
N/A
19125.82
0.005171756484
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
18903.72
AUD
19125.82
USD
2023-10-18
-222.1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY FORWARDS
N/A
1
NC
N/A
103481.89
0.027982232165
N/A
DFE
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
101558.53
NZD
103481.89
USD
2023-10-18
-1923.36
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CURRENCY FORWARDS
N/A
1
NC
N/A
69364.76
0.018756719832
N/A
DFE
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
68551.96
AUD
69364.76
USD
2023-10-18
-812.8
N
N
N
HSBC BANK USA
1IE8VN30JCEQV1H4R804
CURRENCY FORWARDS
N/A
1
NC
N/A
247019.36
0.066795775384
N/A
DFE
CORP
US
N
2
HSBC BANK USA
1IE8VN30JCEQV1H4R804
244074.96
AUD
247019.36
USD
2023-10-18
-2944.4
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
CURRENCY FORWARDS
N/A
1
NC
N/A
138141.5
0.037354434912
N/A
DFE
CORP
US
N
2
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
135559.92
NZD
138141.5
USD
2023-10-18
-2581.58
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
CURRENCY FORWARDS
N/A
1
NC
N/A
27019.58
0.007306284806
N/A
DFE
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
26514.56
NZD
27019.58
USD
2023-10-18
-505.02
N
N
N
STATE STREET B AND T CO
571474TGEMMWANRLN572
CURRENCY FORWARDS
N/A
1
NC
N/A
2442717.08
0.660527909241
N/A
DFE
CORP
US
N
2
STATE STREET B AND T CO
571474TGEMMWANRLN572
2413691.22
AUD
2442717.08
USD
2023-10-18
-29025.86
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CURRENCY FORWARDS
N/A
1
NC
N/A
3116196.34
0.842641446321
N/A
DFE
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
3057780.48
NZD
3116196.34
USD
2023-10-18
-58415.86
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
CURRENCY FORWARDS
N/A
1
NC
N/A
9379.21
0.002536204468
N/A
DFE
CORP
GB
N
2
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
9202.09
NZD
9379.21
USD
2023-10-18
-177.12
N
N
N
BARCLAYS BANK PLC WHOLESALE, LONDON
G5GSEF7VJP5I7OUK5573
CURRENCY FORWARDS
N/A
1
NC
N/A
138541.66
0.037462640996
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC WHOLESALE, LONDON
G5GSEF7VJP5I7OUK5573
137647.55
CAD
138541.66
USD
2023-10-18
-894.11
N
N
N
GOLDMAN SACHS INTL FX
W22LROWP2IHZNBB6K528
CURRENCY FORWARDS
N/A
1
NC
N/A
15030.82
0.004064439632
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTL FX
W22LROWP2IHZNBB6K528
14938.11
CAD
15030.82
USD
2023-10-18
-92.71
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
CURRENCY FORWARDS
N/A
1
NC
N/A
327413.79
0.088534995696
N/A
DFE
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
325387.87
CAD
327413.79
USD
2023-10-18
-2025.92
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY FORWARDS
N/A
1
NC
N/A
1408949.69
0.380989923303
N/A
DFE
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1400291.83
CAD
1408949.69
USD
2023-10-18
-8657.86
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
CURRENCY FORWARDS
N/A
1
NC
N/A
3500814.86
0.946645004060
N/A
DFE
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
3479318.44
CAD
3500814.86
USD
2023-10-18
-21496.42
N
N
N
HSBC BANK USA
1IE8VN30JCEQV1H4R804
CURRENCY FORWARDS
N/A
1
NC
N/A
11083.33
0.002997010523
N/A
DFE
CORP
US
N
2
HSBC BANK USA
1IE8VN30JCEQV1H4R804
11014.21
CAD
11083.33
USD
2023-10-18
-69.12
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
CURRENCY FORWARDS
N/A
1
NC
N/A
455.48
0.000123165001
N/A
DFE
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
452.63
CAD
455.48
USD
2023-10-18
-2.85
N
N
N
STATE STREET B AND T CO
571474TGEMMWANRLN572
CURRENCY FORWARDS
N/A
1
NC
N/A
401277.37
0.108508228154
N/A
DFE
CORP
US
N
2
STATE STREET B AND T CO
571474TGEMMWANRLN572
398823.3
CAD
401277.37
USD
2023-10-18
-2454.07
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY FORWARDS
N/A
1
NC
N/A
1665517.65
0.450367707405
N/A
DFE
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1665517.65
USD
1746966.16
JPY
2023-08-16
-81448.51
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
CURRENCY FORWARDS
N/A
1
NC
N/A
9628.17
0.002603525006
N/A
DFE
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
9628.17
USD
10099.49
JPY
2023-08-16
-471.32
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CURRENCY FORWARDS
N/A
1
NC
N/A
4436230.78
1.199588059549
N/A
DFE
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
4436230.78
USD
4581529.69
JPY
2023-08-16
-145298.91
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
CURRENCY FORWARDS
N/A
1
NC
N/A
898889.42
0.243066032531
N/A
DFE
CORP
GB
N
2
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
898889.42
USD
942920.8
JPY
2023-08-16
-44031.38
N
N
N
HSBC BANK USA
1IE8VN30JCEQV1H4R804
CURRENCY FORWARDS
N/A
1
NC
N/A
1449716.78
0.392013631675
N/A
DFE
CORP
US
N
2
HSBC BANK USA
1IE8VN30JCEQV1H4R804
1477540.37
GBP
1449716.78
USD
2023-09-20
27823.59
N
N
N
STATE STREET B AND T CO
571474TGEMMWANRLN572
CURRENCY FORWARDS
N/A
1
NC
N/A
5021365.89
1.357812716017
N/A
DFE
CORP
US
N
2
STATE STREET B AND T CO
571474TGEMMWANRLN572
4941568.24
EUR
5021365.89
USD
2023-09-20
-79797.65
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
CURRENCY FORWARDS
N/A
1
NC
N/A
366820.71
0.099190904516
N/A
DFE
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
363177.66
SEK
366820.71
USD
2023-09-20
-3643.05
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
CURRENCY FORWARDS
N/A
1
NC
N/A
22234.81
0.006012449285
N/A
DFE
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
20651.48
NOK
22234.81
USD
2023-09-20
-1583.33
N
N
N
STATE STREET B AND T CO
571474TGEMMWANRLN572
CURRENCY FORWARDS
N/A
1
NC
N/A
619412.39
0.167493474490
N/A
DFE
CORP
US
N
2
STATE STREET B AND T CO
571474TGEMMWANRLN572
575286.81
NOK
619412.39
USD
2023-09-20
-44125.58
N
N
N
HSBC BANK USA
1IE8VN30JCEQV1H4R804
CURRENCY FORWARDS
N/A
1
NC
N/A
261484.25
0.070707183557
N/A
DFE
CORP
US
N
2
HSBC BANK USA
1IE8VN30JCEQV1H4R804
259067.98
SEK
261484.25
USD
2023-09-20
-2416.27
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY FORWARDS
N/A
1
NC
N/A
10027.05
0.002711384968
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
9926.27
SEK
10027.05
USD
2023-09-20
-100.78
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CURRENCY FORWARDS
N/A
1
NC
N/A
929678.44
0.251391600471
N/A
DFE
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
906082.53
SEK
929678.44
USD
2023-09-20
-23595.91
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
CURRENCY FORWARDS
N/A
1
NC
N/A
480598
0.129957085380
N/A
DFE
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
446523.01
NOK
480598
USD
2023-09-20
-34074.99
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY FORWARDS
N/A
1
NC
N/A
207702.76
0.056164289729
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
195558.18
NOK
207702.76
USD
2023-09-20
-12144.58
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY FORWARDS
N/A
1
NC
N/A
12474.3
0.003373138611
N/A
DFE
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
12349.65
SEK
12474.3
USD
2023-09-20
-124.65
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CURRENCY FORWARDS
N/A
1
NC
N/A
1295913.88
0.350424243856
N/A
DFE
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
1196320.21
NOK
1295913.88
USD
2023-09-20
-99593.67
N
N
N
STATE STREET B AND T CO
571474TGEMMWANRLN572
CURRENCY FORWARDS
N/A
1
NC
N/A
1286643.51
0.347917470491
N/A
DFE
CORP
US
N
2
STATE STREET B AND T CO
571474TGEMMWANRLN572
1273683.73
SEK
1286643.51
USD
2023-09-20
-12959.78
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY FORWARDS
N/A
1
NC
N/A
701498.95
0.189690258676
N/A
DFE
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
690156.95
EUR
701498.95
USD
2023-09-20
-11342.00
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
CURRENCY FORWARDS
N/A
1
NC
N/A
2985751.48
0.807368237093
N/A
DFE
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
2937404.03
EUR
2985751.48
USD
2023-09-20
-48347.45
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
CURRENCY FORWARDS
N/A
1
NC
N/A
99962.22
0.027030488598
N/A
DFE
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
98341.2
EUR
99962.22
USD
2023-09-20
-1621.02
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
CURRENCY FORWARDS
N/A
1
NC
N/A
377696.3
0.102131740679
N/A
DFE
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
371529.64
EUR
377696.3
USD
2023-09-20
-6166.66
N
N
N
BARCLAYS BANK PLC WHOLESALE, LONDON
G5GSEF7VJP5I7OUK5573
CURRENCY FORWARDS
N/A
1
NC
N/A
31300.19
0.008463791910
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC WHOLESALE, LONDON
G5GSEF7VJP5I7OUK5573
30749.5
EUR
31300.19
USD
2023-09-20
-550.69
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY FORWARDS
N/A
1
NC
N/A
1239333.19
0.335124426626
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
1213178.97
EUR
1239333.19
USD
2023-09-20
-26154.22
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
CURRENCY FORWARDS
N/A
1
NC
N/A
19176.87
0.005185560763
N/A
DFE
CORP
GB
N
2
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
17960.05
EUR
19176.87
USD
2023-09-20
-1216.82
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
CURRENCY FORWARDS
N/A
1
NC
N/A
22483.23
0.006079623804
N/A
DFE
CORP
US
N
2
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
22120.05
EUR
22483.23
USD
2023-09-20
-363.18
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CURRENCY FORWARDS
N/A
1
NC
N/A
2607173.5
0.704998083930
N/A
DFE
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2549725.22
EUR
2607173.5
USD
2023-09-20
-57448.28
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
CURRENCY FORWARDS
N/A
1
NC
N/A
1097620.7
0.296804370857
N/A
DFE
CORP
US
N
2
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
1086810
GBP
1097620.7
USD
2023-09-20
-10810.7
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
CURRENCY FORWARDS
N/A
1
NC
N/A
114241.89
0.030891811977
N/A
DFE
CORP
GB
N
2
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
114241.89
USD
113501.79
GBP
2023-09-20
740.1
N
N
N
STATE STREET B AND T CO
571474TGEMMWANRLN572
CURRENCY FORWARDS
N/A
1
NC
N/A
1230731.76
0.332798539350
N/A
DFE
CORP
US
N
2
STATE STREET B AND T CO
571474TGEMMWANRLN572
1187512.15
GBP
1230731.76
USD
2023-09-20
-43219.61
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
CURRENCY FORWARDS
N/A
1
NC
N/A
109749.23
0.029676965059
N/A
DFE
CORP
CA
N
2
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
105985.73
GBP
109749.23
USD
2023-09-20
-3763.5
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
CURRENCY FORWARDS
N/A
1
NC
N/A
342340.59
0.092571307587
N/A
DFE
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
330284.21
GBP
342340.59
USD
2023-09-20
-12056.38
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
CURRENCY FORWARDS
N/A
1
NC
N/A
1959.49
0.000529859902
N/A
DFE
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1899.78
CHF
1959.49
USD
2023-09-20
-59.71
N
N
N
GOLDMAN SACHS INTL FX
W22LROWP2IHZNBB6K528
CURRENCY FORWARDS
N/A
1
NC
N/A
2405676.63
0.650511910583
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTL FX
W22LROWP2IHZNBB6K528
2405676.63
USD
2333584.91
CHF
2023-09-20
72091.72
N
N
N
HSBC BANK USA
1IE8VN30JCEQV1H4R804
CURRENCY FORWARDS
N/A
1
NC
N/A
12217.99
0.003303830581
N/A
DFE
CORP
US
N
2
HSBC BANK USA
1IE8VN30JCEQV1H4R804
12217.99
USD
11895.66
CHF
2023-09-20
322.33
N
N
N
STATE STREET B AND T CO
571474TGEMMWANRLN572
CURRENCY FORWARDS
N/A
1
NC
N/A
198830.54
0.053765178929
N/A
DFE
CORP
US
N
2
STATE STREET B AND T CO
571474TGEMMWANRLN572
198830.54
USD
192900.37
CHF
2023-09-20
5930.17
N
N
N
BARCLAYS BANK PLC WHOLESALE, LONDON
G5GSEF7VJP5I7OUK5573
CURRENCY FORWARDS
N/A
1
NC
N/A
224073.37
0.060591018016
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC WHOLESALE, LONDON
G5GSEF7VJP5I7OUK5573
224073.37
USD
217337.84
CHF
2023-09-20
6735.53
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
CURRENCY FORWARDS
N/A
1
NC
N/A
24205.46
0.006545326930
N/A
DFE
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
24205.46
USD
23482.79
CHF
2023-09-20
722.67
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
CURRENCY FORWARDS
N/A
1
NC
N/A
89349.88
0.024160837090
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
88797.6
CAD
89349.88
USD
2023-10-18
-552.28
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
CURRENCY FORWARDS
N/A
1
NC
N/A
352144.01
0.095222221428
N/A
DFE
CORP
US
N
2
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
347998.84
AUD
352144.01
USD
2023-10-18
-4145.17
N
N
N
ING US FUNDING LLC
N/A
DISC. CP
N/A
2000000
PA
USD
1990437.34
0.538228280888
Long
STIV
CORP
US
N
2
2023-09-01
Fixed
0
N
N
N
N
N
N
LLOYDS BANK PLC
H7FNTJ4851HG0EXQ1Z70
DISC. CP
N/A
2000000
PA
USD
1988606.34
0.537733165588
Long
STIV
CORP
GB
N
2
2023-09-07
Fixed
0
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
DISC. CP
N/A
2000000
PA
USD
1994945.34
0.539447275851
Long
STIV
CORP
ES
N
2
2023-08-17
Fixed
0
N
N
N
N
N
N
TOTALENERGIES CAPITAL CANADA LTD
5299005IX98ZZ9LSGK46
DISC. CP
89153QVM9
2000000
PA
USD
1993686
0.539106741442
Long
STIV
CORP
CA
N
2
2023-08-21
Fixed
0
N
N
N
N
N
N
MITSUBISHI UFJ TRUST AND BANKING CORP/NY
JBONEPAGQXF4QP29B387
DISC. CP
N/A
1250000
PA
USD
1249817.29
0.337959401134
Long
STIV
CORP
US
N
2
2023-08-01
Fixed
0
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK/NEW YORK
254900BN8XS34XZDJ223
DISC. CP
N/A
2000000
PA
USD
1992538.88
0.538796552111
Long
STIV
CORP
US
N
2
2023-08-25
Fixed
0
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
DISC. CP
N/A
2000000
PA
USD
1999708.38
0.540735235426
Long
STIV
CORP
SE
N
2
2023-08-01
Fixed
0
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137ASB78
947629.71
PA
USD
189336.42
0.051197901988
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Fixed
5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137B1HN5
1164631.04
PA
USD
170788.95
0.046182535419
Long
ABS-MBS
USGSE
US
N
2
2043-03-15
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137H1X68
8442761.33
PA
USD
1544248.59
0.417575699148
Long
ABS-MBS
USGSE
US
N
2
2051-08-25
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FWKE9
7413374.14
PA
USD
1592815.33
0.430708487833
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FYMM5
5583956.54
PA
USD
1073436.91
0.290264903647
Long
ABS-MBS
USGSE
US
N
2
2051-03-25
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FYLH7
4201033.01
PA
USD
914287.2
0.247229700732
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE INTEREST STRIP
B1V7KEBTPIMZEU4LTD58
FHLMC CMO IO
3137B1VT6
102591.74
PA
USD
704.81
0.000190585590
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
3137BMNM4
1257395.2
PA
USD
230225.67
0.062254643284
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
3137FQNN9
5083335
PA
USD
452660.31
0.122402537162
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
.867
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FTQF7
5175019.85
PA
USD
1124054.16
0.303952164685
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FVT28
8334061.92
PA
USD
1008838.2
0.272796957316
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Floating
1.067
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137BG4Q9
1297613.14
PA
USD
203361.93
0.054990498712
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137AYSK8
2608815.68
PA
USD
198932.63
0.053792784784
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
3137FJK99
4923168
PA
USD
579998.42
0.156835659300
Long
ABS-MBS
USGSE
US
N
2
2056-08-15
Floating
.918
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FCB52
1413760.85
PA
USD
157351.58
0.042548975894
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Floating
1.018
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137FUAM6
7874210.75
PA
USD
865272.61
0.233975810251
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Floating
.917
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137AUD48
525613.82
PA
USD
37964.56
0.010265884513
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137ANL94
520999.59
PA
USD
68100.06
0.018414736041
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137ALYB9
387664.54
PA
USD
56866.12
0.015376999513
Long
ABS-MBS
USGSE
US
N
2
2042-01-15
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137BXH62
1019284.26
PA
USD
113193.86
0.030608417281
Long
ABS-MBS
USGSE
US
N
2
2047-04-15
Floating
.918
N
N
N
N
N
N
FREDDIE MAC REMICS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
3137BH6Q5
1795295.68
PA
USD
352131.09
0.095218727769
Long
ABS-MBS
USGSE
US
N
2
2044-11-15
Fixed
4
N
N
N
N
N
N
FREDDIE MAC STRIPS
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
31325UPS9
297740.05
PA
USD
9983.82
