Security Name | % Net Assets | Number Of Shares | Market Value (USD) |
---|---|---|---|
Ultra 10 Year US Treasury Note Future Sept 24 | 10.19640 | 6,967 | 789,284,898 |
United States Treasury Notes 0.125% | 4.97846 | 438,674,103 | 385,373,173 |
TRS R 5.49/91282CCM1 MYC | 4.48668 | 339,000,000 | 347,305,744 |
Federal National Mortgage Association 4.5% | 4.33407 | 355,739,000 | 335,492,446 |
United States Treasury Notes 0.625% | 4.26601 | 368,101,476 | 330,224,342 |
United States Treasury Notes 0.125% | 4.17998 | 361,473,649 | 323,564,285 |
United States Treasury Notes 0.125% | 3.98022 | 342,208,152 | 308,101,877 |
United States Treasury Bonds 3.625% | 3.92444 | 288,977,857 | 303,783,632 |
United States Treasury Notes 0.25% | 3.90591 | 329,161,155 | 302,349,287 |
TRS R 5.49/912828Y38 MYC | 3.83946 | 250,000,000 | 297,205,930 |
United States Treasury Bonds 3.875% | 3.80959 | 272,929,290 | 294,893,432 |
Italy (Republic Of) 1.4% | 3.73116 | 272,468,595 | 288,822,064 |
United States Treasury Notes 0.125% | 3.65931 | 320,774,959 | 283,260,773 |
United States Treasury Bonds 1.75% | 3.63624 | 285,950,777 | 281,474,369 |
TRS R 5.43/91282CFR7 BPS | 3.37675 | 250,000,000 | 261,387,869 |
Pimco Fds | 3.11884 | 24,814,830 | 241,423,479 |
TRS R 5.43/9128283R9 BPS | 3.10558 | 200,000,000 | 240,397,344 |
United States Treasury Notes 2.375% | 3.03798 | 232,068,256 | 235,164,810 |
United States Treasury Bonds 1.375% | 2.91111 | 262,668,086 | 225,344,007 |
United States Treasury Notes 0.125% | 2.75976 | 246,638,536 | 213,627,618 |
Government National Mortgage Association 3.5% | 2.71035 | 233,500,000 | 209,803,400 |
TRS R 5.5/912828N71 MYC | 2.47323 | 150,000,000 | 191,447,849 |
Federal National Mortgage Association 6% | 2.45538 | 189,600,000 | 190,066,592 |
TRS R 5.49/912828V49 MYC | 2.39473 | 150,000,000 | 185,371,466 |
TRS R 5.49/9128282L3 MYC | 2.36368 | 150,000,000 | 182,967,879 |
United States Treasury Notes 0.5% | 2.21750 | 182,120,203 | 171,652,298 |
TRS R 5.49/91282CDC2 MYC | 2.12069 | 150,000,000 | 164,158,382 |
United States Treasury Bonds 1% | 2.09253 | 207,355,817 | 161,978,984 |
United States Treasury Bonds 2% | 2.07097 | 162,266,076 | 160,310,055 |
United States Treasury Notes 1.375% | 1.93532 | 158,576,640 | 149,809,705 |
United States Treasury Bonds 0.75% | 1.87916 | 186,002,135 | 145,462,330 |
United States Treasury Bonds 0.875% | 1.77238 | 182,509,844 | 137,196,543 |
TRS R 5.43/91282CDC2 BPS | 1.76863 | 125,000,000 | 136,906,246 |
Long-Term Euro BTP Future Sept 24 | 1.74788 | 1,095 | 135,300,513 |
United States Treasury Notes 0.125% | 1.67569 | 135,667,517 | 129,712,074 |
TRS R 5.53/912828N71 MYC | 1.65040 | 100,000,000 | 127,754,798 |
TRS R 5.49/912828S50 MYC | 1.61859 | 100,000,000 | 125,292,196 |
United States Treasury Bonds 0.75% | 1.56196 | 161,233,757 | 120,908,417 |
United States Treasury Notes 0.125% | 1.52555 | 121,389,000 | 118,089,991 |
United States Treasury Bonds 2.5% | 1.33793 | 101,754,830 | 103,566,959 |
10 Year Australian Treasury Bond Future Sept 24 | 1.33453 | 1,362 | 103,303,679 |
Japan (Government Of) 0.1% | 1.32288 | 15,680,480,420 | 102,401,745 |
TRS R 5.46/912828N71 GLM | 1.19147 | 72,200,000 | 92,229,818 |
Federal National Mortgage Association 4% | 1.19103 | 100,695,492 | 92,195,377 |
United States Treasury Notes 0.125% | 1.17589 | 95,268,596 | 91,023,404 |
United States Treasury Notes 1.25% | 1.11150 | 89,062,968 | 86,039,275 |
France (Republic Of) 0.1% | 1.10917 | 81,937,898 | 85,858,787 |
United States Treasury Bonds 2.125% | 1.07461 | 83,966,230 | 83,183,835 |
United States Treasury Notes 0.875% | 0.96793 | 79,066,584 | 74,925,494 |
United States Treasury Notes 0.125% | 0.91653 | 73,351,094 | 70,947,045 |
United States Treasury Notes 1.625% | 0.90814 | 71,446,725 | 70,297,558 |
United States Treasury Notes 0.375% | 0.88231 | 71,838,917 | 68,297,924 |
United States Treasury Bonds 2.125% | 0.84572 | 65,966,400 | 65,465,902 |
Federal National Mortgage Association 6.5% | 0.83580 | 63,600,000 | 64,698,094 |
France (Republic Of) 0.25% | 0.82977 | 59,964,423 | 64,230,987 |
Federal National Mortgage Association 5.5% | 0.81921 | 64,300,000 | 63,413,363 |
Japan (Government Of) 0.1% | 0.81370 | 9,681,921,624 | 62,987,262 |
United States Treasury Notes 0.125% | 0.79656 | 65,520,090 | 61,660,301 |
United States Treasury Bonds 0.25% | 0.79412 | 100,554,371 | 61,471,634 |
United States Treasury Bonds 0.125% | 0.78474 | 104,903,767 | 60,745,166 |
United States Treasury Bonds 0.625% | 0.74987 | 77,218,587 | 58,045,818 |
United States Treasury Notes 0.125% | 0.67736 | 55,077,120 | 52,433,248 |
United States Treasury Notes 0.375% | 0.66075 | 53,886,031 | 51,147,115 |
United States Treasury Bonds 1% | 0.63580 | 64,209,478 | 49,215,795 |
United States Treasury Notes 2.125% | 0.60460 | 46,732,031 | 46,800,777 |
TRS R 5.53/91282CCM1 MYC | 0.52960 | 40,000,000 | 40,995,292 |
United States Treasury Bonds 2.125% | 0.52798 | 41,989,815 | 40,870,146 |
Ultra US Treasury Bond Future Sept 24 | 0.47947 | 298 | 37,114,969 |
United States Treasury Bonds 1% | 0.43221 | 43,997,548 | 33,456,804 |
United States Treasury Notes 0.625% | 0.42655 | 34,124,339 | 33,018,370 |
United States Treasury Notes 0.375% | 0.41094 | 32,626,360 | 31,809,949 |
Federal National Mortgage Association 4% | 0.40708 | 34,434,508 | 31,511,610 |
United States Treasury Bonds 0.125% | 0.40460 | 55,078,515 | 31,319,644 |
Canada (Government of) 4.25% | 0.38445 | 38,407,950 | 29,759,866 |
Federal National Mortgage Association 4.5% | 0.29794 | 24,461,000 | 23,063,092 |
Barings Clo Limited 6.54017% | 0.27257 | 21,068,873 | 21,099,510 |
Federal Home Loan Mortgage Corp. 4% | 0.26983 | 22,399,774 | 20,887,224 |
Italy (Republic Of) 0.4% | 0.25698 | 20,146,933 | 19,892,231 |
Euro Buxl Future Sept 24 | 0.24163 | 134 | 18,704,361 |
Citigroup Mortgage Loan Trust 5.95471% | 0.21464 | 17,188,000 | 16,614,737 |
France (Republic Of) 0.1% | 0.21222 | 16,269,408 | 16,427,570 |
Strctd Asst 6-Opt1 5.75971% | 0.20493 | 19,033,364 | 15,862,973 |
Dryden 27 R Euro Clo 2017 Designated Activity Company 4.566% | 0.20169 | 14,591,187 | 15,612,118 |
CVC Cordatus Loan Fund XI Designated Activity Company 4.556% | 0.19984 | 14,452,854 | 15,469,460 |
United States Treasury Bonds 3.375% | 0.19441 | 13,778,466 | 15,048,807 |
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 2.75% | 0.17899 | 14,734,305 | 13,854,997 |
MF1 2022-FL9 LLC 7.48867% | 0.17468 | 13,500,000 | 13,521,330 |
Government National Mortgage Association 6.233% | 0.17098 | 13,199,445 | 13,235,423 |
Harvest CLO XX Designated Activity Company 4.577% | 0.17002 | 12,299,033 | 13,161,269 |
Euro Bobl Future Sept 24 | 0.16766 | 104 | 12,978,641 |
Madison Park Euro Funding VIII DAC 4.726% | 0.16354 | 11,900,000 | 12,659,580 |
Renaissance Hm Eqt 6.55971% | 0.16189 | 30,168,944 | 12,531,455 |
LOANCORE 2022-CRE7 ISSUER LTD 6.88303% | 0.14960 | 11,561,981 | 11,580,047 |
First Franklin Mortgage Loan Trust 2005-FF4 6.16471% | 0.14198 | 11,539,844 | 10,990,305 |
Jyske Realkredit A/S 1.5% | 0.13836 | 97,865,619 | 10,710,257 |
