Symbol,FinalSettlementPrice,EvaluationDate,FirstTradeDate,ErisPAIDate,EffectiveDate,CashFlowAlignmentDate,MaturityDate,NPV (A),FixedNPV,FloatingNPV,Coupon (%),FairCoupon (%),FixedPayment,FloatingPayment,NextFixedPaymentDate,NextFixedPaymentAmount,PreviousFixingDate,PreviousFixingRate,NextFloatingPaymentDate,NextFloatingPaymentAmount,NextFixingDate,PreviousSettlementDate,PreviousSettlementPrice,PreviousErisPAI,PAIRateDate,PAIRate (%),AccrualDays,DailyIncrementalErisPAI,PastFxdFltPmts (B),ErisPAI (C),SettlementPrice (100+A+B-C),RFQ NPV TickSize ($),Nominal,ResetRateDescriptor,InterpolationFactor,PrevNPVForPAI,FixedAccrualStartDate,FixedAccrualEndDate,UnpaidFixedAccrual,FloatingAccrualStartDate,FloatingAccrualEndDate,IntPeriodSOFRIndex,FloatStartDF,FloatEndDF,UnpaidFloatingAccrual,CompoundRemainingFloatAmt,LastTradeDate,InitialSpeculatorMargin,SecondarySpeculatorMargin,InitialHedgerMargin,SecondaryHedgerMargin,ExchangeSymbol (EX005),BloombergTicker,FirstFixingDate,DiscountCurve,FloatingIndex,PV01,DV01,ShortName,EffectiveYearMonth,NetUnpaidFixedFloatingAccrual,NPV(A)lessNetUnpaidFixedFloatingAccrual,PastFxdFltPmts(B)plusNetUnpaidFixedFloatingAccrual
LIYZ12,108.9422,01/04/2021,12/07/2012,12/07/2012,12/19/2012,12/19/2022,12/19/2022,3.0887030814,3.4876571604,-0.3989540790,1.7500000000,0.2001829899,0.0000000000,0.0000000000,06/21/2021,0.8750000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,108.9486,-0.1116768408,12/30/2020,0.0900000000,4,0.0000309513,5.7418296390,-0.1116458895,108.9421786098,"",100,2M-3M,1.0000000000,3.0951334693,12/21/2020,06/21/2021,0.0631944444,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/16/2022,358,325,325,325,LIY,LIYZ12,12/17/2012,SOFR,LIBOR,19.91,18.14,10Y Dec 2012-2022 3mL,201212,0.0539143888,3.0347886926,5.7957440278
LIYH13,108.9410,01/04/2021,12/07/2012,12/07/2012,03/20/2013,03/20/2023,03/20/2023,3.9024669518,4.3667721296,-0.4643051777,1.7500000000,0.1860720086,0.0000000000,0.0000000000,03/22/2021,0.8798611111,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,108.9515,-0.1191419678,12/30/2020,0.0900000000,4,0.0000391292,4.9194436669,-0.1191028386,108.9410134574,"",100,2M-3M,1.0000000000,3.9129156709,09/21/2020,03/22/2021,0.5006944444,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/17/2023,413,375,375,375,LIY,LIYH13,03/18/2013,SOFR,LIBOR,24.93,20.67,10Y Mar 2013-2023 3mL,201303,0.4914143888,3.4110525630,5.4108580557
LIEZ12,134.6918,01/04/2021,12/07/2012,12/07/2012,12/19/2012,12/19/2042,12/19/2042,22.9156627580,49.8419845388,-26.9263217808,2.5000000000,1.3505843532,0.0000000000,0.0000000000,06/21/2021,1.2500000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,134.6884,-0.0303975946,12/30/2020,0.0900000000,4,0.0002291205,11.7459963057,-0.0301684741,134.6918275378,"",100,2M-3M,1.0000000000,22.9120533824,12/21/2020,06/21/2021,0.0902777778,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/18/2042,3960,3600,3600,3600,LIE,LIEZ12,12/17/2012,SOFR,LIBOR,209.33,231.01,30Y Dec 2012-2042 3mL,201212,0.0809977222,22.8346650358,11.8269940279
