Security Name | % Net Assets | Number Of Shares | Market Value (USD) |
---|---|---|---|
United States Treasury Notes 0.125% | 16.27283 | 830,224,590 | 790,371,236 |
United States Treasury Notes 0.125% | 10.41273 | 522,883,334 | 505,746,068 |
Pimco Cayman Cmdty Fd Ltd Instl | 9.21027 | 358,054,541 | 447,342,602 |
United States Treasury Notes 0.5% | 8.49292 | 437,656,945 | 412,501,299 |
TRS R 5.43/91282CDC2 BPS | 8.45622 | 375,000,000 | 410,718,739 |
United States Treasury Notes 1.625% | 6.18177 | 305,156,901 | 300,248,681 |
Ultra 10 Year US Treasury Note Future Sept 24 | 5.58398 | 2,394 | 271,214,016 |
TRS R 5.43/91282CFR7 BPS | 5.38167 | 250,000,000 | 261,387,869 |
TRS R 5.43/912828V49 BPS | 3.82132 | 150,000,000 | 185,601,627 |
United States Treasury Notes 0.125% | 3.81413 | 193,892,074 | 185,252,194 |
Federal National Mortgage Association 4% | 3.78693 | 200,889,000 | 183,931,144 |
United States Treasury Notes 2.375% | 3.64361 | 174,639,808 | 176,970,078 |
United States Treasury Notes 0.75% | 3.26780 | 166,981,025 | 158,716,999 |
United States Treasury Notes 0.375% | 3.26740 | 166,925,372 | 158,697,499 |
United States Treasury Notes 0.125% | 3.24583 | 162,054,315 | 157,650,137 |
United States Treasury Notes 2.125% | 3.16663 | 153,577,065 | 153,802,988 |
United States Treasury Notes 0.875% | 3.12775 | 160,311,216 | 151,914,961 |
5 Year Treasury Note Future Sept 24 | 2.87956 | 1,313 | 139,860,145 |
Government National Mortgage Association 3.5% | 2.68056 | 144,900,000 | 130,194,915 |
Federal National Mortgage Association 6% | 2.64805 | 128,300,000 | 128,615,737 |
TRS R 5.5/912828N71 MYC | 2.62779 | 100,000,000 | 127,631,899 |
TRS R 5.49/912828S50 MYC | 2.57962 | 100,000,000 | 125,292,196 |
United States Treasury Notes 0.625% | 2.55731 | 128,368,742 | 124,208,317 |
United States Treasury Notes 0.375% | 2.48776 | 123,931,513 | 120,830,367 |
United States Treasury Notes 1.25% | 2.40559 | 120,945,838 | 116,839,720 |
Italy (Republic Of) 1.4% | 2.13735 | 97,933,360 | 103,811,286 |
United States Treasury Notes 0.125% | 2.12804 | 114,800,598 | 103,358,963 |
TRS R 5.49/91282CCM1 MYC | 2.10933 | 100,000,000 | 102,450,072 |
Long-Term Euro BTP Future Sept 24 | 2.06827 | 813 | 100,455,998 |
Federal National Mortgage Association 4.5% | 1.92229 | 99,000,000 | 93,365,507 |
Federal National Mortgage Association 4.5% | 1.62869 | 83,900,000 | 79,105,246 |
Japan (Government Of) 0.1% | 1.62074 | 12,054,025,500 | 78,719,096 |
Ultra US Treasury Bond Future Sept 24 | 1.56164 | 609 | 75,849,047 |
10 Year Australian Treasury Bond Future Sept 24 | 1.55692 | 997 | 75,619,506 |
United States Treasury Notes 0.125% | 1.51343 | 82,119,750 | 73,507,483 |
United States Treasury Notes 0.125% | 1.43245 | 72,768,490 | 69,574,147 |
United States Treasury Notes 0.125% | 1.40810 | 77,448,707 | 68,391,188 |
TRS R 5.46/912828N71 GLM | 1.26506 | 48,100,000 | 61,443,965 |
United States Treasury Notes 0.375% | 1.25245 | 64,089,000 | 60,831,488 |
United States Treasury Bonds 1.75% | 1.21114 | 59,760,536 | 58,825,017 |
France (Republic Of) 0.1% | 1.07436 | 51,679,296 | 52,181,693 |
Japan (Government Of) 0.1% | 0.84643 | 6,319,278,880 | 41,111,061 |
Federal National Mortgage Association 6.5% | 0.80217 | 38,300,000 | 38,961,274 |
Secretaria Tesouro Nacional 0% | 0.73089 | 213,000 | 35,499,335 |
United States Treasury Notes 0.625% | 0.68368 | 37,015,188 | 33,206,376 |
United States Treasury Notes 1.375% | 0.65463 | 33,656,240 | 31,795,549 |
France (Republic Of) 0.1% | 0.55660 | 25,799,688 | 27,034,254 |
Federal National Mortgage Association 5.5% | 0.44062 | 21,700,000 | 21,400,777 |
France (Republic Of) 0.25% | 0.43239 | 19,606,202 | 21,001,214 |
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd/LLC 6.78303% | 0.41518 | 20,250,000 | 20,165,203 |
United States Treasury Bonds 3.875% | 0.34584 | 15,546,402 | 16,797,508 |
Canada (Government of) 4.25% | 0.32678 | 20,484,240 | 15,871,928 |
United States Treasury Notes 0.25% | 0.31335 | 16,568,868 | 15,219,249 |
VMC FINANCE 2022-FL5 LLC 7.23303% | 0.30828 | 15,009,567 | 14,972,988 |
Venture 38 CLO LTD 2019 6.75111% | 0.30293 | 14,700,000 | 14,713,197 |
United States Treasury Notes 1.125% | 0.26881 | 14,104,974 | 13,056,170 |
United States Treasury Bonds 2.125% | 0.26411 | 13,179,285 | 12,827,856 |
OCP Euro CLO 2017-2 Designated Activity Co. 4.726% | 0.25224 | 11,430,398 | 12,251,175 |
Secretaria Tesouro Nacional 0% | 0.24817 | 68,700 | 12,053,388 |
Bluemountain Fuji Eur Clo III DAC 4.626% | 0.24287 | 11,015,748 | 11,796,120 |
Italy (Republic Of) 0.4% | 0.21945 | 10,795,166 | 10,658,691 |
Ocp Euro Clo 2020-4 Designated Activity Company 4.777% | 0.21327 | 9,700,000 | 10,358,429 |
United States Treasury Notes 0.125% | 0.21180 | 11,876,655 | 10,287,044 |
Venture 36 Clo Ltd / Llc 6.71617% | 0.18541 | 9,000,000 | 9,005,258 |
CVC Cordatus Loan Fund XI Designated Activity Company 4.556% | 0.18473 | 8,382,655 | 8,972,287 |
Pimco Fds | 0.18345 | 915,837 | 8,910,180 |
Citigroup Mortgage Loan Trust 6.15971% | 0.18142 | 11,000,000 | 8,811,343 |
Carlyle Euro CLO 2017-3 DAC 4.606% | 0.17879 | 8,090,607 | 8,684,007 |
Harvest CLO XVI Designated Activity Company 4.546% | 0.16849 | 7,670,511 | 8,183,636 |
Rasc Ser 2006 Ks7 Trust 5.75971% | 0.16538 | 8,702,899 | 8,032,677 |
Crestline Denali Clo Xiv. Ltd 6.72801% | 0.16281 | 7,899,906 | 7,907,651 |
Wellfleet Clo X Ltd / Llc 6.75617% | 0.15816 | 7,666,246 | 7,681,796 |
Mastr Specialized 6.19971% | 0.15681 | 18,799,582 | 7,616,244 |
Palmer Square European Loan Funding 2022-1 Designated Activity Company 4.62 | 0.15492 | 7,056,946 | 7,524,547 |
