Basic Stats
| Portfolio Value | $ 1,504,957,000 |
| Current Positions | 1,180 |
Latest Holdings, Performance, AUM (from 13F, 13D)
PUTNAM FUNDS TRUST - Putnam Fixed Income Absolute Return Fund Class M has disclosed 1,180 total holdings in their latest SEC filings. Most recent portfolio value is calculated to be $ 1,504,957,000 USD. Actual Assets Under Management (AUM) is this value plus cash (which is not disclosed). PUTNAM FUNDS TRUST - Putnam Fixed Income Absolute Return Fund Class M’s top holdings are SHORT TERM INV FUND (US:US74676P6640) , FNMA TBA (US:US01F0306B93) , FNMA TBA (US:US01F0306B93) , FNMA TBA (US:01F0306C7) , and FNMA TBA (US:US01F0326B57) . PUTNAM FUNDS TRUST - Putnam Fixed Income Absolute Return Fund Class M’s new positions include SHORT TERM INV FUND (US:US74676P6640) , FNMA TBA (US:US01F0306B93) , FNMA TBA (US:US01F0306B93) , FNMA TBA (US:01F0306C7) , and FNMA TBA (US:US01F0326B57) .
Top Increases This Quarter
We use the change in the portfolio allocation because this is the most meaningful metric. Changes can be due to trades or changes in share prices.
| Security | Shares (MM) |
Value (MM$) |
Portfolio % | ΔPortfolio % |
|---|---|---|---|---|
| 110.91 | 110.91 | 19.6246 | 19.6246 | |
| 87.40 | 15.4640 | 15.4640 | ||
| 87.33 | 15.4516 | 15.4516 | ||
| 85.80 | 15.1813 | 15.1813 | ||
| 85.60 | 15.1459 | 15.1459 | ||
| 56.47 | 9.9924 | 9.9924 | ||
| 55.00 | 9.7309 | 9.7309 | ||
| 32.18 | 5.6944 | 5.6944 | ||
| 23.33 | 4.1272 | 4.1272 | ||
| 15.85 | 2.8052 | 2.8052 |
Top Decreases This Quarter
We use the change in the portfolio allocation because this is the most meaningful metric. Changes can be due to trades or changes in share prices.
| Security | Shares (MM) |
Value (MM$) |
Portfolio % | ΔPortfolio % |
|---|---|---|---|---|
| -0.63 | -0.1113 | -0.1113 | ||
| -0.34 | -0.0610 | -0.0610 | ||
| -0.31 | -0.0553 | -0.0553 | ||
| -0.31 | -0.0546 | -0.0546 | ||
| -0.24 | -0.0421 | -0.0421 | ||
| -0.24 | -0.0421 | -0.0421 | ||
| -0.15 | -0.0257 | -0.0257 | ||
| -0.14 | -0.0248 | -0.0248 | ||
| -0.10 | -0.0179 | -0.0179 | ||
| -0.10 | -0.0168 | -0.0168 |
13F and Fund Filings
This form was filed on 2019-12-18 for the reporting period 2019-10-31. Click the link icon to see the full transaction history.
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2022-07-28: Important Note - We have changed the treatment of the Δ Portfolio % column in this table. Previously, we were reporting it as the percent change in the portfolio allocation. We are now reporting it as the raw change in the portfolio allocation (still reported as a percent). In formula terms, we were previously reporting it as 100 * (current allocation - prior allocation ) / prior allocation. We are now reporting it as (current allocation - prior allocation).
| Security | Type | Avg Share Price | Shares (MM) |
ΔShares (%) |
ΔShares (%) |
Value ($MM) |
Portfolio (%) |
ΔPortfolio (%) |
|
|---|---|---|---|---|---|---|---|---|---|
| US74676P6640 / SHORT TERM INV FUND | 110.91 | 110.91 | 19.6246 | 19.6246 | |||||
| US01F0306B93 / FNMA TBA | 87.40 | 15.4640 | 15.4640 | ||||||
| US01F0306B93 / FNMA TBA | 87.40 | 0.00 | 15.4640 | 0.0000 | |||||
| 01F0306C7 / FNMA TBA | 87.33 | 15.4516 | 15.4516 | ||||||
| SHORT TERM INTEREST RATE FUTURES / DIR (N/A) | 85.80 | 15.1813 | 15.1813 | ||||||
| SHORT TERM INTEREST RATE FUTURES / DIR (N/A) | 85.60 | 15.1459 | 15.1459 | ||||||
| US01F0326B57 / FNMA TBA | 56.47 | 9.9924 | 9.9924 | ||||||
| US01F0406B84 / FNMA TBA | 55.00 | 9.7309 | 9.7309 | ||||||
| GOVERNMENT FUTURES / DIR (N/A) | 32.18 | 5.6944 | 5.6944 | ||||||
| 99EL209K6 / Total Return Swap | 23.33 | 4.1272 | 4.1272 | ||||||
| GOVERNMENT FUTURES / DIR (N/A) | 15.85 | 2.8052 | 2.8052 | ||||||
| GOVERNMENT FUTURES / DIR (N/A) | 14.88 | 2.6322 | 2.6322 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 8.85 | 1.5663 | 1.5663 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 7.88 | 1.3945 | 1.3945 | ||||||
| GOVERNMENT FUTURES / DIR (N/A) | 7.12 | 1.2606 | 1.2606 | ||||||
| 99EL509W7 / Total Return Swap | 6.62 | 1.1711 | 1.1711 | ||||||
| US01F0426B49 / FNMA TBA | 6.31 | 20.01 | 1.1166 | 0.1861 | |||||
| US21H0426B01 / GNMA TBA | 6.28 | 1.1112 | 1.1112 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 5.54 | 0.9810 | 0.9810 | ||||||
| US01F0426B49 / FNMA TBA | 5.26 | 0.9305 | 0.9305 | ||||||
| US3137A9WQ56 / FHLMC CMO PO | 5.11 | 0.9046 | 0.9046 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 5.07 | 0.8974 | 0.8974 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 4.88 | 0.8637 | 0.8637 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 4.72 | 0.8345 | 0.8345 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 4.41 | 0.7810 | 0.7810 | ||||||
| US037833BD17 / Apple, Inc. | 4.34 | 0.7680 | 0.7680 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 4.33 | 0.7667 | 0.7667 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 4.28 | 0.7567 | 0.7567 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 4.25 | 0.7526 | 0.7526 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 4.10 | 0.7254 | 0.7254 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 4.10 | 0.7254 | 0.7254 | ||||||
| US61762MBE03 / COMMERCIAL MORTGAGE BACKED SECURITIES | 3.93 | 0.6950 | 0.6950 | ||||||
| US3136AX4V48 / FNMA CMO IO | 3.83 | 0.6783 | 0.6783 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 3.67 | 0.6486 | 0.6486 | ||||||
| US2027A0JV26 / CORP. NOTE | 3.65 | 0.6454 | 0.6454 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 3.59 | 0.6359 | 0.6359 | ||||||
| US3136AU4G35 / FNMA CMO IO | 3.48 | 0.6163 | 0.6163 | ||||||
| US912796TK58 / United States Treasury Bill 03/12/2020 Tblm Bond | 3.47 | 0.6140 | 0.6140 | ||||||
| US12668AEV35 / CORP CMO | 3.42 | 0.6058 | 0.6058 | ||||||
| US85775AAA97 / CORP CMO | 3.34 | 0.5906 | 0.5906 | ||||||
| 99621Q9P0 / Total Return Swap | 3.32 | 0.5879 | 0.5879 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 3.29 | 0.5825 | 0.5825 | ||||||
| US22546NAH70 / COMMERCIAL MORTGAGE BACKED SECURITIES | 3.29 | 0.5813 | 0.5813 | ||||||
| US3137ABA844 / GOVT CMO | 3.21 | 0.5676 | 0.5676 | ||||||
| US48125LRN46 / JPMorgan Chase Bank NA | 3.20 | 0.5656 | 0.5656 | ||||||
| SHORT TERM INV FUND / STIV (N/A) | 3.15 | 3.15 | 0.5574 | 0.5574 | |||||
| US21H0406B47 / GNMA TBA | 3.12 | 0.5518 | 0.5518 | ||||||
| US89114QCD88 / Toronto-Dominion Bank/The | 3.09 | 0.5462 | 0.5462 | ||||||
| GR0133006198 / Hellenic Republic Government Bond | 3.02 | 0.5346 | 0.5346 | ||||||
| US760942BB71 / Uruguay Government International Bond | 3.01 | 0.5331 | 0.5331 | ||||||
| US912796TM15 / U.S. T BILLS | 2.98 | 0.5265 | 0.5265 | ||||||
| 99EK959A2 / Total Return Swap | 2.89 | 0.5122 | 0.5122 | ||||||
| 99258R9O1 / Total Return Swap | 2.88 | 0.5103 | 0.5103 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.87 | 0.5086 | 0.5086 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.87 | 0.5086 | 0.5086 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.86 | 0.5064 | 0.5064 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.86 | 0.5064 | 0.5064 | ||||||
| SWAPTION / DIR (N/A) | 2.84 | 0.5034 | 0.5034 | ||||||
| US02079KAA51 / Alphabet Inc | 2.84 | 0.5027 | 0.5027 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.84 | 0.5022 | 0.5022 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.84 | 0.5022 | 0.5022 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.84 | 0.5017 | 0.5017 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.84 | 0.5017 | 0.5017 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.81 | 0.4969 | 0.4969 | ||||||
| US85775BAA70 / CORP CMO | 2.80 | 0.4961 | 0.4961 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.80 | 0.4947 | 0.4947 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.78 | 0.4924 | 0.4924 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.78 | 0.4924 | 0.4924 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.76 | 0.4891 | 0.4891 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.76 | 0.4877 | 0.4877 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.76 | 0.4877 | 0.4877 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.73 | 0.4826 | 0.4826 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.73 | 0.4826 | 0.4826 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.70 | 0.4782 | 0.4782 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.70 | 0.4782 | 0.4782 | ||||||
| US85775CAA53 / CORP CMO | 2.69 | 0.4754 | 0.4754 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.57 | 0.4545 | 0.4545 | ||||||
| US38375AX251 / GNMA CMO IO | 2.51 | 0.4448 | 0.4448 | ||||||
| GR0133007204 / Hellenic Republic Government Bond | 2.47 | 0.4373 | 0.4373 | ||||||
| GOVERNMENT FUTURES / DIR (N/A) | 2.47 | 0.4365 | 0.4365 | ||||||
| US23305YAM12 / COMMERCIAL MORTGAGE BACKED SECURITIES | 2.42 | 0.4286 | 0.4286 | ||||||
| US46638UAR77 / COMMERCIAL MORTGAGE BACKED SECURITIES | 2.39 | 0.4230 | 0.4230 | ||||||
| US961214DU48 / Westpac Banking Corp | 2.31 | 0.4080 | 0.4080 | ||||||
| US30711XCH52 / CORP CMO | 2.28 | 0.4036 | 0.4036 | ||||||
| US90331HNP46 / US Bank NA/Cincinnati OH | 2.26 | 0.3992 | 0.3992 | ||||||
| 99650T9R4 / Total Return Swap | 2.25 | 0.3984 | 0.3984 | ||||||
| SWAPTION / DIR (N/A) | 2.24 | 0.3962 | 0.3962 | ||||||
| US02146BAB27 / CORP CMO | 2.23 | 0.3946 | 0.3946 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.19 | 0.3879 | 0.3879 | ||||||
| Interest Rate Swap / DIR (N/A) | 2.10 | 0.3724 | 0.3724 | ||||||
| US912796RM33 / United States Treasury Bill 11/07/2019 Tblm Bond | 2.10 | 0.3724 | 0.3724 | ||||||
| US61762MBG50 / COMMERCIAL MORTGAGE BACKED SECURITIES | 2.09 | 0.3698 | 0.3698 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.07 | 0.3669 | 0.3669 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 2.07 | 0.3669 | 0.3669 | ||||||
| US12621EAK91 / CNO Financial Group Inc | 2.06 | 0.3648 | 0.3648 | ||||||
| US17325FAN87 / Citibank N.A. | 2.05 | 0.3626 | 0.3626 | ||||||
| US912796SS93 / U.S. T BILLS | 2.05 | 0.3625 | 0.3625 | ||||||
| US06540RAF10 / BANK 2017-BNK9 | 2.03 | 0.3586 | 0.3586 | ||||||
| US94988QAU58 / Wells Fargo Commercial Mortgage Trust 2013-LC12 | 2.03 | 0.3585 | 0.3585 | ||||||
| US822582BG61 / Shell International Finance BV | 2.00 | 0.3543 | 0.3543 | ||||||
| US3137G0GZ69 / CORP CMO | 1.99 | 0.3518 | 0.3518 | ||||||
| US91087BAF76 / Mexico Government International Bond | 1.97 | 0.3487 | 0.3487 | ||||||
| BRAZIL / Brazilian Government International Bond | 1.97 | 0.3478 | 0.3478 | ||||||
| US05947UD629 / Banc of America Merrill Lynch Commercial Mortgage Inc | 1.94 | 0.3441 | 0.3441 | ||||||
| BHC / Bausch Health Companies Inc. | 1.94 | 0.3428 | 0.3428 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.93 | 0.3422 | 0.3422 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.91 | 0.3379 | 0.3379 | ||||||
| US582839AJ52 / Mead Johnson Nutrition Co | 1.89 | 0.3353 | 0.3353 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.89 | 0.3352 | 0.3352 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.89 | 0.3352 | 0.3352 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.87 | 0.3312 | 0.3312 | ||||||