LIEH13,134.2878,01/04/2021,12/07/2012,12/07/2012,03/20/2013,03/20/2043,03/20/2043,23.7121590821,50.9559325818,-27.2437734997,2.5000000000,1.3366340345,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,134.2804,-0.0293933445,12/30/2020,0.0900000000,4,0.0002370447,10.5465270000,-0.0291562998,134.2878423818,"",100,2M-3M,1.0000000000,23.7044738481,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/19/2043,3960,3600,3600,3600,LIE,LIEH13,03/18/2013,SOFR,LIBOR,214.02,233.57,30Y Mar 2013-2043 3mL,201303,0.7059977222,23.0061613599,11.2525247222
LIYM13,111.3899,01/04/2021,02/28/2013,02/28/2013,06/19/2013,06/19/2023,06/19/2023,4.4455878013,4.9840964651,-0.5385086638,2.0000000000,0.2160907870,0.0000000000,0.0000000000,06/21/2021,1.0000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,111.4030,-0.0523132038,12/30/2020,0.0900000000,4,0.0000445860,6.8920496390,-0.0522686178,111.3899060581,"",100,2M-3M,1.0000000000,4.4585984032,12/21/2020,06/21/2021,0.0722222222,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/16/2023,440,400,400,400,LIY,LIYM13,06/17/2013,SOFR,LIBOR,24.90,23.46,10Y Jun 2013-2023 3mL,201306,0.0629421666,4.3826456347,6.9549918056
LIEM13,147.2356,01/04/2021,02/28/2013,02/28/2013,06/19/2013,06/19/2043,06/19/2043,33.4069342221,60.9682781350,-27.5613439128,3.0000000000,1.3561811858,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,147.2246,0.5686320445,12/30/2020,0.0900000000,4,0.0003339561,14.3976051946,0.5689660006,147.2355734161,"",100,2M-3M,1.0000000000,33.3956119674,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/18/2043,3960,3600,3600,3600,LIE,LIEM13,06/17/2013,SOFR,LIBOR,213.66,248.32,30Y Jun 2013-2043 3mL,201306,0.0990532777,33.3078809444,14.4966584723
LIYU13,116.2861,01/04/2021,05/31/2013,05/31/2013,09/18/2013,09/18/2023,09/18/2023,6.8688019766,7.4925148055,-0.6237128288,2.5000000000,0.2081119774,0.0000000000,0.0000000000,03/18/2021,1.2500000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,116.2988,0.1017781651,12/30/2020,0.0900000000,4,0.0000688140,9.5191397224,0.1018469791,116.2860947200,"",100,2M-3M,1.0000000000,6.8813982310,09/18/2020,03/18/2021,0.7361111111,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/15/2023,468,425,425,425,LIY,LIYU13,09/16/2013,SOFR,LIBOR,29.94,26.35,10Y Sep 2013-2023 3mL,201309,0.7249487222,6.1438532544,10.2440884446
LIEU13,153.5237,01/04/2021,05/31/2013,05/31/2013,09/18/2013,09/18/2043,09/18/2043,39.6282931334,67.5059047960,-27.8776116626,3.2500000000,1.3421379682,0.0000000000,0.0000000000,03/18/2021,1.6250000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,153.5092,0.8733674731,12/30/2020,0.0900000000,4,0.0003961339,14.7691397225,0.8737636070,153.5236692489,"",100,2M-3M,1.0000000000,39.6133896963,09/18/2020,03/18/2021,0.9569444444,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/17/2043,3960,3600,3600,3600,LIE,LIEU13,09/16/2013,SOFR,LIBOR,218.37,257.36,30Y Sep 2013-2043 3mL,201309,0.9457820555,38.6825110779,15.7149217780