United States Treasury Bonds 1.375% | 0.15446 | 8,744,840 | 7,502,233 |
LOANCORE 2022-CRE7 ISSUER LTD 6.88303% | 0.15415 | 7,475,419 | 7,487,099 |
Citigroup Mortgage Loan Trust 5.63971% | 0.15165 | 8,934,823 | 7,365,876 |
Citigroup Mortgage Loan Trust 5.95471% | 0.14728 | 7,400,000 | 7,153,192 |
Bain Capital Euro Clo 2018-1 DESIGNATED ACTIVITY COMPANY 4.637% | 0.13862 | 6,309,817 | 6,732,765 |
United States Treasury Bonds 1% | 0.13834 | 8,601,450 | 6,719,147 |
Euro-Galaxy III Clo Designated Activity Company 4.511% | 0.13023 | 5,937,987 | 6,325,181 |
CWABS Inc. 7.18471% | 0.12955 | 7,501,961 | 6,292,194 |
TRTX 2022-FL5 ISSUER, LTD 6.97884% | 0.12776 | 6,232,335 | 6,205,068 |
Armada Euro Clo III Designated Activity Company 4.626% | 0.12634 | 5,729,473 | 6,136,573 |
Securitized Asset Backed Receivables Llc Trust 5.89971% | 0.12610 | 18,463,667 | 6,124,827 |
Carlyle Global Market Strategies Euro CLO 2014-2 DAC 4.578% | 0.12428 | 5,658,285 | 6,036,460 |
United States Treasury Notes 0.125% | 0.11619 | 5,996,754 | 5,643,485 |
Nykredit Realkredit A/S 1.5% | 0.11550 | 49,109,603 | 5,609,796 |
TCI-Symphony CLO 2016-1 Ltd. 6.61017% | 0.11485 | 5,573,056 | 5,578,255 |
Ares European CLO XII Designated Activity Company 4.747% | 0.11482 | 5,200,000 | 5,576,869 |
Renaissance Hm Eqt 6.55971% | 0.11354 | 13,276,318 | 5,514,664 |
STATE STREET STIF FUND (EUR) | 0.11311 | 5,125,790 | 5,493,568 |
Palmer Square European Loan Funding 2021-1 Designated Activity Company 4.68 | 0.10872 | 4,924,081 | 5,280,289 |
Toro European CLO 6 DAC 4.832% | 0.10799 | 4,900,000 | 5,245,049 |
J P Morgan Mortgage Acquisition Corporation 5.75971% | 0.10670 | 12,258,469 | 5,182,461 |
Man Glg Euro Clo V Designated Activity Company 4.409% | 0.10280 | 4,659,891 | 4,993,155 |
Harvest CLO XX Designated Activity Company 4.577% | 0.10005 | 4,541,181 | 4,859,545 |
Madison Park Euro Funding XIII DAC 4.656% | 0.09888 | 4,495,030 | 4,802,692 |
Government National Mortgage Association 6.24637% | 0.09535 | 4,687,817 | 4,630,931 |
Citigroup Mortgage Loan Trust 5.80971% | 0.09464 | 5,575,570 | 4,596,426 |
Voya CLO 2013-1 Ltd / Voya CLO 2013-1 LLC 6.80017% | 0.09031 | 4,379,676 | 4,386,280 |
CWABS Asset-Backed Certificates Trust 2006-19 5.95971% | 0.08993 | 4,585,129 | 4,367,814 |
Italy (Republic Of) 1.8% | 0.08536 | 4,055,680 | 4,145,864 |
Tcw Clo 2018-1 Ltd 6.55516% | 0.08398 | 4,073,181 | 4,079,044 |
ICG US CLO Ltd. 6.66617% | 0.08301 | 4,025,247 | 4,031,586 |
Popular Abs Inc 6.32971% | 0.08181 | 4,300,000 | 3,973,633 |
CIT Mtg Ln Tr 6.95971% | 0.08052 | 3,905,980 | 3,910,771 |
United States Treasury Bonds 0.75% | 0.08043 | 4,995,432 | 3,906,660 |
United States Treasury Bonds 2.125% | 0.07989 | 3,916,809 | 3,880,312 |
Bank of America Corp. 5.875% | 0.07874 | 3,840,000 | 3,824,414 |
JpMorgan MrtgAcq 5.73971% | 0.07821 | 4,500,000 | 3,798,634 |
Ozlm Xxiv Ltd / Llc 6.74617% | 0.07624 | 3,700,000 | 3,703,153 |
Wind River 2019-3 Clo Ltd / Llc 6.67017% | 0.07622 | 3,700,000 | 3,702,006 |
Oak Hill European Credit Partners Vii Designated Activity Company 4.637% | 0.07451 | 3,385,836 | 3,618,819 |
Harvest CLO XII Designated Activity Company 4.696% | 0.07418 | 3,356,669 | 3,602,849 |
Aqueduct European CLO 1-2017 Designated Activity Company 4.537% | 0.07367 | 3,334,617 | 3,577,944 |
Argent Secs Tr 5.75971% | 0.07364 | 4,158,306 | 3,576,507 |
Mountain View Clo Ix Limited 6.71017% | 0.07241 | 3,513,435 | 3,516,949 |
TOWD POINT MORTGAGE TRUST 6.45971% | 0.07156 | 3,395,248 | 3,475,813 |
Venture 33 Clo Limited & Llc 6.65017% | 0.07055 | 3,423,881 | 3,426,544 |
OCP CLO 2014-7 Ltd. 6.70617% | 0.06888 | 3,341,895 | 3,345,595 |
Cairn CLO X Designated Activity Company 4.686% | 0.06806 | 3,096,148 | 3,305,882 |
United States Treasury Bonds 2.125% | 0.06802 | 3,328,888 | 3,303,632 |
Voya Clo 2012-4 Ltd/Llc 6.59017% | 0.06528 | 3,166,311 | 3,170,710 |
522 Funding Clo 2018-3(A) Ltd/Llc 6.62617% | 0.06493 | 3,151,859 | 3,153,542 |
CVC Cordatus Loan Fund VII Designated Activity Company 4.349% | 0.06429 | 2,918,587 | 3,122,456 |
United States Treasury Notes 0.125% | 0.06306 | 3,486,183 | 3,062,595 |
BPCRE 2022-FL2 Ltd / BPCRE 2022-FL2 LLC 7.73192% | 0.06282 | 3,054,636 | 3,051,032 |
HSI Asset Securitization Corporation Trust 5.75971% | 0.06253 | 6,996,385 | 3,037,152 |
Citigroup Mortgage Loan Trust 6.16471% | 0.06116 | 3,200,000 | 2,970,628 |
Laurelin 2016-1 Designated Activity Company 4.617% | 0.06112 | 2,766,417 | 2,968,600 |
Neuberger Berman Loan Advisers CLO 31 Ltd./ LLC 6.62617% | 0.06081 | 2,950,000 | 2,953,588 |
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 6.49348% | 0.06059 | 3,100,000 | 2,942,744 |
Park Place Securities Inc. 7.48471% | 0.05995 | 3,099,568 | 2,911,598 |
Anchorage Capital CLO 6 Ltd 6.76456% | 0.05980 | 2,900,000 | 2,904,350 |
Abfc 06-Opt2 Tst 5.73971% | 0.05979 | 3,177,812 | 2,903,820 |
LCM XVII LTD Partnership 6.72017% | 0.05802 | 2,815,586 | 2,818,143 |
Dryden XXVI Senior Loan Funding 6.49017% | 0.05598 | 2,717,025 | 2,718,890 |
Atlas Senior Loan Fund xiii Ltd/LLC 6.66617% | 0.05405 | 2,623,925 | 2,625,061 |
Galaxy Xv Clo Ltd/Galaxy Xv Clo Llc 6.56017% | 0.05350 | 2,596,883 | 2,598,570 |
Adagio V CLO Designated Activity Company 4.626% | 0.05331 | 2,427,626 | 2,589,506 |
Marble Point Clo X 6.63017% | 0.05291 | 2,567,528 | 2,569,991 |
Resident Asset Sec 6.5% | 0.05165 | 11,842,761 | 2,508,658 |
Banc Americ 2006-J 4.34714% | 0.05138 | 3,020,687 | 2,495,587 |
CWABS Asset-Backed Certificates Trust 2007-1 5.59971% | 0.05030 | 2,700,856 | 2,443,078 |
Venture CDO Ltd. 6.63617% | 0.04993 | 2,421,557 | 2,425,196 |