| US31397URB79 / FNMA CMO IO | 1.87 | 0.3309 | 0.3309 | ||||||
| SWAPTION / DIR (N/A) | 1.85 | 0.3280 | 0.3280 | ||||||
| SWAPTION / DIR (N/A) | 1.84 | 0.3251 | 0.3251 | ||||||
| GR0133008210 / Hellenic Republic Government Bond | 1.83 | 0.3241 | 0.3241 | ||||||
| US125581GW24 / CORP. NOTE | 1.83 | 0.3231 | 0.3231 | ||||||
| US85571BAL99 / CORP. NOTE | 1.82 | 0.3212 | 0.3212 | ||||||
| US75524DAP50 / RBS Global Inc / Rexnord LLC | 1.80 | 0.3193 | 0.3193 | ||||||
| US38376RVS20 / GNMA CMO IO | 1.80 | 0.3192 | 0.3192 | ||||||
| US12631DBG79 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.79 | 0.3175 | 0.3175 | ||||||
| US94974BGM63 / Wells Fargo & Company Bond | 1.79 | 0.3172 | 0.3172 | ||||||
| 99511Q9D0 / Total Return Swap | 1.76 | 0.3112 | 0.3112 | ||||||
| US912796SW06 / United States Treasury Bill | 1.76 | 0.3111 | 0.3111 | ||||||
| US61763BAV62 / Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class XA, IO | 1.74 | 0.3081 | 0.3081 | ||||||
| US38375AXQ20 / GNMA CMO IO | 1.73 | 0.3054 | 0.3054 | ||||||
| 99AC439K2 / Total Return Swap | 1.72 | 0.3039 | 0.3039 | ||||||
| US084664BQ34 / Berkshire Hathaway Fin 4.25% 01/15/21 | 1.71 | 0.3017 | 0.3017 | ||||||
| US92890NAE94 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.68 | 0.2976 | 0.2976 | ||||||
| US12626LAF94 / COMMERCIAL MORT BACKED SEC IO | 1.67 | 0.2954 | 0.2954 | ||||||
| US428102AA57 / Hess Infrastructure Partners LP / Hess Infrastructure Partners Finance Corp | 1.66 | 0.2945 | 0.2945 | ||||||
| US36253BBB80 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.66 | 0.2930 | 0.2930 | ||||||
| US3136AX2B02 / FNMA CMO IO | 1.66 | 0.2929 | 0.2929 | ||||||
| US3136AHZJ26 / FNMA CMO IO | 1.65 | 0.2912 | 0.2912 | ||||||
| 99342T9A5 / Total Return Swap | 1.64 | 0.2908 | 0.2908 | ||||||
| US92938CAL19 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.63 | 0.2892 | 0.2892 | ||||||
| US25272KAW36 / Diamond 1 Financial Bond Bond | 1.63 | 0.2880 | 0.2880 | ||||||
| GR0114029540 / Hellenic Republic Government Bond | 1.61 | 0.2845 | 0.2845 | ||||||
| US92936TAJ16 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.58 | 0.2787 | 0.2787 | ||||||
| US46640LAN29 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.57 | 0.2785 | 0.2785 | ||||||
| US91086QBE70 / Mexico Government International Bond | 1.57 | 0.2783 | 0.2783 | ||||||
| US07388VAH15 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.57 | 0.2783 | 0.2783 | ||||||
| US38380LAB99 / GNMA CMO IO | 1.56 | 0.2765 | 0.2765 | ||||||
| US717081EB53 / Pfizer Inc Note Call Make Whole 1.70 12/15/2019 Bond | 1.56 | 0.2760 | 0.2760 | ||||||
| US80875AAP66 / Scientific Games International, Inc. 2018 Term Loan B5 | 1.56 | 0.2755 | 0.2755 | ||||||
| US3136ATNC49 / FNMA CMO IO | 1.53 | 0.2716 | 0.2716 | ||||||
| US12631DAG88 / COMM 2014-CCRE17 Mortgage Trust | 1.53 | 0.2714 | 0.2714 | ||||||
| US86960BAR33 / Svenska Handelsbanken AB | 1.51 | 0.2673 | 0.2673 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.51 | 0.2666 | 0.2666 | ||||||
| US07387MAK53 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.50 | 0.2647 | 0.2647 | ||||||
| US06675FAK30 / Banque Federative du Credit Mutuel SA | 1.49 | 0.2635 | 0.2635 | ||||||
| US38376RV786 / GNMA CMO IO | 1.49 | 0.2632 | 0.2632 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.48 | 0.2628 | 0.2628 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.48 | 0.2628 | 0.2628 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.48 | 0.2611 | 0.2611 | ||||||
| US3136ANJB42 / FNMA CMO IO | 1.46 | 0.2589 | 0.2589 | ||||||
| US858119BD11 / Steel Dynamics, Inc. Bond | 1.46 | 0.2576 | 0.2576 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.45 | 0.2570 | 0.2570 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.44 | 0.2556 | 0.2556 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.44 | 0.2550 | 0.2550 | ||||||
| US3136B0RS76 / FNMA CMO IO | 1.44 | 0.2546 | 0.2546 | ||||||
| US95000GBB95 / Wells Fargo Commercial Mortgage Trust 2016-BNK1 | 1.44 | 0.2540 | 0.2540 | ||||||
| US92660FAK03 / Videotron Ltd | 1.43 | 0.2532 | 0.2532 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.43 | 0.2528 | 0.2528 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.43 | 0.2524 | 0.2524 | ||||||
| US06051GHH56 / Bank of America Corp | 1.43 | 0.2522 | 0.2522 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.41 | 0.2503 | 0.2503 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.41 | 0.2503 | 0.2503 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.41 | 0.2499 | 0.2499 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.41 | 0.2490 | 0.2490 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.40 | 0.2477 | 0.2477 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.40 | 0.2477 | 0.2477 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.40 | 0.2475 | 0.2475 | ||||||
| US3136ANUR64 / FNMA CMO IO | 1.39 | 0.2466 | 0.2466 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.39 | 0.2461 | 0.2461 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.39 | 0.2461 | 0.2461 | ||||||
| US019736AE70 / ALLISON TRANSMISSION INC 4.75% 10/01/2027 144A | 1.38 | 0.2448 | 0.2448 | ||||||
| US38379GTZ09 / Government National Mortgage Association | 1.38 | 0.2442 | 0.2442 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 1.38 | 0.2440 | 0.2440 | ||||||
| US3136AUTB74 / FNMA CMO IO | 1.38 | 0.2436 | 0.2436 | ||||||
| US30711XBF06 / CORP CMO | 1.36 | 0.2408 | 0.2408 | ||||||
| US68389XBB01 / Oracle Corp | 1.36 | 0.2404 | 0.2404 | ||||||
| US594918BW38 / Microsoft Corp | 1.36 | 0.2404 | 0.2404 | ||||||
| US61744YAH18 / Morgan Stanley | 1.36 | 0.2404 | 0.2404 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.36 | 0.2402 | 0.2402 | ||||||
| US02005NBF69 / Ally Financial Inc | 1.35 | 0.2383 | 0.2383 | ||||||
| US55279HAN08 / Manufacturers & Traders Trust Co. | 1.34 | 0.2374 | 0.2374 | ||||||
| US38141GWG53 / Goldman Sachs Group Inc/The | 1.34 | 0.2370 | 0.2370 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.34 | 0.2368 | 0.2368 | ||||||
| US902674XF24 / UBS AG/London | 1.33 | 0.2348 | 0.2348 | ||||||
| US455780BL97 / GOVERNMENT BOND | 1.32 | 0.2342 | 0.2342 | ||||||
| US585503AA34 / CORP CMO | 1.31 | 0.2320 | 0.2320 | ||||||
| US22834KAB70 / Crown Finance US, Inc., First Lien Term Loan | 1.31 | 0.2318 | 0.2318 | ||||||
| US383909AF54 / WR Grace & Co-Conn | 1.31 | 0.2312 | 0.2312 | ||||||
| US38376RFV33 / GNMA CMO IO | 1.30 | 0.2309 | 0.2309 | ||||||
| US3137G0EZ87 / FREDDIE MAC STACR STACR 2015 DNA1 B | 1.30 | 0.2305 | 0.2305 | ||||||
| RU000A0ZYYP9 / Russian Foreign Bond - Eurobond | 1.30 | 0.2301 | 0.2301 | ||||||
| US912828K742 / United States Treasury Note/Bond | 1.30 | 0.2298 | 0.2298 | ||||||
| US12593FBE34 / COMMERCIAL MORT BACKED SEC IO | 1.30 | 0.2296 | 0.2296 | ||||||
| US44962LAB36 / IHS Markit Ltd | 1.29 | 0.2279 | 0.2279 | ||||||
| US745867AW12 / CORP. NOTE | 1.28 | 0.2258 | 0.2258 | ||||||
| US38375UD806 / GNMA CMO IO | 1.26 | 0.2226 | 0.2226 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 1.26 | 0.2224 | 0.2224 | ||||||
| US526057CR37 / Lennar Corp | 1.25 | 0.2212 | 0.2212 | ||||||
| US05565EAF25 / BMW US Capital, LLC | 1.25 | 0.2207 | 0.2207 | ||||||
| BAC.PRZ / BAC Capital Trust VIII | 1.24 | 0.2199 | 0.2199 | ||||||
| US16412XAC92 / CHENIERE CORPUS CHRISTI HLDGS LLC 5.875% 03/31/2025 | 1.24 | 0.2195 | 0.2195 | ||||||
| GR0114031561 / Hellenic Republic Government Bond | 1.24 | 0.2193 | 0.2193 | ||||||
| US38382AAK16 / GNMA CMO IO | 1.23 | 0.2171 | 0.2171 | ||||||
| US126192AL71 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.22 | 0.2165 | 0.2165 | ||||||
| US225436AA21 / Credit Suisse Group AG | 1.22 | 0.2157 | 0.2157 | ||||||
| US958102AM75 / Western Digital Corp 4.75% 02/15/2026 Bond | 1.22 | 0.2152 | 0.2152 | ||||||
| US03969AAM27 / Ardagh Glass Finance PLC | 1.22 | 0.2150 | 0.2150 | ||||||
| US120111BN87 / Standard Industries, Inc. | 1.21 | 0.2133 | 0.2133 | ||||||
| US65410CAA80 / Nielsen Holdings Plc Bond | 1.20 | 0.2126 | 0.2126 | ||||||
| US30711XCR35 / CORP CMO | 1.20 | 0.2116 | 0.2116 | ||||||
| US1248EPBP70 / CCO Holdings LLC / CCO Holdings Capital Corp | 1.19 | 0.2111 | 0.2111 | ||||||
| Interest Rate Swap / DIR (N/A) | 1.19 | 0.2098 | 0.2098 | ||||||
| US30711XCT90 / CORP CMO | 1.18 | 0.2083 | 0.2083 | ||||||
| US829259AR17 / Sinclair Television Group Inc | 1.17 | 0.2078 | 0.2078 | ||||||
| US38380AZD26 / Government National Mortgage Association | 1.17 | 0.2074 | 0.2074 | ||||||
| US172967LC35 / Citigroup Inc | 1.14 | 0.2022 | 0.2022 | ||||||
| US023135AJ58 / Amazon.com Inc | 1.14 | 0.2014 | 0.2014 | ||||||
| US85769FAA66 / CORP CMO | 1.12 | 0.1982 | 0.1982 | ||||||
| US90270YAC30 / UBS-Barclays Commercial Mortgage Trust 2013-C5 | 1.12 | 0.1977 | 0.1977 | ||||||
| US03674XAF33 / Antero Resources Corp. | 1.11 | 0.1964 | 0.1964 | ||||||
| US46643GAG55 / JPMBB Commercial Mortgage Securities Trust 2014-C24 | 1.11 | 0.1956 | 0.1956 | ||||||
| US3136AYW826 / FNMA CMO IO | 1.09 | 0.1935 | 0.1935 | ||||||
| US3136B3UE82 / FNMA CMO IO | 1.09 | 0.1932 | 0.1932 | ||||||
| US38380XYB71 / GNMA CMO IO | 1.09 | 0.1924 | 0.1924 | ||||||
| GR0118017657 / Hellenic Republic Government Bond | 1.09 | 0.1924 | 0.1924 | ||||||
| US3136ATSW57 / FNMA CMO IO | 1.08 | 0.1919 | 0.1919 | ||||||
| US69073TAR41 / Owens-brockway Glass Container Inc 5.875% 08/15/2023 144a Bond | 1.08 | 0.1916 | 0.1916 | ||||||
| US91159HHP82 / US Bancorp | 1.08 | 0.1908 | 0.1908 | ||||||
| US92890NAG43 / COMMERCIAL MORTGAGE BACKED SECURITIES | 1.08 | 0.1904 | 0.1904 | ||||||
| US74839XAF69 / Quikrete Holdings, Inc., Term Loan | 1.07 | 0.1902 | 0.1902 | ||||||
| US00100UAG76 / Advanced Disposal Services, Inc., Term Loan | 1.07 | 0.1895 | 0.1895 | ||||||
| US38376RA632 / GNMA CMO IO | 1.06 | 0.1873 | 0.1873 | ||||||
| 99209R9E3 / Total Return Swap | 1.06 | 0.1871 | 0.1871 | ||||||
| US585492AA94 / CORP CMO | 1.06 | 0.1870 | 0.1870 | ||||||
| US3137G0UX55 / FHLMC Structured Agency Credit Risk Debt Notes, Series 2018-HQA1, Class B1 | 1.06 | 0.1868 | 0.1868 | ||||||
| US3136AWLG00 / FNMA CMO IO | 1.05 | 0.1859 | 0.1859 | ||||||
| US12592LBK70 / COMM 2014-CCRE20 Mortgage Trust | 1.04 | 0.1836 | 0.1836 | ||||||
| US51508PAG90 / Golden Nugget, Inc. 2017 Incremental Term Loan B | 1.03 | 0.1819 | 0.1819 | ||||||
| US38376RDF01 / GNMA CMO IO | 1.03 | 0.1816 | 0.1816 | ||||||
| US065404BF15 / BANK 2018-BNK10 SER 2018-BN10 CL XA V/R REGD 0.88562300 | 1.02 | 0.1812 | 0.1812 | ||||||
| US105756BV13 / Brazilian Government International Bond | 1.02 | 0.1800 | 0.1800 | ||||||
| US47009YAK38 / T/L JAGUAR HOLDING CO II REGD ZCP TERM LOAN 0.00000000 | 1.02 | 0.1799 | 0.1799 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 1.02 | 0.1799 | 0.1799 | ||||||
| US00130HBT14 / CORPORATE BONDS | 1.01 | 0.1796 | 0.1796 | ||||||
| US30711XJ702 / Fannie Mae Connecticut Avenue Securities | 1.01 | 0.1787 | 0.1787 | ||||||