0.002699695272
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES
S6XOOCT0IEG5ABCC6L87
FHLMC CMO IO
31394JDC8
1414334.81
PA
USD
18906.83
0.005112540045
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Variable
.382
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140JUFY5
47205.9
PA
USD
46211.73
0.012495977389
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140JS4K2
43951.7
PA
USD
43015.08
0.011631580706
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140JUGW8
18702.34
PA
USD
18144.45
0.004906387122
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140JXZG6
22790.4
PA
USD
22592.1
0.006109063019
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FN30
3140JKL87
10862.05
PA
USD
10630.58
0.002874583733
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136BGL82
15501835.13
PA
USD
2032785.09
0.549679410861
Long
ABS-MBS
USGSE
US
N
2
2051-09-25
Fixed
2.5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136B1S47
5551379.85
PA
USD
572061.92
0.154689573781
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Floating
1.017
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136BCLU2
7659096.95
PA
USD
1369588.99
0.370346512697
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136B66Y4
5867715.94
PA
USD
587358.37
0.158825841637
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
.817
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136B8H51
4579111.31
PA
USD
470091.57
0.127116072682
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
.867
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136B5A54
3047408.1
PA
USD
236044.31
0.063828044537
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
.867
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AWLE5
6865689.57
PA
USD
625395.66
0.169111392854
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Floating
.967
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136B07G5
3153695.54
PA
USD
248511.21
0.067199182135
Long
ABS-MBS
USGSE
US
N
2
2048-03-25
Floating
1.067
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AEJY4
2859601.87
PA
USD
496798.06
0.134337695746
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AUEP2
9243957.84
PA
USD
562300.71
0.152050073822
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Floating
.917
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ANRR0
2800804.37
PA
USD
431940.05
0.116799632868
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AT6W9
2855086.03
PA
USD
185427.84
0.050140994417
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Floating
.917
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ARFT0
1860829.84
PA
USD
313530.1
0.084780748099
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Fixed
6
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AQZW3
445781.13
PA
USD
29024.45
0.007848415779
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136A9C48
311373.24
PA
USD
59624.86
0.016122982247
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ADU80
881388.85
PA
USD
125800.63
0.034017376714
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136AAY82
355075.37
PA
USD
11380.88
0.003077470139
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
3136AEU88
469842.93
PA
USD
54501.78
0.014737665319
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ADA58
651715.97
PA
USD
89832.53
0.024291349051
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136ACWY3
72452.62
PA
USD
172.36
0.000046607358
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
.967
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136A1D44
1370171.12
PA
USD
101776.31
0.027521031316
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
.717
N
N
N
N
N
N
FANNIE MAE INTEREST STRIP
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136FCZ90
80170.98
PA
USD
13086.3
0.003538627723
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE INTEREST STRIP
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
3136FEMW9
246087.69
PA
USD
34584.06
0.009351773495
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Fixed
5
N
N
N
N
N
N
FANNIE MAE REMICS
B1V7KEBTPIMZEU4LTD58
FNMA CMO IO
31398PJU4
641295.76
PA
USD
62925.48
0.017015493150
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Floating
1.217
N
N
N
N
N
N
FANNIE MAE GRANTOR TRUST 2000-T6
N/A
FNMA CMO IO
31358SR52
850592.43
PA
USD
3929.31
0.001062513109
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Variable
.717
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F052680
28000000
PA
USD
27814063.2
7.521118660614
Short
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F030686
4000000
PA
USD
3502500
0.947100677790
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F030686
4000000
PA
USD
3502500
0.947100677790
Short
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
3
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F042681
1000000
PA
USD
957773.4
0.258988675606
Short
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F040685
4000000
PA
USD
3736093.6
1.010266033075
Short
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
4
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F060683
19000000
PA
USD
19121717.8
5.170647220237
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
6
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F050684
44000000
PA
USD
42999686.4
11.627418168216
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F022683
5000000
PA
USD
4215625
1.139934702300
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
2.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F052680
140000000
PA
USD
139070316
37.605593303070
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE POOL
B1V7KEBTPIMZEU4LTD58
FNMA TBA
01F032682
8000000
PA
USD
7251875.2
1.960958149084
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617K4VB0
42829.22
PA
USD
43351.25
0.011722483443
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
5.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LE6Y5
70293.84
PA
USD
64960.62
0.017565809345
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617K4U88
55973.09
PA
USD
55348.23
0.014966551363
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617K4U96
62239.34
PA
USD
61486.18
0.016626296289
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617K4VA2
81401.14
PA
USD
80594.16
0.021793228711
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
115454.76
PA
USD
106839.48
0.028890148158
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
3617JSVJ2
49058.09
PA
USD
45397.36
0.012275766003
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LEKS2
22880.94
PA
USD
21173.56
0.005725479808
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
3617LSDS9
95725.57
PA
USD
92521.42
0.025018443852
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LELG7
110514.13
PA
USD
102267.52
0.027653857961
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
51453.85
PA
USD
47550.03
0.012857863138
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
3617LES54
30472.61
PA
USD
28151.12
0.007612261194
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
3617LKWJ5
5641.54
PA
USD
5362.39
0.001450028038
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LKTB6
10684.89
PA
USD
10156.19
0.002746305334
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617KQAS7
6250.21
PA
USD
5940.94
0.001606472034
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LKWK2
7117.43
PA
USD
6765.25
0.001829371266
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617M1A50
50596.92
PA
USD
48093.31
0.013004769878
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LEXM1
27188.83
PA
USD
26397.71
0.007138126776
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
4.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617M6FK1
18027.95
PA
USD
17135.9
0.004633668096
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617MUEF0
52824.6
PA
USD
52135.84
0.014097898473
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LNR89
196065.18
PA
USD
181189.64
0.048994955276
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LNR97
188361.55
PA
USD
174070.48
0.047069884252
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LE6X7
50733.82
PA
USD
47059.02
0.012725090575
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617LE6Z2
64739.06
PA
USD
59827.28
0.016177718041
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GII30
3617K4VC8
31914.32
PA
USD
32303.31
0.008735042626
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
5.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376WP82
900566.87
PA
USD
155965.93
0.042174286371
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378GNB0
551816.05
PA
USD
102731.59
0.027779345759
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376WM85
777572.85
PA
USD
158810.7
0.042943532223
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375CMY3
451098.24
PA
USD
76461.92
0.020675841901
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378FXG0
320310.02
PA
USD
44071.46
0.011917233301
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378FVC1
1891985.99
PA
USD
203161.46
0.054936290212
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378JL67
1063559.2
PA
USD
206512.25
0.055842367437
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375AX25
2513347.1
PA
USD
514457.02
0.139112802951
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378MRH0
503288.11
PA
USD
57249.02
0.015480538371
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376VHX8
564959.15
PA
USD
113203.58
0.030611045638
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375AXQ2
1290478.14
PA
USD
254714.58
0.068876617091
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378YRM3
473558.91
PA
USD
72804.66
0.019686893028
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376WK46
1038117.2
PA
USD
170205.96
0.046024890815
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378GHA9
2068502.18
PA
USD
341875.63
0.092445579127
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378P3C0
490460.29
PA
USD
80835.41
0.021858464411
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378HK70
2004617.81
PA
USD
312415.68
0.084479401079
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38378HVU7
882183.9
PA
USD
140916.97
0.038104941556
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379GSU2
4100249.97
PA
USD
605879.18
0.163833999154
Long
ABS-MBS
USGA
US
N
2
2044-07-16
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379LL46
1861232.07
PA
USD
342466.7
0.092605408620
Long
ABS-MBS
USGA
US
N
2
2045-04-16
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379LX92
465016
PA
USD
90568.52
0.024490365932
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375BM66
3098885.97
PA
USD
101023.68
0.027317514861
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Variable
1.578
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RAE6
3633979.13
PA
USD
147902.95
0.039993999769
Long
ABS-MBS
USGA
US
N
2
2065-04-20
Variable
.047
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UVA5
3842625.91
PA
USD
127190.92
0.034393320925
Long
ABS-MBS
USGA
US
N
2
2065-03-20
Variable
1.782
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379LWF9
902100.88
PA
USD
55309.88
0.014956181252
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RCY0
3159512.78
PA
USD
93837.53
0.025374329269
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Variable
.656
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RFK7
5711750.05
PA
USD
278733.4
0.075371475250
Long
ABS-MBS
USGA
US
N
2
2065-08-20
Variable
.091
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RFF8
5102151.77
PA
USD
189800.05
0.051323270806
Long
ABS-MBS
USGA
US
N
2
2065-08-20
Variable
1.806
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RHE9
5450309.03
PA
USD
175499.95
0.047456423011
Long
ABS-MBS
USGA
US
N
2
2065-09-20
Variable
1.724
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RJK3
4019737.44
PA
USD
166819.1
0.045109060008
Long
ABS-MBS
USGA
US
N
2
2065-10-20
Variable
1.868
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RHV1
4651653.65
PA
USD
118514.83
0.032047245060
Long
ABS-MBS
USGA
US
N
2
2065-09-20
Variable
.015
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379TKW8
2119475.31
PA
USD
348060.24
0.094117941246
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379B6E3
767340.26
PA
USD
151904.21
0.041075968665
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RNT9
5244493.67
PA
USD
229337.04
0.062014351471
Long
ABS-MBS
USGA
US
N
2
2065-12-20
Variable
2.051
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RNL6
4274152.53
PA
USD
141716.88
0.038321242856
Long
ABS-MBS
USGA
US
N
2
2066-01-20
Variable
.034
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RSF4
6958996.31
PA
USD
132429.7
0.035809923948
Long
ABS-MBS
USGA
US
N
2
2065-07-20
Variable
.01
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379DLW2
1068901.66
PA
USD
64764.43
0.017512758187
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RTH9
6731169.88
PA
USD
296171.47
0.080086852242
Long
ABS-MBS
USGA
US
N
2
2066-04-20
Variable
.105
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RSH0
6287445.22
PA
USD
93047.9
0.025160807754
Long
ABS-MBS
USGA
US
N
2
2066-02-20
Variable
.002
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RUG9
10233026.75
PA
USD
162653.96
0.043982776805
Long
ABS-MBS
USGA
US
N
2
2066-04-20
Variable
0
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379PE94
1220562.97
PA
USD
152668.02
0.041282508271
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RWP7
4213520.67
PA
USD
137782.13
0.037257258732
Long
ABS-MBS
USGA
US
N
2
2066-06-20
Floating
3.637
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RXR2
2396455.78
PA
USD
99789.47
0.026983775781
Long
ABS-MBS
USGA
US
N
2
2066-07-20
Variable
.251
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UPZ7
5767643.2
PA
USD
181104
0.048971797616
Long
ABS-MBS
USGA
US
N
2
2064-10-20
Variable
1.511
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RWA0
3936186.93
PA
USD
111831.01
0.030239893039
Long
ABS-MBS
USGA
US
N
2
2066-06-20
Variable
1.647
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379EAL6
1612585.39
PA
USD
125689.26
0.033987261481
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Floating
.231
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376WR56
1674366.75
PA
USD
291373.3
0.078789393268
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RA63
15001989.52
PA
USD
574576.2
0.155369452808
Long
ABS-MBS
USGA
US
N
2
2066-10-20
Variable
.027
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RF35
3987687.33
PA
USD
137176.44
0.037093475889
Long
ABS-MBS
USGA
US
N
2
2066-10-20
Variable
1.661
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RYA8
3739164.01
PA
USD
167338.81
0.045249593254
Long
ABS-MBS
USGA
US
N
2
2066-06-20
Variable
1.161
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376MSQ1
946120.34
PA
USD
183537.7
0.049629887243
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376R2Q8
7145025.84
PA
USD
223639.31
0.060473645134
Long
ABS-MBS
USGA
US
N
2
2067-03-20
Variable
.019
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RV78
5569458.47
PA
USD
187574.35
0.050721425845
Long
ABS-MBS
USGA
US
N
2
2067-02-20
Variable
.015
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UZV5
7172523.26
PA
USD
185861.6
0.050258286177
Long
ABS-MBS
USGA
US
N
2
2067-04-20
Variable
.014
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376R4R4
4854590.02
PA
USD
247867.84
0.067025210354
Long
ABS-MBS
USGA
US
N
2
2067-05-20
Variable
.488
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UYG9
3652050
PA
USD
106873.59
0.028899371742
Long
ABS-MBS
USGA
US
N
2
2067-01-20
Variable
.031
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380FAU0
897229.78
PA
USD
33576.76
0.009079392478
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
4
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379V6K5
1928002.84
PA
USD
361451.18
0.097738945772
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UF88
11472542.14
PA
USD
274312.38
0.074176000292
Long
ABS-MBS
USGA
US
N
2
2067-07-20
Variable
.719
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UG46
12748530.4
PA
USD
592102.31
0.160108636437
Long
ABS-MBS
USGA
US
N
2
2067-08-20
Variable
1.561
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376R2S4
4383519.39
PA
USD
144511.48
0.039076922386
Long
ABS-MBS
USGA
US
N
2
2067-05-20
Variable
.18
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375UK25
2534349.06
PA
USD
141923.55
0.038377127880
Long