Lehman Xs Trust 6.9% | 0.04985 | 2,603,153 | 2,421,394 |
Vibrant Clo Iv. Ltd 6.70617% | 0.04945 | 2,400,000 | 2,401,649 |
Novastar Mortgage Funding Trust 5.79971% | 0.04878 | 7,880,800 | 2,369,005 |
Allegro Clo Ix Ltd / Allegro Clo Ix FRN 6.733867% | 0.04841 | 2,350,000 | 2,351,031 |
CIM TRUST 1.951% | 0.04651 | 2,517,907 | 2,258,992 |
Oaktree CLO 2019-1 Ltd. 6.69617% | 0.04536 | 2,200,000 | 2,203,084 |
United States Treasury Bills 0% | 0.04536 | 2,220,000 | 2,203,264 |
Dryden 59 Euro CLO 2017 B.V. 4.578% | 0.04527 | 2,054,021 | 2,198,963 |
BENEFIT STREET PARTNERS CLO XVII LTD 6.67017% | 0.04432 | 2,150,000 | 2,152,848 |
Cedar Funding V Clo Ltd 6.67868% | 0.04368 | 2,119,822 | 2,121,769 |
Saranac Clo Vi Limited/Llc 6.74841% | 0.04276 | 2,069,975 | 2,076,955 |
Madison Park Funding Limited 6.55648% | 0.04243 | 2,059,791 | 2,060,821 |
Home Equity Asset Trust 6.13471% | 0.04162 | 2,097,046 | 2,021,274 |
JP Morgan Alt 6 A7 5.91971% | 0.04145 | 2,294,236 | 2,013,311 |
Carbone CLO, Limited / Carbone CLO LLC 6.72617% | 0.04125 | 2,001,971 | 2,003,683 |
Securitized Asset Backed Receivables Llc Trust 5.95971% | 0.04122 | 3,858,624 | 2,002,000 |
Halseypoint Clo 3 Ltd / Llc 7.04111% | 0.04121 | 2,000,000 | 2,001,677 |
Sound Point CLO XVIII Limited/LLC 6.70617% | 0.04092 | 1,986,204 | 1,987,495 |
Kkr Clo 18 Ltd/Kkr Clo 18 Llc 6.52854% | 0.04060 | 1,968,985 | 1,971,865 |
VENTURE XXIX CLO LTD 6.57399% | 0.04058 | 1,970,293 | 1,970,786 |
Gsamp Tr 2007-He2 5.82971% | 0.04015 | 2,499,717 | 1,950,247 |
BSST 2022-1700 MORTGAGE TRUST 6.629% | 0.04011 | 2,200,000 | 1,948,302 |
Avoca CLO XIV Designated Activity Company 4.722% | 0.04001 | 1,810,405 | 1,943,046 |
Ares European CLO X Designated Activity Company 4.686% | 0.03927 | 1,778,174 | 1,907,188 |
LCM 29 LTD 6.66017% | 0.03913 | 1,900,000 | 1,900,475 |
Popular Abs Mtg 07 5.76971% | 0.03908 | 2,067,867 | 1,897,883 |
Lehman Abs Mfg Hsg 7.17% | 0.03866 | 2,090,545 | 1,877,555 |
Madison Park Funding Xxxv Ltd/Llc 6.57617% | 0.03816 | 1,850,000 | 1,853,673 |
Dryden 80 CLO Ltd/Dryden 80 CLO LLC 6.56707% | 0.03812 | 1,850,000 | 1,851,256 |
Indymac Indx Mtg 5.83971% | 0.03634 | 2,101,701 | 1,765,030 |
Voya CLO 2014-4 Ltd 6.69017% | 0.03623 | 1,757,811 | 1,759,574 |
Countrywide Alternative loan Trust 5.63315% | 0.03623 | 2,292,702 | 1,759,459 |
CIFC Funding 6.77868% | 0.03601 | 1,747,652 | 1,749,201 |
United States Treasury Bills 0% | 0.03501 | 1,722,000 | 1,700,277 |
CBAM 2017-1 LTD 6.83617% | 0.03393 | 1,647,426 | 1,647,844 |
Voya CLO Limited 6.52868% | 0.03338 | 1,619,295 | 1,621,484 |
CBAM 2019-10 LTD 6.70617% | 0.03298 | 1,600,000 | 1,601,974 |
Lcm Xxvi Ltd/Lcm Xxvi Llc 6.65617% | 0.03125 | 1,516,394 | 1,518,020 |
Ares European Clo VI Designated Activity Company 4.516% | 0.03114 | 1,411,790 | 1,512,534 |
Sound Point CLO XXII Ltd/LLC 6.66617% | 0.03094 | 1,500,000 | 1,502,619 |
Carlyle Global Market Strategies CLO 2012-2, Ltd. 6.66617% | 0.03092 | 1,500,000 | 1,501,725 |
Dryden 57 Clo Ltd 6.59399% | 0.03052 | 1,481,625 | 1,482,337 |
GSAMP Trust 2006-SD3 5.97971% | 0.03048 | 1,616,384 | 1,480,464 |
Oak Hill European Credit Partners IV DAC 4.627% | 0.03025 | 1,370,163 | 1,469,206 |
Securitized Asset Backed Receivables Llc Trust 5.71971% | 0.02990 | 1,630,240 | 1,452,135 |
Wells Fargo Home Equity Asset Backed Securities 2005-3 Trust 7.85971% | 0.02967 | 1,460,000 | 1,441,136 |
RAD CLO 5 LTD 6.70455% | 0.02886 | 1,400,000 | 1,401,826 |
MF1 2020-FL4 LTD 7.14332% | 0.02852 | 1,385,858 | 1,385,443 |
Bear Stearns Asset Backed Secs 1 Tr 6.40971% | 0.02790 | 1,443,773 | 1,354,864 |
Invesco Euro Clo Iii Designated Activity Company 4.826% | 0.02651 | 1,200,000 | 1,287,704 |
KKR Finan Clo 07-1 6.54017% | 0.02640 | 1,280,579 | 1,282,378 |
United States Treasury Bills 0% | 0.02588 | 1,264,000 | 1,257,015 |
Bear Stearns 07-1 4.32149% | 0.02581 | 2,597,038 | 1,253,536 |
CWABS Asset-Backed Certificates Trust 2007-6 5.65971% | 0.02571 | 1,423,105 | 1,248,726 |
Alliance Bancorp Tr 5.93971% | 0.02545 | 1,482,494 | 1,236,075 |
Wind River Clo I Ltd/Corp 6.63854% | 0.02536 | 1,230,462 | 1,231,556 |
Indymac Indb 06-1 5.59971% | 0.02496 | 3,837,409 | 1,212,123 |
Jyske Realkredit A/S 2% | 0.02470 | 10,274,499 | 1,199,607 |
Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A 5.67971% | 0.02380 | 1,555,689 | 1,155,920 |
American Home Mortgage Asset Trust 6.07277% | 0.02362 | 4,603,823 | 1,147,324 |
Nordea Kredit Realkreditaktieselskab 1.5% | 0.02334 | 9,916,308 | 1,133,758 |
ACAS CLO 2015-1 Ltd. 6.47854% | 0.02322 | 1,126,783 | 1,127,676 |
New Century Home Equity Loan Trust 2005-1 6.22471% | 0.02313 | 1,167,878 | 1,123,616 |
United States Treasury Bonds 0.75% | 0.02056 | 1,331,520 | 998,500 |
Cent CLO 21 Limited 6.55648% | 0.02031 | 985,917 | 986,574 |
GS Mortgage Securities Corp 6.43471% | 0.02002 | 1,046,501 | 972,510 |
HSI Asset Securitization Corporation Trust 5.99971% | 0.01987 | 987,022 | 965,116 |
Lehman Xs Trust 5.77971% | 0.01793 | 1,021,842 | 870,639 |
VMware Inc 3.9% | 0.01779 | 900,000 | 863,818 |
Strctrd Asset Invt 6.17971% | 0.01763 | 846,317 | 856,305 |
Jubilee CLO 2016-XVII Designated Activity Company 4.556% | 0.01757 | 800,000 | 853,421 |
Struct Asset Mtg 5.89971% | 0.01736 | 2,474,718 | 843,184 |
Greywolf Clo V Ltd/ Llc 6.74516% | 0.01686 | 818,319 | 819,081 |
Wamu Mortgage Pass-Through CTFS TR 5.89277% | 0.01670 | 938,168 | 811,193 |
CSMC Mortgage-Backed Trust 6.4205% | 0.01579 | 1,304,225 | 766,963 |
Csmc Ser 2015-3r 5.60971% | 0.01556 | 777,494 | 755,986 |
United States Treasury Bills 0% | 0.01492 | 733,000 | 724,516 |