| US89052KAA34 / Toorak Mortgage Corp. Ltd., Series 2019-1, Class A1 | 1.01 | 0.1787 | 0.1787 | ||||||
| US31397QLM86 / GOVT CMO | 1.01 | 0.1785 | 0.1785 | ||||||
| US16412XAG07 / CHENIERE CORP CHRISTI HD SR SECURED 06/27 5.125 | 1.00 | 0.1773 | 0.1773 | ||||||
| US109043AG42 / Briggs & Stratton Corp 6.875% 12/15/20 | 0.99 | 0.1752 | 0.1752 | ||||||
| US46643PAN06 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.99 | 0.1747 | 0.1747 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.99 | 0.1744 | 0.1744 | ||||||
| US64072UAH59 / CSC Holdings, LLC, Term Loan | 0.99 | 0.1744 | 0.1744 | ||||||
| US30711XC368 / Fannie Mae Connecticut Avenue Securities | 0.99 | 0.1744 | 0.1744 | ||||||
| US38380LJF13 / GNMA CMO IO | 0.98 | 0.1726 | 0.1726 | ||||||
| US14453FAD15 / ASSET BACKED SECURITY | 0.97 | 0.1721 | 0.1721 | ||||||
| US61763UBE10 / MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUS SER 2014-C17 CL C V/R REGD 4.65657600 | 0.97 | 0.1717 | 0.1717 | ||||||
| US3137FPJJ53 / Freddie Mac Multifamily Structured Pass Through Certificates | 0.97 | 0.1709 | 0.1709 | ||||||
| US84265VAJ44 / Southern Copper Corp | 0.96 | 0.1707 | 0.1707 | ||||||
| US3137G0FZ78 / CORP CMO | 0.96 | 0.1700 | 0.1700 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.95 | 0.1687 | 0.1687 | ||||||
| US026932AC79 / CORP CMO | 0.95 | 0.1684 | 0.1684 | ||||||
| US17322AAM45 / Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class D | 0.95 | 0.1684 | 0.1684 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.95 | 0.1674 | 0.1674 | ||||||
| US96758DBA00 / WIDEOPENWEST FINANCE LLC | 0.94 | 0.1671 | 0.1671 | ||||||
| SWAPTION / DIR (N/A) | 0.94 | 0.1666 | 0.1666 | ||||||
| XAC6901LAE74 / 1011778 B.C. Unlimited Liability Company Term Loan B3 | 0.94 | 0.1666 | 0.1666 | ||||||
| SWAPTION / DIR (N/A) | 0.94 | 0.1662 | 0.1662 | ||||||
| US38376RPS93 / GNMA CMO IO | 0.94 | 0.1658 | 0.1658 | ||||||
| US38376RJD98 / GNMA CMO IO | 0.94 | 0.1657 | 0.1657 | ||||||
| SWAPTION / DIR (N/A) | 0.94 | 0.1656 | 0.1656 | ||||||
| US94988XAX49 / Wells Fargo Commercial Mortgage Trust 2014-LC16 | 0.94 | 0.1655 | 0.1655 | ||||||
| US1248EPBR37 / Cco Holdings Llc/capital Corp 5.50% 05/01/2026 144a Bond | 0.93 | 0.1650 | 0.1650 | ||||||
| SNFF / SPCM SA | 0.93 | 0.1638 | 0.1638 | ||||||
| US38376RJK32 / GNMA CMO IO | 0.92 | 0.1635 | 0.1635 | ||||||
| US12592GBE26 / COMM 2014-CCRE19 Mortgage Trust | 0.92 | 0.1632 | 0.1632 | ||||||
| SWAPTION / DIR (N/A) | 0.92 | 0.1629 | 0.1629 | ||||||
| US46641JBC99 / Jpmbb Commercial Mortgage Securities Trust 2014-c1 Jpmbb 2014-c18 C Bond | 0.92 | 0.1629 | 0.1629 | ||||||
| US38375U6A37 / GNMA CMO IO | 0.92 | 0.1625 | 0.1625 | ||||||
| US92930RAG74 / COMMERCIAL MORT BACKED SEC IO | 0.92 | 0.1623 | 0.1623 | ||||||
| US361841AJ81 / GLP Capital LP / GLP Financing II Inc | 0.92 | 0.1620 | 0.1620 | ||||||
| US61762XAE76 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.92 | 0.1620 | 0.1620 | ||||||
| US38375UVZ01 / GNMA CMO IO | 0.91 | 0.1613 | 0.1613 | ||||||
| US91324PBV31 / Unitedhealth Group Inc. 2.875% Senior Notes 03/15/22 | 0.91 | 0.1611 | 0.1611 | ||||||
| US46289RAA32 / Iron Mountain US Holdings, Inc. | 0.91 | 0.1608 | 0.1608 | ||||||
| SWAPTION / DIR (N/A) | 0.90 | 0.1595 | 0.1595 | ||||||
| SWAPTION / DIR (N/A) | 0.90 | 0.1595 | 0.1595 | ||||||
| SWAPTION / DIR (N/A) | 0.90 | 0.1594 | 0.1594 | ||||||
| US17275RBD35 / Cisco Systems Inc Bond | 0.90 | 0.1587 | 0.1587 | ||||||
| US30231GAV41 / Exxon Mobil Corp 2.222% 03/01/2021 Bond | 0.90 | 0.1587 | 0.1587 | ||||||
| US912796ST76 / United States Treasury Bill 11/21/2019 Tblm Bond | 0.90 | 0.1586 | 0.1586 | ||||||
| US38379PUB11 / GNMA CMO IO | 0.90 | 0.1585 | 0.1585 | ||||||
| US513272AB00 / Lamb Weston Holdings Inc | 0.89 | 0.1583 | 0.1583 | ||||||
| US126281AL81 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.89 | 0.1583 | 0.1583 | ||||||
| US432891AH24 / Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp | 0.89 | 0.1580 | 0.1580 | ||||||
| US38377JYM97 / GNMA CMO IO | 0.89 | 0.1573 | 0.1573 | ||||||
| US06367T4W71 / Bank of Montreal | 0.88 | 0.1558 | 0.1558 | ||||||
| US48126HAA86 / Jp Morgan Chase & Co Bond | 0.88 | 0.1555 | 0.1555 | ||||||
| US85771JAA43 / CORP CMO | 0.88 | 0.1554 | 0.1554 | ||||||
| US45688CAA53 / Ingevity Corp | 0.88 | 0.1553 | 0.1553 | ||||||
| US878742AY10 / Teck Resources Limited 3.75% 02/01/23 | 0.87 | 0.1548 | 0.1548 | ||||||
| US17312EAE68 / Citigroup Mortgage Loan Trust, Inc. | 0.87 | 0.1546 | 0.1546 | ||||||
| US98311AAA34 / Wyndham Hotels & Resorts Inc | 0.87 | 0.1542 | 0.1542 | ||||||
| CH0286864027 / UBS Group AG | 0.87 | 0.1542 | 0.1542 | ||||||
| US3137G0HZ50 / CORP CMO | 0.87 | 0.1541 | 0.1541 | ||||||
| US94946TAC09 / WELLCARE HEALTH PLANS INC 5.25% 04/01/2025 | 0.87 | 0.1535 | 0.1535 | ||||||
| US651290AQ17 / Newfield Exploration Co 5.625% 07/01/24 | 0.87 | 0.1531 | 0.1531 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.86 | 0.1530 | 0.1530 | ||||||
| CEMEX / Cemex SAB de CV | 0.86 | 0.1529 | 0.1529 | ||||||
| US20605PAG63 / Concho Resources, Inc. | 0.86 | 0.1520 | 0.1520 | ||||||
| 9902019N7 / Total Return Swap | 0.86 | 0.1516 | 0.1516 | ||||||
| SWAPTION / DIR (N/A) | 0.85 | 0.1513 | 0.1513 | ||||||
| SWAPTION / DIR (N/A) | 0.85 | 0.1512 | 0.1512 | ||||||
| SWAPTION / DIR (N/A) | 0.85 | 0.1511 | 0.1511 | ||||||
| US131347CC82 / Calpine Corp | 0.85 | 0.1509 | 0.1509 | ||||||
| US75114HAA59 / CORP CMO | 0.85 | 0.1506 | 0.1506 | ||||||
| US61690GAL59 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.85 | 0.1498 | 0.1498 | ||||||
| US69353RFC79 / PNC Bank NA | 0.85 | 0.1496 | 0.1496 | ||||||
| US78573NAA00 / Sabre GLBL, Inc. | 0.85 | 0.1496 | 0.1496 | ||||||
| US38379JHX28 / GNMA CMO IO | 0.85 | 0.1496 | 0.1496 | ||||||
| US817565CB82 / CORPORATE BONDS | 0.84 | 0.1494 | 0.1494 | ||||||
| US717081DX82 / Pfizer Inc Note Call Make Whole 1.95 6/3/2021 Bond | 0.84 | 0.1494 | 0.1494 | ||||||
| US3136B3TM28 / FNMA CMO IO | 0.84 | 0.1493 | 0.1493 | ||||||
| BNS / The Bank of Nova Scotia | 0.84 | 0.1492 | 0.1492 | ||||||
| US12592PBG72 / COMMERCIAL MORT BACKED SEC IO | 0.84 | 0.1487 | 0.1487 | ||||||
| US3137FP2M69 / FHLMC CMO IO | 0.84 | 0.1480 | 0.1480 | ||||||
| US61691EBB02 / MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 SER 2016-UB12 CL XA V/R REGD 0.91744200 | 0.83 | 0.1477 | 0.1477 | ||||||
| US87264AAN54 / T-MOBILE USA INC 6.375% 03/01/2025 | 0.83 | 0.1473 | 0.1473 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.83 | 0.1470 | 0.1470 | ||||||
| US3137FGSQ96 / FHLMC CMO IO | 0.83 | 0.1465 | 0.1465 | ||||||
| US46639JAG58 / JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 | 0.82 | 0.1459 | 0.1459 | ||||||
| US64072UAE29 / CSC Holdings, LLC, Term Loan | 0.82 | 0.1453 | 0.1453 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.82 | 0.1447 | 0.1447 | ||||||
| US12593ABB08 / COMMERCIAL MORT BACKED SEC IO | 0.81 | 0.1432 | 0.1432 | ||||||
| US48250NAA37 / KFC HLDG/PIZZA HUT/TACO BELL 5.00% 06/01/2024 144A | 0.81 | 0.1432 | 0.1432 | ||||||
| US3136B2XG21 / FNMA CMO IO | 0.81 | 0.1427 | 0.1427 | ||||||
| US12667GL766 / CORP CMO | 0.81 | 0.1425 | 0.1425 | ||||||
| 99471R9O2 / Total Return Swap | 0.80 | 0.1420 | 0.1420 | ||||||
| US90276WAT45 / UBSCM 2017-C7 XA CSTR 12/50 | 0.80 | 0.1417 | 0.1417 | ||||||
| US38376VHX82 / GNMA CMO IO | 0.80 | 0.1416 | 0.1416 | ||||||
| US00138CAD02 / AIG Global Funding | 0.80 | 0.1409 | 0.1409 | ||||||
| US13134NAG60 / Calpine Construction Finance Co., L.P., Term Loan | 0.80 | 0.1408 | 0.1408 | ||||||
| US527298BM48 / Level 3 Financing, Inc. | 0.78 | 0.1385 | 0.1385 | ||||||
| MATY44 / Mattamy Group Corp | 0.78 | 0.1384 | 0.1384 | ||||||
| US64110LAT35 / Netflix Inc | 0.78 | 0.1383 | 0.1383 | ||||||
| US38379YKE76 / GNMA CMO IO | 0.78 | 0.1383 | 0.1383 | ||||||
| US74368CAF14 / Protective Life Global Funding | 0.78 | 0.1382 | 0.1382 | ||||||
| US126281BB90 / CSAIL 2015-C1 Commercial Mortgage Trust | 0.78 | 0.1372 | 0.1372 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.77 | 0.1369 | 0.1369 | ||||||
| 99GP699S5 / Inflation Swap Leg | 0.77 | 0.1367 | 0.1367 | ||||||
| US042859AC26 / CORP CMO | 0.77 | 0.1366 | 0.1366 | ||||||
| US172441AX54 / Cinemark USA Inc | 0.77 | 0.1365 | 0.1365 | ||||||
| US3137BQQ911 / FHLMC CMO IO | 0.77 | 0.1361 | 0.1361 | ||||||
| US3136AUDM04 / FNMA CMO IO | 0.77 | 0.1361 | 0.1361 | ||||||
| SWAPTION / DIR (N/A) | 0.77 | 0.1359 | 0.1359 | ||||||
| US94988QAS03 / Wells Fargo Commercial Mortgage Trust 2013-LC12 | 0.77 | 0.1354 | 0.1354 | ||||||
| US131347CA27 / Calpine Corp | 0.77 | 0.1354 | 0.1354 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.76 | 0.1345 | 0.1345 | ||||||
| US3137FEAC45 / FHLMC CMO IO | 0.75 | 0.1335 | 0.1335 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.75 | 0.1334 | 0.1334 | ||||||
| US38378YH936 / GNMA CMO IO | 0.75 | 0.1331 | 0.1331 | ||||||
| US36186CBY84 / Ally Financial Inc | 0.75 | 0.1329 | 0.1329 | ||||||
| US163851AE83 / Chemours Co/The | 0.75 | 0.1324 | 0.1324 | ||||||
| US38379FFA21 / GNMA CMO IO | 0.75 | 0.1320 | 0.1320 | ||||||
| SWAPTION / DIR (N/A) | 0.75 | 0.1319 | 0.1319 | ||||||
| US61763KAE47 / Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class D | 0.75 | 0.1319 | 0.1319 | ||||||
| XS1631415400 / Ivory Coast Government International Bond | 0.74 | 0.1309 | 0.1309 | ||||||
| US38379NAU63 / GNMA CMO IO | 0.74 | 0.1306 | 0.1306 | ||||||
| US629377CE03 / NRG Energy Inc | 0.73 | 0.1293 | 0.1293 | ||||||
| US3136ARFT00 / FNMA CMO IO | 0.73 | 0.1292 | 0.1292 | ||||||
| GR0128013704 / Hellenic Republic Government Bond | 0.72 | 0.1281 | 0.1281 | ||||||
| US38376RC877 / GNMA CMO IO | 0.72 | 0.1277 | 0.1277 | ||||||
| US94989VAJ89 / WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS3 | 0.72 | 0.1274 | 0.1274 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.72 | 0.1265 | 0.1265 | ||||||
| US82967NBA54 / Sirius XM Radio Inc | 0.71 | 0.1265 | 0.1265 | ||||||
| US46284VAE11 / Iron Mountain Inc | 0.71 | 0.1263 | 0.1263 | ||||||
| US10524MAN74 / Brand Industrial Services, Inc., Term Loan | 0.71 | 0.1259 | 0.1259 | ||||||
| 99085X9Y5 / Total Return Swap | 0.71 | 0.1254 | 0.1254 | ||||||
| GR0128015725 / Hellenic Republic Government Bond | 0.71 | 0.1253 | 0.1253 | ||||||
| US92936CAW91 / WFRBS Commercial Mortgage Trust 2011-C4 | 0.70 | 0.1245 | 0.1245 | ||||||
| US36252RAT68 / COMMERCIAL MORT BACKED SEC IO | 0.70 | 0.1242 | 0.1242 | ||||||
| SWAPTION / DIR (N/A) | 0.70 | 0.1241 | 0.1241 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.70 | 0.1239 | 0.1239 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.70 | 0.1239 | 0.1239 | ||||||
| 99FR999W0 / Total Return Swap | 0.70 | 0.1235 | 0.1235 | ||||||
| US00130HBY09 / CORPORATE BONDS | 0.69 | 0.1227 | 0.1227 | ||||||
| US912796RT85 / United States Treasury Bill 01/02/2020 Tblm Bond | 0.69 | 0.1223 | 0.1223 | ||||||
| RAX / Rackspace Hosting, Inc. | 0.68 | 0.1212 | 0.1212 | ||||||
| US914908AX63 / Univision Communications Inc. Term Loan C5 | 0.68 | 0.1206 | 0.1206 | ||||||
| US61690VBA52 / Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 | 0.68 | 0.1205 | 0.1205 | ||||||