CIT Mtg Ln Tr 6.95971% | 0.13812 | 10,678,416 | 10,691,515 |
Wind River 2019-3 Clo Ltd / Llc 6.67017% | 0.13313 | 10,300,000 | 10,305,584 |
Cqs Us Clo 2022-2 Ltd / Cqs Us Clo 2 FRN 7.17456% | 0.13196 | 10,187,417 | 10,215,032 |
Dryden 52 Euro Clo 2017 Designated Activity Company 4.688% | 0.12636 | 9,128,066 | 9,781,527 |
Oak Hill European Credit Partners Vii Designated Activity Company 4.637% | 0.12586 | 9,115,714 | 9,742,974 |
Blackrock European Clo VII Designated Activity Company 4.526% | 0.12458 | 9,020,370 | 9,643,294 |
United States Treasury Bonds 1.5% | 0.12262 | 11,286,574 | 9,492,155 |
TRTX 2022-FL5 ISSUER, LTD 6.97884% | 0.11833 | 9,200,113 | 9,159,863 |
STATE STREET STIF FUND (EUR) | 0.11640 | 8,407,335 | 9,010,565 |
JP Morgan Alt 6 A7 5.91971% | 0.11515 | 10,157,059 | 8,913,348 |
Italy (Republic Of) 1.8% | 0.11113 | 8,415,536 | 8,602,668 |
Government National Mortgage Association 6.24637% | 0.11070 | 8,674,652 | 8,569,387 |
Man Glg Euro Clo V Designated Activity Company 4.409% | 0.10467 | 7,561,333 | 8,102,100 |
Lehman Xs Trust 7.75971% | 0.10409 | 8,487,624 | 8,057,231 |
CIFC Funding 6.53455% | 0.10331 | 7,985,581 | 7,997,109 |
CWMBS Inc 4.74884% | 0.10304 | 8,397,207 | 7,976,378 |
Dryden XXXVI Senior Loan Fund 6.61017% | 0.10208 | 7,895,319 | 7,901,634 |
CWABS Asset-Backed Certificates Trust 2006-19 5.95971% | 0.10196 | 8,285,409 | 7,892,717 |
Park Place Securities Inc. 6.38971% | 0.09851 | 8,391,000 | 7,625,564 |
Home Equity Asset Trust 6.13471% | 0.09386 | 7,538,029 | 7,265,659 |
Sound Point Clo Ix Ltd 6.79617% | 0.09325 | 7,200,000 | 7,218,566 |
Jubilee CLO 2016-XVII Designated Activity Company 4.556% | 0.08981 | 6,500,000 | 6,951,699 |
Palmer Square Loan Funding 2021-3 LTD / LLC 6.38617% | 0.08577 | 6,638,000 | 6,639,671 |
Carlyle Global Market Strategies Euro CLO 2014-2 DAC 4.578% | 0.08514 | 6,177,734 | 6,590,627 |
Bank of America Corp. 5.875% | 0.08466 | 6,580,000 | 6,553,292 |
522 Funding Clo 2018-3(A) Ltd/Llc 6.62617% | 0.08453 | 6,540,107 | 6,543,600 |
CSMC 2021-NQM8 TRUST 1.841% | 0.08317 | 7,410,939 | 6,438,249 |
Gallatin Clo Viii 2017-1 Ltd/Gallatin Clo Viii 2017-1 Llc 6.68017% | 0.08075 | 6,248,254 | 6,251,023 |
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd/LLC 6.78303% | 0.07847 | 6,100,000 | 6,074,456 |
BDS 2022-FL11 LTD 7.14225% | 0.07846 | 6,099,941 | 6,073,289 |
Apidos Clo Xxvii 6.50868% | 0.07704 | 5,955,658 | 5,963,447 |
CWABS Asset-Backed Certificates Trust 2007-8 5.64971% | 0.07571 | 6,332,056 | 5,860,665 |
CAPITAL FOUR US CLO II LTD 7.22456% | 0.07559 | 5,800,000 | 5,851,073 |
Morgan Stanley ABS Capital I Inc. Trust 2004-NC1 6.50971% | 0.07456 | 6,500,000 | 5,771,638 |
Nykredit Realkredit A/S 1.5% | 0.06940 | 47,028,123 | 5,372,028 |
Ares European CLO X Designated Activity Company 4.686% | 0.06922 | 4,995,823 | 5,358,291 |
Palmer Square European Loan Funding 2024-1 Designated Activity Co. 5.123% | 0.06915 | 5,000,000 | 5,353,157 |
CVC Cordatus Opportunity Loan Fund Designated Activity Co. 5.289% | 0.06645 | 4,800,000 | 5,143,950 |
TRALEE CLO VII LTD 6.90516% | 0.06594 | 5,100,000 | 5,104,081 |
Palmer Square European Loan Funding 2022-2 Designated Activity Company 4.95 | 0.06479 | 4,693,421 | 5,015,006 |
GOLUB CAPITAL PARTNERS STATIC 2024-1 LTD 6.55693% | 0.06454 | 5,000,000 | 4,996,267 |
Anchorage Capital CLO 6 Ltd 6.76456% | 0.06210 | 4,800,000 | 4,807,200 |
Fidelity Grand Harbour CLO 2019-1 DAC 4.919% | 0.06197 | 4,472,730 | 4,797,185 |
Catamaran CLO Ltd. 2014-1 Ltd. 6.68617% | 0.06125 | 4,734,117 | 4,741,353 |
Blackrock European CLO IV Designated Activity Co. 4.756% | 0.05949 | 4,296,429 | 4,604,717 |
Ozlm Xxiv Ltd / Llc 6.74617% | 0.05948 | 4,600,000 | 4,603,920 |
Octagon Investment Partners XXI Ltd. 6.58359% | 0.05931 | 4,588,124 | 4,591,239 |
Cairn CLO X Designated Activity Company 4.686% | 0.05924 | 4,294,657 | 4,585,578 |
ROMARK CLO I LTD 6.61801% | 0.05830 | 4,506,510 | 4,512,885 |
Bluemountain Clo XXII Ltd 6.67017% | 0.05733 | 4,433,572 | 4,437,711 |
Segovia European CLO 6-2019 Designated Activity Company 4.777% | 0.05364 | 3,894,063 | 4,152,316 |
St. Paul's CLO IV Designated Activity Company 4.712% | 0.05302 | 3,838,136 | 4,104,096 |
Contego CLO IV DAC 4.532% | 0.05232 | 3,783,646 | 4,050,052 |
Carval 6.554% | 0.05043 | 3,900,000 | 3,903,320 |
Midocean Credit Clo Viii/Midocean Credit Clo Viii LLC 6.63735% | 0.05012 | 3,870,329 | 3,879,554 |
Dryden 54 Sr Ln Fd / Dryden 54 Sr Ln FRN 6.47852% | 0.04940 | 3,819,682 | 3,824,173 |
Vibrant Clo Vii Ltd 6.62617% | 0.04939 | 3,819,229 | 3,822,860 |
Benefit Street Partners Clo Vii, Ltd 6.54017% | 0.04913 | 3,797,744 | 3,802,895 |
VENTURE XXIX CLO LTD 6.57399% | 0.04907 | 3,797,292 | 3,798,241 |
Ares L Clo Ltd 6.64017% | 0.04879 | 3,772,963 | 3,777,041 |
Cumulus Static CLO 2024-1 DAC 5.025% | 0.04843 | 3,500,000 | 3,749,251 |
Madison Park Funding XXX Ltd 6.34017% | 0.04756 | 3,678,090 | 3,681,247 |
SLM Student Loan Trust 2008-7 6.50948% | 0.04681 | 3,653,342 | 3,623,761 |
Bluemountain CLO 2018-3 LTD/LLC 6.51355% | 0.04535 | 3,504,909 | 3,510,367 |
Oaktree CLO 2019-1 Ltd. 6.69617% | 0.04463 | 3,450,000 | 3,454,837 |
KKR Finan Clo 07-1 6.54017% | 0.04460 | 3,447,713 | 3,452,557 |
Mountain View Clo Xvi Ltd / Mountain FRN 6.78856% | 0.04397 | 3,400,000 | 3,403,277 |
Carrington Mortgage Loan Trust 5.93971% | 0.04344 | 3,533,338 | 3,362,847 |
Carlyle Us Clo Ltd 6.58617% | 0.04344 | 3,359,689 | 3,362,602 |
RASC Series 2006-EMX7 Trust 5.93971% | 0.04332 | 3,666,564 | 3,353,530 |
Ares European Clo VI Designated Activity Company 4.516% | 0.04326 | 3,125,638 | 3,348,679 |
Henley CLO VI Designated Activity Company 4.882% | 0.04296 | 3,100,000 | 3,325,121 |
Lehman Abs Mfg Hsg 7.17% | 0.04276 | 3,685,693 | 3,310,186 |
Barings Clo Ltd 2016-II / Llc 6.65617% | 0.04127 | 3,188,776 | 3,194,845 |
Merrill Lynch Mtg Inv Trust 5.75971% | 0.04099 | 9,249,569 | 3,173,106 |
Government National Mortgage Association 6.26226% | 0.04086 | 3,154,214 | 3,163,071 |
Option One Mortgage Loan Trust 5.69971% | 0.04083 | 6,591,179 | 3,160,193 |
Carlyle Global Market Strategies Clo 2012-4 Ltd/Llc 6.53359% | 0.04072 | 3,149,533 | 3,151,895 |
Sound Point Clo Xvi Limited 6.56516% | 0.04038 | 3,123,328 | 3,125,765 |
Benefit Street Partners CLO XVI Ltd/Llc 6.60868% | 0.03828 | 2,957,535 | 2,963,250 |
Bosphorus CLO V Designated Activity Company 4.753% | 0.03805 | 2,750,000 | 2,945,692 |
Armada Euro Clo III Designated Activity Company 4.626% | 0.03781 | 2,732,518 | 2,926,673 |
Laurelin 2016-1 Designated Activity Company 4.617% | 0.03755 | 2,708,783 | 2,906,754 |
Wamu Wmalt 07-0c1 6% | 0.03753 | 3,963,580 | 2,905,066 |
Allegro Clo Ix Ltd / Allegro Clo Ix FRN 6.733867% | 0.03748 | 2,900,000 | 2,901,273 |
Adagio Clo VIII Designated Activity Company 4.836% | 0.03736 | 2,700,000 | 2,892,279 |
BSST 2022-1700 MORTGAGE TRUST 6.629% | 0.03661 | 3,200,000 | 2,833,893 |
Lehman Xs Trust 6.9% | 0.03649 | 3,037,012 | 2,824,959 |
OZLM VIII Ltd. 6.55868% | 0.03508 | 2,713,467 | 2,715,545 |
Federal National Mortgage Association 4% | 0.03485 | 2,899,647 | 2,697,690 |