ABS-MBS
USGA
US
N
2
2067-04-20
Variable
2.07
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380CH71
2610965.14
PA
USD
512059.35
0.138464456089
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376RC87
5716881.78
PA
USD
184215.08
0.049813055568
Long
ABS-MBS
USGA
US
N
2
2066-10-20
Variable
.029
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375U5C0
5869528.42
PA
USD
251215.82
0.067930527735
Long
ABS-MBS
USGA
US
N
2
2068-02-20
Variable
.019
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380LAD5
5703584
PA
USD
266464.32
0.072053829573
Long
ABS-MBS
USGA
US
N
2
2068-02-20
Variable
.036
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379YFD5
944445.78
PA
USD
151415.53
0.040943826150
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380YYA7
3290044.62
PA
USD
742957.88
0.200901045458
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380LJK0
4872579.41
PA
USD
201560.92
0.054503492919
Long
ABS-MBS
USGA
US
N
2
2068-08-20
Variable
1.216
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38375U6A3
8351660.27
PA
USD
434547.32
0.117504657046
Long
ABS-MBS
USGA
US
N
2
2068-01-20
Variable
.05
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38376LEQ8
4082905.67
PA
USD
302233.01
0.081725935367
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Floating
.581
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380LAB9
3619190.65
PA
USD
177001.04
0.047862328324
Long
ABS-MBS
USGA
US
N
2
2068-02-20
Variable
.036
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38380XSS7
1407439.8
PA
USD
270766.37
0.073217134204
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381XBN5
4037556.13
PA
USD
356112.45
0.096295315564
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Floating
.731
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381XK39
4578062.96
PA
USD
432077.58
0.116836821949
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
.731
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38379BNA2
3716377.25
PA
USD
353673.5
0.095635806300
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Floating
.811
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381YWU4
4525219.34
PA
USD
433176.62
0.117134010108
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
.681
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381BE83
3303459.03
PA
USD
297875.87
0.080547734011
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
.781
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382DGP8
3444715.2
PA
USD
336624.46
0.091025625761
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
.681
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382BH89
2833774.69
PA
USD
258328.03
0.069853719430
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Floating
.681
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382GXV9
3743213.18
PA
USD
435466.71
0.117753266580
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Floating
.781
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382JB96
6215540.44
PA
USD
754734.43
0.204085507553
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Floating
.931
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382FGY4
4558539.45
PA
USD
459436.05
0.124234744998
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Floating
.731
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382FGP3
5829216.2
PA
USD
634344.05
0.171531100559
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Floating
.731
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382LDU2
5415256.53
PA
USD
987192.6
0.266943834566
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
3.5
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382FGR9
5069457.45
PA
USD
428724.02
0.115929995696
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Floating
.631
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382RRP5
7874495.39
PA
USD
1176292.12
0.318077677125
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
3
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382RPZ5
4824857.64
PA
USD
486077.39
0.131438751043
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Floating
.931
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382QX21
6888023.61
PA
USD
792395.48
0.214269320824
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Floating
.931
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38381W6R4
5282188.68
PA
USD
451873.81
0.122189862020
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Floating
.731
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382TD27
10983693.38
PA
USD
1236983.55
0.334489067415
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Floating
.931
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382LMH1
6297741.24
PA
USD
950630.19
0.257057101292
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
3
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38382WSM0
7305621.93
PA
USD
881021.48
0.238234415662
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Floating
.864
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA CMO IO
38383AQC1
9276199.23
PA
USD
1562900.43
0.422619288100
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GNMA TBA
21H032688
1000000
PA
USD
919398.3
0.248611778184
Short
ABS-MBS
USGA
US
N
2
2053-08-01
Fixed
3.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GNMA TBA
21H040681
8000000
PA
USD
7536657.6
2.037965316553
Long
ABS-MBS
USGA
US
N
2
2053-08-01
Fixed
4
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GNMA TBA
21H052686
11000000
PA
USD
10934982.3
2.956896259228
Long
ABS-MBS
USGA
US
N
2
2053-08-01
Fixed
5.5
N
N
N
N
N
N
GINNIE MAE I POOL
549300M8ZYFG0OCMTT87
GNMA TBA
21H042687
12000000
PA
USD
11545153.2
3.121890769708
Long
ABS-MBS
USGA
US
N
2
2053-08-01
Fixed
4.5
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
GOVERNMENT BOND
Y20721BG3
760000
PA
USD
747408.32
0.202104475791
Long
DBT
NUSS
ID
N
2
2025-01-15
Fixed
4.125
N
N
N
N
N
N
TUNISIAN REPUBLIC
254900B5LFB16S9T2T11
GOVERNMENT BOND
V06423AM5
3080000
PA
USD
2161028.1
0.584357224335
Long
DBT
NUSS
TN
N
2
2025-01-30
Fixed
5.75
N
N
N
N
N
N
DOMINICAN REPUBLIC
N/A
GOVERNMENT BOND
25714PCV8
1650000
PA
USD
1624837.5
0.439367508222
Long
DBT
NUSS
DO
N
2
2025-01-27
Fixed
5.5
N
N
N
N
N
N
DOMINICAN REPUBLIC
N/A
GOVERNMENT BOND
P3579EBK2
715000
PA
USD
721094.69
0.194989084839
Long
DBT
NUSS
DO
N
2
2026-01-29
Fixed
6.875
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
GOVERNMENT BOND
455780BX3
1265000
PA
USD
1239725.3
0.335230455932
Long
DBT
NUSS
ID
N
2
2027-01-08
Fixed
4.35
N
N
N
N
N
N
REPUBLIC OF COTE D'IVOIRE
254900ICW11T82O6H590
GOVERNMENT BOND
V73789AW5
2765000
PA
USD
2478131.25
0.670104150329
Long
DBT
NUSS
CI
N
2
2033-06-15
Fixed
6.125
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
GOVERNMENT BOND
V71795AM6
1310000
PA
USD
550200
0.148777956580
Long
DBT
NUSS
GH
N
2
2029-05-16
Fixed
7.625
Y
Y
N
N
N
N
DOMINICAN REPUBLIC
N/A
GOVERNMENT BOND
P3579ECB1
1350000
PA
USD
1319974.97
0.356930532121
Long
DBT
NUSS
DO
N
2
2028-07-19
Fixed
6
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
GOVERNMENT BOND
M1487WCY9
2480000
PA
USD
1779400
0.481162297233
Long
DBT
NUSS
EG
N
2
2029-03-01
Fixed
7.6
N
N
N
N
N
N
REPUBLIC OF COTE D'IVOIRE
254900ICW11T82O6H590
GOVERNMENT BOND
N/A
760000
PA
722794.84
0.195448817378
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.875
N
N
N
N
N
N
REPUBLIC OF MOZAMBIQUE
213800759WLKYIKPER73
GOVERNMENT BOND
V5S72HAC4
550000
PA
USD
431062.5
0.116562337165
Long
DBT
NUSS
MZ
N
2
2031-09-15
Variable
5
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
GOVERNMENT BOND
V71795AU8
1300000
PA
USD
552500
0.149399892785
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.375
Y
Y
N
N
N
N
DOMINICAN REPUBLIC
N/A
GOVERNMENT BOND
P3579ECH8
920000
PA
USD
796727.72
0.215440789044
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.875
N
N
N
N
N
N
GOVERNMENT OF MONGOLIA
N/A
GOVERNMENT BOND
Y6142NAC2
670000
PA
USD
632312.5
0.170981755125
Long
DBT
NUSS
MN
N
2
2026-04-07
Fixed
5.125
N
N
N
N
N
N
REPUBLIC OF COTE D'IVOIRE
254900ICW11T82O6H590
GOVERNMENT BOND
N/A
2060000
PA
1834128.05
0.495961147554
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.875
N
N
N
N
N
N
REPUBLIC OF BENIN
635400Q11P6AE5A5Y230
GOVERNMENT BOND
V15389AE5
690000
PA
587836.45
0.158955117837
Long
DBT
NUSS
BJ
N
2
2032-01-19
Fixed
4.875
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
GOVERNMENT BOND
91087BAQ3
1390000
PA
USD
1147461.44
0.310281658119
Long
DBT
NUSS
MX
N
2
2041-08-14
Fixed
4.28
N
N
N
N
N
N
REPUBLIC OF CAMEROON
54930021BO6NHYGBBV24
GOVERNMENT BOND
V58014AB3
760000
PA
614306.26
0.166112740961
Long
DBT
NUSS
CM
N
2
2032-07-07
Fixed
5.95
N
N
N
N
N
N
REPUBLIC OF BENIN
635400Q11P6AE5A5Y230
GOVERNMENT BOND
V15389AF2
470000
PA
376804.5
0.101890591676
Long
DBT
NUSS
BJ
N
2
2035-01-22
Fixed
4.95
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
GOVERNMENT BOND
455780DN3
2670000
PA
USD
2627795.31
0.710574366650
Long
DBT
NUSS
ID
N
2
2032-09-20
Fixed
4.65
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
GOVERNMENT BOND
N/A
910000
PA
USD
978544.84
0.264605419332
Long
DBT
NUSS
RO
N
2
2033-01-17
Fixed
7.125
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
GOVERNMENT BOND
N/A
950000
PA
USD
950000
0.256886693476
Long
DBT
NUSS
RS
N
2
2028-05-26
Fixed
6.25
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
GOVERNMENT BOND
900123DJ6
660000
PA
USD
686400
0.185607396213
Long
DBT
NUSS
TR
N
2
2030-07-13
Fixed
9.125
N
N
N
N
N
N
SOCIALIST REPUBLIC OF VIETNAM
5493008AE7RS4XK4BZ08
GOVERNMENT BOND
Y9384RAA8
1720000
PA
USD
1682173.73
0.454871628792
Long
DBT
NUSS
VN
N
2
2024-11-19
Fixed
4.8
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
GOVERNMENT BOND
V3R60FAZ7
2610000
PA
USD
1174500
0.317593075250
Long
DBT
NUSS
GH
N
2
2026-01-18
Fixed
8.125
Y
Y
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
GOVERNMENT BOND
91087BAX8
1150000
PA
USD
1172461.23
0.317041777477
Long
DBT
NUSS
MX
N
2
2053-05-04
Fixed
6.338
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
GOVERNMENT BOND
455780AX4
640000
PA
USD
728352
0.196951512597
Long
DBT
NUSS
ID
N
2
2037-02-17
Fixed
6.625
N
N
N
N
N
N
REPUBLIC OF COTE D'IVOIRE
254900ICW11T82O6H590
GOVERNMENT BOND
V73789AC9
300000
PA
USD
293250
0.079296866170
Long
DBT
NUSS
CI
N
2
2024-07-23
Fixed
5.375
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
30
NC
USD
3509531.25
0.949001977330
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UNITED STATES OF AMERICA
US TREASURY N/B 03.5000 02/15/2033
2023-09-29
3585401.25
USD
75870
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
GOVERNMENT FUTURES
N/A
614
NC
USD
124661187.5
33.709263433347
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UNITED STATES OF AMERICA
US TREASURY N/B 04.6250 06/30/2025
2023-10-04
126475875.49
USD
1814687.99
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
8590000
NC
USD
6786.1
0.001835009253
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-08-01
113.39
USD
0
USD
8590000
USD
6672.71
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1114000
NC
3588.79
0.000970434102
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-03-24
15.83
USD
0
USD
1114000
EUR
-4127.44
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1244000
NC
USD
40454.88
0.010939284588
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-03-24
16.42
USD
0
USD
1244000
USD
-48038.81
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1874000
NC
14526.26
0.003928003053
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-27
16.29
USD
0
USD
1874000
EUR
-16280.97
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
12196000
NC
220318.12
0.059575571958
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-28
106.91
USD
0
USD
12196000
EUR
-245307.06
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1321000
NC
107611.24
0.029098837499
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-03-28
48.92
USD
0
USD
1321000
EUR
112757.95
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
6855900
NC
135157.45
0.036547526768
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-06-13
105.27
USD
0
USD
6855900
EUR
144959.54
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
25138400
NC
405750.37
0.109717758869
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-06-13
254.33
USD
0
USD
25138400
EUR
441086.11
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3162000
NC
32054.43
0.008667743720
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-29
27.4
USD
0
USD
3162000
EUR
36387.73
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1860000
NC
21207.38
0.005734624974
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-03-29
26.42
USD
0
USD
1860000
EUR
-24208.74
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
631000
NC
31581.07
0.008539743841
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-03-29
23.1
USD
0
USD
631000
EUR
-33712.88
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3142000
NC
20900.51
0.005651645164
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-03-31
44.93
USD
0
USD
3142000
EUR
-25155.24
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1726000
NC
4630.48
0.001252114417
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-04-03
24.68
USD
0
USD
1726000
EUR
-6615.55
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
552000
NC
17788.94
0.004810254713
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-04-03
20.33
USD
0
USD
552000
EUR
-19398.52
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
719000
NC
38530.94
0.010419037656
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-04-05
26.55
USD
0
USD
719000
EUR
40921.46
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2330000
NC
USD
123047.3
0.033272856882
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-04-06
30.76
USD
0
USD
2330000
USD
137931.42
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1360000
NC
22938.21
0.006202653601
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-04-11
19.69
USD
0
USD
1360000
EUR
25314.35
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1005000
NC
3790.14
0.001024880560
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-04-14
14.48
USD
0
USD
1005000
EUR
-5117.11
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
458000
NC
9890.13
0.002674360836
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-04-14
16.99
USD
0
USD
458000
EUR
-11139.98
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1138000
NC
11686.5
0.003160111940
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-04-20
42.23
USD
0
USD
1138000
EUR
-15239.25
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2237000
NC
USD
75498.75
0.020415393946
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-04-20
29.53
USD
0
USD
2237000
USD
-86707.14
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1713979
NC
9893.73
0.002675334301
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2034-03-13
26.48
USD
0
USD
1713979
EUR
9867.25
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1861000
NC
USD
67368.2
0.018216835940
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-05-03
24.57
USD
0
USD
1861000
USD
75785.91
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2033000
NC
USD
63958.18
0.017294742506
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-05-17
16.36
USD
0
USD
2033000
USD
-71787.75
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2362000
NC
USD
56168.36
0.015188320293
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2030-05-23
26.92
USD
0
USD
2362000
USD
-63866.41
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
249470000
NC
USD
536360.5
0.145035658270
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-09-20
3852863.68
USD
0
USD
249470000
USD
-3316503.18
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
44970000
NC
USD
414623.4
0.112117088699
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
583684.21
USD
0
USD
44970000
USD
-998307.61
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
788000
NC
15153.67
0.004097659137
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
0
USD
454.18
USD
788000
CHF
15607.85
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
70863000
NC
2760.09
0.000746347783
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
0
USD
36197.16
USD
70863000
SEK
33437.07
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4358000
NC
4507.99
0.001218992258
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-09-20
0
USD
2242.06
USD
4358000
AUD
-2265.93
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