| US38376RUC86 / GNMA CMO IO | 0.68 | 0.1204 | 0.1204 | ||||||
| US89153VAP40 / Total Capital International SA | 0.68 | 0.1203 | 0.1203 | ||||||
| US36250GAR65 / GS Mortgage Securities Corp II | 0.68 | 0.1201 | 0.1201 | ||||||
| US166764BG48 / Chevron Corporation 2.10 5/16/2021 Bond | 0.67 | 0.1191 | 0.1191 | ||||||
| US87612BBG68 / Targa Resources Partners LP / Targa Resources Partners Finance Corp | 0.67 | 0.1191 | 0.1191 | ||||||
| US90268TAQ76 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.67 | 0.1187 | 0.1187 | ||||||
| SWAPTION / DIR (N/A) | 0.67 | 0.1186 | 0.1186 | ||||||
| SWAPTION / DIR (N/A) | 0.67 | 0.1178 | 0.1178 | ||||||
| US38376RKS49 / GNMA CMO IO | 0.67 | 0.1178 | 0.1178 | ||||||
| 99CI439U5 / Total Return Swap | 0.66 | 0.1173 | 0.1173 | ||||||
| US17322AAJ16 / Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class XA, IO | 0.66 | 0.1172 | 0.1172 | ||||||
| USY20721BJ74 / Indonesia Government International Bond | 0.66 | 0.1167 | 0.1167 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.66 | 0.1161 | 0.1161 | ||||||
| US61750HAH93 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.66 | 0.1160 | 0.1160 | ||||||
| AMT / American Tower Corporation | 0.65 | 0.1155 | 0.1155 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.65 | 0.1151 | 0.1151 | ||||||
| US92922F4B15 / CORP CMO | 0.65 | 0.1150 | 0.1150 | ||||||
| US61761DAQ51 / MORGAN STAN BAML TR-2012-C6 VAR 11/15/2045 144A | 0.65 | 0.1147 | 0.1147 | ||||||
| US41161PLQ45 / CORP CMO | 0.64 | 0.1140 | 0.1140 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.64 | 0.1136 | 0.1136 | ||||||
| US92565EAB92 / VICI Properties 1 LLC, Term Loan B | 0.64 | 0.1126 | 0.1126 | ||||||
| 99GL249J9 / Inflation Swap Leg | 0.63 | 0.1111 | 0.1111 | ||||||
| US38375ULU24 / GNMA CMO IO | 0.63 | 0.1108 | 0.1108 | ||||||
| 99337U9A9 / Total Return Swap | 0.62 | 0.1105 | 0.1105 | ||||||
| US38378FMA56 / GNMA CMO IO | 0.62 | 0.1100 | 0.1100 | ||||||
| 99342T9I8 / Total Return Swap | 0.62 | 0.1093 | 0.1093 | ||||||
| US17311LAA98 / CORP CMO | 0.61 | 0.1085 | 0.1085 | ||||||
| SWAPTION / DIR (N/A) | 0.61 | 0.1085 | 0.1085 | ||||||
| US12531YAQ17 / CFCRE_16-C4 | 0.60 | 0.1067 | 0.1067 | ||||||
| US3137AY2Q35 / FHLMC CMO IO | 0.60 | 0.1064 | 0.1064 | ||||||
| US526057BN32 / Lennar Corp Note M/w Clbl Bond | 0.59 | 0.1052 | 0.1052 | ||||||
| US28470YAB39 / Eldorado Resorts Inc 4.28725% 04/17/2024 Initial Term Loan Bond | 0.59 | 0.1052 | 0.1052 | ||||||
| 99008R9T3 / Total Return Swap | 0.59 | 0.1044 | 0.1044 | ||||||
| XAC7052BAF13 / GFL Environmental Inc. 2018 USD Term Loan B | 0.59 | 0.1042 | 0.1042 | ||||||
| US87239PAD69 / T/L VISTRA OPERATION COMPANY LLC REGD 0.00000000 | 0.59 | 0.1038 | 0.1038 | ||||||
| US02146QAB95 / CORP CMO | 0.59 | 0.1036 | 0.1036 | ||||||
| 99850Q9S6 / Total Return Swap | 0.58 | 0.1035 | 0.1035 | ||||||
| US3136A4BG35 / FNMA CMO IO | 0.58 | 0.1031 | 0.1031 | ||||||
| US3137AWHL24 / FHLMC CMO IO | 0.58 | 0.1030 | 0.1030 | ||||||
| XS1619155564 / Senegal Government International Bond | 0.58 | 0.1021 | 0.1021 | ||||||
| 99EO819R7 / Total Return Swap | 0.57 | 0.1010 | 0.1010 | ||||||
| US38380YXZ32 / GNMA CMO IO | 0.57 | 0.1008 | 0.1008 | ||||||
| GR0138008744 / Hellenic Republic Government Bond | 0.57 | 0.1006 | 0.1006 | ||||||
| SWAPTION / DIR (N/A) | 0.57 | 0.1005 | 0.1005 | ||||||
| US87264AAT25 / T-Mobile USA Inc | 0.57 | 0.1001 | 0.1001 | ||||||
| US38376RAJ59 / GNMA CMO IO | 0.56 | 0.0994 | 0.0994 | ||||||
| US38378GHD34 / GNMA CMO IO | 0.56 | 0.0992 | 0.0992 | ||||||
| US38376RQ661 / GNMA CMO IO | 0.56 | 0.0985 | 0.0985 | ||||||
| US36253GAS12 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.56 | 0.0985 | 0.0985 | ||||||
| US12592XBE58 / COMM 2015-CCRE22 Mortgage Trust | 0.56 | 0.0984 | 0.0984 | ||||||
| US92872HAB06 / Vericrest Opportunity Loan Transferee | 0.55 | 0.0973 | 0.0973 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.55 | 0.0971 | 0.0971 | ||||||
| US71647NAM11 / Petrobras Global Finance BV | 0.55 | 0.0965 | 0.0965 | ||||||
| US55312VAN82 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.55 | 0.0965 | 0.0965 | ||||||
| US780099CJ48 / Royal Bank of Scotland Group Plc Bond | 0.54 | 0.0959 | 0.0959 | ||||||
| US92922FW460 / CORP CMO | 0.54 | 0.0958 | 0.0958 | ||||||
| US38376REX08 / GNMA CMO IO | 0.54 | 0.0954 | 0.0954 | ||||||
| US57665RAG11 / Match Group Inc | 0.54 | 0.0951 | 0.0951 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.53 | 0.0941 | 0.0941 | ||||||
| SWAPTION / DIR (N/A) | 0.53 | 0.0933 | 0.0933 | ||||||
| US25470XAQ88 / DISH DBS Corp | 0.53 | 0.0929 | 0.0929 | ||||||
| US3137BCFC79 / FHLMC CMO IO | 0.52 | 0.0919 | 0.0919 | ||||||
| US30711XGQ16 / CORP CMO | 0.51 | 0.0910 | 0.0910 | ||||||
| US38380GZP26 / GNMA CMO IO | 0.51 | 0.0909 | 0.0909 | ||||||
| US46284PAQ72 / Iron Mountain, Inc. | 0.51 | 0.0903 | 0.0903 | ||||||
| 99AL459K7 / Total Return Swap | 0.51 | 0.0900 | 0.0900 | ||||||
| US410345AJ12 / HANESBRANDS INC 4.625% 05/15/2024 144A | 0.51 | 0.0898 | 0.0898 | ||||||
| US61760VAF04 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.51 | 0.0896 | 0.0896 | ||||||
| US38376R4J26 / GNMA CMO IO | 0.50 | 0.0889 | 0.0889 | ||||||
| US38379GQN06 / GNMA CMO IO | 0.50 | 0.0888 | 0.0888 | ||||||
| US496902AN77 / Kinross Gold Corp | 0.50 | 0.0876 | 0.0876 | ||||||
| 99620R9L8 / Total Return Swap | 0.49 | 0.0874 | 0.0874 | ||||||
| US3622E8AC94 / ASSET BACKED SECURITY | 0.49 | 0.0867 | 0.0867 | ||||||
| US39843PAD50 / Grifols, Inc., Term Loan B | 0.49 | 0.0863 | 0.0863 | ||||||
| US38380GSQ81 / GNMA CMO IO | 0.48 | 0.0858 | 0.0858 | ||||||
| US17322MBB19 / Citigroup Commercial Mortgage Trust 2014-GC21 | 0.48 | 0.0856 | 0.0856 | ||||||
| US46625HKA76 / JPMorgan Chase & Co. | 0.48 | 0.0853 | 0.0853 | ||||||
| US85208EAB65 / Sprint Communications, Inc. 1st Lien Term Loan B | 0.48 | 0.0852 | 0.0852 | ||||||
| US02146BAA44 / CORP CMO | 0.48 | 0.0852 | 0.0852 | ||||||
| US38377NHJ63 / GNMA CMO PO | 0.48 | 0.0851 | 0.0851 | ||||||
| US3136ACQP99 / FNMA CMO IO | 0.48 | 0.0850 | 0.0850 | ||||||
| US46631QAT94 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.48 | 0.0849 | 0.0849 | ||||||
| US09739DAC48 / Boise Cascade Co | 0.48 | 0.0846 | 0.0846 | ||||||
| US86361HAA23 / CORP CMO | 0.48 | 0.0846 | 0.0846 | ||||||
| US29278NAB91 / Energy Transfer Partners LP | 0.48 | 0.0845 | 0.0845 | ||||||
| US12527DAF78 / CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D | 0.48 | 0.0842 | 0.0842 | ||||||
| US78307ADC45 / GOVERNMENT BOND | 0.47 | 0.0838 | 0.0838 | ||||||
| US3137G0UD91 / CORP CMO | 0.47 | 0.0837 | 0.0837 | ||||||
| US00973RAC79 / Aker BP ASA | 0.47 | 0.0836 | 0.0836 | ||||||
| US05565QCX43 / CORP. NOTE | 0.47 | 0.0836 | 0.0836 | ||||||
| US38375AT879 / GNMA CMO IO | 0.47 | 0.0836 | 0.0836 | ||||||
| SWAPTION / DIR (N/A) | 0.47 | 0.0836 | 0.0836 | ||||||
| PAG / Penske Automotive Group, Inc. | 0.47 | 0.0832 | 0.0832 | ||||||
| US38379FFD69 / GNMA CMO IO | 0.47 | 0.0827 | 0.0827 | ||||||
| US361841AH26 / GLP Capital LP / GLP Financing II Inc | 0.47 | 0.0827 | 0.0827 | ||||||
| US853496AC17 / Standard Industries Inc/NJ | 0.46 | 0.0822 | 0.0822 | ||||||
| US912796TG47 / United States Treasury Bill 02/20/2020 Tblm Bond | 0.46 | 0.0821 | 0.0821 | ||||||
| US38378HKZ81 / GNMA CMO IO | 0.46 | 0.0820 | 0.0820 | ||||||
| 99738Q9B1 / Total Return Swap | 0.46 | 0.0817 | 0.0817 | ||||||
| US63946BAE02 / Nbcuniversal Me Bond | 0.46 | 0.0817 | 0.0817 | ||||||
| LUMN / Lumen Technologies, Inc. | 0.46 | 0.0815 | 0.0815 | ||||||
| US12624PAU93 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.46 | 0.0812 | 0.0812 | ||||||
| SWAPTION / DIR (N/A) | 0.45 | 0.0803 | 0.0803 | ||||||
| EHMEF4 / goeasy Ltd | 0.45 | 0.0803 | 0.0803 | ||||||
| US30711XY248 / Fannie Mae Connecticut Avenue Securities, Series 2018-C05, Class 1M2 | 0.45 | 0.0800 | 0.0800 | ||||||
| US61762MBC47 / Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class D | 0.45 | 0.0797 | 0.0797 | ||||||
| US912796TR02 / United States Treasury Bill | 0.45 | 0.0796 | 0.0796 | ||||||
| US64110LAJ52 / Netflix Inc | 0.45 | 0.0788 | 0.0788 | ||||||
| SWAPTION / DIR (N/A) | 0.44 | 0.0786 | 0.0786 | ||||||
| US88167AAL52 / Credit Suisse Securities (USA) LLC | 0.44 | 0.0784 | 0.0784 | ||||||
| US073685AD12 / Beacon Roofing Supply Inc 4.875% 11/01/2025 144a Bond | 0.44 | 0.0782 | 0.0782 | ||||||
| US12626JAE73 / CPG International Inc. 2017 Term Loan | 0.44 | 0.0782 | 0.0782 | ||||||
| US86362XAP33 / CORP CMO | 0.44 | 0.0780 | 0.0780 | ||||||
| SWAPTION / DIR (N/A) | 0.44 | 0.0777 | 0.0777 | ||||||
| US912796RN16 / Us Treasury Bond | 0.43 | 0.0769 | 0.0769 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.43 | 0.0766 | 0.0766 | ||||||
| US3136ADYF09 / FNMA CMO IO | 0.43 | 0.0762 | 0.0762 | ||||||
| US45672LAE56 / Infor (US), Inc. Term Loan B6 | 0.43 | 0.0752 | 0.0752 | ||||||
| US17321RAF38 / Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class XA | 0.42 | 0.0751 | 0.0751 | ||||||
| US912796TQ29 / U.S. Treasury Bills | 0.42 | 0.0749 | 0.0749 | ||||||
| US38379FTS82 / GNMA CMO IO | 0.42 | 0.0748 | 0.0748 | ||||||
| US69369EAE95 / Pertamina Persero PT | 0.42 | 0.0745 | 0.0745 | ||||||
| US12591TAF30 / Commercial Mortgage Trust, Series 2014-LC15, Class XA, IO | 0.42 | 0.0740 | 0.0740 | ||||||
| US30711X5R11 / CORP CMO | 0.42 | 0.0739 | 0.0739 | ||||||
| US38375ARB25 / GNMA CMO IO | 0.42 | 0.0739 | 0.0739 | ||||||
| US362341D712 / ASSET BACKED SECURITY | 0.42 | 0.0735 | 0.0735 | ||||||
| US20753KAB89 / CORP CMO | 0.42 | 0.0735 | 0.0735 | ||||||
| US12669GTP62 / CORP CMO | 0.42 | 0.0735 | 0.0735 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.42 | 0.0735 | 0.0735 | ||||||
| 99849Q9M3 / Total Return Swap | 0.41 | 0.0725 | 0.0725 | ||||||
| US95810DAR26 / Western Digital Corporation 2018 Term Loan B4 | 0.41 | 0.0724 | 0.0724 | ||||||
| US38380YXY66 / GNMA CMO IO | 0.41 | 0.0723 | 0.0723 | ||||||
| SWAPTION / DIR (N/A) | 0.41 | 0.0722 | 0.0722 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.40 | 0.0717 | 0.0717 | ||||||
| US037833AR12 / Apple Inc Senior Note M/w Bond | 0.40 | 0.0716 | 0.0716 | ||||||
| US92890NAY58 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.40 | 0.0711 | 0.0711 | ||||||
| Inflation Swap Leg / DIR (N/A) | 0.40 | 0.0700 | 0.0700 | ||||||
| US12008RAJ68 / Builders FirstSource, Inc. Bond | 0.39 | 0.0697 | 0.0697 | ||||||
| US87264AAV70 / T-MOBILE USA INC 4.75% 02/01/2028 | 0.39 | 0.0697 | 0.0697 | ||||||
| US95075EAC30 / Werner FinCo L.P., Term Loan | 0.39 | 0.0696 | 0.0696 | ||||||
| US38376R5C63 / GNMA CMO IO | 0.39 | 0.0693 | 0.0693 | ||||||
| XAC8856UAB44 / Titan Acquisition Limited 2018 Term Loan B | 0.39 | 0.0691 | 0.0691 | ||||||
| SWAPTION / DIR (N/A) | 0.39 | 0.0689 | 0.0689 | ||||||
| US30711XNW01 / CORP CMO | 0.39 | 0.0687 | 0.0687 | ||||||
| US466278AC20 / CORP CMO | 0.39 | 0.0684 | 0.0684 | ||||||
| US38380KBE47 / GNMA CMO IO | 0.38 | 0.0679 | 0.0679 | ||||||
| 99DF669J6 / Total Return Swap | 0.38 | 0.0676 | 0.0676 | ||||||