United States Treasury Bonds 2.375% | 0.03467 | 2,684,362 | 2,683,572 |
Alliance Bancorp Tr 5.93971% | 0.03400 | 3,156,690 | 2,631,988 |
BlackRock European CLO IX Designated Activity Company 4.619% | 0.03312 | 2,400,000 | 2,564,035 |
Babson CLO 2015-I LLC 6.57617% | 0.03301 | 2,553,458 | 2,555,373 |
Contego Clo V Designated Activity Company 4.726% | 0.03284 | 2,372,306 | 2,541,757 |
Carlyle Global Mkt Strategies Clo 20 FRN 6.54456% | 0.03240 | 2,500,000 | 2,508,018 |
RAD CLO 5 LTD 6.70455% | 0.03234 | 2,500,000 | 2,503,261 |
Indymac MBS Inc 5.5% | 0.03223 | 4,010,871 | 2,494,599 |
CIFC European Funding Clo III Designated Activity Company 4.956% | 0.03187 | 2,300,000 | 2,466,757 |
Marble Point Clo X 6.63017% | 0.03178 | 2,457,491 | 2,459,849 |
MADISON PARK FUNDING XXIX LTD 6.50693% | 0.03165 | 2,447,588 | 2,450,252 |
Gsamp Tr 2007-He2 5.82971% | 0.03023 | 2,999,661 | 2,340,296 |
Soundview Home Loan Trust 5.63971% | 0.03021 | 2,646,256 | 2,338,294 |
Toro European CLO 5 DAC 4.646% | 0.03005 | 2,167,970 | 2,326,153 |
Cedar Funding V Clo Ltd 6.67868% | 0.02969 | 2,296,474 | 2,298,583 |
Ammc CLO 22 6.61516% | 0.02964 | 2,291,340 | 2,294,641 |
Rali Series 2007-QH8 Trust 6.01973% | 0.02944 | 2,794,401 | 2,279,213 |
Voya Clo 2019-1 Ltd / Llc 6.65017% | 0.02927 | 2,262,363 | 2,265,673 |
American Home Mortgage Asset Trust 5.66971% | 0.02922 | 4,124,457 | 2,262,154 |
Argent Secs Tr 5.75971% | 0.02867 | 2,580,682 | 2,219,612 |
Government National Mortgage Association 6.433% | 0.02791 | 2,128,908 | 2,160,701 |
United States Treasury Bills 0% | 0.02785 | 2,163,000 | 2,155,458 |
Aqueduct European Clo 4 - 2019 Designated Activity Company 4.816% | 0.02774 | 2,000,000 | 2,147,074 |
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5.79751% | 0.02755 | 2,185,996 | 2,132,616 |
Harvest Clo Xxi DAC 4.666% | 0.02746 | 1,985,688 | 2,125,498 |
CWABS Inc. 7.18471% | 0.02745 | 2,533,188 | 2,124,686 |
Realkredit Danmark A/S 1.5% | 0.02745 | 18,601,533 | 2,124,900 |
United States Treasury Bills 0% | 0.02703 | 2,108,000 | 2,092,108 |
GS Mortgage Securities Corp 6.43471% | 0.02637 | 2,196,931 | 2,041,601 |
United States Treasury Bills 0% | 0.02629 | 2,046,000 | 2,034,694 |
Sound Point CLO XI Ltd 6.73854% | 0.02619 | 2,023,411 | 2,027,172 |
NEW RESIDENTIAL MORTGAGE LOAN TRUST 4.5% | 0.02612 | 2,105,731 | 2,022,044 |
Carlyle Global Market Strategies CLO 2012-2, Ltd. 6.66617% | 0.02587 | 2,000,000 | 2,002,300 |
Banc Americ 2006-J 4.34714% | 0.02543 | 2,382,702 | 1,968,506 |
Countrywide Alternative loan Trust 5.64815% | 0.02522 | 2,281,307 | 1,952,334 |
Asset Backed Funding Corp 6.15971% | 0.02484 | 1,977,287 | 1,922,973 |
Jubilee CLO 2016-XVII Designated Activity Company 4.556% | 0.02481 | 1,800,000 | 1,920,197 |
GS MORTGAGE SECURITIES CORPORATION TRUST 2022-GTWY 8.729% | 0.02460 | 1,900,000 | 1,904,273 |
Venture Xxvi Clo Ltd 6.68617% | 0.02451 | 1,893,312 | 1,897,078 |
MF1 2021-FL7 LTD 6.5264% | 0.02441 | 1,898,171 | 1,889,867 |
AMMC CLO XII Ltd. 6.53718% | 0.02409 | 1,862,725 | 1,864,832 |
Adagio V CLO Designated Activity Company 4.626% | 0.02409 | 1,747,891 | 1,864,445 |
Lehman Xs Trust 5.77971% | 0.02396 | 2,176,968 | 1,854,839 |
Kkr Financial Clo 6.77017% | 0.02377 | 1,838,065 | 1,839,958 |
Citigroup Mortgage Loan Trust 5.91971% | 0.02373 | 2,756,416 | 1,836,635 |
Park Place Securities Inc. 6.50971% | 0.02372 | 1,872,915 | 1,835,765 |
VMware Inc 3.9% | 0.02356 | 1,900,000 | 1,823,615 |
ARES LII CLO LTD 6.63617% | 0.02327 | 1,800,000 | 1,801,350 |
Aegis Asset Backed Secs Trust 6.10471% | 0.02325 | 1,974,409 | 1,799,540 |
Osd Clo 2021-23 Ltd/Llc 6.44868% | 0.02292 | 1,771,431 | 1,774,069 |
Jyske Realkredit A/S 1% | 0.02291 | 16,106,947 | 1,773,320 |
Dryden 50 Senior Loan Fund & LLC 6.55854% | 0.02277 | 1,761,858 | 1,762,637 |
ACAS CLO 2015-1 Ltd. 6.47854% | 0.02275 | 1,759,634 | 1,761,028 |
Wamu Mortgage Pass-Through CTFS TR 5.85277% | 0.02249 | 2,142,325 | 1,741,154 |
Apidos Clo Xvi 6.48854% | 0.02215 | 1,713,212 | 1,714,929 |
Euro-Galaxy III Clo Designated Activity Company 4.511% | 0.02197 | 1,596,770 | 1,700,889 |
Fremont Home Loan Trust 5.72971% | 0.02125 | 1,882,140 | 1,645,201 |
Alternative Loan Trust 5.66315% | 0.02094 | 2,037,422 | 1,621,215 |
Voya CLO 2013-1 Ltd / Voya CLO 2013-1 LLC 6.80017% | 0.02084 | 1,610,915 | 1,613,344 |
MF1 2021-FL6 LTD 6.5464% | 0.02081 | 1,621,134 | 1,610,961 |
Marathon Clo Xiii Ltd / Marathon Clo Xii 6.53398% | 0.02069 | 1,600,000 | 1,601,599 |
United States Treasury Bills 0% | 0.02041 | 1,582,000 | 1,579,694 |
Lehman Xs Trust 5.95971% | 0.02041 | 1,682,195 | 1,579,825 |
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 6.82601% | 0.02033 | 1,743,738 | 1,573,780 |
CHL Mortgage Pass-Through Trust 6% | 0.01998 | 3,428,967 | 1,546,952 |
Park Place Securities Inc. 6.19471% | 0.01988 | 1,596,474 | 1,539,218 |
Saxon Asset Securities Trust 6.17971% | 0.01987 | 1,915,000 | 1,537,910 |
Harvest CLO XVI Designated Activity Company 4.546% | 0.01958 | 1,420,465 | 1,515,488 |
CBAM 2019-10 LTD 6.70617% | 0.01940 | 1,500,000 | 1,501,851 |
Carlyle US CLO 2017-4 Ltd./ Carlyle US CLO 2017-4 LLC 6.77017% | 0.01927 | 1,489,088 | 1,491,424 |
Alternative Loan Trust 6% | 0.01895 | 2,874,832 | 1,466,598 |
CBAM 2017-1 LTD 6.83617% | 0.01885 | 1,459,148 | 1,459,519 |
Park Place Securities Inc. 7.18471% | 0.01862 | 1,635,737 | 1,441,038 |
Ozlm Xi Ltd./Llc. 6.84111% | 0.01840 | 1,421,031 | 1,424,080 |
Citigroup Mortgage Loan Trust 6.13471% | 0.01838 | 1,444,825 | 1,422,432 |
Madison Park Euro Funding IX DAC 4.786% | 0.01837 | 1,331,000 | 1,422,363 |
Carlyle Global Market Strategies Clo 2016-1 Ltd/Llc 6.63648% | 0.01831 | 1,417,068 | 1,417,423 |
United States Treasury Bills 0% | 0.01806 | 1,410,000 | 1,397,868 |
Carrington Mortgage Loan Trust 6.05971% | 0.01795 | 1,448,639 | 1,389,706 |
LCM XV Limited Partnership 6.58617% | 0.01743 | 1,348,007 | 1,349,340 |
UBS Group AG 4.923% | 0.01723 | 1,240,000 | 1,333,538 |
Federal Home Loan Mortgage Corp. 4.5% | 0.01683 | 1,380,352 | 1,302,770 |
M360 2021-CRE3 LTD 6.95812% | 0.01671 | 1,318,808 | 1,293,488 |
Bear Stearns 07-1 4.32149% | 0.01671 | 2,680,143 | 1,293,649 |
Fnma Pass-Thru I 4.5% | 0.01652 | 1,354,069 | 1,278,923 |
Toro European CLO 5 DAC 4.646% | 0.01621 | 1,169,819 | 1,255,173 |
Structured Asset Securities Corp. 6.02971% | 0.01581 | 1,254,664 | 1,223,934 |
Lcm Xxv Ltd/Lcm Xxv Llc 6.42456% | 0.01578 | 1,220,923 | 1,221,276 |
UBS Group AG 7.75% | 0.01565 | 1,000,000 | 1,211,489 |
Denali Capital Clo XII LTD/LLC 6.64017% | 0.01560 | 1,206,949 | 1,207,531 |
Venture 33 Clo Limited & Llc 6.65017% | 0.01558 | 1,204,939 | 1,205,876 |
Cifc Funding Ltd 6.68854% | 0.01554 | 1,201,143 | 1,202,601 |
Federal Home Loan Mortgage Corp. 4% | 0.01535 | 1,272,257 | 1,188,194 |
Indymac Indb 06-1 5.59971% | 0.01525 | 3,736,179 | 1,180,148 |
Rockford Tower Europe Clo 2018-1 Designated Activity Company 5.22% | 0.01524 | 1,100,000 | 1,180,036 |
Dryden XXXV CLO 2014 B.V. 4.868% | 0.01521 | 1,100,000 | 1,177,462 |