6854000
NC
414.34
0.000112040455
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
4319.98
USD
0
USD
6854000
AUD
-3905.64
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2874000
NC
27478.19
0.007430296181
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
17288.21
USD
0
USD
2874000
GBP
-44766.4
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1333000
NC
1802.73
0.000487470894
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
0
USD
3284.86
USD
1333000
EUR
5087.59
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4160000
NC
22651.04
0.006125000810
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
0
USD
13112.49
USD
4160000
CAD
35763.53
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4196000
NC
5886.78
0.001591826789
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-09-20
9186.25
USD
0
USD
4196000
CAD
-15073.03
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
7429000
NC
USD
17903.89
0.004841338003
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-09-20
35987.04
USD
0
USD
7429000
USD
-53890.93
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
207000
NC
USD
3098.79
0.000837934649
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
3255.75
USD
0
USD
207000
USD
-156.96
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
150305000
NC
USD
760543.3
0.205656266929
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-09-20
229872.06
USD
0
USD
150305000
USD
530671.24
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
97883000
NC
USD
427748.71
0.115666265001
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-09-20
0
USD
1365120.62
USD
97883000
USD
937371.91
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
43327000
NC
USD
221834.24
0.059985541488
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
0
USD
592092.84
USD
43327000
USD
813927.08
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4059000
NC
USD
104722.2
0.028317620728
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-09-20
42656.74
USD
0
USD
4059000
USD
-147378.94
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3297000
NC
37801.77
0.010221864950
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-09-20
0
USD
13936.68
USD
3297000
NZD
-23865.09
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
31224000
NC
USD
132389.76
0.035799123891
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-06-23
9586.97
USD
0
USD
31224000
USD
-157015.09
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
52833000
NC
USD
520933.38
0.140864056326
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-06-23
0
USD
28012.61
USD
52833000
USD
624301.43
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
29628000
NC
USD
538637.04
0.145651250726
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-06-23
49972.22
USD
0
USD
29628000
USD
-639790.49
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
7090000
NC
USD
250277
0.067676664193
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-06-23
31895.26
USD
0
USD
7090000
USD
-296762.64
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
6228000
NC
USD
13078.8
0.003536599670
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-07-05
58.54
USD
0
USD
6228000
USD
18354.31
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4089000
NC
USD
29154.57
0.007883601144
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-07-10
139.02
USD
0
USD
4089000
USD
33371.9
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2780000
NC
USD
3002.4
0.000811870114
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-07-11
94.52
USD
0
USD
2780000
USD
-342.68
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
23053000
NC
USD
23053
0.006233693626
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-07-11
86.45
USD
0
USD
23053000
USD
-20726.92
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
9002000
NC
USD
89569.9
0.024220332048
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-11
118.82
USD
0
USD
9002000
USD
-83135.78
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4896000
NC
USD
48960
0.013239128961
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-12
64.63
USD
0
USD
4896000
USD
-45632.96
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5079000
NC
USD
10564.32
0.002856666562
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-13
67.04
USD
0
USD
5079000
USD
6897.38
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5828000
NC
USD
17658.84
0.004775074756
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-07-14
21.85
USD
0
USD
5828000
USD
-18853.63
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2033000
NC
USD
16812.91
0.004546329324
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-14
26.84
USD
0
USD
2033000
USD
-18333.02
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5984000
NC
USD
47273.6
0.012783114519
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-14
78.98
USD
0
USD
5984000
USD
-51734.45
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4014000
NC
USD
45839.88
0.012395426529
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-17
52.98
USD
0
USD
4014000
USD
-48408.6
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
42755061
NC
USD
390781.26
0.105670006057
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-07-24
401.9
USD
0
USD
42755061
USD
384686.96
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3069000
NC
USD
69881.13
0.018896349918
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-07-18
104.34
USD
0
USD
3069000
USD
-72165.27
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3432000
NC
USD
14826.24
0.004009119758
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-07-18
12.87
USD
0
USD
3432000
USD
-15475.59
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
642000
NC
USD
9122.82
0.002466874805
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-18
8.47
USD
0
USD
642000
USD
-9515.87
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
6406533
NC
USD
73098.54
0.019766360251
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-31
84.57
USD
0
USD
6406533
USD
72381.15
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4351000
NC
USD
19579.5
0.005294434753
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-27
57.44
USD
0
USD
4351000
USD
20374.73
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
18465000
NC
USD
14956.65
0.004044383541
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-07-31
69.25
USD
0
USD
18465000
USD
-14913.57
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5259000
NC
USD
3155.4
0.000853242392
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-07-31
69.41
USD
0
USD
5259000
USD
3286.56
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1144400
NC
204908.91
0.055408813004
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2058-11-29
43.87
USD
0
USD
1144400
EUR
204865.04
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1556300
NC
445156.15
0.120373359425
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2050-02-19
60.25
USD
0
USD
1556300
EUR
-459073.12
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1719000
NC
521896.88
0.141124593514
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2050-03-11
65.64
USD
0
USD
1719000
EUR
538062.93
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1739200
NC
547592.02
0.148072740412
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2050-03-12
66.44
USD
0
USD
1739200
EUR
564351.52
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2008000
NC
671611.54
0.181608492433
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2050-03-26
77.56
USD
0
USD
2008000
EUR
687996.77
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1798800
NC
370972.31
0.100313526407
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2058-11-29
68.16
USD
0
USD
1798800
EUR
-371040.47
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2077000
NC
721294.48
0.195043109463
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2050-02-19
78.95
USD
0
USD
2077000
EUR
742765.68
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1655300
NC
554827.72
0.150029324673
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2054-06-07
63.38
USD
0
USD
1655300
EUR
554764.34
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1510500
NC
569586.17
0.154020113538
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2050-02-19
58.11
USD
0
USD
1510500
EUR
586282.94
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
904900
NC
360157.44
0.097389109360
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2050-02-21
34.43
USD
0
USD
904900
EUR
370666.14
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3288600
NC
1485666.35
0.401734648695
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2054-08-08
125.06
USD
0
USD
3288600
EUR
1485541.29
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2023200
NC
1047565.5
0.283269092100
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2054-06-06
76.33
USD
0
USD
2023200
EUR
-1047641.83
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2735100
NC
1402006.5
0.379112435807
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2050-02-19
102.75
USD
0
USD
2735100
EUR
1441151.49
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
11076900
NC
4867601.53
1.316233749685
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2050-02-19
418
USD
0
USD
11076900
EUR
-5007489.11
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
177000
NC
25241.73
0.006825541639
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2035-01-30
1.79
USD
0
USD
177000
AUD
25239.94
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1285600
NC
696694.36
0.188391063688
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2054-03-04
48.02
USD
0
USD
1285600
EUR
696646.34
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
596700
NC
91723.86
0.024802778009
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2035-03-05
5.93
USD
0
USD
596700
AUD
91717.93
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
585600
NC
362741.9
0.098087965554
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2054-03-13
22.59
USD
0
USD
585600
EUR
362719.31
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
221500
NC
34791.08
0.009407753162
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2035-03-25
1.91
USD
0
USD
221500
AUD
34789.17
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
345400
NC
47097.05
0.012735374155
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2040-03-28
4.07
USD
0
USD
345400
AUD
47092.98
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1289300
NC
190533.68
0.051521649527
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2040-04-01
15.48
USD
0
USD
1289300
AUD
190518.2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3783300
NC
792222.17
0.214222456579
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2040-05-13
80.21
USD
0
USD
3783300
EUR
-792302.38
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1853200
NC
380765.08
0.102961560413
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2040-06-24
40.42
USD
0
USD
1853200
EUR
380724.66
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
82700
NC
20713.89
0.005601181801
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2045-07-02
1.84
USD
0
USD
82700
AUD
20712.05
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2522800
NC
526553.98
0.142383906167
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2040-01-16
58.42
USD
0
USD
2522800
EUR
526495.56
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
863600
NC
178862.63
0.048365715376
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2040-03-28
19.99
USD
0
USD
863600
EUR
178842.64
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4100000
NC
443058.69
0.119806191463
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2031-04-06
45.09
USD
0
USD
4100000
AUD
-459639
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2373100
NC
1099683.32
0.297362117837
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2051-05-21
96.67
USD
0
USD
2373100
EUR
-1115975.13
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2436000
NC
537604.84
0.145372136573
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2031-06-14
41.77
USD
0
USD
2436000
EUR
550410.09
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2079900
NC
481038.91
0.130076310551
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2031-07-15
35.7
USD
0
USD
2079900
EUR
484750.64
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
694000
NC
348844.94
0.094330129655
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-09-14
27.92
USD
0
USD
694000
EUR
-356636.05
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
6666000
NC
1352249.76
0.365657862737
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-03-07
107.32
USD
0
USD
6666000
EUR
-1434726.28
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4368900
NC
20799.61
0.005624361093
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2036-02-02
69.23
USD
0
USD
4368900
EUR
20730.38
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
7340100
NC
285209.35
0.077122617758
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2032-09-08
109.34
USD
0
USD
7340100
EUR
211345.59
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
27208300
NC
1100592.2
0.297607885393
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2025-06-28
102.85
USD
0
USD
27208300
EUR
1164769.65
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
2398000
NC
552156.98
0.149307137760
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2052-08-29
82.62
USD
0
USD
2398000
EUR
-549655.86
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
8996400
NC
530879.05
0.143553435569
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2029-09-12
102.33
USD
0
USD
8996400
EUR
530776.72
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
29124000
NC
2297566.88
0.621278272467
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2027-09-02
279.16
USD
0
USD
29124000
EUR
-2345219.8
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1052700
NC
137214.94
0.037103886560
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2054-06-06
35.99
USD
0
USD
1052700
EUR
137178.95
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1555000
NC
182495.78
0.049348144734
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2054-06-07
52.64
USD
0
USD
1555000
EUR
182443.14
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3287400
NC
579108.52
0.156595024070
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2042-11-24
0
USD
571992.41
USD
3287400
AUD
-11265.55
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4115000
NC
127815.5
0.034562211758
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2036-02-18
60.81
USD
0
USD
4115000
EUR
127754.69
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1052700
NC
12338.35
0.003336376773
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2039-08-22
20.22
USD
0
USD
1052700
EUR
12318.13
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
24170900
NC
225629.43
0.061011787604
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-06-26
164.29
USD
0
USD
24170900
EUR
225465.14
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1925300
NC
15834.17
0.004281671132
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2040-03-28
36.98
USD
0
USD
1925300
EUR
15797.19
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3017000
NC
USD
58740.99
0.015883977571
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-01-06
24.29
USD
0
USD
3017000
USD
80445.11
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
7366000
NC
9232.77
0.002496606060
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-02-24
63.01
USD
0
USD
7366000
EUR
10588.14
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5019000
NC
13133.77
0.003551463945
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-02-24
70.41
USD
0
USD
5019000
EUR
9456.43
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3409000
NC
9220.56
0.002493304390
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-02-24
47.82
USD
0
USD
3409000
EUR
-6834.6
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
9655000
NC
86836.2
0.023481120307
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-02
82.4
USD
0
USD
9655000
EUR
-91885.87
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5882000
NC
113177.03
0.030603866331
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-03-02
82.31
USD
0
USD
5882000
EUR
112252.33