| 99DF669I8 / Total Return Swap | 0.38 | 0.0676 | 0.0676 | ||||||
| US3137B0Z567 / FHLMC CMO IO | 0.38 | 0.0670 | 0.0670 | ||||||
| US92936CAY57 / WFRBS 2011-C4 E 5.248784% 6/44 | 0.38 | 0.0668 | 0.0668 | ||||||
| US3136AA5E12 / FNMA CMO IO | 0.37 | 0.0660 | 0.0660 | ||||||
| US94106LAW90 / Waste Mgmt Inc Del Guaranteed Senior Notes Fixed Rt 4.75% 06/30/2020 | 0.37 | 0.0656 | 0.0656 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.37 | 0.0651 | 0.0651 | ||||||
| SWAPTION / DIR (N/A) | 0.37 | 0.0647 | 0.0647 | ||||||
| SWAPTION / DIR (N/A) | 0.37 | 0.0646 | 0.0646 | ||||||
| US38375UYG92 / GNMA CMO IO | 0.36 | 0.0646 | 0.0646 | ||||||
| US38375BMD19 / GNMA CMO IO | 0.36 | 0.0643 | 0.0643 | ||||||
| US3137B1HN54 / FHLMC CMO IO | 0.36 | 0.0643 | 0.0643 | ||||||
| US38378T7Q75 / GNMA CMO IO | 0.36 | 0.0642 | 0.0642 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.36 | 0.0640 | 0.0640 | ||||||
| GR0133009226 / Hellenic Republic Government Bond | 0.36 | 0.0636 | 0.0636 | ||||||
| US3137BQUE56 / FHLMC CMO IO | 0.36 | 0.0632 | 0.0632 | ||||||
| US36192BAL18 / GS Mortgage Securities Trust 2012-GC6 | 0.36 | 0.0631 | 0.0631 | ||||||
| SWAPTION / DIR (N/A) | 0.36 | 0.0630 | 0.0630 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.36 | 0.0628 | 0.0628 | ||||||
| US71647NAS80 / Petrobras Global Finance BV | 0.35 | 0.0626 | 0.0626 | ||||||
| US912828W481 / United States Treasury Note/Bond | 0.35 | 0.0613 | 0.0613 | ||||||
| US87470LAD38 / Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp | 0.35 | 0.0612 | 0.0612 | ||||||
| US38375BLB61 / GNMA CMO IO | 0.34 | 0.0610 | 0.0610 | ||||||
| US3137G0PR43 / Freddie Mac Structured Agency Credit Risk Debt Notes | 0.34 | 0.0610 | 0.0610 | ||||||
| US38380YYB54 / GNMA CMO IO | 0.34 | 0.0609 | 0.0609 | ||||||
| US46641WAX56 / JPMBB COML MTG SES TR 2014-C19 VAR 04/15/2047 | 0.34 | 0.0608 | 0.0608 | ||||||
| US3136A9X607 / FNMA, REMIC, Series 2012-124, Class UI | 0.34 | 0.0607 | 0.0607 | ||||||
| US74408DAE40 / GOVERNMENT BOND | 0.34 | 0.0607 | 0.0607 | ||||||
| SWAPTION / DIR (N/A) | 0.34 | 0.0602 | 0.0602 | ||||||
| 99977T9O7 / Total Return Swap | 0.34 | 0.0600 | 0.0600 | ||||||
| US455780BX36 / Indonesia Government International Bond | 0.34 | 0.0599 | 0.0599 | ||||||
| US46639EAN13 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.34 | 0.0598 | 0.0598 | ||||||
| SWAPTION / DIR (N/A) | 0.33 | 0.0590 | 0.0590 | ||||||
| US30711XQX56 / FNMA, Series 2017-C06, Class 1M2 | 0.33 | 0.0589 | 0.0589 | ||||||
| US455780BV79 / Indonesia Government International Bond | 0.33 | 0.0587 | 0.0587 | ||||||
| SWAPTION / DIR (N/A) | 0.33 | 0.0586 | 0.0586 | ||||||
| US38378TJH41 / GNMA CMO IO | 0.33 | 0.0586 | 0.0586 | ||||||
| SWAPTION / DIR (N/A) | 0.33 | 0.0586 | 0.0586 | ||||||
| SWAPTION / DIR (N/A) | 0.33 | 0.0583 | 0.0583 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.33 | 0.0580 | 0.0580 | ||||||
| US38378TNU06 / GNMA CMO IO | 0.32 | 0.0572 | 0.0572 | ||||||
| US38377TWW79 / GNMA CMO IO | 0.32 | 0.0566 | 0.0566 | ||||||
| US3617LADM11 / GII30 | 0.32 | 0.0566 | 0.0566 | ||||||
| US3137G0KJ71 / CORP CMO | 0.32 | 0.0558 | 0.0558 | ||||||
| SWAPTION / DIR (N/A) | 0.31 | 0.0548 | 0.0548 | ||||||
| 99065U9L3 / Total Return Swap | 0.31 | 0.0547 | 0.0547 | ||||||
| US20754FAK84 / CORP CMO | 0.31 | 0.0546 | 0.0546 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.30 | 0.0539 | 0.0539 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.30 | 0.0537 | 0.0537 | ||||||
| US17318UAK07 / Citigroup Commercial Mortgage Trust 2012-GC8 | 0.30 | 0.0533 | 0.0533 | ||||||
| 99157U9A6 / Total Return Swap | 0.30 | 0.0530 | 0.0530 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.30 | 0.0528 | 0.0528 | ||||||
| 99CD639F7 / Total Return Swap | 0.30 | 0.0528 | 0.0528 | ||||||
| 99CA019D8 / Total Return Swap | 0.30 | 0.0527 | 0.0527 | ||||||
| US893647BE67 / TransDigm, Inc. | 0.29 | 0.0521 | 0.0521 | ||||||
| US3137AXVR11 / FHLMC CMO IO | 0.29 | 0.0519 | 0.0519 | ||||||
| PBR.22 / Petrobras Global Finance BV | 0.29 | 0.0519 | 0.0519 | ||||||
| US3136A6LF99 / FNMA CMO IO | 0.29 | 0.0517 | 0.0517 | ||||||
| US085790AY96 / Berry Plastics Group Bond | 0.29 | 0.0508 | 0.0508 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.29 | 0.0507 | 0.0507 | ||||||
| 9902019F4 / Total Return Swap | 0.29 | 0.0506 | 0.0506 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.28 | 0.0503 | 0.0503 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.28 | 0.0503 | 0.0503 | ||||||
| 99560W9I6 / Total Return Swap | 0.28 | 0.0499 | 0.0499 | ||||||
| US31395V3D97 / GOVT CMO | 0.28 | 0.0498 | 0.0498 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.28 | 0.0496 | 0.0496 | ||||||
| 99CA019E6 / Total Return Swap | 0.28 | 0.0496 | 0.0496 | ||||||
| SWAPTION / DIR (N/A) | 0.28 | 0.0493 | 0.0493 | ||||||
| SWAPTION / DIR (N/A) | 0.28 | 0.0492 | 0.0492 | ||||||
| XAN0287GAB94 / Alpha 3 B.V. 2017 Term Loan B1 | 0.28 | 0.0491 | 0.0491 | ||||||
| US3136AU7B11 / FNMA CMO IO | 0.28 | 0.0491 | 0.0491 | ||||||
| SWAPTION / DIR (N/A) | 0.28 | 0.0490 | 0.0490 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.28 | 0.0487 | 0.0487 | ||||||
| US3137G0JJ90 / CORP CMO | 0.28 | 0.0487 | 0.0487 | ||||||
| US12591QAS12 / COMMERCIAL MORT BACKED SEC IO | 0.27 | 0.0486 | 0.0486 | ||||||
| GR0128014710 / Hellenic Republic Government Bond | 0.27 | 0.0485 | 0.0485 | ||||||
| SWAPTION / DIR (N/A) | 0.27 | 0.0481 | 0.0481 | ||||||
| XS1433314587 / Provincia de Buenos Aires/Government Bonds | 0.27 | 0.0479 | 0.0479 | ||||||
| US3137B32J67 / FHLMC CMO IO | 0.27 | 0.0478 | 0.0478 | ||||||
| 99846T9D0 / Total Return Swap | 0.27 | 0.0471 | 0.0471 | ||||||
| 99GP699Q9 / Inflation Swap Leg | 0.27 | 0.0470 | 0.0470 | ||||||
| USP79171AE79 / Provincia de Cordoba | 0.27 | 0.0469 | 0.0469 | ||||||
| SWAPTION / DIR (N/A) | 0.26 | 0.0467 | 0.0467 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.26 | 0.0466 | 0.0466 | ||||||
| US3617LDUA29 / GII30 | 0.26 | 0.0466 | 0.0466 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.26 | 0.0466 | 0.0466 | ||||||
| SWAPTION / DIR (N/A) | 0.26 | 0.0459 | 0.0459 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.25 | 0.0450 | 0.0450 | ||||||
| US38375UWZ91 / GNMA CMO IO | 0.25 | 0.0447 | 0.0447 | ||||||
| US35563KAH32 / CORP CMO | 0.25 | 0.0447 | 0.0447 | ||||||
| US912828L575 / United States Treasury Note/Bond | 0.25 | 0.0444 | 0.0444 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.25 | 0.0441 | 0.0441 | ||||||
| 99IB269Y1 / Inflation Swap Leg | 0.25 | 0.0435 | 0.0435 | ||||||
| 99IA889P2 / Inflation Swap Leg | 0.25 | 0.0434 | 0.0434 | ||||||
| 99IA889A5 / Inflation Swap Leg | 0.24 | 0.0433 | 0.0433 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.24 | 0.0432 | 0.0432 | ||||||
| US30711XYX64 / CORP CMO | 0.24 | 0.0432 | 0.0432 | ||||||
| US30711XAT19 / Fannie Mae Connecticut Avenue Securities | 0.24 | 0.0432 | 0.0432 | ||||||
| 99IA889C1 / Inflation Swap Leg | 0.24 | 0.0430 | 0.0430 | ||||||
| SWAPTION / DIR (N/A) | 0.24 | 0.0428 | 0.0428 | ||||||
| US3136ABM346 / FNMA CMO IO | 0.24 | 0.0423 | 0.0423 | ||||||
| 99065U9M1 / Total Return Swap | 0.24 | 0.0422 | 0.0422 | ||||||
| US31396FLW13 / GOVT CMO | 0.24 | 0.0421 | 0.0421 | ||||||
| BANK LOAN NOTE / DBT (N/A) | 0.23 | 0.0411 | 0.0411 | ||||||
| US92922F4V78 / CORP CMO | 0.23 | 0.0411 | 0.0411 | ||||||
| SWAPTION / DIR (N/A) | 0.23 | 0.0410 | 0.0410 | ||||||
| SWAPTION / DIR (N/A) | 0.23 | 0.0410 | 0.0410 | ||||||
| US69867DAA63 / Panther BF Aggregator 2 LP / Panther Finance Co Inc | 0.23 | 0.0408 | 0.0408 | ||||||
| SWAPTION / DIR (N/A) | 0.23 | 0.0403 | 0.0403 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.23 | 0.0402 | 0.0402 | ||||||
| 99FB009O1 / Total Return Swap | 0.23 | 0.0401 | 0.0401 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.23 | 0.0401 | 0.0401 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.23 | 0.0399 | 0.0399 | ||||||
| US46647DAA19 / Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp | 0.22 | 0.0398 | 0.0398 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.22 | 0.0392 | 0.0392 | ||||||
| US3617L8HW07 / GII30 | 0.22 | 0.0388 | 0.0388 | ||||||
| US02146QAD51 / CORP CMO | 0.22 | 0.0387 | 0.0387 | ||||||
| US38380BQL26 / GNMA CMO IO | 0.22 | 0.0387 | 0.0387 | ||||||
| US3136A97A03 / FNMA CMO IO | 0.22 | 0.0386 | 0.0386 | ||||||
| SWAPTION / DIR (N/A) | 0.22 | 0.0386 | 0.0386 | ||||||
| US92936JAA25 / COMMERCIAL MORT BACKED SEC IO | 0.22 | 0.0386 | 0.0386 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.22 | 0.0384 | 0.0384 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.22 | 0.0383 | 0.0383 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.22 | 0.0383 | 0.0383 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.22 | 0.0383 | 0.0383 | ||||||
| US90269CAH34 / UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class XA | 0.22 | 0.0382 | 0.0382 | ||||||
| US91087BAC46 / United Mexican States 4.15% 03/28/2027 Bond | 0.21 | 0.0379 | 0.0379 | ||||||
| SWAPTION / DIR (N/A) | 0.21 | 0.0376 | 0.0376 | ||||||
| US35564LAH06 / CORP CMO | 0.21 | 0.0370 | 0.0370 | ||||||
| 99GL249I1 / Inflation Swap Leg | 0.21 | 0.0368 | 0.0368 | ||||||
| US30711XAM65 / Fannie Mae Connecticut Avenue Securities, Series 2014-C03, Class 2M2 | 0.21 | 0.0368 | 0.0368 | ||||||
| US44962LAC19 / IHS Markit Ltd | 0.21 | 0.0364 | 0.0364 | ||||||
| SWAPTION / DIR (N/A) | 0.21 | 0.0363 | 0.0363 | ||||||
| 99IK699O3 / Inflation Swap Leg | 0.20 | 0.0361 | 0.0361 | ||||||
| US3617KJW676 / GII30 | 0.20 | 0.0360 | 0.0360 | ||||||
| US3137B2FV71 / FHLMC CMO IO | 0.20 | 0.0357 | 0.0357 | ||||||
| 99GZ679L2 / Inflation Swap Leg | 0.20 | 0.0351 | 0.0351 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.20 | 0.0346 | 0.0346 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.19 | 0.0344 | 0.0344 | ||||||
| SWAPTION / DIR (N/A) | 0.19 | 0.0338 | 0.0338 | ||||||
| US31396WCU80 / GOVT CMO | 0.19 | 0.0337 | 0.0337 | ||||||
| US38378VUJ24 / GNMA CMO IO | 0.19 | 0.0337 | 0.0337 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.18 | 0.0323 | 0.0323 | ||||||
| US38378JNF56 / GNMA CMO IO | 0.18 | 0.0316 | 0.0316 | ||||||
| US44932FAA57 / IAC Financeco 2 Inc | 0.18 | 0.0316 | 0.0316 | ||||||
| SWAPTION / DIR (N/A) | 0.18 | 0.0313 | 0.0313 | ||||||
| SWAPTION / DIR (N/A) | 0.18 | 0.0313 | 0.0313 | ||||||
| XAN2611UAC98 / Diamond (BC) B.V. USD Term Loan | 0.17 | 0.0303 | 0.0303 | ||||||
| SWAPTION / DIR (N/A) | 0.17 | 0.0303 | 0.0303 | ||||||
| SWAPTION / DIR (N/A) | 0.17 | 0.0299 | 0.0299 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.17 | 0.0293 | 0.0293 | ||||||
| US38378PXE32 / GNMA CMO IO | 0.17 | 0.0293 | 0.0293 | ||||||
| US848637AD65 / Splunk Inc Bond | 0.16 | 0.0288 | 0.0288 | ||||||
| US02149JAW62 / CORP CMO | 0.16 | 0.0286 | 0.0286 | ||||||
| GII30 / ABS-MBS (N/A) | 0.16 | 0.0285 | 0.0285 | ||||||
| 9902019M9 / Total Return Swap | 0.16 | 0.0284 | 0.0284 | ||||||
| 99EK249B0 / Total Return Swap | 0.16 | 0.0284 | 0.0284 | ||||||