Indymac Imsc Mtg 5.81971% | 0.01490 | 1,118,457 | 723,531 |
Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC 6.57017% | 0.01478 | 716,981 | 717,698 |
Novastar Mortgage Funding Trust 6.16471% | 0.01438 | 705,983 | 698,575 |
United States Treasury Bills 0% | 0.01432 | 700,000 | 695,427 |
Cwalt Alt 2006-J8 5.81971% | 0.01393 | 745,574 | 676,459 |
United States Treasury Bills 0% | 0.01308 | 638,000 | 635,121 |
First Horizon Alternative Mortgage Securities Trust 6% | 0.01291 | 1,609,090 | 627,040 |
Citigroup Mortgage Loan Trust 5.91971% | 0.01268 | 924,053 | 615,708 |
Nordea Kredit Realkreditaktieselskab 2% | 0.01225 | 5,094,872 | 594,891 |
Federal National Mortgage Association 4.5% | 0.01206 | 620,806 | 585,985 |
RALI Series QH1 Trust 5.83971% | 0.01200 | 684,598 | 582,846 |
RASC Series 2006-EMX7 Trust 5.93971% | 0.01175 | 624,096 | 570,814 |
Argent Secs Inc 5.77971% | 0.01174 | 2,365,556 | 570,076 |
Harborview Mtg Loan Trust 5.95315% | 0.01163 | 930,435 | 564,971 |
Residential Fdg I 5.32218% | 0.01099 | 831,723 | 533,746 |
Elevation Clo 2017-8 LTD/Elevation Clo 2017-8 LLC 6.53516% | 0.01076 | 522,127 | 522,589 |
State Street Overnight Rate Aud | 0.01028 | 747,932 | 499,506 |
Ozlm Xi Ltd./Llc. 6.84111% | 0.01013 | 490,902 | 491,955 |
ML Mtg Bkd Secs Tr 4.20884% | 0.01011 | 587,571 | 491,111 |
United States Treasury Bonds 0.875% | 0.01005 | 649,455 | 488,209 |
UBS Group AG 7.75% | 0.00998 | 400,000 | 484,596 |
MASTR Asset Backed Securities Trust 5.75971% | 0.00990 | 1,464,613 | 480,895 |
Avolon Holdings Funding Ltd. 2.528% | 0.00986 | 532,000 | 478,750 |
Jyske Realkredit A/S 1.5% | 0.00967 | 4,289,962 | 469,487 |
Nordea Kredit Realkreditaktieselskab 1.5% | 0.00964 | 4,278,039 | 468,039 |
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 2.75% | 0.00961 | 496,233 | 466,619 |
Bcap Llc Tr 06-Aa2 5.79971% | 0.00926 | 513,925 | 449,760 |
Indymac MBS Inc 5.5% | 0.00925 | 722,642 | 449,454 |
Wamu Mortgage Pass-Through CTFS TR 4.42224% | 0.00923 | 548,794 | 448,418 |
Realkredit Danmark A/S 2% | 0.00919 | 4,145,167 | 446,251 |
Oak Hill European Credit Partners IV DAC 4.627% | 0.00907 | 411,049 | 440,762 |
UBS Group AG 4.923% | 0.00886 | 400,000 | 430,174 |
United States Treasury Bonds 0.625% | 0.00886 | 572,788 | 430,569 |
Apidos Clo Xvi 6.48854% | 0.00883 | 428,303 | 428,732 |
Oak Hill European Credit Partners VI Designated Activity Company 4.627% | 0.00870 | 394,559 | 422,653 |
Bcap Llc Trust 4.50218% | 0.00861 | 495,088 | 418,241 |
OZLM Funding IX Ltd./LLC 6.52456% | 0.00850 | 412,485 | 412,732 |
Fremont Home Loan Trust 5.72971% | 0.00823 | 457,091 | 399,549 |
Structured Asset Mortgage Investments II Trust 5.95315% | 0.00822 | 429,039 | 399,366 |
UBS Group AG 0.65% | 0.00817 | 400,000 | 396,734 |
Venture Xxvi Clo Ltd 6.68617% | 0.00816 | 395,617 | 396,404 |
Chase Mortgage Financial Trust 4.67511% | 0.00804 | 425,079 | 390,501 |
Wamu Mortgage Pass-Through CTFS TR 6.65277% | 0.00783 | 437,986 | 380,206 |
Carlyle Euro Clo 2017-2 Designated Activity Co. 4.458% | 0.00776 | 351,183 | 376,747 |
United States Treasury Bonds 0.25% | 0.00768 | 609,790 | 372,781 |
PALMER SQUARE LOAN FUNDING LTD 6.39017% | 0.00762 | 369,901 | 370,066 |
Cwalt Incorporation 5% | 0.00743 | 663,969 | 360,674 |
Chase Mortgage Financial Trust 5.5% | 0.00718 | 789,496 | 348,533 |
Structured Adj Rate Mtg Loan Trust 5.77971% | 0.00708 | 377,011 | 343,643 |
Wamu Mortgage Pass-Through CTFS TR 4.37166% | 0.00708 | 416,773 | 344,070 |
GS Mortgage Securities Corp 4.45478% | 0.00690 | 414,228 | 335,167 |
Morgan Stanley ML 6.40951% | 0.00673 | 1,472,168 | 326,990 |
France (Republic Of) 0.1% | 0.00669 | 352,371 | 324,980 |
Nordea Kredit Realkreditaktieselskab 1.5% | 0.00664 | 3,300,000 | 322,637 |
STIF FUND (JPY) (SSKC) | 0.00654 | 51,088,930 | 317,599 |
Fnma Pass-Thru I 4.5% | 0.00645 | 331,798 | 313,384 |
STIF FUND (CAD) | 0.00636 | 422,931 | 309,081 |
Morgan Stanley ABS Capital I Inc 5.51971% | 0.00624 | 345,504 | 303,070 |
Residential Accredit Loans Inc 5.75971% | 0.00622 | 414,324 | 302,169 |
Luminent Mtg 06-6 5.85971% | 0.00611 | 343,026 | 296,934 |
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 6.82601% | 0.00531 | 285,859 | 257,997 |
Rfmsi Series 2007-S6 Trust 6% | 0.00531 | 343,660 | 258,003 |
Atlas Senior Loan Fund X Ltd/Llc 6.68017% | 0.00523 | 253,664 | 253,925 |
UBS Group AG 6.373% | 0.00517 | 250,000 | 251,268 |
Apidos Clo Xxvii 6.50868% | 0.00507 | 245,876 | 246,197 |
Harborview Mtg Loan Trust 5.89315% | 0.00505 | 263,933 | 245,365 |
JP Morgan Mortgage Trust 5.82431% | 0.00495 | 345,951 | 240,541 |
Bear Stearns Arm Trust 4.91222% | 0.00487 | 282,344 | 236,423 |
Chase Mtg Fin Corp 4.35966% | 0.00474 | 297,279 | 230,012 |
Csmc Mtg Bkd Trust 5.53186% | 0.00470 | 271,522 | 228,458 |
Federal National Mortgage Association 5.89483% | 0.00468 | 230,278 | 227,102 |
Resident Asset Sec 6.5% | 0.00458 | 640,364 | 222,487 |
CIFC Funding 2017-II, Ltd. 6.53617% | 0.00450 | 218,064 | 218,372 |
Indymac MBS Inc 5.14871% | 0.00423 | 218,866 | 205,360 |
Bear Stearns Alternative A Trust 5.77971% | 0.00421 | 223,951 | 204,565 |
Residential Accredit Loans Inc 0% | 0.00418 | 245,942 | 203,064 |
Eversource Energy 2.9% | 0.00409 | 200,000 | 198,541 |
Indymac Indx Mtg 5.85971% | 0.00409 | 222,069 | 198,485 |
GSAA Home Equity Trust 6.05971% | 0.00397 | 507,404 | 193,030 |
CHL Mortgage Pass-Through Trust 4.4251% | 0.00383 | 216,387 | 185,791 |
Adjustable Rate Mortgage Trust 5.59995% | 0.00372 | 213,500 | 180,727 |
United States Treasury Bills 0% | 0.00365 | 179,000 | 177,460 |