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
618000
NC
7148.25
0.001932937165
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-03-02
22.27
USD
0
USD
618000
EUR
-5609.41
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5924000
NC
46831.62
0.012663600013
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-02
50.56
USD
0
USD
5924000
EUR
-49302.75
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1051000
NC
10712.18
0.002896648947
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-03-10
14.65
USD
0
USD
1051000
EUR
-9315.23
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
22548200
NC
203292.32
0.054971675678
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-04-13
224.01
USD
0
USD
22548200
EUR
202660.95
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3708600
NC
49624.46
0.013418803626
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-04-13
55.27
USD
0
USD
3708600
EUR
-47277.11
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
9687000
NC
4579.87
0.001238429117
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-14
82.42
USD
0
USD
9687000
EUR
-17634.91
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3683000
NC
3523.03
0.000952652134
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-03-14
51.39
USD
0
USD
3683000
EUR
10872.76
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
303000
NC
8821.77
0.002385468764
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2053-03-14
10.89
USD
0
USD
303000
EUR
10039.72
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
1931000
NC
USD
72528.36
0.019612179562
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2033-03-15
25.49
USD
0
USD
1931000
USD
85370.89
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
6515000
NC
53007.99
0.014333733978
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-17
56.25
USD
0
USD
6515000
EUR
-54791.9
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
5333000
NC
74292.24
0.020089145142
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-22
45.7
USD
0
USD
5333000
EUR
-78863.19
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
4630000
NC
39656.44
0.010723380786
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-23
39.96
USD
0
USD
4630000
EUR
42247.09
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Interest Rate Swap
N/A
3963000
NC
12897.66
0.003487618138
N/A
DIR
CORP
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Y
2028-03-24
34.36
USD
0
USD
3963000
EUR
12913.76
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
69578.28
NC
USD
29765.59
0.008048825257
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2057-10-17
25916.51
USD
0
USD
69578.28
USD
3781.43
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
350.89
NC
USD
50.21
0.000013577138
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
96.25
USD
0
USD
350.89
USD
-46.18
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
8772.13
NC
USD
1255.29
0.000339439260
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
2484.37
USD
0
USD
8772.13
USD
-1232.49
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
14035.4
NC
USD
2008.47
0.000543104439
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
3912.5
USD
0
USD
14035.4
USD
-1909.49
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
14035.4
NC
USD
2008.47
0.000543104439
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
3912.5
USD
0
USD
14035.4
USD
-1909.49
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
1000
NC
USD
258.4
0.000069873181
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2061-08-17
55.37
USD
0
USD
1000
USD
202.45
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
7017.7
NC
USD
1004.23
0.000271550868
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
1943.75
USD
0
USD
7017.7
USD
-942.25
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
701.77
NC
USD
100.42
0.000027154276
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
193.12
USD
0
USD
701.77
USD
-92.97
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
24000
NC
USD
5160
0.001395300356
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
0
USD
2330.14
USD
24000
USD
-2815.86
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
1052.66
NC
USD
150.64
0.000040734117
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
292.5
USD
0
USD
1052.66
USD
-142.27
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
2105.31
NC
USD
301.27
0.000081465531
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
581.25
USD
0
USD
2105.31
USD
-280.8
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
701.77
NC
USD
100.42
0.000027154276
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
191.25
USD
0
USD
701.77
USD
-91.1
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
350.89
NC
USD
50.21
0.000013577138
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
90.63
USD
0
USD
350.89
USD
-40.56
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
701.77
NC
USD
100.42
0.000027154276
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
171.25
USD
0
USD
701.77
USD
-71.1
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
17000
NC
USD
4047.7
0.001094526599
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
0
USD
841.09
USD
17000
USD
-3196.69
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
350.89
NC
USD
50.21
0.000013577138
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
83.75
USD
0
USD
350.89
USD
-33.68
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
701.77
NC
USD
100.42
0.000027154276
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
174.37
USD
0
USD
701.77
USD
-74.22
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
350.89
NC
USD
50.21
0.000013577138
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
85.94
USD
0
USD
350.89
USD
-35.87
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
24159.12
NC
USD
10335.27
0.002794729828
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2057-10-17
9059.19
USD
0
USD
24159.12
USD
1252.59
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
173000
NC
USD
41295.1
0.011166485996
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2064-11-18
0
USD
15990.78
USD
173000
USD
-25203.4
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
205000
NC
USD
80134.5
0.021668933409
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
0
USD
22476.25
USD
205000
USD
-57458.94
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
94000
NC
USD
17004.6
0.004598163650
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
13042.5
USD
0
USD
94000
USD
3907.27
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
215000
NC
USD
55900
0.015115753858
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
0
USD
26677.51
USD
215000
USD
-29097.07
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
71000
NC
USD
12843.9
0.003473081055
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
9851.25
USD
0
USD
71000
USD
2951.23
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
386661.4
NC
USD
140396.75
0.037964270402
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
244400
USD
386661.4
USD
104379.17
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
350.89
NC
USD
50.21
0.000013577138
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
78.65
USD
0
USD
350.89
USD
-28.58
N
N
N
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
86317.73
NC
USD
12352.07
0.003340086758
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Y
2063-05-11
19224.41
USD
0
USD
86317.73
USD
-6905.91
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
1052.66
NC
USD
150.64
0.000040734117
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
244.2
USD
0
USD
1052.66
USD
-93.97
N
N
N
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
168000
NC
USD
34960.8
0.009453646646
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Y
2054-11-18
18503.56
USD
0
USD
168000
USD
16359.24
N
N
N
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
259000
NC
USD
64983.1
0.017571888096
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Y
2072-12-16
0
USD
34234.41
USD
259000
USD
-30597.61
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
308000
NC
USD
130130
0.035188068865
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
93555
USD
0
USD
308000
USD
36275.56
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
2535.48
NC
USD
920.63
0.000248944839
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
1364.72
USD
2535.48
USD
446.56
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
419622.7
NC
USD
152365
0.041200569528
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
0
USD
224148.2
USD
419622.7
USD
72191.17
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
297000
NC
USD
53727.3
0.014528240470
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
44550
USD
0
USD
297000
USD
9004.05
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
430744.6
NC
USD
89637.95
0.024238733248
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
143487.2
USD
0
USD
430744.6
USD
-54100.52
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
480474.33
NC
USD
174460.23
0.047175275398
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
0
USD
249681.17
USD
480474.33
USD
75688.07
N
N
N
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
241000
NC
USD
43596.9
0.011788908933
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Y
2057-10-17
0
USD
37580.93
USD
241000
USD
-5875.39
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
22000
NC
USD
5238.2
0.001416446187
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
0
USD
3342.38
USD
22000
USD
-1882.99
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
148000
NC
USD
38243.2
0.010341230733
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
26011.96
USD
0
USD
148000
USD
12144.91
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
461000
NC
USD
176332.5
0.047681550397
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
0
USD
119283.75
USD
461000
USD
-56600.56
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
207000
NC
USD
53488.8
0.014463748389
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
35164.96
USD
0
USD
207000
USD
18203.09
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
220000
NC
USD
52514
0.014200155601
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2064-11-18
0
USD
37372.18
USD
220000
USD
-15013.49
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
355000
NC
USD
84525.5
0.022856290747
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2065-04-17
0
USD
80696.68
USD
355000
USD
-3621.74
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
260000
NC
USD
61906
0.016739818575
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2065-04-17
0
USD
59101.78
USD
260000
USD
-2652.55
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
244000
NC
USD
58096.4
0.015709675894
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2065-04-17
0
USD
58722.26
USD
244000
USD
768.19
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
92000
NC
USD
21960.4
0.005938246888
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2064-11-18
0
USD
24572.81
USD
92000
USD
2666.08
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
402000
NC
USD
45868.2
0.012403084457
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2072-12-16
0
USD
52395.51
USD
402000
USD
6683.64
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
402000
NC
USD
45868.2
0.012403084457
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2072-12-16
0
USD
53512.3
USD
402000
USD
7800.43
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
270000
NC
USD
64287
0.017383657751
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2065-04-17
0
USD
70200
USD
270000
USD
6070.5
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
671000
NC
USD
160167.7
0.043310474584
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2064-11-18
0
USD
169525.28
USD
671000
USD
9749
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
215000
NC
USD
55900
0.015115753858
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
46791.27
USD
0
USD
215000
USD
8983.31
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
32000
NC
USD
8320
0.002249786621
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
6985.28
USD
0
USD
32000
USD
1316.05
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
159000
NC
USD
41340
0.011178627272
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
34708.12
USD
0
USD
159000
USD
6539.13
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
72000
NC
USD
18064.8
0.004884849200
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
0
USD
11283.08
USD
72000
USD
-6739.72
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
76000
NC
USD
19638.4
0.005310361728
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2061-08-17
14816.5
USD
0
USD
76000
USD
4777.57
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
683000
NC
USD
177580
0.048018883187
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
117433.01
USD
0
USD
683000
USD
59748.57
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
33000
NC
USD
8279.7
0.002238889217
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
3082.73
USD
33000
USD
-5177.72
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
24000
NC
USD
6021.6
0.001628283067
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
2204.68
USD
24000
USD
-3802.92
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
120000
NC
USD
30108
0.008141415334
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
0
USD
7097.43
USD
120000
USD
-22940.57
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
80000
NC
USD
20072
0.005427610223
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
0
USD
4765.2
USD
80000
USD
-15260.13
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
2000
NC
USD
501.8
0.000135690256
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
118.27
USD
2000
USD
-382.36
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
63000
NC
USD
15806.7
0.004274243050
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
4295.08
USD
63000
USD
-11474.87
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
215000
NC
USD
55900
0.015115753858
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
27595.85
USD
0
USD
215000
USD
28178.73
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
349000
NC
USD
90740
0.024536735333
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
44315.18
USD
0
USD
349000
USD
46221.24
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
161000
NC
USD
41860
0.011319238936
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
19290.54
USD
0
USD
161000
USD
22475.54
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
390464.63
NC
USD
141777.71
0.038337691716
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
0
USD
261415
USD
390464.63
USD
120016.91
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
182554.89
NC
USD
66285.68
0.017924114905
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
0
USD
120960
USD
182554.89
USD
54851.8
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
50176.56
NC
USD
7180.27
0.001941595598
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
9473.75
USD
0
USD
50176.56
USD
-2312.99
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
473000
NC
USD
122223.2
0.033050014436
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
32563.01
USD
0
USD
473000
USD
89384.27
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
123000
NC
USD
25596.3
0.006921419865
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
0
USD
7704.32
USD
123000
USD
-17820.23
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
110000
NC
USD
42075
0.011377376451
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
10544
USD
110000
USD
-31424.06
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
323000
NC
USD
83980
0.022708783703
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
39853.51
USD
0
USD
323000
USD
43938.07
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
139000
NC
USD
36140
0.009772510634
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
17628.79
USD
0
USD
139000
USD
18430.13
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
100000
NC
USD
26000
0.007030583190
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
12747.67
USD
0
USD
100000
USD
13194
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
75000
NC
USD
19500
0.005272937392
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
9560.75
USD
0
USD
75000
USD
9895.5
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
114000