Nomura Home Equity 5.89471% | 0.01497 | 1,165,004 | 1,158,732 |
DRYDEN 60 CLO LTD 6.64017% | 0.01471 | 1,136,890 | 1,138,484 |
APIDOS CLO XXIV 6.53617% | 0.01438 | 1,111,195 | 1,112,767 |
Saranac Clo Vi Limited/Llc 6.74841% | 0.01437 | 1,108,915 | 1,112,654 |
Crestline Denali Clo Xv LTD 6.61617% | 0.01409 | 1,090,090 | 1,090,979 |
Wells Fargo Mortgage Backed Secs 5.96787% | 0.01390 | 1,258,034 | 1,076,213 |
Wind River Clo I Ltd/Corp 6.63854% | 0.01387 | 1,072,711 | 1,073,664 |
Bastille Euro Clo 2020-3 Designated Activity Company 5.056% | 0.01386 | 1,000,000 | 1,072,625 |
Invesco Euro Clo I DAC 4.556% | 0.01377 | 1,000,000 | 1,066,059 |
First Franklin Mortgage Loan Trust 5.56471% | 0.01374 | 1,215,235 | 1,063,754 |
Harvest CLO VIII Designated Activity Company 4.636% | 0.01364 | 983,933 | 1,056,051 |
Argent Secs Inc 5.93971% | 0.01351 | 1,179,998 | 1,046,038 |
Nordea Kredit Realkreditaktieselskab 1.5% | 0.01351 | 10,700,000 | 1,046,127 |
Nordea Kredit Realkreditaktieselskab 2% | 0.01341 | 8,891,052 | 1,038,144 |
Securitised Asset Backed LLC 5.77971% | 0.01336 | 2,973,416 | 1,034,556 |
STIF FUND (JPY) (SSKC) | 0.01288 | 160,390,858 | 997,084 |
Stwd 2019-Fl1 LTD/LLC 6.52332% | 0.01271 | 987,676 | 983,983 |
Wellfleet Clo X Ltd / Llc 6.75617% | 0.01257 | 970,726 | 972,695 |
Dryden 44 Euro CLO 2015 BV 4.786% | 0.01241 | 900,000 | 960,993 |
Bluemountain Fuji Eur Clo V Designated Activity Company 4.816% | 0.01241 | 900,000 | 960,646 |
Federal National Mortgage Association 4% | 0.01239 | 1,031,854 | 959,281 |
Nordea Kredit Realkreditaktieselskab 1.5% | 0.01215 | 8,596,060 | 940,453 |
HSI Asset Securitization Corporation Trust 5.99971% | 0.01204 | 953,444 | 932,283 |
Federal National Mortgage Association 4.5% | 0.01196 | 980,739 | 925,729 |
United States Treasury Bills 0% | 0.01190 | 925,000 | 921,092 |
Bcap Llc Trust 4.50218% | 0.01175 | 1,076,661 | 909,542 |
Halseypoint Clo 3 Ltd / Llc 7.04111% | 0.01164 | 900,000 | 900,755 |
Alternative Loan Trust 4.76901% | 0.01154 | 1,053,570 | 893,122 |
GSamp Trust 5.59971% | 0.01114 | 1,694,963 | 862,541 |
Struct Asset Mtg 5.87971% | 0.01096 | 1,298,726 | 848,245 |
CHL Mortgage Pass-Through Trust 4.52993% | 0.01090 | 932,131 | 843,725 |
Cbam 2018-5 6.59868% | 0.01053 | 814,009 | 814,768 |
State Street Overnight Rate Aud | 0.01044 | 1,210,591 | 808,493 |
BENEFIT STREET PARTNERS CLO XVII LTD 6.67017% | 0.01035 | 800,000 | 801,060 |
RAD CLO 4 LTD 6.5564% | 0.01035 | 800,000 | 801,516 |
Alternative Loan Trust 6% | 0.01004 | 947,580 | 777,363 |
Crestline Denali Clo Xiv. Ltd 6.72801% | 0.01002 | 774,501 | 775,260 |
Wamu Mortgage Pass-Through CTFS TR 4.37166% | 0.00969 | 933,089 | 750,146 |
Lloyds Banking Group PLC 4.947% | 0.00956 | 700,000 | 740,403 |
Lehman Xs Trust 5.81971% | 0.00936 | 768,474 | 724,763 |
Atlas Senior Loan Fund X Ltd/Llc 6.68017% | 0.00918 | 710,258 | 710,990 |
JP Morgan Alt Loan 5.91971% | 0.00916 | 784,492 | 708,688 |
CVC Cordatus Loan Fund VII Designated Activity Company 4.349% | 0.00911 | 659,036 | 705,071 |
Carlyle Global Market Strategies CLO 2014-1 Limited 6.54868% | 0.00909 | 703,086 | 703,543 |
Wamu Mortgage Pass-Through CTFS TR 4.84556% | 0.00905 | 782,315 | 700,644 |
Wamu Mortgage Pass-Through CTFS TR 4.40391% | 0.00892 | 819,212 | 690,115 |
Aqueduct European CLO 1-2017 Designated Activity Company 4.537% | 0.00867 | 625,241 | 670,865 |
Morgan Stanley ABS Capital I Inc 5.67971% | 0.00849 | 1,500,564 | 657,266 |
Indymac Indx Mtg 5.85971% | 0.00837 | 850,699 | 647,618 |
Invesco Euro Clo Iii Designated Activity Company 4.826% | 0.00832 | 600,000 | 643,852 |
New Century Home Equity Loan Trust 2005-1 6.22471% | 0.00810 | 651,316 | 626,632 |
Home Equity Asset Trust 6.07471% | 0.00803 | 633,696 | 621,750 |
Bcap Llc Tr 06-Aa2 5.79971% | 0.00791 | 699,354 | 612,037 |
Black Diamond CLO 2017-2 Designated Activity Company 4.757% | 0.00789 | 569,828 | 610,727 |
GSAA Home Equity Trust 6.72% | 0.00775 | 1,141,890 | 600,250 |
UBS Group AG 0.65% | 0.00769 | 600,000 | 595,101 |
Wamu Mtg Pass-Through Ctfs Ser 2007 3.41901% | 0.00762 | 777,373 | 589,842 |
Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC 6.57017% | 0.00753 | 582,547 | 583,129 |
STIF FUND (CAD) | 0.00751 | 795,035 | 581,017 |
Neugerger Berman CLO XIV Ltd 6.61648% | 0.00747 | 577,593 | 578,457 |
Washington Mut Mtg 6.12277% | 0.00746 | 695,542 | 577,383 |
Harborview Mtg Loan Trust 5.95315% | 0.00730 | 930,435 | 564,971 |
Rali Ser 06-Qo6 Tr 5.61936% | 0.00728 | 2,475,739 | 563,256 |
Mastr Adjustable Rate Mortgages Trust 5.66971% | 0.00727 | 662,463 | 562,560 |
Federal Home Loan Mortgage Corp. 4% | 0.00700 | 579,274 | 542,194 |
CWMBS Inc 6% | 0.00694 | 1,118,845 | 537,038 |
CVC Cordatus Loan Fund III Designated Activity Company 4.608% | 0.00670 | 483,415 | 518,338 |
Wamu Mortgage Pass-Through CTFS TR 3.76733% | 0.00665 | 617,399 | 514,648 |
UBS Group AG 1% | 0.00655 | 500,000 | 507,160 |
Voya Clo 2019-2 Ltd / Voya Clo 144A FRN 6.52456% | 0.00647 | 500,000 | 501,179 |
Tiaa CLO IV Ltd / Tiaa CLO IV LLC 6.4646% | 0.00646 | 500,000 | 500,000 |
Vibrant Clo Iv. Ltd 6.70617% | 0.00646 | 500,000 | 500,344 |
ICG US CLO Ltd. 6.64617% | 0.00614 | 475,306 | 475,565 |
CIFC Funding 6.77868% | 0.00611 | 472,338 | 472,757 |
OCP Euro CLO 2017-2 Designated Activity Co. 4.726% | 0.00603 | 435,859 | 467,156 |
Indymac Indx Mtg 5.69971% | 0.00598 | 483,345 | 462,519 |
VMC FINANCE 2022-FL5 LLC 7.23303% | 0.00594 | 461,123 | 460,000 |
Fnma Pass-Thru I 4% | 0.00591 | 488,871 | 457,451 |
Man GLG Euro CLO IV Designated Activity Company 4.528% | 0.00589 | 425,498 | 455,973 |
CWABS Asset-Backed Certificates Trust 2007-12 6.19971% | 0.00587 | 476,303 | 454,592 |
CWABS Asset-Backed Certificates Trust 2007-9 5.70971% | 0.00586 | 482,232 | 453,603 |
Ameriquest Mortgage Securities 6.38971% | 0.00573 | 449,444 | 443,551 |
Residential Accredit Loans Inc 6.01971% | 0.00559 | 624,809 | 432,736 |
Wamu Mortgage Pass-Through CTFS TR 6.55971% | 0.00519 | 445,865 | 402,081 |
Anchorage Capital CLO 2012-1 Ltd. 6.73017% | 0.00517 | 400,000 | 400,337 |
Bear Stearns Arm Trust 4.91222% | 0.00511 | 472,325 | 395,506 |
Wells Fargo Home Equity Asset Backed Securities 2005-3 Trust 7.85971% | 0.00510 | 400,000 | 394,832 |
Novastar Mortgage Funding Trust 6.53971% | 0.00506 | 393,485 | 391,845 |
UBS Group AG 7% | 0.00504 | 300,000 | 390,289 |
Resident Asset Sec 6.5% | 0.00492 | 1,797,794 | 380,828 |
Venture Xxiv Clo Ltd/Llc 6.48617% | 0.00491 | 379,685 | 379,983 |
Cwalt Incorporation 5.75% | 0.00479 | 956,715 | 370,492 |
Wamu Mortgage Pass-Through CTFS TR 3.84738% | 0.00479 | 435,644 | 370,839 |
Novastar Mortgage Funding Trust 5.79971% | 0.00478 | 1,231,375 | 370,157 |
Wamu Mortgage Pass-Through CTFS TR 4.25579% | 0.00462 | 410,517 | 357,862 |
Merrill Lynch Mortgage Investors, Inc. 5.75907% | 0.00454 | 389,513 | 351,503 |
Homebanc Mtg Trust 4.89939% | 0.00442 | 395,126 | 341,774 |
Washington Mut Mtg 6.13971% | 0.00420 | 343,506 | 324,972 |
Harborview Mtg Loan Trust 5.93315% | 0.00409 | 348,377 | 316,795 |
Bear Stearns Arm 4.40613% | 0.00409 | 363,781 | 316,588 |