LIYZ13,121.0841,01/04/2021,08/30/2013,08/30/2013,12/18/2013,12/18/2023,12/18/2023,8.2670008000,8.9888590847,-0.7218582847,3.0000000000,0.2409176553,0.0000000000,0.0000000000,06/18/2021,1.5000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,121.0964,0.2656654023,12/30/2020,0.0900000000,4,0.0000827923,13.0828018057,0.2657481946,121.0840544110,"",100,2M-3M,1.0000000000,8.2792337604,12/18/2020,06/18/2021,0.1333333333,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/15/2023,495,450,450,450,LIY,LIYZ13,12/16/2013,SOFR,LIBOR,29.93,29.28,10Y Dec 2013-2023 3mL,201312,0.1221709444,8.1448298556,13.2049727501
LIEZ13,166.3338,01/04/2021,08/30/2013,08/30/2013,12/18/2013,12/18/2043,12/18/2043,49.4804613799,77.6710639123,-28.1906025324,3.7500000000,1.3610571836,0.0000000000,0.0000000000,06/18/2021,1.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,166.3143,1.4789388825,12/30/2020,0.0900000000,4,0.0004946045,18.3328018056,1.4794334870,166.3338296984,"",100,2M-3M,1.0000000000,49.4604549601,12/18/2020,06/18/2021,0.1666666667,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/17/2043,4510,4100,4100,4100,LIE,LIEZ13,12/16/2013,SOFR,LIBOR,218.01,272.90,30Y Dec 2013-2043 3mL,201312,0.1555042778,49.3249571021,18.4883060834
LIBH14,107.7335,01/04/2021,11/29/2013,11/29/2013,03/19/2014,03/19/2021,03/19/2021,1.0540300393,1.1123541708,-0.0583241315,2.2500000000,0.1179743820,0.0000000000,0.0000000000,03/19/2021,1.1125000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,"",12/31/2020,107.7335,0.0335198688,12/30/2020,0.0900000000,4,0.0000105402,6.7130439446,0.0335304090,107.7335435749,"",100,2M-3M,1.0000000000,1.0540174842,09/21/2020,03/19/2021,0.6437500000,12/21/2020,03/19/2021,"","","",0.0092800556,"",03/18/2021,138,125,125,125,LIB,LIBH14,03/17/2014,SOFR,LIBOR,4.94,0.02,7Y Mar 2014-2021 3mL,201403,0.6344699444,0.4195600949,7.3475138890
LIYH14,120.9482,01/04/2021,11/29/2013,11/29/2013,03/19/2014,03/19/2024,03/19/2024,9.6313608086,10.4694047733,-0.8380439648,3.0000000000,0.2401408627,0.0000000000,0.0000000000,03/19/2021,1.4833333333,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,120.9622,0.2753083975,12/30/2020,0.0900000000,4,0.0000964527,11.5922106112,0.2754048502,120.9481665695,"",100,2M-3M,1.0000000000,9.6452739586,09/21/2020,03/19/2021,0.8583333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",03/18/2024,523,475,475,475,LIY,LIYH14,03/17/2014,SOFR,LIBOR,34.87,32.02,10Y Mar 2014-2024 3mL,201403,0.8490532777,8.7823075309,12.4412638889
LIEH14,165.7850,01/04/2021,11/29/2013,11/29/2013,03/19/2014,03/19/2044,03/21/2044,50.8059347632,79.3165986593,-28.5106638960,3.7500000000,1.3479522750,0.0000000000,0.0000000000,03/19/2021,1.8541666667,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,165.7620,1.4918383851,12/30/2020,0.0900000000,4,0.0005078244,16.4713772779,1.4923462095,165.7849658316,"",100,2M-3M,1.0000000000,50.7824443030,09/21/2020,03/19/2021,1.0729166667,12/21/2020,03/19/2021,"","","",0.0092800556,"",03/18/2044,4510,4100,4100,4100,LIE,LIEH14,03/17/2014,SOFR,LIBOR,222.64,276.23,30Y Mar 2014-2044 3mL,201403,1.0636366111,49.7422981521,17.5350138890
LIBM14,111.2259,01/04/2021,12/31/2013,12/31/2013,06/18/2014,06/18/2021,06/18/2021,1.2715863721,1.3746385447,-0.1030521726,2.7500000000,0.2061585395,0.0000000000,0.0000000000,06/18/2021,1.3750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,111.2254,0.1241710983,12/30/2020,0.0900000000,4,0.0000127104,10.0785315279,0.1241838087,111.2259340913,"",100,2M-3M,1.0000000000,1.2710382373,12/18/2020,06/18/2021,0.1222222222,12/18/2020,03/18/2021,"","","",0.0111623889,"",06/17/2021,121,110,110,110,LIB,LIBM14,06/16/2014,SOFR,LIBOR,5.00,2.61,7Y Jun 2014-2021 3mL,201406,0.1110598333,1.1605265388,10.1895913612