NC
USD
43605
0.011791099231
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
0
USD
11397.09
USD
114000
USD
-32097.08
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
575000
NC
USD
219937.5
0.059472649628
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
0
USD
54264.77
USD
575000
USD
-165113.7
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
267000
NC
USD
66990.3
0.018114649118
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
20232.71
USD
0
USD
267000
USD
46601.84
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
70000
NC
USD
18200
0.004921408233
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
8563.75
USD
0
USD
70000
USD
9595.42
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
46000
NC
USD
17595
0.004757811970
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
4191.5
USD
46000
USD
-13358.78
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
385000
NC
USD
147262.5
0.039820817577
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
0
USD
35081.06
USD
385000
USD
-111807.13
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
1125000
NC
USD
430312.5
0.116359531880
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
0
USD
102569.83
USD
1125000
USD
-326648.92
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
131000
NC
USD
50107.5
0.013549421046
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
12184.19
USD
131000
USD
-37795.95
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
104000
NC
USD
39780
0.010756792281
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
0
USD
9548.62
USD
104000
USD
-30130.27
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
364000
NC
USD
91327.6
0.024695626513
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2072-12-16
22433.47
USD
0
USD
364000
USD
68681.8
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
388000
NC
USD
100880
0.027278662777
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
0
USD
42327.96
USD
388000
USD
-58325.71
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
222000
NC
USD
55699.8
0.015061618368
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
0
USD
14269.34
USD
222000
USD
-41300.96
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
88000
NC
USD
22079.2
0.005970371245
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
0
USD
5530.83
USD
88000
USD
-16497.04
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
536000
NC
USD
226460
0.061236379584
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
136680
USD
0
USD
536000
USD
89258.89
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
316000
NC
USD
79284.4
0.021439060379
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2072-12-16
0
USD
14538.33
USD
316000
USD
-64561.74
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
36721.87
NC
USD
15709.62
0.004247991934
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2057-10-17
13319.83
USD
0
USD
36721.87
USD
2354.09
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
837000
NC
USD
353632.5
0.095624719611
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
201801.82
USD
0
USD
837000
USD
151016.93
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
464000
NC
USD
196040
0.053010597252
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
108971.03
USD
0
USD
464000
USD
86617.86
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
208000
NC
USD
52187.2
0.014111786579
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
12164.68
USD
0
USD
208000
USD
39901.19
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
321000
NC
USD
121980
0.032984251442
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2058-09-17
0
USD
65555.44
USD
321000
USD
-56112.48
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
52000
NC
USD
13046.8
0.003527946645
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
2622.12
USD
0
USD
52000
USD
10394.35
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
217000
NC
USD
56420
0.015256365522
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
18792.47
USD
0
USD
217000
USD
37500.95
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
97000
NC
USD
24337.3
0.006580977395
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
4939.28
USD
0
USD
97000
USD
19341.44
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
41000
NC
USD
15580
0.004212941773
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2058-09-17
0
USD
8347.5
USD
41000
USD
-7192.64
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
23192.76
NC
USD
9921.86
0.002682940851
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2057-10-17
8166.46
USD
0
USD
23192.76
USD
1732.85
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
236759.42
NC
USD
101285.68
0.027388361507
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
84415.01
USD
0
USD
236759.42
USD
16640.49
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
80352.68
NC
USD
11498.47
0.003109267304
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
23472.51
USD
0
USD
80352.68
USD
-12005.29
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
40702.67
NC
USD
5824.55
0.001574999358
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
11781.25
USD
0
USD
40702.67
USD
-5972.53
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
70000
NC
USD
17563
0.004749158945
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2072-12-16
3832.7
USD
0
USD
70000
USD
13689.47
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
32281.43
NC
USD
4619.47
0.001249137236
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
9257.5
USD
0
USD
32281.43
USD
-4650.58
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
82808.88
NC
USD
11849.95
0.003204309972
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
23157.5
USD
0
USD
82808.88
USD
-11339.75
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
25965.49
NC
USD
3715.66
0.001004740644
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
7307.5
USD
0
USD
25965.49
USD
-3601.94
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
25965.49
NC
USD
3715.66
0.001004740644
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
7307.5
USD
0
USD
25965.49
USD
-3601.94
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
45615.06
NC
USD
6527.52
0.001765087399
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
12756.25
USD
0
USD
45615.06
USD
-6246.47
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
49825.68
NC
USD
7130.05
0.001928015757
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
13845
USD
0
USD
49825.68
USD
-6734.33
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
27018.15
NC
USD
3866.3
0.001045474761
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
7459.38
USD
0
USD
27018.15
USD
-3603.59
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
27018.15
NC
USD
3866.3
0.001045474761
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
7459.38
USD
0
USD
27018.15
USD
-3603.59
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
30176.12
NC
USD
4318.2
0.001167671705
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
8331.25
USD
0
USD
30176.12
USD
-4024.79
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
47018.6
NC
USD
6728.36
0.001819395950
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2063-05-11
13065
USD
0
USD
47018.6
USD
-6354.93
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Mortgage Backed Swap Basket Index
N/A
150704.38
NC
USD
31361.58
0.008480392198
N/A
DCR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Y
2063-05-11
0
USD
16544.82
USD
150704.38
USD
-14728.85
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Mortgage Backed Swap Basket Index
N/A
182757.18
NC
USD
38031.77
0.010284058571
N/A
DCR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Y
2063-05-11
0
USD
19585.54
USD
182757.18
USD
-18339.62
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Mortgage Backed Swap Basket Index
N/A
82100.15
NC
USD
17085.04
0.004619915193
N/A
DCR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Y
2063-05-11
0
USD
9979.56
USD
82100.15
USD
-7057.59
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Mortgage Backed Swap Basket Index
N/A
15182.9
NC
USD
3159.56
0.000854367286
N/A
DCR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Y
2063-05-11
0
USD
1539
USD
15182.9
USD
-1611.7
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
148325.85
NC
USD
53857.12
0.014563344713
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2063-05-11
4130.22
USD
0
USD
148325.85
USD
49582.69
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
172000
NC
USD
68008.8
0.018390058694
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
26028.34
USD
0
USD
172000
USD
41813.24
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
1772407.69
NC
USD
336757.46
0.091061589898
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
0
USD
138664.29
USD
1772407.69
USD
-197059.27
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
693468.68
NC
USD
131759.05
0.035628575463
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
0
USD
54253.51
USD
693468.68
USD
-77101.02
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
2059620.88
NC
USD
391327.97
0.105817840293
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
0
USD
143170.03
USD
2059620.88
USD
-246956.49
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
331617.86
NC
USD
63007.39
0.017037642191
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
0
USD
27744.52
USD
331617.86
USD
-35069.43
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
214000
NC
USD
84615.6
0.022880654422
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
35062.52
USD
0
USD
214000
USD
49345.02
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
174000
NC
USD
68799.6
0.018603896586
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-01-17
31764.86
USD
0
USD
174000
USD
36865.57
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
54000
NC
USD
21351.6
0.005773623078
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2047-01-17
10104.53
USD
0
USD
54000
USD
11194.57
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
293000
NC
USD
115852.2
0.031327251147
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
54048.34
USD
0
USD
293000
USD
61519
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
317446.15
NC
USD
60314.77
0.016309538772
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2047-01-17
34235.06
USD
0
USD
317446.15
USD
25894.53
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
42000
NC
USD
16606.8
0.004490595728
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2047-01-17
8476.46
USD
0
USD
42000
USD
8089.51
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
268000
NC
USD
105967.2
0.028654277500
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2047-01-17
53896.24
USD
0
USD
268000
USD
51810.4
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
188000
NC
USD
74335.2
0.020100761828
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2047-01-17
36251.83
USD
0
USD
188000
USD
37900.59
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
868253.02
NC
USD
164968.07
0.044608528454
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2047-01-17
75309.96
USD
0
USD
868253.02
USD
89151.63
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
449715.39
NC
USD
85445.92
0.023105178800
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2047-01-17
30221.65
USD
0
USD
449715.39
USD
54961.94
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
43000
NC
USD
16340
0.004418451128
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
5723.69
USD
0
USD
43000
USD
10574.5
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
9000
NC
USD
3420
0.000924792097
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
1230.51
USD
0
USD
9000
USD
2180.74
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
78000
NC
USD
29640
0.008014864836
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
11806.33
USD
0
USD
78000
USD
17757.84
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
161000
NC
USD
61180
0.016543503060
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
24292.28
USD
0
USD
161000
USD
36731.19
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
606000
NC
USD
256035
0.069233667962
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2059-11-17
80854.78
USD
0
USD
606000
USD
174591.05
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
478000
NC
USD
189001.2
0.051107256138
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2047-01-17
0
USD
63937.61
USD
478000
USD
-124598.87
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
319000
NC
USD
134777.5
0.036444785611
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2059-11-17
39651.36
USD
0
USD
319000
USD
94816
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Mortgage Backed Swap Basket Index
N/A
605000
NC
USD
255612.5
0.069119420985
N/A
DCR
CORP
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Y
2059-11-17
71944.98
USD
0
USD
605000
USD
183079.33
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
200000
NC
USD
74240
0.020075019078
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
25912.03
USD
0
USD
200000
USD
48133.53
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
241000
NC
USD
101822.5
0.027533521417
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
26425.26
USD
0
USD
241000
USD
75162.93
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
292000
NC
USD
123370
0.033360117236
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
30474.02
USD
0
USD
292000
USD
92612.09
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
200000
NC
USD
84500
0.022849395367
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2059-11-17
20975.34
USD
0
USD
200000
USD
63330.22
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
26000
NC
USD
9651.2
0.002609752480
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
2450.81
USD
0
USD
26000
USD
7175.11
N
N
N
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
215000
NC
USD
90837.5
0.024563100020
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Y
2059-11-17
0
USD
17251.21
USD
215000
USD
-73377.26
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
109199.24
NC
USD
46715.43
0.012632181418
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2057-10-17
14030.49
USD
0
USD
109199.24
USD
32578.77
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
94000
NC
USD
35720
0.009658939675
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2058-09-17
5714.88
USD
0
USD
94000
USD
29913.73
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Mortgage Backed Swap Basket Index
N/A
21000
NC
USD
8320.2
0.002249840702
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2061-08-17
1533.34
USD
0
USD
21000
USD
6766.44
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
60217.76
NC
USD
21865.07
0.005912468984
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2063-05-11
11756.25
USD
0
USD
60217.76
USD
10050.27
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
71000
NC
USD
26355.2
0.007126631773
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
3683.1
USD
0
USD
71000
USD
22603.07
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
162271.02
NC
USD
58920.61
0.015932548085
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2063-05-11
0
USD
28625.47
USD
162271.02
USD
-30137.38
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
2000
NC
USD
760
0.000205509355
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2058-09-17
77.91
USD
0
USD
2000
USD
680.15
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Mortgage Backed Swap Basket Index
N/A
584000
NC
USD
246740
0.066720234472
N/A
DCR
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
Y
2059-11-17
33229.33
USD
0
USD
584000
USD
212942.89
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
1487695.6
NC
USD
540182.27
0.146069091805
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
336679.89
USD
1487695.6
USD
-202056.01
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
2666000
NC
USD
1054136.4
0.285045909757
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2047-01-17
0
USD
136055.59
USD
2666000
USD
-915488.87
N
N
N
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
2324159.34
NC
USD
441590.27
0.119409120349
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Y
2047-01-17
577516.57
USD
0
USD
2324159.34
USD
-137282.06
N
N
N
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
2052000
NC
USD
811360.8
0.219397676977
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Y