CWABS Inc. 5.805% | 0.00407 | 360,985 | 315,428 |
Cwalt Incorporation 6.15277% | 0.00401 | 381,583 | 310,129 |
Citigroup Mortgage Loan Trust 5.2613% | 0.00391 | 343,475 | 302,963 |
OCTAGON LOAN FUNDING LLC 6.76735% | 0.00388 | 300,080 | 300,422 |
Eversource Energy 2.9% | 0.00385 | 300,000 | 297,811 |
Novastar Mortgage Funding Trust 6.16471% | 0.00377 | 295,053 | 291,958 |
Federal National Mortgage Association 4% | 0.00377 | 315,858 | 291,831 |
Saxon Asset Securities Trust 6.17971% | 0.00372 | 306,812 | 287,942 |
Wells Fargo Mortgage Backed Secs 6.16989% | 0.00363 | 303,073 | 281,339 |
Bear Stearns Alternative A Trust 4.38557% | 0.00355 | 508,204 | 274,667 |
Federal National Mortgage Association 4% | 0.00352 | 294,356 | 272,622 |
Wamu Mtg Pass-Through Ctfs Ser 2007 5.92277% | 0.00350 | 341,492 | 270,848 |
Argent Secs Inc 5.77971% | 0.00345 | 1,106,693 | 266,702 |
Saranac CLO VII Ltd/ Saranac CLO VII LLC 6.81735% | 0.00335 | 258,846 | 259,234 |
Federal Home Loan Mortgage Corp. 4% | 0.00331 | 276,659 | 255,860 |
First Horizon Alternative Mortgage Securities Trust 6% | 0.00331 | 657,760 | 256,320 |
Sequoia Mtg Trust 5.85315% | 0.00322 | 291,665 | 249,278 |
Federal Home Loan Mortgage Corp. 6.35277% | 0.00318 | 257,955 | 246,115 |
Structured Adj Rate Mtg Loan Trust 5.77971% | 0.00315 | 267,384 | 243,718 |
Nykredit Realkredit A/S 1.5% | 0.00314 | 2,490,912 | 243,253 |
CWABS Inc. 6.23971% | 0.00312 | 254,961 | 241,183 |
Wamu Mortgage Pass-Through CTFS TR 6.15277% | 0.00302 | 270,221 | 234,004 |
Bear Stearns Alternative A Trust 4.32381% | 0.00282 | 324,336 | 218,084 |
Bear Stearns Arm Trust 6.00833% | 0.00278 | 221,082 | 215,409 |
Lehman Abs Corp 6.80971% | 0.00275 | 208,960 | 212,913 |
Merrill Lynch Mortgage Investors, Inc. 6.20842% | 0.00272 | 233,133 | 210,558 |
Wamu Mortgage Pass-Through CTFS TR 4.448% | 0.00266 | 220,751 | 205,672 |
Indymac MBS Inc 5.14871% | 0.00265 | 218,866 | 205,360 |
Structured Adj Rate Mtg Loan Trust 4.21559% | 0.00257 | 292,678 | 199,192 |
IndyMac INDA Mortgage Loan Trust 3.6963% | 0.00239 | 242,664 | 185,041 |
Federal Home Loan Mortgage Corp. 4% | 0.00239 | 199,627 | 184,997 |
Structured Asset Mortgage Investments II Trust 5.95315% | 0.00237 | 197,358 | 183,708 |
GS Mortgage Securities Corp 4.45478% | 0.00232 | 222,404 | 179,955 |
Banc America Mortgage Securitites Inc 5.07287% | 0.00231 | 207,614 | 178,695 |
Bear Stearns Arm Trust 5.50275% | 0.00227 | 194,648 | 175,610 |
Morgan Stanley ABS Capital I Inc 5.79971% | 0.00226 | 415,025 | 175,034 |
American Home Mortgage Asset Trust 5.64971% | 0.00225 | 214,827 | 174,296 |
Cwalt Incorporation 6.09673% | 0.00221 | 187,235 | 171,016 |
STIF FUND (NZD) | 0.00219 | 278,281 | 169,571 |
Greenpoint Mta Tr 5.89971% | 0.00215 | 186,889 | 166,711 |
Luminent Mortgage Trust 5.81971% | 0.00215 | 184,533 | 166,758 |
CWMBS Inc 6.03971% | 0.00213 | 182,267 | 165,001 |
Federal National Mortgage Association 4% | 0.00210 | 174,492 | 162,461 |
Nomura Asset Acceptance Corp Alt Ln tr 6.32% | 0.00205 | 168,925 | 158,919 |
Harborview Mtg Loan Trust 6.07315% | 0.00199 | 234,798 | 153,796 |
Structured Asset M 5.87971% | 0.00197 | 177,084 | 152,632 |
Federal Home Loan Mortgage Corp. 4% | 0.00196 | 162,200 | 151,929 |
Bear Stearns Arm Trust 6.22788% | 0.00195 | 160,385 | 151,215 |
Wamu Mortgage Pass-Through CTFS TR 4.17142% | 0.00188 | 177,060 | 145,536 |
Nomura Asset Acceptance Corp Alt Ln tr 6.638% | 0.00185 | 156,504 | 143,131 |
Indymac MBS Inc 6.01971% | 0.00184 | 202,320 | 142,068 |
1ST Horizon Mtg 6.23116% | 0.00178 | 200,516 | 138,009 |
CWABS Asset-Backed Certificates Trust 2007-2 5.59971% | 0.00172 | 148,443 | 133,209 |
Federal Home Loan Mortgage Corp. 5.72983% | 0.00170 | 128,800 | 131,245 |
Government National Mortgage Association 3.75% | 0.00170 | 132,454 | 131,243 |
Federal National Mortgage Association 6.353% | 0.00170 | 132,107 | 131,936 |
Structured Adj Rate Mtg Loan Trust 7.25391% | 0.00168 | 147,256 | 130,182 |
United States Treasury Bills 0% | 0.00168 | 131,000 | 130,409 |
Mastr Adjustable Rate Mortgages Trust 5.29437% | 0.00167 | 148,450 | 129,134 |
1ST Horizon Mtg 6.78483% | 0.00167 | 133,746 | 129,128 |
Avolon Holdings Funding Ltd. 2.528% | 0.00166 | 143,000 | 128,687 |
Federal Home Loan Mortgage Corp. 4.5% | 0.00161 | 131,877 | 124,553 |
Bear Stearns Alternative A Trust 4.82651% | 0.00160 | 195,891 | 124,172 |
Strctrd Asset Invt 6.16471% | 0.00159 | 123,927 | 122,977 |
Washington Mut Mtg 6.5% | 0.00159 | 157,009 | 123,174 |
Federal Home Loan Mortgage Corp. 6.338% | 0.00158 | 120,598 | 121,944 |
Indymac MBS Inc 3.53706% | 0.00152 | 140,194 | 117,617 |
Federal National Mortgage Association 6.353% | 0.00152 | 117,563 | 117,409 |
JP Morgan Mtg Acc 5.66971% | 0.00151 | 119,001 | 117,090 |
Merrill Lynch Mortgage Investors, Inc. 5.95971% | 0.00150 | 125,297 | 115,885 |
Federal Home Loan Mortgage Corp. 4% | 0.00149 | 124,529 | 115,718 |
Harborview Mtg Loan Trust 6.13315% | 0.00148 | 125,863 | 114,819 |
Chevy Chase Funding Llc 5.63971% | 0.00144 | 124,514 | 111,658 |
Structured Adj Rate Mtg Loan Trust 5.16027% | 0.00144 | 128,099 | 111,085 |
UBS Group AG 2.125% | 0.00143 | 100,000 | 110,987 |
Citigroup Mortgage Loan Trust 4.55965% | 0.00142 | 123,730 | 109,586 |
PALMER SQUARE LOAN FUNDING LTD 6.38735% | 0.00141 | 109,383 | 109,428 |
Wamu Mortgage Pass-Through CTFS TR 6.2916% | 0.00140 | 113,229 | 108,212 |
France (Republic Of) 0.1% | 0.00140 | 117,457 | 108,327 |
Federal National Mortgage Association 6.08732% | 0.00133 | 105,330 | 102,665 |
Fnma Pass-Thru I 4% | 0.00132 | 110,073 | 102,279 |
Harborview Mtg L04 5.83315% | 0.00132 | 124,884 | 102,151 |
Wamu Mortgage Pass-Through CTFS TR 6.25971% | 0.00131 | 110,742 | 101,530 |
Merrill Lynch Mtg Inv Trust 5.49485% | 0.00130 | 112,764 | 100,968 |
UBS Group AG 2.875% | 0.00130 | 100,000 | 100,318 |
CIM TRUST 6.44983% | 0.00129 | 102,254 | 100,084 |
Harborview Mtg Loan Trust 5.49618% | 0.00128 | 111,966 | 99,428 |
Structured Asset Mortgage Investments II Trust 5.91971% | 0.00127 | 127,822 | 98,145 |
Merrill Lynch Mortgage Investors, Inc. 5.3791% | 0.00125 | 104,372 | 96,672 |
Wamu Mortgage Pass-Through CTFS TR 4.7089% | 0.00125 | 110,115 | 97,065 |
MASTR Alternative Loan Trust 5.85971% | 0.00124 | 916,238 | 95,755 |
Merrill Lynch Mortgage Investors, Inc. 5.78258% | 0.00124 | 111,819 | 95,694 |
Banc America Mortgage Securitites Inc 5.54624% | 0.00121 | 102,985 | 93,679 |
CSMC Mortgage-Backed Trust 6.0789% | 0.00120 | 345,241 | 92,893 |
Federal National Mortgage Association 5.89483% | 0.00116 | 91,236 | 89,977 |
Indymac Indx Mtg 5.75971% | 0.00115 | 255,779 | 89,260 |
Indymac MBS Inc 3.44804% | 0.00112 | 117,353 | 86,560 |
Federal Home Loan Mortgage Corp. 4% | 0.00110 | 91,517 | 85,240 |
Adjustable Rate Mortgage Trust 5.60377% | 0.00109 | 90,809 | 84,103 |
Structured Asset Mortgage Investments II Trust 6.07971% | 0.00108 | 106,488 | 83,228 |
Grifonas Finance No1 plc 4.181% | 0.00107 | 78,846 | 82,458 |
JP Morgan Mortgage Trust 5.85615% | 0.00106 | 88,572 | 81,922 |