LIYM14,123.3412,01/04/2021,12/31/2013,12/31/2013,06/18/2014,06/18/2024,06/18/2024,10.3810635353,11.3563102183,-0.9752466829,3.2500000000,0.2791004876,0.0000000000,0.0000000000,06/18/2021,1.6250000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,123.3589,0.3683366910,12/30/2020,0.0900000000,4,0.0001039875,13.3285315279,0.3684406785,123.3411543847,"",100,2M-3M,1.0000000000,10.3987524931,12/18/2020,06/18/2021,0.1444444444,12/18/2020,03/18/2021,"","","",0.0111623889,"",06/17/2024,550,500,500,500,LIY,LIYM14,06/16/2014,SOFR,LIBOR,34.91,34.95,10Y Jun 2014-2024 3mL,201406,0.1332820555,10.2477814798,13.4618135834
LIEM14,171.9675,01/04/2021,12/31/2013,12/31/2013,06/18/2014,06/18/2044,06/20/2044,55.5668200463,84.3888499339,-28.8220298876,4.0000000000,1.3661534627,0.0000000000,0.0000000000,06/18/2021,2.0000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,171.9409,1.8022808281,12/30/2020,0.0900000000,4,0.0005553961,18.2035315279,1.8028362242,171.9675153500,"",100,2M-3M,1.0000000000,55.5396118768,12/18/2020,06/18/2021,0.1777777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",06/17/2044,4510,4100,4100,4100,LIE,LIEM14,06/16/2014,SOFR,LIBOR,222.33,286.02,30Y Jun 2014-2044 3mL,201406,0.1666153889,55.4002046574,18.3701469168
LIBU14,111.2522,01/04/2021,03/31/2014,03/31/2014,09/17/2014,09/17/2021,09/17/2021,2.6038882304,2.7492815674,-0.1453933370,2.7500000000,0.1454313307,0.0000000000,0.0000000000,03/17/2021,1.3750000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,111.2524,0.1320424351,12/30/2020,0.0900000000,4,0.0000260410,8.7803713612,0.1320684761,111.2521911155,"",100,2M-3M,1.0000000000,2.6041003312,09/17/2020,03/17/2021,0.8173611111,12/17/2020,03/17/2021,"","","",0.0114375000,"",09/16/2021,105,95,95,95,LIB,LIBU14,09/15/2014,SOFR,LIBOR,9.99,5.22,7Y Sep 2014-2021 3mL,201409,0.8059236111,1.7979646193,9.5862949723
LIYU14,123.2494,01/04/2021,03/31/2014,03/31/2014,09/17/2014,09/17/2024,09/17/2024,11.8493173122,12.9768261833,-1.1275088711,3.2500000000,0.2823805898,0.0000000000,0.0000000000,03/17/2021,1.6250000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,123.2709,0.3801285241,12/30/2020,0.0900000000,4,0.0001187067,11.7803713613,0.3802472308,123.2494414427,"",100,2M-3M,1.0000000000,11.8706687846,09/17/2020,03/17/2021,0.9659722222,12/17/2020,03/17/2021,"","","",0.0114375000,"",09/16/2024,578,525,525,525,LIY,LIYU14,09/15/2014,SOFR,LIBOR,39.89,37.75,10Y Sep 2014-2024 3mL,201409,0.9545347222,10.8947825900,12.7349060835
LIEU14,171.4839,01/04/2021,03/31/2014,03/31/2014,09/17/2014,09/17/2044,09/19/2044,57.0197616663,86.1494501717,-29.1296885054,4.0000000000,1.3525188355,0.0000000000,0.0000000000,03/17/2021,2.0000000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,171.4545,1.8156708060,12/30/2020,0.0900000000,4,0.0005698977,16.2803713612,1.8162407037,171.4838923238,"",100,2M-3M,1.0000000000,56.9897727029,09/17/2020,03/17/2021,1.1888888889,12/17/2020,03/17/2021,"","","",0.0114375000,"",09/16/2044,4510,4100,4100,4100,LIE,LIEU14,09/15/2014,SOFR,LIBOR,226.97,289.41,30Y Sep 2014-2044 3mL,201409,1.1774513889,55.8423102774,17.4578227501