2047-01-17
1004772.59
USD
0
USD
2052000
USD
-195406.79
N
N
N
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Mortgage Backed Swap Basket Index
N/A
13311.29
NC
USD
4833.33
0.001306966487
N/A
DCR
CORP
US
N
2
J.P. MORGAN SECURITIES, LLC
ZBUT11V806EZRVTWT807
Y
2063-05-11
0
USD
10810.78
USD
13311.29
USD
5990.39
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
297000
NC
USD
110246.4
0.029811403330
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2054-11-18
0
USD
167805
USD
297000
USD
57847.35
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
44913.29
NC
USD
6427.09
0.001737930420
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
17760
USD
44913.29
USD
11350.38
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
353000
NC
USD
91215.2
0.024665232761
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
117953.54
USD
0
USD
353000
USD
-26944.26
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
80001.8
NC
USD
11448.26
0.003095690166
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
34485
USD
80001.8
USD
23067.85
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
65264.62
NC
USD
9339.37
0.002525431451
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
28713.75
USD
65264.62
USD
19399.76
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
56843.38
NC
USD
8134.29
0.002199569328
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
27135
USD
56843.38
USD
19022.82
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
414000
NC
USD
106977.6
0.028927496779
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
143903.58
USD
0
USD
414000
USD
-37167.48
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
151582.35
NC
USD
21691.43
0.005865515505
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
71820
USD
151582.35
USD
50187.52
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
21000
NC
USD
8320.2
0.002249840702
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
0
USD
11024.99
USD
21000
USD
2725.21
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
278000
NC
USD
71835.2
0.019424744214
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2061-08-17
97719.08
USD
0
USD
278000
USD
-26046.05
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
125616.85
NC
USD
17975.77
0.004860774861
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
63321.25
USD
125616.85
USD
45394.33
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
53000
NC
USD
11395
0.003081288286
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2058-09-17
12539.32
USD
0
USD
53000
USD
-1175.24
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
139301.37
NC
USD
19934.03
0.005390302162
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
46647.5
USD
139301.37
USD
26767.64
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Mortgage Backed Swap Basket Index
N/A
25000
NC
USD
9500
0.002568866935
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2058-09-17
0
USD
10109.37
USD
25000
USD
633.68
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
40351.78
NC
USD
5774.34
0.001561422221
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2063-05-11
0
USD
14590.62
USD
40351.78
USD
8831.97
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
139000
NC
USD
36140
0.009772510634
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
33161.82
USD
0
USD
139000
USD
2897.1
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Mortgage Backed Swap Basket Index
N/A
485000
NC
USD
126100
0.034098328471
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Y
2059-11-17
112582.96
USD
0
USD
485000
USD
13234.12
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
PERPETUAL BONDS
251525AX9
200000
PA
USD
166438.51
0.045006145791
Long
DBT
CORP
DE
N
2
N/A
Variable
6
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
PERPETUAL BONDS
29273VAJ9
41000
PA
USD
32492.5
0.008786200934
Long
DBT
CORP
US
N
2
N/A
Variable
6.625
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
REPURCHASE AGREEMENT
N/A
28448000
PA
USD
28448000
7.692539637903
Long
RA
CORP
US
N
2
Repurchase
Y
5.3
2023-08-01
30759478.34
USD
29015558.23
USD
AMBS
1769.12
USD
1680.15
USD
UST
N
N
N
TEXAS COMPETITIVE ELECTRIC HOLDINGS CO LLC / TCEH FINANCE INC
N/A
RIGHTS
N/A
21073
NS
USD
24233.95
0.006553030827
Long
EC
CORP
US
N
2
N
N
N
PUTNAM SHORT TERM INVESTMENT FUND
5493003MK0Q7JP8CPP42
SHORT TERM INV FUND
74676P664
36793801
NS
USD
36793801
9.949303030850
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
2305000
NS
USD
2305000
0.623288240487
Long
STIV
RF
US
N
1
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
28513100
NC
-57997.78
-0.015683008351
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2029-03-13
0
USD
0
USD
28513100
EUR
1
3.18
EUR
2024-03-11
XXXX
-57997.78
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
28513100
NC
-256444.26
-0.069344334750
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2029-03-13
0
USD
0
USD
28513100
EUR
1
3.18
EUR
2024-03-11
XXXX
-256444.26
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
SWAPTION
N/A
24708300
NC
USD
269567.55
0.072892964829
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2035-03-15
0
USD
0
USD
24708300
USD
1
2.98
USD
2030-03-13
XXXX
269567.55
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
SWAPTION
N/A
24708300
NC
USD
-129718.58
-0.035076817999
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2035-03-15
0
USD
0
USD
24708300
USD
1
2.98
USD
2030-03-13
XXXX
-129718.58
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2852600
NC
USD
-15432.57
-0.004173075662
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2043-03-16
0
USD
0
USD
2852600
USD
1
3.0925
USD
2033-03-14
XXXX
-15432.57
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2852600
NC
USD
45698.65
0.012357236942
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2043-03-16
0
USD
0
USD
2852600
USD
1
3.0925
USD
2033-03-14
XXXX
45698.65
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
66745900
NC
USD
499926.79
0.135183726382
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2026-03-18
0
USD
0
USD
66745900
USD
1
3.63
USD
2024-03-14
XXXX
499926.79
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
66745900
NC
USD
-180881.39
-0.048911602304
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2026-03-18
0
USD
0
USD
66745900
USD
1
3.63
USD
2024-03-14
XXXX
-180881.39
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
19558800
NC
USD
306290.81
0.082823193077
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2043-03-16
0
USD
0
USD
19558800
USD
1
3.115
USD
2033-03-14
XXXX
306290.81
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
19558800
NC
USD
-86841.07
-0.023482437190
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2043-03-16
0
USD
0
USD
19558800
USD
1
3.115
USD
2033-03-14
XXXX
-86841.07
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
32086300
NC
USD
527177.91
0.142552621235
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2037-03-17
0
USD
0
USD
32086300
USD
1
3.1625
USD
2027-03-15
XXXX
527177.91
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
32086300
NC
USD
-52942.4
-0.014315997980
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2037-03-17
0
USD
0
USD
32086300
USD
1
3.1625
USD
2027-03-15
XXXX
-52942.4
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
31418700
NC
USD
-11939.11
-0.003228419464
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2036-03-18
0
USD
0
USD
31418700
USD
1
3.095
USD
2026-03-16
XXXX
-11939.11
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
31418700
NC
USD
682728.35
0.184614556183
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2036-03-18
0
USD
0
USD
31418700
USD
1
3.095
USD
2026-03-16
XXXX
682728.35
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
15450300
NC
USD
-338670.58
-0.091578911025
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2036-03-18
0
USD
0
USD
15450300
USD
1
3.03
USD
2026-03-16
XXXX
-338670.58
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
15450300
NC
USD
78642.03
0.021265359005
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2036-03-18
0
USD
0
USD
15450300
USD
1
3.03
USD
2026-03-16
XXXX
78642.03
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
7832800
NC
USD
-37910.75
-0.010251333910
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2040-03-27
0
USD
0
USD
7832800
USD
1
3.1525
USD
2030-03-25
XXXX
-37910.75
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
7832800
NC
USD
127204.67
0.034397039022
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2040-03-27
0
USD
0
USD
7832800
USD
1
3.1525
USD
2030-03-25
XXXX
127204.67
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
9795400
NC
-49938.94
-0.013503841234
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2033-03-30
0
USD
0
USD
9795400
AUD
1
4.344
AUD
2028-03-29
XXXX
-49938.94
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
9795400
NC
13685.51
0.003700658329
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2033-03-30
0
USD
0
USD
9795400
AUD
1
4.344
AUD
2028-03-29
XXXX
13685.51
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
SWAPTION
N/A
10227100
NC
USD
-56044.51
-0.015154830380
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2038-03-31
0
USD
0
USD
10227100
USD
1
3.19
USD
2028-03-29
XXXX
-56044.51
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
SWAPTION
N/A
10227100
NC
USD
124668.35
0.033711200224
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2038-03-31
0
USD
0
USD
10227100
USD
1
3.19
USD
2028-03-29
XXXX
124668.35
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
SWAPTION
N/A
40707100
NC
33568.09
0.009077048049
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2029-03-31
0
USD
0
USD
40707100
EUR
1
2.818
EUR
2028-03-29
XXXX
33568.09
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
SWAPTION
N/A
40707100
NC
10294.21
0.002783626915
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2029-03-31
0
USD
0
USD
40707100
EUR
1
2.818
EUR
2028-03-29
XXXX
10294.21
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
14070900
NC
-112282.91
-0.030362089983
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2040-04-07
0
USD
0
USD
14070900
AUD
1
4.178
AUD
2033-04-06
XXXX
-112282.91
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
14070900
NC
80998.7
0.021902619178
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2040-04-07
0
USD
0
USD
14070900
AUD
1
4.178
AUD
2033-04-06
XXXX
80998.7
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
1584500
NC
USD
-6734.13
-0.001820956199
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
1584500
USD
1
2.118
USD
2031-03-03
XXXX
-6734.13
N
N
N
TORONTO-DOMINION BANK/THE
PT3QB789TSUIDF371261
SWAPTION
N/A
1584500
NC
USD
11899.6
0.003217735682
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
1584500
USD
1
2.118
USD
2031-03-03
XXXX
11899.6
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
1629100
NC
USD
-23165.8
-0.006264195541
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2047-03-25
0
USD
0
USD
1629100
USD
1
2.525
USD
2027-03-23
XXXX
-23165.8
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
1629100
NC
USD
22595.62
0.006110014851
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2047-03-25
0
USD
0
USD
1629100
USD
1
2.525
USD
2027-03-23
XXXX
22595.62
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
4617700
NC
USD
-35879.53
-0.009702077711
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2041-06-05
0
USD
0
USD
4617700
USD
1
2.14
USD
2031-06-03
XXXX
-35879.53
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
4450300
NC
USD
-52291.02
-0.014139860238
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2061-01-24
0
USD
0
USD
4450300
USD
1
1.34
USD
2041-01-22
XXXX
-52291.02
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
4617700
NC
USD
42990.79
0.011625012519
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2041-06-05
0
USD
0
USD
4617700
USD
1
2.14
USD
2031-06-03
XXXX
42990.79
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
4450300
NC
USD
35913.92
0.009711377009
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2061-01-24
0
USD
0
USD
4450300
USD
1
1.34
USD
2041-01-22
XXXX
35913.92
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
16254000
NC
USD
21780.36
0.005889562803
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
16254000
USD
1
1.0035
USD
2024-03-18
XXXX
21780.36
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
11377800
NC
USD
-70201.03
-0.018982853132
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
11377800
USD
1
2.0035
USD
2024-03-18
XXXX
-70201.03
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
32507900
NC
USD
-179443.61
-0.048522816461
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
32507900
USD
1
1.8838
USD
2024-04-29
XXXX
-179443.61
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
65015900
NC
USD
68266.69
0.018459793967
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
65015900
USD
1
.7988
USD
2024-04-29
XXXX
68266.69
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
14707300
NC
USD
-252230.19
-0.068204820530
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2056-04-15
0
USD
0
USD
14707300
USD
1
2.063
USD
2026-04-13
XXXX
-252230.19
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
14707300
NC
USD
288116.01
0.077908599102
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2056-04-15
0
USD
0
USD
14707300
USD
1
2.063
USD
2026-04-13
XXXX
288116.01
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
4687800
NC
USD
-26157.92
-0.007073285871
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
4687800
USD
1
.9876
USD
2030-03-05
XXXX
-26157.92
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
4687800
NC
USD
67176.17
0.018164909675
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
4687800
USD
1
.9876
USD
2030-03-05
XXXX
67176.17
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
9326800
NC
USD
-19772.82
-0.005346709843
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2040-03-28
0
USD
0
USD
9326800
USD
1
.6385
USD
2030-03-26
XXXX
-19772.82
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
9326800
NC
USD
105113.04
0.028423306618
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2040-03-28
0
USD
0
USD
9326800
USD
1
.6385
USD
2030-03-26
XXXX
105113.04
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
4749700
NC
USD
53766.6
0.014538867467
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2040-03-29
0
USD
0
USD
4749700
USD
1
.5644
USD
2030-03-27
XXXX
53766.6
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
4749700
NC
USD
-9499.4
-0.002568704691
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2040-03-29
0
USD
0
USD
4749700
USD
1
.5644
USD
2030-03-27
XXXX
-9499.4
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
4972900
NC
USD
-3282.11
-0.000887505669
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2040-05-28
0
USD
0
USD
4972900
USD
1
3.49
USD
2030-05-23
XXXX
-3282.11
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
4972900
NC
USD
-8255.01
-0.002232212867
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2040-05-28
0
USD
0
USD
4972900
USD
1
3.49
USD
2030-05-23
XXXX
-8255.01
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
11891400
NC
USD
-44830.58
-0.012122504698
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2038-07-07
0
USD
0
USD
11891400
USD
1
3.3225
USD
2028-07-05
XXXX
-44830.58
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
11891400
NC
USD
58624.6
0.015852504895
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2038-07-07
0
USD
0
USD
11891400
USD
1
3.3225
USD
2028-07-05
XXXX
58624.6
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
22330200
NC
USD
-63641.07
-0.017208993728
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2033-08-15
0
USD
0
USD
22330200
USD
1
3.44
USD
2023-08-11
XXXX
-63641.07
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
11165100
NC
USD
47451.68
0.012831268605
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2033-08-15
0
USD
0
USD
11165100
USD
1
3.69
USD
2023-08-11
XXXX
47451.68
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
10900300
NC
USD
57553.58
0.015562893541
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2033-10-18
0
USD
0
USD
10900300
USD
1
3.49
USD
2023-10-16
XXXX
57553.58
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
10900300
NC
USD
-28231.78
-0.007634072226
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2033-10-18
0
USD
0
USD
10900300
USD
1
3.77
USD
2023-10-16
XXXX
-28231.78