Mastr Adjustable Rate Mortgages Trust 5.99413% | 0.00106 | 88,748 | 82,421 |
United States Treasury Bills 0% | 0.00105 | 82,000 | 81,464 |
CWMBS Inc 5.87315% | 0.00104 | 95,278 | 80,249 |
CHL Mortgage Pass-Through Trust 4.37138% | 0.00103 | 94,356 | 79,368 |
Wamu Mortgage Pass-Through CTFS TR 4.73997% | 0.00103 | 91,085 | 79,800 |
JP Morgan Mortgage Trust 4.98731% | 0.00094 | 91,738 | 72,868 |
Chaseflex Trust 5.95971% | 0.00093 | 171,384 | 71,812 |
Banc America Funding Trust 6.3368% | 0.00092 | 80,264 | 71,374 |
Salomon Brothers Mtg Secs VII Inc 6.5% | 0.00090 | 125,336 | 69,841 |
Indymac MBS Inc 3.70469% | 0.00089 | 87,671 | 68,539 |
Indymac MBS Inc 3.80416% | 0.00089 | 95,774 | 69,187 |
Midocean Credit CLO II / LLC 6.61648% | 0.00089 | 68,455 | 68,561 |
CHL Mortgage Pass-Through Trust 5.5% | 0.00088 | 72,359 | 68,379 |
Banc America Funding Trust 6.2527% | 0.00086 | 78,954 | 66,296 |
Bear Stearns Arm Trust 5.69979% | 0.00085 | 70,064 | 65,911 |
Indymac MBS Inc 6.05971% | 0.00085 | 114,134 | 65,754 |
Cwmbs Chl Mtg Tr 2 4.48292% | 0.00083 | 77,688 | 64,278 |
Morgan Stanley ML 6.20097% | 0.00077 | 172,643 | 59,748 |
Morgan Stanley ABS Capital I Inc 5.68971% | 0.00077 | 111,934 | 59,652 |
Wells Fargo National Bank West (Nevada) 6.47617% | 0.00077 | 59,771 | 59,771 |
Banc Americ 2006-J 5.01992% | 0.00076 | 70,455 | 58,729 |
Federal Home Loan Mortgage Corp. 5.71971% | 0.00075 | 56,495 | 57,926 |
Bear Stearns Arm Trust 4.81853% | 0.00074 | 65,369 | 57,563 |
Federal Home Loan Mortgage Corp. 4% | 0.00074 | 59,727 | 57,200 |
Residential Accredit Loans Inc 6.51277% | 0.00074 | 68,237 | 56,904 |
First Horizon Alt 6.25% | 0.00073 | 144,512 | 56,853 |
Structured Asset Securities Corp. 7.28229% | 0.00073 | 60,070 | 56,759 |
Adjustable Rate Mortgage Trust 6.65782% | 0.00072 | 58,825 | 55,477 |
Chase Mortgage Financial Trust 4.64204% | 0.00072 | 60,529 | 55,462 |
Federal National Mortgage Association 6.092% | 0.00072 | 55,003 | 55,670 |
Indymac MBS Inc 3.80416% | 0.00071 | 77,215 | 54,926 |
Wamu Mortgage Pass-Through CTFS TR 4.24636% | 0.00071 | 63,080 | 54,984 |
GS Mortgage Securities Corp 5.05489% | 0.00070 | 58,595 | 54,227 |
JP Morgan Alt Loan 6% | 0.00069 | 104,964 | 53,339 |
Federal National Mortgage Association 4% | 0.00068 | 56,258 | 52,277 |
Federal Home Loan Mortgage Corp. 4% | 0.00067 | 55,937 | 52,095 |
Federal National Mortgage Association 5.79983% | 0.00066 | 50,971 | 50,794 |
Structured Asset Mortgage Investments II Trust 6.15315% | 0.00065 | 55,895 | 50,055 |
Banc America Funding Trust 6.388% | 0.00064 | 62,054 | 49,475 |
JP Morgan Mortgage Trust 4.96174% | 0.00062 | 49,611 | 48,039 |
Morgan Stanley ML 5.75% | 0.00062 | 100,647 | 47,729 |
New York Mortgage Trust, Inc. 4.96478% | 0.00061 | 56,498 | 47,372 |
Federal Home Loan Mortgage Corp. 6.55277% | 0.00059 | 49,267 | 45,635 |
Structured Asset Mortgage Investments II Trust 5.95315% | 0.00056 | 47,471 | 43,654 |
GS Mortgage Securities Corp 5.43486% | 0.00056 | 48,226 | 43,124 |
Cwalt Incorporation 5.5% | 0.00056 | 65,432 | 43,382 |
Morgan Stanley ML 6% | 0.00055 | 77,506 | 42,268 |
Fnma Pass-Thru I 4% | 0.00055 | 45,517 | 42,293 |
Cwalt Incorporation 5% | 0.00054 | 77,262 | 41,970 |
Merrill Lynch Mortgage Investors, Inc. 4.90213% | 0.00054 | 53,570 | 41,761 |
Harborview Mtg Loan Trust 6.00167% | 0.00053 | 46,055 | 40,769 |
Federal National Mortgage Association 6.16481% | 0.00052 | 40,833 | 40,050 |
Jyske Realkredit A/S 0.5% | 0.00051 | 346,320 | 39,592 |
Federal Home Loan Mortgage Corp. 7.036% | 0.00050 | 38,625 | 38,966 |
CWMBS Inc 5.5% | 0.00049 | 70,196 | 38,030 |
JP Morgan Mortgage Trust 4.78186% | 0.00048 | 50,455 | 37,266 |
Indymac MBS Inc 5.5% | 0.00048 | 40,207 | 37,332 |
Structured Adj Rate Mtg Loan Trust 4.82475% | 0.00045 | 41,288 | 34,666 |
Federal Home Loan Mortgage Corp. 6.3% | 0.00044 | 33,950 | 34,075 |
TBW Mortgage-Bkd 6.47% | 0.00043 | 1,230,258 | 33,496 |
JP Morgan Mortgage Trust 5.26627% | 0.00043 | 35,736 | 32,975 |
Mellon Residential 6.30332% | 0.00042 | 34,760 | 32,536 |
Nomura Asset Acceptance Corp Alt Ln tr 7.32369% | 0.00042 | 41,495 | 32,296 |
Wamu Mortgage Pass-Through CTFS TR 6.13277% | 0.00041 | 36,255 | 32,022 |
Countrywide Alternative loan Trust 5.63315% | 0.00040 | 40,223 | 30,868 |
Federal National Mortgage Association 5.49822% | 0.00040 | 31,989 | 31,211 |
Indymac MBS Inc 4.76712% | 0.00039 | 33,088 | 29,953 |
ML Mtg Inv Mtg LA 5.69971% | 0.00038 | 102,160 | 29,204 |
Federal Home Loan Mortgage Corp. 7.588% | 0.00038 | 28,733 | 29,358 |
Citigroup Mortgage Loan Trust 6.23845% | 0.00037 | 33,140 | 28,908 |
Csab Mtg Bkd 06-4 6.1837% | 0.00036 | 157,959 | 27,676 |
Structured Asset Securities Corp. 6.94366% | 0.00036 | 28,257 | 27,861 |
Indymac MBS Inc 3.24742% | 0.00036 | 33,075 | 27,828 |
United States Treasury Notes 0.75% | 0.00035 | 28,730 | 27,308 |
Great Hall Mortgages No.1 PLC 5.4538% | 0.00035 | 21,350 | 26,894 |
Mellon Residential 5.88332% | 0.00035 | 28,727 | 27,225 |
Residential Accredit Loans Inc 5.75971% | 0.00035 | 37,183 | 27,118 |
Citigroup Mortgage Loan Trust 7.41% | 0.00033 | 27,011 | 25,552 |
CWMBS Inc 4.86396% | 0.00033 | 33,357 | 25,856 |
Structured Adj Rate Mtg Loan Trust 4.17195% | 0.00033 | 30,058 | 25,812 |
Cwalt Alt 2006-J8 6% | 0.00032 | 58,846 | 24,831 |
Washington Mut Mtg 5.15828% | 0.00032 | 26,446 | 24,946 |
Bear Stearns Arm Trust 5.03562% | 0.00031 | 25,538 | 23,948 |
Chase Mortgage Financial Trust 5.67267% | 0.00031 | 25,744 | 24,041 |
Federal National Mortgage Association 4% | 0.00031 | 26,339 | 24,305 |
Structured Asset M 5.71971% | 0.00031 | 64,081 | 24,328 |
1ST Horizon Mtg 5.81829% | 0.00029 | 23,569 | 22,564 |
Wamu Mortgage Pass-Through CTFS TR 6.55277% | 0.00029 | 25,001 | 22,760 |
Wamu Mortgage Pass-Through CTFS TR 6.03111% | 0.00028 | 22,309 | 21,672 |
Federal Home Loan Mortgage Corp. 4% | 0.00028 | 23,662 | 21,936 |
Structured Asset Mortgage Investments Inc 6.11315% | 0.00028 | 22,974 | 21,860 |
Bear Stearns Alternative A Trust 4.98416% | 0.00026 | 35,254 | 20,364 |
Cwalt Incorporation 6.5% | 0.00024 | 18,918 | 18,350 |
Bear Stearns Arm Trust 5.41582% | 0.00024 | 20,288 | 18,235 |
Sequoia Mtg Trust 6.22804% | 0.00023 | 18,383 | 17,964 |
GS Mortgage Securities Corp 4.3335% | 0.00023 | 20,018 | 17,565 |
Federal National Mortgage Association 5.88983% | 0.00023 | 17,833 | 17,677 |
Structured Asset Mortgage Investments II Trust 6.11315% | 0.00022 | 18,772 | 17,329 |
Federal National Mortgage Association 5.79983% | 0.00021 | 16,143 | 15,932 |
Mellon Residential 6.0094% | 0.00021 | 16,123 | 16,149 |
Mellon Residential 6.14332% | 0.00021 | 17,042 | 16,012 |
Bear Stearns Alternative A Trust 5.3102% | 0.00021 | 17,443 | 16,120 |
Venture XVII CLO Ltd/Llc 6.47017% | 0.00021 | 16,632 | 16,638 |
CWMBS Inc 7.49885% | 0.00020 | 16,537 | 15,562 |
Structured Asset Mortgage Investments II Trust 5.95315% | 0.00019 | 15,264 | 14,788 |
Resident Asset Sec 5.85971% | 0.00019 | 55,030 | 15,068 |
Mellon Residential 5.92332% | 0.00018 | 14,429 | 13,741 |
Merrill Lynch Mtg Inv Trust 5.61971% | 0.00018 | 68,784 | 13,858 |