Wells Fargo Mortgage Backed Secs 6.16989% | 0.00342 | 178,958 | 166,124 |
Sequoia Mtg Trust 4.8981% | 0.00341 | 239,923 | 165,679 |
Wamu Mortgage Pass-Through CTFS TR 6.15277% | 0.00333 | 177,266 | 161,590 |
Residential Fdg I 6.5% | 0.00326 | 167,890 | 158,226 |
Morgan Stanley ML 6.17971% | 0.00316 | 578,795 | 153,433 |
Deutsche Alt-A Secs Inc 5.5% | 0.00315 | 187,766 | 152,895 |
Bear Stearns Arm Trust 6.22788% | 0.00311 | 160,385 | 151,215 |
Countrywide Alternative loan Trust 5.64815% | 0.00309 | 175,091 | 149,842 |
ML Alt Nt Asset Tr 6.05971% | 0.00308 | 618,752 | 149,599 |
Residential Accredit Loans Inc 4.23263% | 0.00305 | 391,175 | 148,250 |
Cwalt Incorporation 6.15277% | 0.00302 | 180,275 | 146,517 |
Nykredit Realkredit A/S 1.5% | 0.00300 | 1,494,547 | 145,952 |
Crestline Denali Clo Xvi Ltd 6.70617% | 0.00279 | 135,170 | 135,373 |
JP Morgan Mortgage Trust 4.14987% | 0.00274 | 147,970 | 133,283 |
CWMBS Inc 6% | 0.00261 | 263,661 | 126,556 |
Soundview Home Loan Trust 5.57971% | 0.00242 | 425,232 | 117,716 |
Citigroup Mortgage Loan Trust 4.18604% | 0.00237 | 189,300 | 115,255 |
Cwalt Incorporation 4.62493% | 0.00237 | 131,067 | 115,337 |
Indymac MBS Inc 3.97903% | 0.00235 | 143,895 | 113,955 |
Indymac MBS Inc 6.01971% | 0.00232 | 160,148 | 112,455 |
STIF FUND (NZD) | 0.00227 | 180,842 | 110,196 |
CitiMortgage Alternative Loan Trust 6% | 0.00225 | 132,475 | 109,445 |
Merrill Lynch Alternative Note Asset Trust Series 2007-AF1 4.77761% | 0.00211 | 211,814 | 102,495 |
Merrill Lynch Mortgage Investors, Inc. 5.22613% | 0.00209 | 109,269 | 101,615 |
Banc America Mortgage Securitites Inc 5.54624% | 0.00206 | 110,065 | 100,119 |
MASTR Asset Backed Securities Trust 5.93971% | 0.00203 | 243,321 | 98,590 |
Adjustable Rate Mortgage Trust 5.60377% | 0.00201 | 105,339 | 97,560 |
Structured Adj Rate Mtg Loan Trust 5.2688% | 0.00200 | 188,185 | 97,147 |
Banc America Mortgage Securitites Inc 5.07287% | 0.00197 | 111,335 | 95,827 |
Alternative Loan Trust 6.44366% | 0.00193 | 179,276 | 93,977 |
CIM TRUST 6.44983% | 0.00177 | 87,646 | 85,787 |
Bear Stearns Alternative A Trust 4.98416% | 0.00175 | 146,893 | 84,851 |
Banc America Funding Trust 4.78822% | 0.00171 | 99,630 | 83,230 |
Washington Mut Mtg 6.5% | 0.00169 | 104,673 | 82,116 |
GS Mortgage Securities Corp 4.968% | 0.00164 | 154,860 | 79,845 |
Chase Mortgage Financial Trust 4.64204% | 0.00151 | 80,302 | 73,580 |
Bear Stearns Arm Trust 4.81853% | 0.00150 | 82,800 | 72,913 |
JP Morgan Mortgage Trust 4.98731% | 0.00150 | 91,738 | 72,868 |
CHL Mortgage Pass-Through Trust 5.5% | 0.00141 | 72,359 | 68,379 |
Wamu Mortgage Pass-Through CTFS TR 4.17142% | 0.00140 | 82,628 | 67,917 |
Structured Asset Mortgage Investments Inc 5.83971% | 0.00140 | 70,676 | 68,044 |
Cwalt Incorporation 5.5% | 0.00137 | 95,036 | 66,474 |
American Home Mortgage Asset Trust 5.64971% | 0.00132 | 79,068 | 64,150 |
Wamu Mortgage Pass-Through CTFS TR 6.13277% | 0.00132 | 72,510 | 64,044 |
Cwalt Alt 2007-1t1 6% | 0.00132 | 180,122 | 64,351 |
Wachovia Mortgage Loan Trust LLC 3.89223% | 0.00130 | 70,122 | 62,976 |
Merrill Lynch Mortgage Investors, Inc. 4.34025% | 0.00129 | 75,379 | 62,556 |
GS Mortgage Securities Corp 5.05489% | 0.00129 | 67,663 | 62,619 |
JP Morgan Mtg Acc 5.66971% | 0.00121 | 59,500 | 58,545 |
Bear Stearns Alternative A Trust 6.19748% | 0.00120 | 63,725 | 58,043 |
NEW RESIDENTIAL MORTGAGE LOAN TRUST 4.5% | 0.00120 | 60,771 | 58,356 |
Rfmsi Series 2007-S6 Trust 6% | 0.00117 | 75,541 | 56,712 |
Cwalt Incorporation 5.87971% | 0.00116 | 65,412 | 56,193 |
STIF FUND (SEK) | 0.00110 | 566,751 | 53,517 |
Banc Americ 2006-J 5.01992% | 0.00107 | 62,167 | 51,820 |
JP Morgan Mortgage Trust 5.09321% | 0.00102 | 64,680 | 49,731 |
Banc of America Funding Corporation 6.03315% | 0.00100 | 56,037 | 48,522 |
Merrill Lynch Mortgage Investors, Inc. 4.90213% | 0.00098 | 61,223 | 47,726 |
Wamu Mortgage Pass-Through CTFS TR 4.24636% | 0.00092 | 51,505 | 44,895 |
Indymac MBS Inc 4.76984% | 0.00089 | 48,971 | 43,122 |
Federal Home Loan Mortgage Corp. 7.036% | 0.00080 | 38,625 | 38,966 |
Wamu Mortgage Pass-Through CTFS TR 6.35277% | 0.00080 | 42,127 | 38,972 |
Harborview Mtg L04 5.83315% | 0.00076 | 45,412 | 37,146 |
Midocean Credit CLO II / LLC 6.61648% | 0.00076 | 36,708 | 36,765 |
Deutsche Alt-B Sec Mtg Ln 2006-Ab4 5.55971% | 0.00075 | 47,062 | 36,575 |
JP Morgan Mortgage Trust 5.60094% | 0.00071 | 36,729 | 34,531 |
Federal Home Loan Mortgage Corp. 6.3% | 0.00070 | 33,950 | 34,075 |
Stwd 2019-Fl1 LTD/LLC 6.52332% | 0.00068 | 33,199 | 33,075 |
Federal National Mortgage Association 6.16481% | 0.00068 | 33,876 | 33,226 |
CWMBS Inc 5.5% | 0.00059 | 52,647 | 28,523 |
Citigroup Mortgage Loan Trust 5.53971% | 0.00056 | 38,367 | 27,220 |
Citigroup Mortgage Loan Trust 7.41% | 0.00045 | 23,152 | 21,902 |
CWMBS Inc 6.09971% | 0.00045 | 23,890 | 22,040 |
Venture XVII CLO Ltd/Llc 6.47017% | 0.00040 | 19,298 | 19,305 |
Wamu Mortgage Pass-Through CTFS TR 5.84982% | 0.00039 | 20,573 | 18,980 |
Citigroup Mortgage Loan Trust 7.86% | 0.00039 | 21,138 | 18,933 |
Cwalt Incorporation 6.5% | 0.00038 | 18,918 | 18,350 |
Bear Stearns Arm Trust 8.25003% | 0.00037 | 19,668 | 18,159 |
Harborview Mtg Loan Trust 6.03461% | 0.00036 | 18,523 | 17,577 |
Realkredit Danmark A/S 2% | 0.00035 | 147,075 | 17,169 |
Great Hall Mortgages No.1 PLC 5.4538% | 0.00033 | 12,810 | 16,137 |
JP Morgan Mortgage Trust 6.06996% | 0.00028 | 14,064 | 13,666 |
Bank of America Corp. 5.55767% | 0.00018 | 9,530 | 8,655 |
Nordea Kredit Realkreditaktieselskab 1% | 0.00018 | 80,212 | 8,785 |