| US3136ADFW43 / FNMA CMO IO | 0.16 | 0.0283 | 0.0283 | ||||||
| SWAPTION / DIR (N/A) | 0.16 | 0.0281 | 0.0281 | ||||||
| Credit Default Swap Basket Index / DCR (N/A) | 0.16 | 0.0281 | 0.0281 | ||||||
| US3617KLEF25 / GII30 | 0.16 | 0.0279 | 0.0279 | ||||||
| SWAPTION / DIR (N/A) | 0.16 | 0.0277 | 0.0277 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.16 | 0.0276 | 0.0276 | ||||||
| US92886TAH59 / Vonage Holdings Corp Bond | 0.15 | 0.0274 | 0.0274 | ||||||
| US58933YAS46 / Merck & Co., Inc. | 0.15 | 0.0272 | 0.0272 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.15 | 0.0272 | 0.0272 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.15 | 0.0267 | 0.0267 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.15 | 0.0267 | 0.0267 | ||||||
| US61760VAA17 / Morgan Stanley Capital I Trust 2012-C4 | 0.15 | 0.0266 | 0.0266 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.15 | 0.0264 | 0.0264 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.15 | 0.0263 | 0.0263 | ||||||
| US3617K4VA27 / GII30 | 0.15 | 0.0263 | 0.0263 | ||||||
| US741503AX44 / The Priceline Group Inc. Bond | 0.15 | 0.0260 | 0.0260 | ||||||
| SWAPTION / DIR (N/A) | 0.14 | 0.0255 | 0.0255 | ||||||
| US38375CQB99 / GNMA CMO IO | 0.14 | 0.0248 | 0.0248 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.14 | 0.0247 | 0.0247 | ||||||
| GR0133010232 / Hellenic Republic Government Bond | 0.14 | 0.0245 | 0.0245 | ||||||
| SWAPTION / DIR (N/A) | 0.14 | 0.0245 | 0.0245 | ||||||
| SWAPTION / DIR (N/A) | 0.14 | 0.0243 | 0.0243 | ||||||
| US697435AD78 / Palo Alto Networks Inc Bond | 0.14 | 0.0241 | 0.0241 | ||||||
| US36164VAA52 / GCI Liberty, Inc. DBT | 0.14 | 0.0240 | 0.0240 | ||||||
| SWAPTION / DIR (N/A) | 0.13 | 0.0237 | 0.0237 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.13 | 0.0237 | 0.0237 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.13 | 0.0235 | 0.0235 | ||||||
| SWAPTION / DIR (N/A) | 0.13 | 0.0235 | 0.0235 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.13 | 0.0230 | 0.0230 | ||||||
| US38376WM850 / GNMA CMO IO | 0.13 | 0.0230 | 0.0230 | ||||||
| US538034AQ25 / Live Nation Entertainment In Bond | 0.13 | 0.0229 | 0.0229 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.13 | 0.0229 | 0.0229 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.13 | 0.0225 | 0.0225 | ||||||
| SWAPTION / DIR (N/A) | 0.13 | 0.0224 | 0.0224 | ||||||
| US30711XAV64 / Fannie Mae Connecticut Avenue Securities | 0.13 | 0.0223 | 0.0223 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.13 | 0.0221 | 0.0221 | ||||||
| US531229AB89 / Liberty Media Corporation Bond | 0.12 | 0.0217 | 0.0217 | ||||||
| US38379NML37 / GNMA CMO IO | 0.12 | 0.0214 | 0.0214 | ||||||
| US00971TAJ07 / Akamai Technologies Inc Bond | 0.12 | 0.0214 | 0.0214 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.12 | 0.0213 | 0.0213 | ||||||
| SWAPTION / DIR (N/A) | 0.12 | 0.0213 | 0.0213 | ||||||
| US682189AP09 / On Semiconductor Corp Bond | 0.12 | 0.0212 | 0.0212 | ||||||
| US31397EDS19 / GOVT CMO | 0.12 | 0.0210 | 0.0210 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.12 | 0.0209 | 0.0209 | ||||||
| US25470MAB54 / DISH Network Corp. 3.375% Bond | 0.12 | 0.0207 | 0.0207 | ||||||
| SWAPTION / DIR (N/A) | 0.12 | 0.0204 | 0.0204 | ||||||
| US90184LAD47 / Twitter, Inc. Bond | 0.11 | 0.0202 | 0.0202 | ||||||
| 99384W9I0 / Total Return Swap | 0.11 | 0.0201 | 0.0201 | ||||||
| US472145AD36 / Jazz Investments I Ltd Bond | 0.11 | 0.0195 | 0.0195 | ||||||
| US3617LAAL64 / GII30 | 0.11 | 0.0194 | 0.0194 | ||||||
| US3617LAAY85 / GII30 | 0.11 | 0.0194 | 0.0194 | ||||||
| US3617KJAQ79 / GII30 | 0.11 | 0.0194 | 0.0194 | ||||||
| US3617KLDT38 / GII30 | 0.11 | 0.0193 | 0.0193 | ||||||
| US04363FAB58 / Tribune Resources, Inc., Term Loan | 0.11 | 0.0193 | 0.0193 | ||||||
| US3617JFGB44 / GII30 | 0.11 | 0.0193 | 0.0193 | ||||||
| US31394FAB13 / GOVT CMO | 0.11 | 0.0193 | 0.0193 | ||||||
| SWAPTION / DIR (N/A) | 0.11 | 0.0192 | 0.0192 | ||||||
| US34959JAJ79 / Fortive Corporation 0.875 02/15/2022 Bond | 0.11 | 0.0192 | 0.0192 | ||||||
| US252131AH00 / CONV. NOTE | 0.11 | 0.0190 | 0.0190 | ||||||
| US38379N2B78 / GNMA CMO IO | 0.11 | 0.0189 | 0.0189 | ||||||
| US3140JUGW87 / FN30 | 0.11 | 0.0188 | 0.0188 | ||||||
| GR0138005716 / Hellenic Republic Government Bond | 0.11 | 0.0188 | 0.0188 | ||||||
| US3617LCDT20 / GII30 | 0.11 | 0.0186 | 0.0186 | ||||||
| US35563XAH52 / CORP CMO | 0.10 | 0.0184 | 0.0184 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.10 | 0.0183 | 0.0183 | ||||||
| 99866U9C4 / Total Return Swap | 0.10 | 0.0181 | 0.0181 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.10 | 0.0179 | 0.0179 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.10 | 0.0177 | 0.0177 | ||||||
| US38379AZL78 / GNMA CMO IO | 0.10 | 0.0177 | 0.0177 | ||||||
| 99846T9B4 / Total Return Swap | 0.10 | 0.0176 | 0.0176 | ||||||
| US3136ADRD34 / FNMA CMO IO | 0.10 | 0.0176 | 0.0176 | ||||||
| SWAPTION / DIR (N/A) | 0.10 | 0.0175 | 0.0175 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.10 | 0.0174 | 0.0174 | ||||||
| US30711XAZ78 / Fannie Mae Connecticut Avenue Securities Frn 05/27/2025 2015-c02 2m2 Bond | 0.10 | 0.0173 | 0.0173 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.10 | 0.0173 | 0.0173 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.10 | 0.0173 | 0.0173 | ||||||
| US38381WUN63 / GNMA CMO IO | 0.10 | 0.0172 | 0.0172 | ||||||
| GR0128012698 / Hellenic Republic Government Bond | 0.10 | 0.0172 | 0.0172 | ||||||
| 99IJ269P3 / Interest Rate Swap | 0.10 | 0.0170 | 0.0170 | ||||||
| US31395U2R11 / GOVT CMO | 0.09 | 0.0168 | 0.0168 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.09 | 0.0166 | 0.0166 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.09 | 0.0166 | 0.0166 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.09 | 0.0164 | 0.0164 | ||||||
| US45772FAC14 / Inphi Corp Bond | 0.09 | 0.0161 | 0.0161 | ||||||
| US87918AAC99 / Teladoc Health Inc Bond | 0.09 | 0.0161 | 0.0161 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.09 | 0.0158 | 0.0158 | ||||||
| SWAPTION / DIR (N/A) | 0.09 | 0.0158 | 0.0158 | ||||||
| US3617KNKQ71 / GII30 | 0.09 | 0.0157 | 0.0157 | ||||||
| US98936JAB70 / Zendesk, Inc. Bond | 0.09 | 0.0156 | 0.0156 | ||||||
| US67020YAN04 / Nuance Communications Inc Bond | 0.09 | 0.0156 | 0.0156 | ||||||
| US163092AC35 / Chegg Inc | 0.09 | 0.0156 | 0.0156 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.09 | 0.0155 | 0.0155 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.09 | 0.0151 | 0.0151 | ||||||
| US72941BAA44 / Pluralsight Inc 144a (ps) - Co Bond | 0.09 | 0.0151 | 0.0151 | ||||||
| 99BF579X6 / Total Return Swap | 0.08 | 0.0150 | 0.0150 | ||||||
| US71647NAV10 / Petrobras Global Finance BV | 0.08 | 0.0150 | 0.0150 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.08 | 0.0150 | 0.0150 | ||||||
| US629377CG50 / Nrg Energy Inc Bond | 0.08 | 0.0147 | 0.0147 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.08 | 0.0145 | 0.0145 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.08 | 0.0145 | 0.0145 | ||||||
| SWAPTION / DIR (N/A) | 0.08 | 0.0145 | 0.0145 | ||||||
| GR0138012787 / Hellenic Republic Government Bond | 0.08 | 0.0145 | 0.0145 | ||||||
| US256163AB24 / DOCUSIGN INC DBT | 0.08 | 0.0143 | 0.0143 | ||||||
| US3617KQFF03 / GII30 | 0.08 | 0.0143 | 0.0143 | ||||||
| US30063PAB13 / Exas 3/8 3/15/27 Bond | 0.08 | 0.0142 | 0.0142 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.08 | 0.0140 | 0.0140 | ||||||
| A2E3 / Argentine Republic Government International Bond | 0.08 | 0.0138 | 0.0138 | ||||||
| US902104AB41 / Ii-vi Incorp Bond | 0.08 | 0.0137 | 0.0137 | ||||||
| US3617LADV10 / GII30 | 0.08 | 0.0136 | 0.0136 | ||||||
| US3617K4U881 / GII30 | 0.08 | 0.0135 | 0.0135 | ||||||
| SWAPTION / DIR (N/A) | 0.08 | 0.0134 | 0.0134 | ||||||
| US531229AF93 / Fwonk 1 01/23 Bond | 0.07 | 0.0132 | 0.0132 | ||||||
| US595017AF11 / Microchip Technology Inc Bond | 0.07 | 0.0132 | 0.0132 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0131 | 0.0131 | ||||||
| 99GZ679K4 / Inflation Swap Leg | 0.07 | 0.0131 | 0.0131 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.07 | 0.0130 | 0.0130 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0128 | 0.0128 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0128 | 0.0128 | ||||||
| US3140JS4K28 / FN30 | 0.07 | 0.0128 | 0.0128 | ||||||
| SWAPTION / DIR (N/A) | 0.07 | 0.0128 | 0.0128 | ||||||
| US3617K4U964 / GII30 | 0.07 | 0.0127 | 0.0127 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0127 | 0.0127 | ||||||
| US98138HAF82 / Workday, Inc. Bond | 0.07 | 0.0126 | 0.0126 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0126 | 0.0126 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0125 | 0.0125 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0125 | 0.0125 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0124 | 0.0124 | ||||||
| US925550AE55 / Viavi Solutions Inc Bond | 0.07 | 0.0124 | 0.0124 | ||||||
| US3617K4VB00 / GII30 | 0.07 | 0.0123 | 0.0123 | ||||||
| US57164YAB39 / Marriott Vactins Worldwid Co Bond | 0.07 | 0.0123 | 0.0123 | ||||||
| US48129KAE01 / Jpmorgan Chase Financial 0.25 05/01/2023 Bond | 0.07 | 0.0122 | 0.0122 | ||||||
| 99BD339K0 / Total Return Swap | 0.07 | 0.0120 | 0.0120 | ||||||
| US98954MAF86 / CONV. NOTE | 0.07 | 0.0120 | 0.0120 | ||||||
| US302941AP45 / Fti Consulting Inc Bond | 0.07 | 0.0119 | 0.0119 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0119 | 0.0119 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.07 | 0.0119 | 0.0119 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.07 | 0.0118 | 0.0118 | ||||||
| US3136FGRS88 / FNMA CMO IO | 0.07 | 0.0118 | 0.0118 | ||||||
| 9902019K3 / Total Return Swap | 0.07 | 0.0118 | 0.0118 | ||||||
| 99DR939J4 / Total Return Swap | 0.07 | 0.0118 | 0.0118 | ||||||
| 99AM159K8 / Total Return Swap | 0.07 | 0.0117 | 0.0117 | ||||||
| 99FB009U7 / Total Return Swap | 0.07 | 0.0117 | 0.0117 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.07 | 0.0117 | 0.0117 | ||||||
| US19625XAB82 / Colony Starwood Homes Bond | 0.07 | 0.0117 | 0.0117 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.06 | 0.0114 | 0.0114 | ||||||
| US29404KAB26 / Envestnet Inc Bond | 0.06 | 0.0114 | 0.0114 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.06 | 0.0114 | 0.0114 | ||||||
| US743424AE31 / PROOFPOINT INC | 0.06 | 0.0114 | 0.0114 | ||||||
| US3140JUFY52 / FN30 | 0.06 | 0.0112 | 0.0112 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.06 | 0.0112 | 0.0112 | ||||||
| SWAPTION / DIR (N/A) | 0.06 | 0.0110 | 0.0110 | ||||||
| US29786AAH95 / ETSY INC | 0.06 | 0.0109 | 0.0109 | ||||||
| US207410AE17 / CONMED CORP | 0.06 | 0.0109 | 0.0109 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.06 | 0.0109 | 0.0109 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.06 | 0.0109 | 0.0109 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.06 | 0.0108 | 0.0108 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.06 | 0.0107 | 0.0107 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.06 | 0.0107 | 0.0107 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.06 | 0.0107 | 0.0107 | ||||||