Federal National Mortgage Association 4% | 0.00018 | 14,764 | 14,162 |
Citigroup Mortgage Loan Trust 6.83% | 0.00017 | 14,120 | 13,307 |
Sequoia Mtg Trust 6.35315% | 0.00017 | 14,897 | 13,029 |
Cwalt Incorporation 5.5% | 0.00016 | 15,487 | 12,297 |
Federal National Mortgage Association 3.84% | 0.00016 | 12,517 | 12,214 |
Wamu Mortgage Pass-Through CTFS TR 4.82355% | 0.00015 | 13,603 | 11,728 |
Federal National Mortgage Association 4% | 0.00015 | 11,948 | 11,356 |
Federal Home Loan Mortgage Corp. 4% | 0.00015 | 12,715 | 11,817 |
Wamu Mortgage Pass-Through CTFS TR 6.35277% | 0.00014 | 11,912 | 11,020 |
Federal Home Loan Mortgage Corp. 5.751% | 0.00013 | 9,708 | 9,846 |
Wamu Mortgage Pass-Through CTFS TR 6.03971% | 0.00013 | 10,983 | 10,348 |
GS Mortgage Securities Corp 4.3752% | 0.00013 | 11,570 | 9,880 |
JP Morgan Mortgage Trust 5.82431% | 0.00012 | 13,040 | 9,066 |
Sequoia Mtg Trust 6.25315% | 0.00012 | 9,525 | 8,945 |
Federal Home Loan Mortgage Corp. 5.882% | 0.00012 | 9,518 | 9,580 |
JP Morgan Mortgage Trust 5.77047% | 0.00011 | 9,311 | 8,785 |
Structured Adj Rate Mtg Loan Trust 6.55277% | 0.00011 | 9,781 | 8,710 |
Wells Fargo Mortgage Backed Secs 6.47755% | 0.00011 | 9,152 | 8,452 |
Federal National Mortgage Association 6.352% | 0.00011 | 8,450 | 8,438 |
Chase Mortgage Financial Trust 6.18119% | 0.00011 | 9,357 | 8,876 |
Lehman Brothers Holdings Inc. 1.15% | 0.00010 | 1,600,000,000 | 7,957 |
Merrill Lynch Mortgage Investors, Inc. 6.17404% | 0.00010 | 9,418 | 7,888 |
Sequoia Mtg Trust 6.21315% | 0.00009 | 7,574 | 7,120 |
Federal Home Loan Mortgage Corp. 7% | 0.00009 | 7,031 | 7,234 |
Sequoia Mtg Trust 6.15315% | 0.00009 | 6,934 | 6,603 |
Government National Mortgage Association 3.625% | 0.00006 | 4,756 | 4,730 |
CWMBS Inc 6.09971% | 0.00006 | 4,778 | 4,408 |
Federal National Mortgage Association 6.765% | 0.00006 | 4,361 | 4,352 |
Federal National Mortgage Association 6.5% | 0.00006 | 4,712 | 4,669 |
Mellon Residential 6.18332% | 0.00006 | 5,201 | 4,956 |
Federal National Mortgage Association 6.08102% | 0.00005 | 3,856 | 3,925 |
Merrill Lynch Mtg Inv Trust 5.67121% | 0.00005 | 3,757 | 3,594 |
Federal National Mortgage Association 3.884% | 0.00005 | 3,858 | 3,754 |
CWMBS Inc 4.71165% | 0.00005 | 4,022 | 3,617 |
Mastr Adjustable Rate Mortgages Trust 4.53361% | 0.00005 | 4,020 | 3,828 |
Federal National Mortgage Association 5.736% | 0.00004 | 2,728 | 2,715 |
Federal National Mortgage Association 4.525% | 0.00004 | 3,125 | 3,034 |
Harborview Mtg Loan Trust 5.89315% | 0.00004 | 3,069 | 2,853 |
Nykredit Realkredit A/S 1% | 0.00004 | 32,853 | 3,384 |
Merrill Lynch Mortgage Investors, Inc. 6.37404% | 0.00004 | 3,217 | 2,925 |
Federal National Mortgage Association 5.185% | 0.00004 | 3,242 | 3,206 |
Federal National Mortgage Association 7.103% | 0.00003 | 2,399 | 2,399 |
Nykredit Realkredit A/S 2.5% | 0.00003 | 18,852 | 2,489 |
Indymac MBS Inc 5.3421% | 0.00003 | 2,368 | 2,367 |
Nordea Kredit Realkreditaktieselskab 1% | 0.00002 | 12,681 | 1,389 |
STIF FUND (SEK) | 0.00002 | 17,834 | 1,684 |
Federal National Mortgage Association 3.893% | 0.00002 | 1,972 | 1,923 |
Federal Home Loan Mortgage Corp. 6.5% | 0.00002 | 1,458 | 1,434 |
Structured Asset Securities Corp. 7.8685% | 0.00001 | 922 | 832 |
JP Morgan Mortgage Trust 5.48021% | 0.00001 | 824 | 807 |
STIF FUND (CHF) | 0.00001 | 1,018 | 1,133 |
Structured Asset Securities Corp. 7.28229% | 0.00001 | 823 | 759 |
Jyske Realkredit A/S 2.5% | 0.00001 | 6,980 | 922 |
Realkredit Danmark A/S 2.5% | 0.00001 | 8,098 | 1,070 |
STATE STREET STIF FUND (GBP) | 0.00001 | 320 | 404 |
STIF FUND (SGD) | 0.00001 | 999 | 737 |
Nordea Kredit Realkreditaktieselskab 2.5% | 0.00001 | 3,289 | 434 |
Structured Asset Securities Corp. 6.81413% | 0.00000 | 375 | 363 |
STIF FUND (PLN) | 0.00000 | 278 | 69 |
Realkredit Danmark A/S 1% | 0.00000 | 2,801 | 289 |
Ambac Assurance Corporation 5.1% | 0.00000 | 1 | 1 |
STIF FUND (BRL) | 0.00000 | 1,367 | 246 |
STIF FUND (MXN) | 0.00000 | 10 | 1 |
RFR EUR ESTRON/3.47500 02/26/24-1Y LCH Receive | 20.89416 | 1,509,100,000 | 1,617,378,648 |
IRS EUR 2.75000 09/18/24-10Y LCH Receive | 12.04997 | 873,700,000 | 932,766,443 |
EUROPEAN MONETARY UNION EURO Purchased | 9.13778 | 660,531,888 | 707,339,159 |
Cash Offset | 8.44178 | 653,462,413 | 653,462,413 |
RFRF USD SOFR/2.30000 11/15/23-5Y LCH Receive | 3.88897 | 328,400,000 | 301,038,040 |
IRS EUR 2.50000 09/18/24-30Y LCH Receive | 3.73273 | 269,600,000 | 288,943,929 |
RFR USD SOFR/3.08500 02/13/24-10Y LCH Receive | 3.47982 | 289,450,000 | 269,366,454 |
JAPANESE YEN Purchased | 2.64630 | 34,359,498,764 | 204,845,591 |
RFR USD SOFR/4.86800 12/22/23-2Y LCH Receive | 2.36797 | 183,300,000 | 183,300,000 |
RFR USD SOFR/2.86500 02/13/24-30Y LCH Receive | 1.87190 | 144,900,000 | 144,900,000 |
IRS EUR 2.91510 06/12/23-9Y* LCH Receive | 1.56318 | 112,100,000 | 121,002,529 |
JAPANESE YEN Purchased | 1.52094 | 18,737,218,401 | 117,732,924 |
INF SWAP EM NI 1.38 03/15/21-10Y LCH Receive | 1.51192 | 109,200,000 | 117,035,152 |
INF SWAP US IT 2.41875 03/05/21-5Y LCH Receive | 1.13318 | 79,200,000 | 87,717,274 |
Inf Swap Us It 1.76 11/04/19-10Y Lch Receive | 1.01281 | 78,400,000 | 78,400,000 |
INF SWAP US IT 2.31375 02/26/21-5Y LCH Receive | 0.97225 | 67,600,000 | 75,260,434 |
RFR USD SOFR/4.87000 12/22/23-2Y LCH Receive | 0.94305 | 73,000,000 | 73,000,000 |
RFR USD SOFR/3.75724 06/03/24-9Y* LCH Receive | 0.88880 | 68,800,000 | 68,800,000 |
IRO EUR 2Y P 2.80000 L 09/01/25 GST | 0.86695 | 134,500,000 | 67,109,031 |
RFR JPY MUTK/0.55000 09/14/23-5Y LCH Receive | 0.82558 | 10,280,000,000 | 63,906,503 |
CANADIAN DOLLAR Purchased | 0.81765 | 86,599,649 | 63,292,858 |
INF SWAP US IT 2.42 08/24/23-1Y LCH Receive | 0.79966 | 61,900,000 | 61,900,000 |
IRS EUR 0.19700 11/08/22-30Y LCH Receive | 0.75319 | 54,400,000 | 58,303,226 |
RFR JPY MUTK/0.50000 12/15/21-10Y LCH Receive | 0.71009 | 8,842,000,000 | 54,967,052 |
INF SWAP US IT 2.5 09/07/23-1Y LCH Receive | 0.70923 | 54,900,000 | 54,900,000 |
RFR USD SOFR/4.76000 01/18/24-2Y LCH Receive | 0.63779 | 49,370,000 | 49,370,000 |
INF SWAP US IT 2.7675 05/13/21-5Y LCH Receive | 0.63413 | 45,200,000 | 49,086,741 |
INDIAN RUPEE-INR-NDF Purchased | 0.63313 | 4,091,324,711 | 49,009,601 |
TAIWANESE DOLLAR-NDF Purchased | 0.61823 | 1,540,422,931 | 47,855,975 |
SOUTH KOREA WON-NDF Purchased | 0.60879 | 64,640,217,387 | 47,125,126 |
RFR USD SOFR/3.50000 06/20/24-30Y CME Receive | 0.60330 | 46,700,000 | 46,700,000 |
RFRF USD SOFR/2.28500 11/15/23-30Y LCH Receive | 0.55162 | 42,700,000 | 42,700,000 |
INF SWAP EM NI 2.5025 03/15/23-5Y LCH Receive | 0.53939 | 39,300,000 | 41,753,193 |
IRO FWD EUR 2Y P 2.95000 L 09/15/25 CBK | 0.53609 | 98,700,000 | 41,497,424 |
IRO EUR 2Y P 2.46500 L 12/04/25 GLM | 0.52302 | 65,600,000 | 40,486,078 |
CHINESE - YUAN RENMINBI (CNH) Purchased | 0.51145 | 283,802,742 | 39,590,082 |
INF SWAP US IT 2.31125 02/24/21-10Y LCH Receive | 0.49835 | 34,500,000 | 38,576,719 |
INF SWAP EM NI 2.72 06/15/22-10Y LCH Receive | 0.48564 | 35,300,000 | 37,592,448 |