Bear Stearns Arm Trust 6.63994% | 0.00017 | 9,277 | 8,309 |
Citigroup Mortgage Loan Trust 6.83% | 0.00016 | 8,396 | 7,912 |
ACE Securities Corp Home Equity Loan Trust Series 2007-SL2 5.57971% | 0.00014 | 17,840 | 6,665 |
Sequoia Mtg Trust 6.15315% | 0.00013 | 6,604 | 6,288 |
Structured Asset M 5.87971% | 0.00010 | 5,903 | 5,088 |
Merrill Lynch Mtg Inv Trust 5.67121% | 0.00010 | 5,174 | 4,950 |
CWMBS Inc 3.68137% | 0.00010 | 5,550 | 5,082 |
Wells Fargo Mortgage Backed Secs 6.47755% | 0.00007 | 3,661 | 3,381 |
STIF FUND (BRL) | 0.00005 | 14,284 | 2,572 |
Nykredit Realkredit A/S 2% | 0.00005 | 19,308 | 2,253 |
Nykredit Realkredit A/S 1% | 0.00004 | 18,691 | 1,926 |
Jyske Realkredit A/S 2.5% | 0.00003 | 9,985 | 1,319 |
STATE STREET STIF FUND (GBP) | 0.00002 | 603 | 762 |
STIF FUND (CHF) | 0.00002 | 885 | 985 |
Realkredit Danmark A/S 2.5% | 0.00002 | 8,081 | 1,068 |
Nykredit Realkredit A/S 2.5% | 0.00002 | 8,604 | 1,136 |
STIF FUND (ILS) | 0.00001 | 961 | 255 |
Jyske Realkredit A/S 0.5% | 0.00001 | 5,507 | 630 |
Nordea Kredit Realkreditaktieselskab 2.5% | 0.00001 | 2,038 | 269 |
STIF FUND (PLN) | 0.00000 | 97 | 24 |
STIF FUND (MXN) | 0.00000 | 645 | 35 |
STIF FUND (SGD) | 0.00000 | 153 | 113 |
Nykredit Realkredit A/S 1% | 0.00000 | 340 | 37 |
RFR EUR ESTRON/3.47500 02/26/24-1Y LCH Receive | 21.17242 | 959,500,000 | 1,028,344,585 |
Cash Offset | 12.35028 | 599,853,152 | 599,853,152 |
IRS EUR 2.75000 09/18/24-10Y LCH Receive | 12.17953 | 554,100,000 | 591,559,902 |
EUROPEAN MONETARY UNION EURO Purchased | 7.89164 | 357,228,038 | 383,296,754 |
JAPANESE YEN Purchased | 6.32630 | 51,539,248,147 | 307,268,386 |
JAPANESE YEN Purchased | 5.88114 | 46,200,771,059 | 285,646,717 |
IRS EUR 2.50000 09/18/24-30Y LCH Receive | 3.82847 | 173,500,000 | 185,948,708 |
RFRF USD SOFR/2.30000 11/15/23-5Y LCH Receive | 3.79922 | 201,300,000 | 184,527,885 |
RFR USD SOFR/3.08500 02/13/24-10Y LCH Receive | 3.38179 | 176,500,000 | 164,253,512 |
INF SWAP US IT 1.79375 08/24/20-7Y LCH Receive | 2.15638 | 90,200,000 | 104,735,400 |
INF SWAP US IT 1.9975 07/25/19-10Y LCH Receive | 1.97241 | 95,800,000 | 95,800,000 |
RFR USD SOFR/2.86500 02/13/24-30Y LCH Receive | 1.82211 | 88,500,000 | 88,500,000 |
INF SWAP US IT 2.51 09/08/23-1Y LCH Receive | 1.23945 | 60,200,000 | 60,200,000 |
RFR JPY MUTK/0.55000 09/14/23-5Y LCH Receive | 1.19801 | 9,360,000,000 | 58,187,244 |
RFR USD SOFR/4.25000 12/20/23-2Y LCH Receive | 1.15956 | 56,320,000 | 56,320,000 |
INF SWAP EM NI 2.57 06/15/22-10Y LCH Receive | 1.01083 | 45,400,000 | 49,095,938 |
INF SWAP US IT 1.89 08/27/20-7Y LCH Receive | 0.95288 | 40,100,000 | 46,281,228 |
IRO EUR 2Y P 2.80000 L 09/01/25 GST | 0.89066 | 86,700,000 | 43,259,130 |
RFR USD SOFR/3.75724 06/03/24-9Y* LCH Receive | 0.88944 | 43,200,000 | 43,200,000 |
IRS EUR 2.63492 06/10/24-9Y* LCH Receive | 0.83723 | 37,942,000 | 40,664,357 |
BRAZILIAN REAL-NDF Purchased | 0.78691 | 213,000,000 | 38,220,029 |
INF SWAP US IT 2.31125 02/24/21-10Y LCH Receive | 0.78504 | 34,100,000 | 38,129,453 |
CANADIAN DOLLAR Purchased | 0.75104 | 49,910,433 | 36,477,907 |
INF SWAP EM NI 1.38 03/15/21-10Y LCH Receive | 0.70832 | 32,100,000 | 34,403,190 |
INF SWAP US IT 1.954 06/03/19-10Y LCH Receive | 0.66605 | 32,350,000 | 32,350,000 |
INF SWAP US IT 2.335 02/05/18-10Y LCH Receive | 0.66131 | 32,120,000 | 32,120,000 |
IRS EUR 2.91510 06/12/23-9Y* LCH Receive | 0.65338 | 29,400,000 | 31,734,829 |
SOUTH KOREA WON-NDF Purchased | 0.63444 | 42,267,926,164 | 30,814,686 |
INDIAN RUPEE-INR-NDF Purchased | 0.61167 | 2,479,903,856 | 29,708,926 |
TAIWANESE DOLLAR-NDF Purchased | 0.60851 | 951,355,314 | 29,555,543 |
RFR USD SOFR/3.50000 06/20/24-30Y CME Receive | 0.60737 | 29,500,000 | 29,500,000 |
RFR JPY MUTK/0.50000 12/15/21-10Y LCH Receive | 0.59913 | 4,681,000,000 | 29,099,838 |
IRO FWD EUR 2Y P 2.95000 L 09/15/25 CBK | 0.55314 | 63,900,000 | 26,866,114 |
INF SWAP US IT 2.7675 05/13/21-5Y LCH Receive | 0.55004 | 24,600,000 | 26,715,350 |
RFRF USD SOFR/2.28500 11/15/23-30Y LCH Receive | 0.53943 | 26,200,000 | 26,200,000 |
IRO EUR 2Y P 2.46500 L 12/04/25 GLM | 0.53877 | 42,400,000 | 26,167,831 |
IRS EUR 1.00000 05/13/22-5Y LCH Receive | 0.52508 | 25,200,000 | 25,503,220 |
INF SWAP US IT 1.7975 08/25/20-7Y LCH Receive | 0.51860 | 21,700,000 | 25,188,234 |
CHINESE - YUAN RENMINBI (CNH) Purchased | 0.50720 | 176,593,151 | 24,634,495 |
IRS EUR 0.65000 04/12/22-5Y LCH Receive | 0.44838 | 21,700,000 | 21,777,604 |
INF SWAP EM NI 2.6 05/15/22-10Y LCH Receive | 0.43075 | 19,100,000 | 20,921,556 |
INF SWAP EM NI 2.356 11/15/23-10Y LCH Receive | 0.42808 | 19,400,000 | 20,791,959 |
RFRF USD SOFR/2.34000 11/21/23-5Y LCH Receive | 0.42680 | 22,580,000 | 20,729,549 |
SWISS FRANCS Purchased | 0.41867 | 18,181,069 | 20,334,746 |
SOUTH AFRICAN RAND Purchased | 0.41769 | 369,129,935 | 20,287,183 |
RFRF USD SOFR/2.23650 11/21/23-30Y LCH Receive | 0.41384 | 20,100,000 | 20,100,000 |
POLISH ZLOTY Purchased | 0.40208 | 79,789,910 | 19,529,158 |
IRS EUR 0.19700 11/08/22-30Y LCH Receive | 0.38616 | 17,500,000 | 18,755,633 |
IRO EUR 2Y P 2.90000 L 08/29/25 GLM | 0.37237 | 40,200,000 | 18,086,049 |
INF SWAP US IT 2.364 05/10/18-10Y LCH Receive | 0.32448 | 15,760,000 | 15,760,000 |
INF SWAP EM NI 3.0 05/15/22-5Y LCH Receive | 0.32189 | 14,300,000 | 15,634,233 |
RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH Receive | 0.31934 | 2,495,000,000 | 15,510,382 |
INF SWAP US IT 2.36 05/09/18-10Y LCH Receive | 0.31830 | 15,460,000 | 15,460,000 |
AUSTRALIAN DOLLARS Purchased | 0.31463 | 22,915,806 | 15,281,661 |
IRS EUR 0.65000 05/11/22-5Y LCH Receive | 0.30532 | 14,800,000 | 14,829,232 |