| US94419LAD38 / CONV. NOTE | 0.06 | 0.0105 | 0.0105 | ||||||
| 99033T9C5 / Total Return Swap | 0.06 | 0.0105 | 0.0105 | ||||||
| XS0294364954 / Petroleos de Venezuela SA | 0.06 | 0.0105 | 0.0105 | ||||||
| US298736AJ83 / Euronet Worldwide Inc 0.75 03/15/2049 Bond | 0.06 | 0.0105 | 0.0105 | ||||||
| US282914AA80 / 8x8 Inc (eght) - 38.948 Conv R Bond | 0.06 | 0.0104 | 0.0104 | ||||||
| US3617K4VC82 / GII30 | 0.06 | 0.0104 | 0.0104 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.06 | 0.0103 | 0.0103 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.06 | 0.0103 | 0.0103 | ||||||
| 99HK149O0 / Inflation Swap Leg | 0.06 | 0.0103 | 0.0103 | ||||||
| US55024UAB52 / Lumentum Hldgs Inc Bond | 0.06 | 0.0103 | 0.0103 | ||||||
| US09257WAC47 / Blackstone Mtg Tr Inc Bond | 0.06 | 0.0102 | 0.0102 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.06 | 0.0102 | 0.0102 | ||||||
| US92940WAB54 / Wix Com Ltd Bond | 0.06 | 0.0101 | 0.0101 | ||||||
| US35563MAH97 / CORP CMO | 0.06 | 0.0100 | 0.0100 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.06 | 0.0100 | 0.0100 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.06 | 0.0100 | 0.0100 | ||||||
| US09061GAH48 / BioMarin Pharmaceutical, Inc. Bond | 0.06 | 0.0099 | 0.0099 | ||||||
| US74967XAA19 / RH Bond | 0.06 | 0.0098 | 0.0098 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.06 | 0.0097 | 0.0097 | ||||||
| US3140JKL870 / FN30 | 0.05 | 0.0096 | 0.0096 | ||||||
| SWAPTION / DIR (N/A) | 0.05 | 0.0096 | 0.0096 | ||||||
| US64125CAD11 / Neurocrine Bios Bond | 0.05 | 0.0096 | 0.0096 | ||||||
| US48123VAC63 / j2 Global, Inc Bond | 0.05 | 0.0094 | 0.0094 | ||||||
| US38381XTX48 / GNMA CMO IO | 0.05 | 0.0093 | 0.0093 | ||||||
| US31394FEA93 / GOVT CMO | 0.05 | 0.0093 | 0.0093 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.05 | 0.0091 | 0.0091 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.05 | 0.0091 | 0.0091 | ||||||
| US00922RAB15 / Air Transport Services Grp I Bond | 0.05 | 0.0091 | 0.0091 | ||||||
| US852234AD56 / Square Inc Bond | 0.05 | 0.0090 | 0.0090 | ||||||
| US92343XAA81 / Verint Systems, Inc. 1.5% Bond Due 6/1/2021 | 0.05 | 0.0088 | 0.0088 | ||||||
| US74736LAC37 / Q2 Holdings, Inc. Bond | 0.05 | 0.0088 | 0.0088 | ||||||
| GR0128010676 / Hellenic Republic Government Bond | 0.05 | 0.0088 | 0.0088 | ||||||
| SWAPTION / DIR (N/A) | 0.05 | 0.0087 | 0.0087 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.05 | 0.0087 | 0.0087 | ||||||
| US67059NAB47 / Nutanix, Inc. Bond | 0.05 | 0.0086 | 0.0086 | ||||||
| US98235TAG22 / WRIGHT MEDICAL GROUP INC | 0.05 | 0.0086 | 0.0086 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.05 | 0.0086 | 0.0086 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.05 | 0.0086 | 0.0086 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.05 | 0.0085 | 0.0085 | ||||||
| SWAPTION / DIR (N/A) | 0.05 | 0.0084 | 0.0084 | ||||||
| US76680RAD98 / RingCentral, Inc. Bond | 0.05 | 0.0082 | 0.0082 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.05 | 0.0082 | 0.0082 | ||||||
| US292554AK82 / Encore Cap Group Inc Bond | 0.05 | 0.0081 | 0.0081 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.05 | 0.0080 | 0.0080 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.05 | 0.0080 | 0.0080 | ||||||
| US40171VAA89 / Guidewire Software Inc Bond | 0.05 | 0.0080 | 0.0080 | ||||||
| XS0217249126 / Venezuela Government International Bond | 0.05 | 0.0080 | 0.0080 | ||||||
| US893830BJ77 / Rig 0.5 1/30/23 Bond | 0.04 | 0.0078 | 0.0078 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.04 | 0.0078 | 0.0078 | ||||||
| US3140JXZG65 / FN30 | 0.04 | 0.0078 | 0.0078 | ||||||
| US3131YCMD52 / FR30 | 0.04 | 0.0077 | 0.0077 | ||||||
| US868459AD01 / Supernus Pharmaceuticals Inc Bond | 0.04 | 0.0077 | 0.0077 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.04 | 0.0076 | 0.0076 | ||||||
| 99BD339Q7 / Total Return Swap | 0.04 | 0.0076 | 0.0076 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.04 | 0.0076 | 0.0076 | ||||||
| US3617LEKS20 / GII30 | 0.04 | 0.0075 | 0.0075 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.04 | 0.0074 | 0.0074 | ||||||
| US45790VAB62 / Intelsat S A Bond | 0.04 | 0.0074 | 0.0074 | ||||||
| US695127AD26 / Pacira Pharmaceuticals Inc Bond | 0.04 | 0.0073 | 0.0073 | ||||||
| US338307AB76 / Five9 Inc Bond | 0.04 | 0.0073 | 0.0073 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.04 | 0.0073 | 0.0073 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.04 | 0.0073 | 0.0073 | ||||||
| US873379AB75 / Tabula Rasa HealthCare, Inc. DBT | 0.04 | 0.0071 | 0.0071 | ||||||
| US64829BAB62 / New Relic Inc Bond | 0.04 | 0.0071 | 0.0071 | ||||||
| US753422AB01 / Rapid7 Inc Bond | 0.04 | 0.0071 | 0.0071 | ||||||
| US45784PAJ03 / INSULET CORPORATION | 0.04 | 0.0069 | 0.0069 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.04 | 0.0068 | 0.0068 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.04 | 0.0068 | 0.0068 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.04 | 0.0067 | 0.0067 | ||||||
| US46333XAE85 / CONV. NOTE | 0.04 | 0.0067 | 0.0067 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.04 | 0.0066 | 0.0066 | ||||||
| SWAPTION / DIR (N/A) | 0.04 | 0.0066 | 0.0066 | ||||||
| 99471R9P9 / Total Return Swap | 0.04 | 0.0063 | 0.0063 | ||||||
| 99FB009T0 / Total Return Swap | 0.04 | 0.0063 | 0.0063 | ||||||
| US31359UPF65 / FNMA CMO IO | 0.04 | 0.0062 | 0.0062 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.04 | 0.0062 | 0.0062 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.04 | 0.0062 | 0.0062 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.04 | 0.0062 | 0.0062 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.03 | 0.0061 | 0.0061 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0061 | 0.0061 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.03 | 0.0060 | 0.0060 | ||||||
| US538146AA93 / LivePerson, Inc. DBT | 0.03 | 0.0060 | 0.0060 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.03 | 0.0059 | 0.0059 | ||||||
| US912828M565 / United States Treasury Note/Bond | 0.03 | 0.0059 | 0.0059 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0059 | 0.0059 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.03 | 0.0058 | 0.0058 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0058 | 0.0058 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0057 | 0.0057 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.03 | 0.0055 | 0.0055 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0055 | 0.0055 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0054 | 0.0054 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.03 | 0.0054 | 0.0054 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0053 | 0.0053 | ||||||
| SWAPTION / DIR (N/A) | 0.03 | 0.0053 | 0.0053 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0053 | 0.0053 | ||||||
| SWAPTION / DIR (N/A) | 0.03 | 0.0053 | 0.0053 | ||||||
| SWAPTION / DIR (N/A) | 0.03 | 0.0052 | 0.0052 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0052 | 0.0052 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0052 | 0.0052 | ||||||
| RDSALN / Shell International Finance BV | 0.03 | 0.0051 | 0.0051 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0050 | 0.0050 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0050 | 0.0050 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.03 | 0.0050 | 0.0050 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0049 | 0.0049 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.03 | 0.0049 | 0.0049 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0049 | 0.0049 | ||||||
| US141337AB11 / Carbonite Inc Bond | 0.03 | 0.0048 | 0.0048 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0046 | 0.0046 | ||||||
| US452327AK54 / Illumina Inc Bond | 0.03 | 0.0046 | 0.0046 | ||||||
| US75737FAA66 / Redfin Corp Bond | 0.03 | 0.0046 | 0.0046 | ||||||
| SWAPTION / DIR (N/A) | 0.03 | 0.0045 | 0.0045 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0045 | 0.0045 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0045 | 0.0045 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0045 | 0.0045 | ||||||
| US38379MGK45 / GNMA CMO IO | 0.03 | 0.0044 | 0.0044 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.03 | 0.0044 | 0.0044 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.03 | 0.0044 | 0.0044 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.03 | 0.0044 | 0.0044 | ||||||
| US165167CY16 / Chesapeake Energy Corp Bond | 0.02 | 0.0044 | 0.0044 | ||||||
| 99478U9A8 / Total Return Swap | 0.02 | 0.0043 | 0.0043 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0043 | 0.0043 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0043 | 0.0043 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0043 | 0.0043 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0042 | 0.0042 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0042 | 0.0042 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0042 | 0.0042 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0042 | 0.0042 | ||||||
| US92857FAB31 / Vocera Communications Inc Bond | 0.02 | 0.0041 | 0.0041 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0040 | 0.0040 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0040 | 0.0040 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0040 | 0.0040 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0040 | 0.0040 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0040 | 0.0040 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0040 | 0.0040 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0040 | 0.0040 | ||||||
| SWAPTION / DIR (N/A) | 0.02 | 0.0040 | 0.0040 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0040 | 0.0040 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0039 | 0.0039 | ||||||
| SWAPTION / DIR (N/A) | 0.02 | 0.0039 | 0.0039 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0039 | 0.0039 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0038 | 0.0038 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0038 | 0.0038 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0038 | 0.0038 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0037 | 0.0037 | ||||||
| SWAPTION / DIR (N/A) | 0.02 | 0.0037 | 0.0037 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0037 | 0.0037 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0037 | 0.0037 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0037 | 0.0037 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0037 | 0.0037 | ||||||
| US31396VWX27 / FNMA CMO PO | 0.02 | 0.0036 | 0.0036 | ||||||
| 99HF679S0 / Inflation Swap Leg | 0.02 | 0.0036 | 0.0036 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0036 | 0.0036 | ||||||