LIBZ14,109.5656,01/04/2021,06/30/2014,06/30/2014,12/17/2014,12/17/2021,12/17/2021,2.3096003997,2.4989852607,-0.1893848610,2.5000000000,0.1894617628,0.0000000000,0.0000000000,06/17/2021,1.2500000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,109.5657,0.0836878149,12/30/2020,0.0900000000,4,0.0000230970,7.3396730279,0.0837109119,109.5655625156,"",100,2M-3M,1.0000000000,2.3097027388,12/17/2020,06/17/2021,0.1180555556,12/17/2020,03/17/2021,"","","",0.0114375000,"",12/16/2021,88,80,80,80,LIB,LIBZ14,12/15/2014,SOFR,LIBOR,9.99,7.80,7Y Dec 2014-2021 3mL,201412,0.1066180556,2.2029823441,7.4462910835
LIYZ14,120.7226,01/04/2021,06/30/2014,06/30/2014,12/17/2014,12/17/2024,12/17/2024,10.6767838870,11.9736078738,-1.2968239868,3.0000000000,0.3249206089,0.0000000000,0.0000000000,06/17/2021,1.5000000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,120.7466,0.2937005077,12/30/2020,0.0900000000,4,0.0001070058,10.3396730278,0.2938075135,120.7226494012,"",100,2M-3M,1.0000000000,10.7005837733,12/17/2020,06/17/2021,0.1416666667,12/17/2020,03/17/2021,"","","",0.0114375000,"",12/16/2024,633,575,575,575,LIY,LIYZ14,12/15/2014,SOFR,LIBOR,39.88,40.30,10Y Dec 2014-2024 3mL,201412,0.1302291667,10.5465547203,10.4699021945
LIEZ14,157.8565,01/04/2021,06/30/2014,06/30/2014,12/17/2014,12/17/2044,12/19/2044,45.7291998057,75.1659828881,-29.4367830824,3.5000000000,1.3706830780,0.0000000000,0.0000000000,06/17/2021,1.7500000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,157.8263,1.2118680926,12/30/2020,0.0900000000,4,0.0004569854,13.3396730278,1.2123250780,157.8565477555,"",100,2M-3M,1.0000000000,45.6985376433,12/17/2020,06/17/2021,0.1652777778,12/17/2020,03/17/2021,"","","",0.0114375000,"",12/16/2044,4510,4100,4100,4100,LIE,LIEZ14,12/15/2014,SOFR,LIBOR,226.59,279.20,30Y Dec 2014-2044 3mL,201412,0.1538402778,45.5753595279,13.4935133056
LIBH15,109.5482,01/04/2021,09/30/2014,09/30/2014,03/18/2015,03/18/2022,03/18/2022,3.5043649503,3.7484477825,-0.2440828322,2.5000000000,0.1627892707,0.0000000000,0.0000000000,03/18/2021,1.2500000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,109.5480,0.0885210996,12/30/2020,0.0900000000,4,0.0000350416,6.1323637501,0.0885561412,109.5481725592,"",100,2M-3M,1.0000000000,3.5041571680,09/18/2020,03/18/2021,0.7361111111,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/17/2022,105,95,95,95,LIB,LIBH15,03/16/2015,SOFR,LIBOR,14.99,10.38,7Y Mar 2015-2022 3mL,201503,0.7249487222,2.7794162281,6.8573124723
LIYH15,120.5654,01/04/2021,09/30/2014,09/30/2014,03/18/2015,03/18/2025,03/18/2025,11.9853762748,13.4674895495,-1.4821132746,3.0000000000,0.3301535752,0.0000000000,0.0000000000,03/18/2021,1.5000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,120.5897,0.3021740102,12/30/2020,0.0900000000,4,0.0001200949,8.8823637502,0.3022941051,120.5654459200,"",100,2M-3M,1.0000000000,12.0094859284,09/18/2020,03/18/2021,0.8833333333,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/17/2025,660,600,600,600,LIY,LIYH15,03/16/2015,SOFR,LIBOR,44.86,43.03,10Y Mar 2015-2025 3mL,201503,0.8721709444,11.1132053304,9.7545346946