INF SWAP US IT 2.165 04/16/19-10Y LCH Receive | 0.29442 | 14,300,000 | 14,300,000 |
INF SWAP EM NI 2.359 08/15/22-8Y LCH Receive | 0.28050 | 12,400,000 | 13,623,763 |
BRAZILIAN REAL-NDF Purchased | 0.27879 | 68,700,000 | 13,540,684 |
INF SWAP EM NI 3.13 05/15/22-5Y LCH Receive | 0.27504 | 12,300,000 | 13,358,479 |
INF SWAP EM NI 2.72 06/15/22-10Y LCH Receive | 0.26969 | 12,300,000 | 13,098,785 |
INF SWAP EM NI 2.39 11/15/23-10Y LCH Receive | 0.24935 | 11,300,000 | 12,110,780 |
INF SWAP EM NI 2.68 04/15/23-30Y LCH Receive | 0.24714 | 11,200,000 | 12,003,605 |
INF SWAP EM NI 2.59 03/15/22-30Y LCH Receive | 0.24273 | 11,000,000 | 11,789,255 |
INF SWAP EM NI 2.3625 11/15/23-10Y LCH Receive | 0.24052 | 10,900,000 | 11,682,080 |
IRS EUR 0.70000 04/11/22-5Y LCH Receive | 0.23793 | 11,500,000 | 11,556,162 |
INF SWAP EM NI 2.763 09/15/23-30Y LCH Receive | 0.23611 | 10,700,000 | 11,467,730 |
MEXICAN NUEVO PESO Purchased | 0.23579 | 219,053,009 | 11,452,418 |
IRS EUR 1.00000 05/18/22-5Y LCH Receive | 0.23332 | 11,200,000 | 11,332,373 |
INF SWAP US IT 2.69 06/01/21-5Y LCH Receive | 0.23298 | 10,400,000 | 11,315,997 |
INF SWAP EM NI 2.47 07/15/22-10Y LCH Receive | 0.22257 | 9,900,000 | 10,810,450 |
INF SWAP US IT 2.813 05/14/21-5Y LCH Receive | 0.21863 | 9,800,000 | 10,618,891 |
INF SWAP US IT 2.703 05/25/21-5Y LCH Receive | 0.21484 | 9,590,000 | 10,434,896 |
INF SWAP US IT 2.3525 05/09/18-10Y LCH Receive | 0.21145 | 10,270,000 | 10,270,000 |
INF SWAP EM NI 2.59 12/15/22-30Y LCH Receive | 0.19859 | 9,000,000 | 9,645,754 |
IRS EUR 0.19500 11/04/22-30Y LCH Receive | 0.19749 | 8,950,000 | 9,592,167 |
INF SWAP FR NI 1.6175 07/15/18-10Y LCH Receive | 0.19330 | 8,760,000 | 9,388,534 |
SINGAPORE DOLLARS Purchased | 0.19282 | 12,683,149 | 9,365,103 |
DANISH KRONER Purchased | 0.19173 | 64,823,850 | 9,312,512 |
IRS EUR 0.19000 11/04/22-30Y LCH Receive | 0.18977 | 8,600,000 | 9,217,054 |
INF SWAP US IT 2.41875 03/05/21-5Y LCH Receive | 0.18470 | 8,100,000 | 8,971,085 |
NEW ZEALAND DOLLAR Purchased | 0.16120 | 12,891,124 | 7,829,579 |
CHINESE - YUAN RENMINBI (CNH) Purchased | 0.13155 | 45,750,175 | 6,389,556 |
INF SWAP EM NI 1.71 03/15/18-15Y LCH Receive | 0.13148 | 5,200,000 | 6,385,816 |
INF SWAP FR NI 1.91 01/15/18-20Y LCH Receive | 0.12357 | 5,600,000 | 6,001,803 |
INF SWAP EM NI 2.736 10/15/23-30Y LCH Receive | 0.12136 | 5,500,000 | 5,894,628 |
INF SWAP EM NI 2.7 04/15/23-30Y LCH Receive | 0.11254 | 5,100,000 | 5,465,927 |
BRAZILIAN REAL-NDF Purchased | 0.10662 | 29,647,811 | 5,178,350 |
INF SWAP EM NI 2.58 03/15/22-30Y LCH Receive | 0.09047 | 4,100,000 | 4,394,177 |
BRAZILIAN REAL-NDF Purchased | 0.08663 | 24,205,114 | 4,207,458 |
IRS EUR 0.55000 08/10/22-2Y LCH Receive | 0.08351 | 3,800,000 | 4,055,858 |
INF SWAP EM NI 2.5475 11/15/23-30Y LCH Receive | 0.07530 | 3,500,000 | 3,657,419 |
INF SWAP EM NI 2.682 10/15/23-30Y LCH Receive | 0.07502 | 3,400,000 | 3,643,952 |
INF SWAP EM NI 2.421 05/15/22-30Y LCH Receive | 0.07348 | 3,330,000 | 3,568,929 |
RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH Receive | 0.07276 | 568,470,000 | 3,533,943 |
INF SWAP EM NI 2.55 04/15/22-30Y LCH Receive | 0.06620 | 3,000,000 | 3,215,251 |
INF SWAP EM NI 2.62 11/15/23-30Y LCH Receive | 0.06519 | 3,100,000 | 3,166,256 |
MEXICAN NUEVO PESO Purchased | 0.05859 | 52,723,660 | 2,845,750 |
VM CASH FUT DOM BOS USD | 0.05800 | 2,816,863 | 2,816,863 |
Discovery Communications, LLC 0% | 0.05646 | 2,750,000 | 2,742,350 |
Canadian Natural Resources Limited 0% | 0.05231 | 2,550,000 | 2,540,469 |
Crown Castle Inc. 0% | 0.05138 | 2,500,000 | 2,495,613 |
Intel Corporation 0% | 0.04934 | 2,400,000 | 2,396,382 |
AUSTRALIAN DOLLARS Purchased | 0.04780 | 3,490,000 | 2,321,782 |
Intel Corporation 0% | 0.04625 | 2,250,000 | 2,246,269 |
BRITISH POUND STERLING Purchased | 0.04562 | 1,754,000 | 2,215,689 |
INF SWAP EM NI 1.95 11/15/18-30Y LCH Receive | 0.04457 | 2,020,000 | 2,164,936 |
Southern California Edison Company 0% | 0.04321 | 2,100,000 | 2,098,690 |
KEURIG DR PEPPER INC 0% | 0.03592 | 1,750,000 | 1,744,400 |
Alimentation Couche-Tard Inc. 0% | 0.03395 | 1,650,000 | 1,648,741 |
Crown Castle Inc. 0% | 0.03378 | 1,650,000 | 1,640,919 |
NextEra Energy Capital Holdings Inc 0% | 0.03169 | 1,550,000 | 1,538,977 |
INDONESIAN RUPIAH-NDF Purchased | 0.03074 | 24,519,924,231 | 1,493,219 |
Southern California Edison Company 0% | 0.02984 | 1,450,000 | 1,449,322 |
VM CASH CCP LCH MSC USD | 0.02771 | 1,345,887 | 1,345,887 |
ISRAELI SHEKEL Purchased | 0.02739 | 4,930,279 | 1,330,422 |
ISRAELI SHEKEL Purchased | 0.02584 | 4,808,071 | 1,254,894 |
Huntington Ingalls Industries, Inc. 0% | 0.02469 | 1,200,000 | 1,199,238 |
Alimentation Couche-Tard Inc. 0% | 0.02361 | 1,150,000 | 1,146,813 |
Constellation Energy Generation LLC 0% | 0.02261 | 1,100,000 | 1,097,973 |
NextEra Energy Capital Holdings Inc 0% | 0.02261 | 1,100,000 | 1,097,999 |
Crown Castle Inc. 0% | 0.02253 | 1,100,000 | 1,094,303 |
FIXED INC CLEARING CORP REPO (FICC) | 0.02071 | 1,005,855 | 1,005,855 |
Southern California Edison Company 0% | 0.02056 | 1,000,000 | 998,437 |
L3 Harris Technologies Inc 0% | 0.02055 | 1,000,000 | 998,031 |
VM CASH CCP LCH MSC EUR | 0.02022 | 916,364 | 982,114 |
NextEra Energy Capital Holdings Inc 0% | 0.01953 | 950,000 | 948,417 |
NextEra Energy Capital Holdings Inc 0% | 0.01953 | 950,000 | 948,562 |
Crown Castle Inc. 0% | 0.01952 | 950,000 | 948,027 |
GLOBAL PMTS INC 0% | 0.01852 | 900,000 | 899,553 |
Intel Corporation 0% | 0.01846 | 900,000 | 896,597 |
TARGA RES CORP 0% | 0.01846 | 900,000 | 896,447 |