| US20173TAP03 / COMMERCIAL MORTGAGE BACKED SECURITIES | 0.02 | 0.0035 | 0.0035 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0035 | 0.0035 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0035 | 0.0035 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0034 | 0.0034 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0034 | 0.0034 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0034 | 0.0034 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0033 | 0.0033 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0033 | 0.0033 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0032 | 0.0032 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0032 | 0.0032 | ||||||
| US30711XAX21 / CORP CMO | 0.02 | 0.0032 | 0.0032 | ||||||
| US22541QEP37 / COMMERCIAL MORT BACKED SEC IO | 0.02 | 0.0032 | 0.0032 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0031 | 0.0031 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0030 | 0.0030 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0030 | 0.0030 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0030 | 0.0030 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0029 | 0.0029 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0028 | 0.0028 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.02 | 0.0028 | 0.0028 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0028 | 0.0028 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0027 | 0.0027 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.02 | 0.0027 | 0.0027 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0027 | 0.0027 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0026 | 0.0026 | ||||||
| SWAPTION / DIR (N/A) | 0.01 | 0.0026 | 0.0026 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0026 | 0.0026 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0025 | 0.0025 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0025 | 0.0025 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0024 | 0.0024 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0023 | 0.0023 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0023 | 0.0023 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0022 | 0.0022 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0022 | 0.0022 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0021 | 0.0021 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0021 | 0.0021 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0021 | 0.0021 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0020 | 0.0020 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0020 | 0.0020 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0019 | 0.0019 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0019 | 0.0019 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0019 | 0.0019 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0019 | 0.0019 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0019 | 0.0019 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0018 | 0.0018 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0018 | 0.0018 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0017 | 0.0017 | ||||||
| CURRENCY FORWARDS / DFE (N/A) | 0.01 | 0.0017 | 0.0017 | ||||||
| 99560W9G0 / Total Return Swap | 0.01 | 0.0017 | 0.0017 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0017 | 0.0017 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0016 | 0.0016 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0016 | 0.0016 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0016 | 0.0016 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0016 | 0.0016 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0016 | 0.0016 | ||||||
| US31359UWD35 / FNMA CMO IO | 0.01 | 0.0016 | 0.0016 | ||||||
| SWAPTION / DIR (N/A) | 0.01 | 0.0016 | 0.0016 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0015 | 0.0015 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0015 | 0.0015 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0015 | 0.0015 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0015 | 0.0015 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.01 | 0.0014 | 0.0014 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0014 | 0.0014 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0014 | 0.0014 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0014 | 0.0014 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0014 | 0.0014 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0013 | 0.0013 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0013 | 0.0013 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0013 | 0.0013 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0013 | 0.0013 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0013 | 0.0013 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0013 | 0.0013 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0012 | 0.0012 | ||||||
| US925651AA99 / VICI Properties 1 LLC | 0.01 | 0.0012 | 0.0012 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0012 | 0.0012 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0012 | 0.0012 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0012 | 0.0012 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0012 | 0.0012 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0012 | 0.0012 | ||||||
| US31392UZA59 / FHLMC CMO IO | 0.01 | 0.0011 | 0.0011 | ||||||
| OPTION ON MORTGAGE BONDS / DIR (N/A) | 0.01 | 0.0011 | 0.0011 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.01 | 0.0011 | 0.0011 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0011 | 0.0011 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0010 | 0.0010 | ||||||
| US31394PPT48 / FHLMC CMO IO | 0.01 | 0.0010 | 0.0010 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.01 | 0.0009 | 0.0009 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0009 | 0.0009 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0009 | 0.0009 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.00 | 0.0008 | 0.0008 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0007 | 0.0007 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.00 | 0.0007 | 0.0007 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0007 | 0.0007 | ||||||
| 99HI779R5 / Inflation Swap Leg | 0.00 | 0.0006 | 0.0006 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0006 | 0.0006 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0006 | 0.0006 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0006 | 0.0006 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0006 | 0.0006 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0006 | 0.0006 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0006 | 0.0006 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0006 | 0.0006 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.00 | 0.0005 | 0.0005 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.00 | 0.0005 | 0.0005 | ||||||
| US38377XUL45 / GNMA CMO IO | 0.00 | 0.0005 | 0.0005 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.00 | 0.0005 | 0.0005 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0005 | 0.0005 | ||||||
| SWAPTION / DIR (N/A) | 0.00 | 0.0004 | 0.0004 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0004 | 0.0004 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0004 | 0.0004 | ||||||
| US3133TBN226 / FHLMC CMO IO | 0.00 | 0.0004 | 0.0004 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.00 | 0.0003 | 0.0003 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0003 | 0.0003 | ||||||
| SWAPTION / DIR (N/A) | 0.00 | 0.0003 | 0.0003 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0002 | 0.0002 | ||||||
| OPTION ON MORTGAGE BONDS / DIR (N/A) | 0.00 | 0.0002 | 0.0002 | ||||||
| OPTION ON MORTGAGE BONDS / DIR (N/A) | 0.00 | 0.0002 | 0.0002 | ||||||
| OTC CURRENCY OPTION / DFE (N/A) | 0.00 | 0.0002 | 0.0002 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0002 | 0.0002 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0002 | 0.0002 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0002 | 0.0002 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0002 | 0.0002 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0002 | 0.0002 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| 99HH259R6 / Inflation Swap Leg | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| SWAPTION / DIR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| US059497BW64 / COMMERCIAL MORT BACKED SEC IO | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| OPTION ON MORTGAGE BONDS / DIR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| SWAPTION / DIR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| US36228FCH73 / CORP CMO IO | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0001 | 0.0001 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| US92978PAG46 / COMMERCIAL MORT BACKED SEC IO | 0.00 | 0.0000 | 0.0000 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| US59022HJD52 / COMMERCIAL MORT BACKED SEC IO | 0.00 | 0.0000 | 0.0000 | ||||||
| Interest Rate Swap / DIR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| SWAPTION / DIR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| SWAPTION / DIR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| OPTION ON MORTGAGE BONDS / DIR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| SWAPTION / DIR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| SWAPTION / DIR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| OPTION ON MORTGAGE BONDS / DIR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| OPTION ON MORTGAGE BONDS / DIR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| Mortgage Backed Swap Basket Index / DCR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| SWAPTION / DIR (N/A) | 0.00 | 0.0000 | 0.0000 | ||||||
| US50180JAP03 / LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class XW | 0.00 | 0.0000 | 0.0000 | ||||||
| US36228FAL04 / CORP CMO IO | 0.00 | 0.0000 | 0.0000 | ||||||
| US36228FAQ90 / CORP CMO IO | 0.00 | 0.0000 | 0.0000 | ||||||
| US36228FAF36 / CORP CMO IO | 0.00 | 0.0000 | 0.0000 | ||||||
| SWAPTION / DIR (N/A) | -0.02 | -0.0029 | -0.0029 | ||||||
| SWAPTION / DIR (N/A) | -0.03 | -0.0049 | -0.0049 | ||||||
| SWAPTION / DIR (N/A) | -0.04 | -0.0073 | -0.0073 | ||||||
| SWAPTION / DIR (N/A) | -0.06 | -0.0099 | -0.0099 | ||||||
| SWAPTION / DIR (N/A) | -0.06 | -0.0102 | -0.0102 | ||||||
| SWAPTION / DIR (N/A) | -0.07 | -0.0125 | -0.0125 | ||||||
| SWAPTION / DIR (N/A) | -0.07 | -0.0132 | -0.0132 | ||||||
| SWAPTION / DIR (N/A) | -0.08 | -0.0134 | -0.0134 | ||||||
| SWAPTION / DIR (N/A) | -0.08 | -0.0145 | -0.0145 | ||||||
| SWAPTION / DIR (N/A) | -0.08 | -0.0146 | -0.0146 | ||||||
| SWAPTION / DIR (N/A) | -0.10 | -0.0168 | -0.0168 | ||||||
| SWAPTION / DIR (N/A) | -0.10 | -0.0179 | -0.0179 | ||||||
| SWAPTION / DIR (N/A) | -0.14 | -0.0248 | -0.0248 | ||||||
| SWAPTION / DIR (N/A) | -0.15 | -0.0257 | -0.0257 | ||||||
| SWAPTION / DIR (N/A) | -0.24 | -0.0421 | -0.0421 | ||||||
| SWAPTION / DIR (N/A) | -0.24 | -0.0421 | -0.0421 | ||||||
| SWAPTION / DIR (N/A) | -0.31 | -0.0546 | -0.0546 | ||||||
| SWAPTION / DIR (N/A) | -0.31 | -0.0553 | -0.0553 | ||||||
| SWAPTION / DIR (N/A) | -0.34 | -0.0610 | -0.0610 | ||||||
| SWAPTION / DIR (N/A) | -0.63 | -0.1113 | -0.1113 |