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
10900300
NC
USD
-8829.24
-0.002387488705
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2033-10-18
0
USD
0
USD
10900300
USD
1
4.05
USD
2023-10-16
XXXX
-8829.24
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
4307000
NC
USD
19338.43
0.005229247726
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2033-10-24
0
USD
0
USD
4307000
USD
1
3.519
USD
2023-10-20
XXXX
19338.43
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
4307000
NC
USD
-22827.1
-0.006172608674
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2033-10-24
0
USD
0
USD
4307000
USD
1
3.519
USD
2023-10-20
XXXX
-22827.1
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
10763700
NC
USD
-51773.4
-0.013999892143
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2036-07-29
0
USD
0
USD
10763700
USD
1
3.28
USD
2026-07-27
XXXX
-51773.4
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
10763700
NC
USD
38964.59
0.010536299671
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2036-07-29
0
USD
0
USD
10763700
USD
1
3.28
USD
2026-07-27
XXXX
38964.59
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
3098200
NC
-89215.08
-0.024124386220
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2035-01-30
0
USD
0
USD
3098200
AUD
1
1.692
AUD
2025-01-29
XXXX
-89215.08
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
3098200
NC
352365.24
0.095282043578
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2035-01-30
0
USD
0
USD
3098200
AUD
1
1.692
AUD
2025-01-29
XXXX
352365.24
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
4317900
NC
436964.23
0.118158206539
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2040-03-28
0
USD
0
USD
4317900
AUD
1
1.445
AUD
2030-03-27
XXXX
436964.23
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
4317900
NC
-128397.76
-0.034719658964
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2040-03-28
0
USD
0
USD
4317900
AUD
1
1.445
AUD
2030-03-27
XXXX
-128397.76
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2068300
NC
395165.98
0.106855665238
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2045-07-02
0
USD
0
USD
2068300
AUD
1
1.441
AUD
2025-07-01
XXXX
395165.98
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
2068300
NC
-109322.22
-0.029561498547
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2045-07-02
0
USD
0
USD
2068300
AUD
1
1.441
AUD
2025-07-01
XXXX
-109322.22
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
1548000
NC
336933.07
0.091109076079
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2051-01-31
0
USD
0
USD
1548000
EUR
1
.296
EUR
2031-01-29
XXXX
336933.07
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
1548000
NC
-145063.68
-0.039226241157
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2051-01-31
0
USD
0
USD
1548000
EUR
1
.296
EUR
2031-01-29
XXXX
-145063.68
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
4644000
NC
-218489.08
-0.059080986655
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2041-02-05
0
USD
0
USD
4644000
EUR
1
.44
EUR
2031-02-03
XXXX
-218489.08
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
4644000
NC
687890.83
0.186010527149
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2041-02-05
0
USD
0
USD
4644000
EUR
1
.44
EUR
2031-02-03
XXXX
687890.83
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
4626600
NC
-98762.3
-0.026706021776
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2046-09-11
0
USD
0
USD
4626600
AUD
1
2
AUD
2036-09-10
XXXX
-98762.3
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
4626600
NC
210359.35
0.056882650382
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2046-09-11
0
USD
0
USD
4626600
AUD
1
2
AUD
2036-09-10
XXXX
210359.35
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
5302300
NC
-241437.81
-0.065286484938
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2046-11-24
0
USD
0
USD
5302300
AUD
1
2.495
AUD
2026-11-23
XXXX
-241437.81
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
5302300
NC
563224.29
0.152299816362
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2046-11-24
0
USD
0
USD
5302300
AUD
1
2.495
AUD
2026-11-23
XXXX
563224.29
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
2121700
NC
USD
324959.57
0.087871357317
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2058-12-18
0
USD
0
USD
2121700
USD
1
1.405
USD
2028-12-14
XXXX
324959.57
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
2121700
NC
USD
-218110.76
-0.058978686261
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2058-12-18
0
USD
0
USD
2121700
USD
1
1.405
USD
2028-12-14
XXXX
-218110.76
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
22135000
NC
USD
-1543694.9
-0.417425977470
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2029-01-16
0
USD
0
USD
22135000
USD
1
1.7
USD
2024-01-11
XXXX
-1543694.9
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
22135000
NC
USD
453324.8
0.122582219940
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2029-01-16
0
USD
0
USD
22135000
USD
1
1.7
USD
2024-01-11
XXXX
453324.8
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
3636400
NC
USD
144328.72
0.039027502794
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2037-01-14
0
USD
0
USD
3636400
USD
1
1.81
USD
2027-01-12
XXXX
144328.72
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
3636400
NC
USD
-281311.9
-0.076068719817
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2037-01-14
0
USD
0
USD
3636400
USD
1
1.81
USD
2027-01-12
XXXX
-281311.9
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
14768300
NC
USD
-553958.93
-0.149794397736
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2042-01-15
0
USD
0
USD
14768300
USD
1
1.826
USD
2032-01-13
XXXX
-553958.93
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
14768300
NC
USD
954622.91
0.258136760912
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2042-01-15
0
USD
0
USD
14768300
USD
1
1.826
USD
2032-01-13
XXXX
954622.91
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
219158200
NC
691567.95
0.187004846305
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2025-03-12
0
USD
0
USD
219158200
EUR
1
.055
EUR
2024-03-08
XXXX
691567.95
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
109579100
NC
-680724.55
-0.184072714545
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2025-03-12
0
USD
0
USD
109579100
EUR
1
.555
EUR
2024-03-08
XXXX
-680724.55
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
2202100
NC
-42466.41
-0.011483216472
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2047-04-02
0
USD
0
USD
2202100
AUD
1
2.7
AUD
2037-04-01
XXXX
-42466.41
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
2202100
NC
50350.29
0.013615073172
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2047-04-02
0
USD
0
USD
2202100
AUD
1
2.7
AUD
2037-04-01
XXXX
50350.29
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
4718700
NC
USD
-160105.49
-0.043293652562
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2042-04-09
0
USD
0
USD
4718700
USD
1
2.317
USD
2032-04-07
XXXX
-160105.49
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
4718700
NC
USD
174969.4
0.047312958553
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2042-04-09
0
USD
0
USD
4718700
USD
1
2.317
USD
2032-04-07
XXXX
174969.4
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
3146000
NC
-265757.04
-0.071862576077
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2049-04-13
0
USD
0
USD
3146000
EUR
1
1.325
EUR
2029-04-11
XXXX
-265757.04
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWAPTION
N/A
3146000
NC
330544.62
0.089381594187
N/A
DIR
CORP
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
2049-04-13
0
USD
0
USD
3146000
EUR
1
1.325
EUR
2029-04-11
XXXX
330544.62
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
9928600
NC
-316712.74
-0.085641356379
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2052-05-12
0
USD
0
USD
9928600
AUD
1
3.315
AUD
2032-05-11
XXXX
-316712.74
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
9928600
NC
205273.07
0.055507284434
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2052-05-12
0
USD
0
USD
9928600
AUD
1
3.315
AUD
2032-05-11
XXXX
205273.07
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
12168600
NC
USD
-748368.9
-0.202364223391
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2057-05-28
0
USD
0
USD
12168600
USD
1
2.4
USD
2027-05-26
XXXX
-748368.9
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
12168600
NC
USD
637512.95
0.172387993446
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2057-05-28
0
USD
0
USD
12168600
USD
1
2.4
USD
2027-05-26
XXXX
637512.95
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
10783700
NC
USD
233359.27
0.063101990802
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
10783700
USD
1
3.073
USD
2027-06-14
XXXX
233359.27
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
10783700
NC
USD
-36125.4
-0.009768562691
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
10783700
USD
1
3.073
USD
2027-06-14
XXXX
-36125.4
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
4270400
NC
USD
-23956.94
-0.006478125371
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
4270400
USD
1
3.101
USD
2029-06-13
XXXX
-23956.94
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
4270400
NC
USD
80368.93
0.021732324933
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
4270400
USD
1
3.101
USD
2029-06-13
XXXX
80368.93
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
953100
NC
USD
50428.52
0.013636227115
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2056-07-17
0
USD
0
USD
953100
USD
1
2.3825
USD
2026-07-15
XXXX
50428.52
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION
N/A
953100
NC
USD
-67832.13
-0.018342285881
N/A
DIR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2056-07-17
0
USD
0
USD
953100
USD
1
2.3825
USD
2026-07-15
XXXX
-67832.13
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
SWAPTION
N/A
21969300
NC
USD
-259896.82
-0.070277931300
N/A
DIR
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2033-10-03
0
USD
0
USD
21969300
USD
1
2.394
USD
2023-09-29
XXXX
-259896.82
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAPTION
N/A
16333000
NC
USD
121354.19
0.032815028009
N/A
DIR
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2042-12-06
0
USD
0
USD
16333000
USD
1
3.09
USD
2032-12-02
XXXX
121354.19
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAPTION
N/A
16333000
NC
USD
-242218.39
-0.065497559270
N/A
DIR
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2042-12-06
0
USD
0
USD
16333000
USD
1
3.09
USD
2032-12-02
XXXX
-242218.39
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
11414100
NC
USD
-774218.4
-0.209354110320
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2057-12-10
0
USD
0
USD
11414100
USD
1
2.47
USD
2027-12-08
XXXX
-774218.4
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
11414100
NC
USD
346760.36
0.093766444536
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2057-12-10
0
USD
0
USD
11414100
USD
1
2.47
USD
2027-12-08
XXXX
346760.36
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
28152400
NC
USD
215647.38
0.058312570953
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2042-12-13
0
USD
0
USD
28152400
USD
1
3.0175
USD
2032-12-09
XXXX
215647.38
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
28152400
NC
USD
-532080.36
-0.143878278257
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2042-12-13
0
USD
0
USD
28152400
USD
1
3.0175
USD
2032-12-09
XXXX
-532080.36
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
14076200
NC
USD
-872161.35
-0.235838574083
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2057-12-13
0
USD
0
USD
14076200
USD
1
2.558
USD
2027-12-09
XXXX
-872161.35
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
14076200
NC
USD
309957.92
0.083814805458
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2057-12-13
0
USD
0
USD
14076200
USD
1
2.558
USD
2027-12-09
XXXX
309957.92
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
9143300
NC
USD
-205998.55
-0.055703459337
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2035-12-17
0
USD
0
USD
9143300
USD
1
2.67
USD
2025-12-15
XXXX
-205998.55
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
9143300
NC
USD
75980.82
0.020545749071
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2035-12-17
0
USD
0
USD
9143300
USD
1
3.17
USD
2025-12-15
XXXX
75980.82
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
9049800
NC
USD
-86244.59
-0.023321144795
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2035-12-31
0
USD
0
USD
9049800
USD
1
3.343
USD
2025-12-29
XXXX
-86244.59
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
9049800
NC
USD
-116561.42
-0.031519029232
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2035-12-31
0
USD
0
USD
9049800
USD
1
3.343
USD
2025-12-29
XXXX
-116561.42
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
444300
NC
USD
-1443.98
-0.000390462366
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2036-01-07
0
USD
0
USD
444300
USD
1
3.187
USD
2026-01-05
XXXX
-1443.98
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
444300
NC
USD
-8192.89
-0.002215415181
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2036-01-07
0
USD
0
USD
444300
USD
1
3.187
USD
2026-01-05
XXXX
-8192.89
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
6533800
NC
-73731.06
-0.019937398116
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2043-01-27
0
USD
0
USD
6533800
AUD
1
4.12
AUD
2033-01-25
XXXX
-73731.06
N
N
N
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION
N/A
6533800
NC
37523.84
0.010146710720
N/A
DIR
CORP
US
N
2
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGANCHASE BANK
7H6GLXDRUGQFU57RNE97
2043-01-27
0
USD
0
USD
6533800
AUD
1
4.12
AUD
2033-01-25
XXXX
37523.84
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
6860600
NC
USD
34851.85
0.009424185798
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2033-02-09
0
USD
0
USD
6860600
USD
1
3.03
USD
2028-02-07
XXXX
34851.85
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
SWAPTION
N/A
6860600
NC
USD
-50494.02
-0.013653938777
N/A
DIR
CORP
US
N
2
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
2033-02-09
0
USD
0
USD
6860600
USD
1
3.03
USD
2028-02-07
XXXX
-50494.02
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
1471300
NC
-32823.02
-0.008875575871
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2033-09-13
0
USD
0
USD
1471300
EUR
1
3.18
EUR
2023-09-11
XXXX
-32823.02
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
1471300
NC
-15804.87
-0.004273748205
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2033-09-13
0
USD
0
USD
1471300
EUR
1
3.18
EUR
2023-09-11
XXXX
-15804.87
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
40603400
NC
-38393.36
-0.010381835055
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2029-03-13
0
USD
0
USD
40603400
EUR
1
2.85
EUR
2028-03-09
XXXX
-38393.36
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION
N/A
40603400
NC
-4464.34
-0.001207188991
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
2029-03-13
0
USD
0
USD
40603400
EUR
1
2.85
EUR
2028-03-09
XXXX
-4464.34
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Total Return Swap
99MK129K6
2435000
NC
USD
2088256
0.564679135760
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2025-09-29
0
USD
0
USD
2391315.99
USD
-226532.97
N
N
N
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Total Return Swap
N/A
2089000
NC
USD
2143919.81
0.579731022178
N/A
DCR
CORP
US
N
2
MORGAN STANLEY AND CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Y
2024-07-17
0
USD
0
USD
2285366
USD
-134786.81
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912797FC6
6000000
PA
USD
5924567.22
1.602044719392
Long
DBT
UST
US
N
2
2023-10-26
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912797FJ1
100000
PA
USD
98534.03
0.026644295960
Long
DBT
UST
US
N
2
2023-11-09
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T BILLS
912797FK8
300000
PA
USD
295306.49
0.079852955556
Long
DBT
UST
US
N
2
2023-11-16
Fixed
0
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T. BOND
912810SC3
116000
PA
USD
98169.64
0.026545762336
Long
DBT
UST
US
N
2
2048-05-15
Fixed
3.125
N
N
N
N
N
N
UNITED STATES OF AMERICA
254900HROIFWPRGM1V77
U.S. T. NOTE
91282CAE1
261000
PA
USD
207680.31
0.056158219091
Long
DBT
UST
US
N
2
2030-08-15
Fixed
.625
N
N
N
N
N
N
2023-09-25
Putnam Investments Inc
Janet C. Smith
NPORT
Principal Financial Officer