VM CASH CCP CME MSC USD | 0.01778 | 863,441 | 863,441 |
Conagra Brands Inc 0% | 0.01747 | 850,000 | 848,523 |
KEURIG DR PEPPER INC 0% | 0.01641 | 800,000 | 796,818 |
L3 Harris Technologies Inc 0% | 0.01641 | 800,000 | 796,818 |
Southern California Edison Company 0% | 0.01438 | 700,000 | 698,467 |
L3 Harris Technologies Inc 0% | 0.01437 | 700,000 | 697,976 |
Constellation Brands, Inc. 0% | 0.01437 | 700,000 | 697,975 |
L3 Harris Technologies Inc 0% | 0.01436 | 700,000 | 697,434 |
NextEra Energy Capital Holdings Inc 0% | 0.01431 | 700,000 | 695,131 |
Marathon Oil Corporation 0% | 0.01337 | 650,000 | 649,274 |
VW Credit, Inc. 0% | 0.01335 | 650,000 | 648,217 |
NextEra Energy Capital Holdings Inc 0% | 0.01233 | 600,000 | 598,817 |
Intel Corporation 0% | 0.01232 | 600,000 | 598,188 |
Alimentation Couche-Tard Inc. 0% | 0.01129 | 550,000 | 548,390 |
TARGA RES CORP 0% | 0.01128 | 550,000 | 548,109 |
VW Credit, Inc. 0% | 0.01123 | 550,000 | 545,404 |
AUSTRALIAN DOLLARS Purchased | 0.01113 | 807,000 | 540,803 |
INDONESIAN RUPIAH-NDF Purchased | 0.01099 | 8,719,868,439 | 534,007 |
VM CASH CCP LCH MSC JPY | 0.01057 | 82,562,354 | 513,256 |
Constellation Brands, Inc. 0% | 0.01028 | 500,000 | 499,203 |
Constellation Brands, Inc. 0% | 0.01027 | 500,000 | 498,635 |
Alimentation Couche-Tard Inc. 0% | 0.01027 | 500,000 | 498,926 |
Constellation Brands, Inc. 0% | 0.01026 | 500,000 | 498,307 |
TARGA RES CORP 0% | 0.01025 | 500,000 | 497,683 |
Constellation Brands, Inc. 0% | 0.01025 | 500,000 | 498,060 |
Entergy Corp Disc Coml Paper 4 0% | 0.01024 | 500,000 | 497,376 |
Marriott International, Inc. 0% | 0.01022 | 500,000 | 496,444 |
VM CASH FUT FOR BOS AUD | 0.01006 | 731,344 | 488,428 |
VM CASH FUT FOR BOS EUR | 0.01006 | 455,729 | 488,428 |
Alimentation Couche-Tard Inc. 0% | 0.00925 | 450,000 | 449,103 |
VW Credit, Inc. 0% | 0.00925 | 450,000 | 449,182 |
Intercontinental Exchange Inc 0% | 0.00924 | 450,000 | 448,743 |
Penske Truck Leasing Co LP / PTL Finance Corp. 0% | 0.00924 | 450,000 | 449,025 |
Dominion Energy Inc 0% | 0.00924 | 450,000 | 448,700 |
Penske Truck Leasing Co LP / PTL Finance Corp. 0% | 0.00823 | 400,000 | 399,756 |
Bacardi-Martini Finance BV 0% | 0.00822 | 400,000 | 399,233 |
VW Credit, Inc. 0% | 0.00822 | 400,000 | 399,395 |
Alimentation Couche-Tard Inc. 0% | 0.00822 | 400,000 | 399,388 |
Bacardi-Martini Finance BV 0% | 0.00821 | 400,000 | 398,711 |
VW Credit, Inc. 0% | 0.00821 | 400,000 | 398,965 |
Southern California Edison Company 0% | 0.00821 | 400,000 | 398,724 |
Entergy Corp Disc Coml Paper 4 0% | 0.00820 | 400,000 | 398,338 |
VW Credit, Inc. 0% | 0.00820 | 400,000 | 398,465 |
Penske Truck Leasing Co LP / PTL Finance Corp. 0% | 0.00817 | 400,000 | 396,678 |
Parker-Hannifin Corp. 0% | 0.00816 | 400,000 | 396,242 |
Entergy Corp Disc Coml Paper 4 0% | 0.00720 | 350,000 | 349,790 |
Entergy Corp Disc Coml Paper 4 0% | 0.00718 | 350,000 | 348,929 |
Constellation Brands, Inc. 0% | 0.00717 | 350,000 | 348,178 |
Marriott International, Inc. 0% | 0.00716 | 350,000 | 347,891 |
Intercontinental Exchange Inc 0% | 0.00617 | 300,000 | 299,767 |
Intercontinental Exchange Inc 0% | 0.00617 | 300,000 | 299,488 |
Penske Truck Leasing Co LP / PTL Finance Corp. 0% | 0.00617 | 300,000 | 299,492 |
Campbell Soup Company 0% | 0.00617 | 300,000 | 299,858 |
Alimentation Couche-Tard Inc. 0% | 0.00617 | 300,000 | 299,817 |
GLOBAL PMTS INC 0% | 0.00616 | 300,000 | 298,992 |
Constellation Brands, Inc. 0% | 0.00616 | 300,000 | 299,327 |
Intercontinental Exchange Inc 0% | 0.00616 | 300,000 | 299,209 |
Intercontinental Exchange Inc 0% | 0.00616 | 300,000 | 299,395 |
Intercontinental Exchange Inc 0% | 0.00615 | 300,000 | 298,883 |
VW Credit, Inc. 0% | 0.00614 | 300,000 | 298,239 |
Marriott International, Inc. 0% | 0.00614 | 300,000 | 298,146 |
Intercontinental Exchange Inc 0% | 0.00514 | 250,000 | 249,612 |
Constellation Brands, Inc. 0% | 0.00514 | 250,000 | 249,881 |
Huntington Ingalls Industries, Inc. 0% | 0.00514 | 250,000 | 249,881 |
Penske Truck Leasing Co LP / PTL Finance Corp. 0% | 0.00514 | 250,000 | 249,732 |
MICROCHIP TECHNOLOGY INC. 0% | 0.00514 | 250,000 | 249,457 |
Intercontinental Exchange Inc 0% | 0.00513 | 250,000 | 248,992 |
VW Credit, Inc. 0% | 0.00513 | 250,000 | 249,236 |
Constellation Brands, Inc. 0% | 0.00513 | 250,000 | 248,988 |
AT&T Inc 0% | 0.00513 | 250,000 | 249,359 |
Intercontinental Exchange Inc 0% | 0.00513 | 250,000 | 249,186 |
Constellation Brands, Inc. 0% | 0.00512 | 250,000 | 248,738 |
Constellation Brands, Inc. 0% | 0.00512 | 250,000 | 248,864 |
L3 Harris Technologies Inc 0% | 0.00512 | 250,000 | 248,810 |
KEURIG DR PEPPER INC 0% | 0.00512 | 250,000 | 248,695 |
Bacardi-Martini Finance BV 0% | 0.00511 | 250,000 | 248,044 |
VW Credit, Inc. 0% | 0.00510 | 250,000 | 247,716 |
CANADIAN DOLLAR Purchased | 0.00463 | 31,272 | 224,977 |
NORWEGIAN KRONER Purchased | 0.00347 | 1,791,684 | 168,296 |
INF SWAP EM NI 2.4875 05/15/22-15Y LCH Receive | 0.00265 | 120,000 | 128,610 |
DANISH KRONER Purchased | 0.00263 | 61 | 127,595 |
SOUTH KOREA WON-NDF Purchased | 0.00206 | 137,779,699 | 100,000 |
SOUTH KOREA WON-NDF Purchased | 0.00205 | 137,379,530 | 99,446 |
MEXICAN NUEVO PESO Purchased | 0.00183 | 1,627,000 | 88,956 |
SINGAPORE DOLLARS Purchased | 0.00136 | 33 | 66,083 |
THAILAND BAHT Purchased | 0.00103 | 1,835,100 | 50,116 |
CASH COLLATERAL CME MSC USD | 0.00084 | 41,000 | 41,000 |
INDONESIAN RUPIAH-NDF Purchased | 0.00062 | 492,360,000 | 30,000 |
NORWEGIAN KRONER Purchased | 0.00004 | 19 | 2,146 |
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