IRS EUR 0.19500 11/04/22-30Y LCH Receive | 0.47199 | 34,090,000 | 36,535,974 |
IRS EUR 1.00000 05/13/22-5Y LCH Receive | 0.46936 | 35,900,000 | 36,331,968 |
INF SWAP EM NI 2.6 05/15/22-10Y LCH Receive | 0.45423 | 32,100,000 | 35,161,358 |
IRS EUR 0.65000 05/11/22-5Y LCH Receive | 0.44010 | 34,000,000 | 34,067,154 |
SOUTH AFRICAN RAND Purchased | 0.43710 | 615,633,534 | 33,834,949 |
RFRF USD SOFR/2.34000 11/21/23-5Y LCH Receive | 0.43668 | 36,820,000 | 33,802,568 |
IRS EUR 0.19000 11/04/22-30Y LCH Receive | 0.43045 | 31,090,000 | 33,320,722 |
RFR USD SOFR/4.75000 01/18/24-2Y LCH Receive | 0.43019 | 33,300,000 | 33,300,000 |
RFRF USD SOFR/2.23650 11/21/23-30Y LCH Receive | 0.42244 | 32,700,000 | 32,700,000 |
INF SWAP US IT 2.165 04/16/19-10Y LCH Receive | 0.41856 | 32,400,000 | 32,400,000 |
INF SWAP EM NI 2.356 11/15/23-10Y LCH Receive | 0.40983 | 29,600,000 | 31,723,814 |
SWISS FRANCS Purchased | 0.40514 | 28,039,346 | 31,360,807 |
INF SWAP US IT 2.56 09/12/23-1Y LCH Receive | 0.40306 | 31,200,000 | 31,200,000 |
POLISH ZLOTY Purchased | 0.39777 | 125,749,933 | 30,790,666 |
INF SWAP EM NI 3.72 09/15/22-2Y LCH Receive | 0.39598 | 28,600,000 | 30,652,064 |
IRO EUR 2Y P 2.90000 L 08/29/25 GLM | 0.36093 | 62,100,000 | 27,938,897 |
IRS EUR 0.55000 08/10/22-2Y LCH Receive | 0.31437 | 22,800,000 | 24,335,149 |
Inf Swap Us It 1.8825 11/20/19-10Y Lch Receive | 0.30100 | 23,300,000 | 23,300,000 |
AUSTRALIAN DOLLARS Purchased | 0.28849 | 33,485,374 | 22,331,398 |
INF SWAP US IT 2.37 06/06/18-10Y LCH Receive | 0.28808 | 22,300,000 | 22,300,000 |
INF SWAP US IT 2.703 05/25/21-5Y LCH Receive | 0.28690 | 20,410,000 | 22,208,156 |
INF SWAP US IT 2.69 06/01/21-5Y LCH Receive | 0.28675 | 20,400,000 | 22,196,763 |
DANISH KRONER Purchased | 0.28024 | 151,002,090 | 21,692,769 |
INF SWAP US IT 2.813 05/14/21-5Y LCH Receive | 0.26316 | 18,800,000 | 20,370,934 |
INF SWAP US IT 2.565 09/12/23-1Y LCH Receive | 0.25966 | 20,100,000 | 20,100,000 |
INF SWAP EM NI 3.52 09/15/22-2Y LCH Receive | 0.25060 | 18,100,000 | 19,398,684 |
MEXICAN NUEVO PESO Purchased | 0.24821 | 367,267,326 | 19,213,688 |
INF SWAP EM NI 2.39 11/15/23-10Y LCH Receive | 0.23676 | 17,100,000 | 18,326,933 |
INF SWAP EM NI 2.3625 11/15/23-10Y LCH Receive | 0.22707 | 16,400,000 | 17,576,708 |
INF SWAP EM NI 2.763 09/15/23-30Y LCH Receive | 0.22568 | 16,300,000 | 17,469,533 |
INF SWAP EM NI 2.359 08/15/22-8Y LCH Receive | 0.22426 | 15,800,000 | 17,359,311 |
BRITISH POUND STERLING Purchased | 0.22369 | 13,739,000 | 17,315,497 |
INF SWAP EM NI 3.13 05/15/22-5Y LCH Receive | 0.22308 | 15,900,000 | 17,268,278 |
IRS EUR 0.70000 04/11/22-5Y LCH Receive | 0.21420 | 16,500,000 | 16,580,580 |
INF SWAP EM NI 2.47 07/15/22-10Y LCH Receive | 0.21301 | 15,100,000 | 16,488,666 |
IRS EUR 1.00000 05/18/22-5Y LCH Receive | 0.21045 | 16,100,000 | 16,290,287 |
INF SWAP EM NI 2.59 12/15/22-30Y LCH Receive | 0.20907 | 15,100,000 | 16,183,432 |
INF SWAP EM NI 2.57 06/15/22-10Y LCH Receive | 0.20117 | 14,400,000 | 15,572,280 |
SINGAPORE DOLLARS Purchased | 0.19280 | 20,226,644 | 14,924,098 |
INF SWAP US IT 2.379 07/09/18-10Y LCH Receive | 0.18990 | 14,700,000 | 14,700,000 |
RFR JPY MUT+5.89/0.4500 03/20/19-10Y LCH Receive | 0.17872 | 2,225,400,000 | 13,834,390 |
INF SWAP US IT 2.645 09/10/21-7Y LCH Receive | 0.17484 | 12,700,000 | 13,534,027 |
NEW ZEALAND DOLLAR Purchased | 0.17115 | 21,812,966 | 13,248,367 |
Cmbx.Na.Aaa.12 Sp Sal | 0.15769 | 12,300,000 | 12,206,580 |
INF SWAP EM NI 2.7 04/15/23-30Y LCH Receive | 0.14676 | 10,600,000 | 11,360,555 |
IRS EUR 2.87880 06/12/23-9Y* LCH Receive | 0.14604 | 10,500,000 | 11,304,469 |
CHINESE - YUAN RENMINBI (CNH) Purchased | 0.13540 | 75,043,378 | 10,480,857 |
INF SWAP US IT 2.573 08/26/21-7Y LCH Receive | 0.12757 | 9,200,000 | 9,875,177 |
INF SWAP US IT 1.9975 07/25/19-10Y LCH Receive | 0.11756 | 9,100,000 | 9,100,000 |
INF SWAP EM NI 2.736 10/15/23-30Y LCH Receive | 0.11492 | 8,300,000 | 8,895,529 |
INF SWAP EM NI 2.59 03/15/22-30Y LCH Receive | 0.10938 | 7,900,000 | 8,466,829 |
RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH Receive | 0.09169 | 1,141,690,000 | 7,097,414 |
INF SWAP EM NI 2.5475 11/15/23-30Y LCH Receive | 0.08100 | 6,000,000 | 6,269,860 |
INF SWAP EM NI 2.58 03/15/22-30Y LCH Receive | 0.07892 | 5,700,000 | 6,108,978 |
INF SWAP EM NI 2.682 10/15/23-30Y LCH Receive | 0.07477 | 5,400,000 | 5,787,453 |
INF SWAP EM NI 2.62 11/15/23-30Y LCH Receive | 0.07257 | 5,500,000 | 5,617,551 |
INF SWAP FR NI 1.41 11/15/19-20Y LCH Receive | 0.06507 | 4,700,000 | 5,037,227 |
INF SWAP EM NI 2.421 05/15/22-30Y LCH Receive | 0.06134 | 4,430,000 | 4,747,855 |
MEXICAN NUEVO PESO Purchased | 0.05761 | 82,623,153 | 4,459,558 |
PERUVIAN SOL-NDF Purchased | 0.04241 | 12,306,923 | 3,282,722 |
JAPANESE YEN Purchased | 0.03591 | 1,177,365 | 2,779,904 |
INF SWAP US IT 2.51 09/08/23-1Y LCH Receive | 0.03230 | 2,500,000 | 2,500,000 |
ISRAELI SHEKEL Purchased | 0.02862 | 8,209,153 | 2,215,217 |
ISRAELI SHEKEL Purchased | 0.02619 | 7,767,327 | 2,027,333 |
CASH COLLATERAL FUT GSC USD | 0.02465 | 1,908,000 | 1,908,000 |
RFR USD SOFR/4.75750 01/18/24-2Y LCH Receive | 0.01938 | 1,500,000 | 1,500,000 |
VM CASH FUT DOM GSC USD | 0.01807 | 1,398,894 | 1,398,894 |
VM CASH CCP CME GSC USD | 0.01753 | 1,356,961 | 1,356,961 |
INDONESIAN RUPIAH-NDF Purchased | 0.01642 | 20,775,873,864 | 1,270,897 |
INF SWAP EM NI 2.55 04/15/22-30Y LCH Receive | 0.01592 | 1,150,000 | 1,232,513 |
FIXED INC CLEARING CORP REPO (FICC) | 0.01470 | 1,137,565 | 1,137,565 |
VM CASH CCP LCH GSC EUR | 0.01319 | 952,858 | 1,021,226 |
VM CASH CCP LCH GSC JPY | 0.01316 | 163,921,267 | 1,019,031 |
INDONESIAN RUPIAH-NDF Purchased | 0.01088 | 13,750,566,812 | 842,088 |
VM CASH FUT FOR GSC AUD | 0.01004 | 1,163,938 | 777,336 |
VM CASH CCP LCH GSC USD | 0.01004 | 777,336 | 777,336 |
VM CASH FUT FOR GSC EUR | 0.01004 | 725,296 | 777,336 |
IRS EUR 0.65000 04/12/22-5Y LCH Receive | 0.00778 | 600,000 | 602,146 |
SWEDISH KRONER Purchased | 0.00666 | 5,433,826 | 515,245 |
CASH COLLATERAL LCH GSC USD | 0.00641 | 496,000 | 496,000 |
CASH COLLATERAL CME GSC USD | 0.00554 | 429,000 | 429,000 |
CANADIAN DOLLAR Purchased | 0.00504 | 54,262 | 390,358 |
DANISH KRONER Purchased | 0.00384 | 141 | 297,253 |
NORWEGIAN KRONER Purchased | 0.00337 | 2,774,349 | 260,600 |
Inf Swap Fr Ni 1.91 01/15/18-20Y Lch Receive | 0.00277 | 200,000 | 214,350 |
SOUTH KOREA WON-NDF Purchased | 0.00194 | 206,669,549 | 150,000 |
SOUTH KOREA WON-NDF Purchased | 0.00193 | 206,069,295 | 149,168 |
MEXICAN NUEVO PESO Purchased | 0.00191 | 2,711,000 | 148,224 |
SINGAPORE DOLLARS Purchased | 0.00155 | 4,477 | 120,061 |
THAILAND BAHT Purchased | 0.00129 | 3,670,200 | 100,233 |
INF SWAP EM NI 2.4875 05/15/22-15Y LCH Receive | 0.00069 | 50,000 | 53,588 |
INDONESIAN RUPIAH-NDF Purchased | 0.00065 | 820,600,000 | 50,000 |
INDONESIAN RUPIAH-NDF Purchased | 0.00065 | 815,550,000 | 50,000 |
INDONESIAN RUPIAH-NDF Purchased | 0.00064 | 815,644,650 | 49,725 |
NORWEGIAN KRONER Purchased | 0.00004 | 30 | 3,324 |
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