LIEH15,157.3645,01/04/2021,09/30/2014,09/30/2014,03/18/2015,03/18/2045,03/20/2045,46.9539473827,76.6973649662,-29.7434175835,3.5000000000,1.3573081890,0.0000000000,0.0000000000,03/18/2021,1.7500000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,157.3311,1.2212968003,12/30/2020,0.0900000000,4,0.0004691998,11.6323637502,1.2217660001,157.3645451328,"",100,2M-3M,1.0000000000,46.9199833916,09/18/2020,03/18/2021,1.0305555556,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/17/2045,4510,4100,4100,4100,LIE,LIEH15,03/16/2015,SOFR,LIBOR,231.20,282.32,30Y Mar 2015-2045 3mL,201503,1.0193931667,45.9345542160,12.6517569169
LIBM15,109.5894,01/04/2021,12/31/2014,12/31/2014,06/17/2015,06/17/2022,06/17/2022,3.4587279248,3.7478696144,-0.2891416896,2.5000000000,0.1928706968,0.0000000000,0.0000000000,06/17/2021,1.2500000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,109.5897,0.0887570951,12/30/2020,0.0900000000,4,0.0000345893,6.2194891390,0.0887916844,109.5894253794,"",100,2M-3M,1.0000000000,3.4589290993,12/17/2020,06/17/2021,0.1180555556,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/16/2022,121,110,110,110,LIB,LIBM15,06/15/2015,SOFR,LIBOR,14.98,13.02,7Y Jun 2015-2022 3mL,201506,0.1066180556,3.3521098692,6.3261071946
LIYM15,118.0458,01/04/2021,12/31/2014,12/31/2014,06/17/2015,06/17/2025,06/17/2025,10.6573672315,12.3387213618,-1.6813541303,2.7500000000,0.3747328206,0.0000000000,0.0000000000,06/17/2021,1.3750000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,118.0696,0.2059308506,12/30/2020,0.0900000000,4,0.0001068104,7.5944891389,0.2060376610,118.0458187093,"",100,2M-3M,1.0000000000,10.6810447133,12/17/2020,06/17/2021,0.1298611111,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/16/2025,688,625,625,625,LIY,LIYM15,06/15/2015,SOFR,LIBOR,44.84,45.54,10Y Jun 2015-2025 3mL,201506,0.1184236111,10.5389436204,7.7129127500
LIEM15,150.3977,01/04/2021,12/31/2014,12/31/2014,06/17/2015,06/17/2045,06/19/2045,40.9700903740,71.0175490444,-30.0474586703,3.2500000000,1.3750719645,0.0000000000,0.0000000000,06/17/2021,1.6250000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,150.3626,0.9164847783,12/30/2020,0.0900000000,4,0.0004093460,10.3444891389,0.9168941243,150.3976853886,"",100,2M-3M,1.0000000000,40.9346002244,12/17/2020,06/17/2021,0.1534722222,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/16/2045,4510,4100,4100,4100,LIE,LIEM15,06/15/2015,SOFR,LIBOR,230.81,278.40,30Y Jun 2015-2045 3mL,201506,0.1420347222,40.8280556518,10.4865238611
LIBU15,109.6614,01/04/2021,03/31/2015,03/31/2015,09/16/2015,09/16/2022,09/16/2022,4.6609816891,4.9971208853,-0.3361391962,2.5000000000,0.1681664322,0.0000000000,0.0000000000,03/16/2021,1.2500000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,109.6621,0.0917416946,12/30/2020,0.0900000000,4,0.0000466164,5.0921918888,0.0917883110,109.6613852669,"",100,2M-3M,1.0000000000,4.6616354278,09/16/2020,03/16/2021,0.7500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/15/2022,143,130,130,130,LIB,LIBU15,09/14/2015,SOFR,LIBOR,19.98,15.68,7Y Sep 2015-2022 3mL,201509,0.7384284722,3.9225532169,5.8306203610
LIYU15,117.9430,01/04/2021,03/31/2015,03/31/2015,09/16/2015,09/16/2025,09/16/2025,11.8097478996,13.7060867941,-1.8963388945,2.7500000000,0.3804829225,0.0000000000,0.0000000000,03/16/2021,1.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,117.9663,0.2088280187,12/30/2020,0.0900000000,4,0.0001183292,6.3421918889,0.2089463479,117.9429934406,"",100,2M-3M,1.0000000000,11.8329217122,09/16/2020,03/16/2021,0.8250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/15/2025,715,650,650,650,LIY,LIYU15,09/14/2015,SOFR,LIBOR,49.82,48.31,10Y Sep 2015-2025 3mL,201509,0.8134284722,10.9963194274,7.1556203611
LIEU15,143.4975,01/04/2021,03/31/2015,03/31/2015,09/16/2015,09/16/2045,09/18/2045,36.5175982174,66.8675381927,-30.3499399753,3.0000000000,1.3616445646,0.0000000000,0.0000000000,03/16/2021,1.5000000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,143.4610,0.6119284293,12/30/2020,0.0900000000,4,0.0003648077,7.5921918889,0.6122932370,143.4974968694,"",100,2M-3M,1.0000000000,36.4807668650,09/16/2020,03/16/2021,0.9000000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/15/2045,4510,4100,4100,4100,LIE,LIEU15,09/14/2015,SOFR,LIBOR,235.41,274.23,30Y Sep 2015-2045 3mL,201509,0.8884284722,35.6291697452,8.4806203611
LIBZ15,108.0003,01/04/2021,06/30/2015,06/30/2015,12/16/2015,12/16/2022,12/16/2022,4.1004579948,4.4966516506,-0.3961936558,2.2500000000,0.1982443371,0.0000000000,0.0000000000,06/16/2021,1.1250000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,108.0076,0.0271232751,12/30/2020,0.0900000000,4,0.0000410772,3.9269988333,0.0271643523,108.0002924758,"",100,2M-3M,1.0000000000,4.1077180738,12/16/2020,06/16/2021,0.1125000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/15/2022,165,150,150,150,LIB,LIBZ15,12/14/2015,SOFR,LIBOR,19.97,18.26,7Y Dec 2015-2022 3mL,201512,0.1009284722,3.9995295226,4.0279273055
LIYZ15,115.3945,01/04/2021,06/30/2015,06/30/2015,12/16/2015,12/16/2025,12/16/2025,10.3220368342,12.4519474266,-2.1299105923,2.5000000000,0.4276260009,0.0000000000,0.0000000000,06/16/2021,1.2500000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,115.4178,0.1044804796,12/30/2020,0.0900000000,4,0.0001034524,5.1769988332,0.1045839320,115.3944517355,"",100,2M-3M,1.0000000000,10.3452354947,12/16/2020,06/16/2021,0.1250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/15/2025,770,700,700,700,LIY,LIYZ15,12/14/2015,SOFR,LIBOR,49.79,50.70,10Y Dec 2015-2025 3mL,201512,0.1134284722,10.2086083620,5.2904273054
LIEZ15,136.5896,01/04/2021,06/30/2015,06/30/2015,12/16/2015,12/16/2045,12/18/2045,30.4666564451,61.1194292910,-30.6527728459,2.7500000000,1.3791870491,0.0000000000,0.0000000000,06/16/2021,1.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,136.5514,0.3037036696,12/30/2020,0.0900000000,4,0.0003042810,6.4269988333,0.3040079506,136.5896473278,"",100,2M-3M,1.0000000000,30.4281013091,12/16/2020,06/16/2021,0.1375000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/15/2045,4510,4100,4100,4100,LIE,LIEZ15,12/14/2015,SOFR,LIBOR,235.00,269.77,30Y Dec 2015-2045 3mL,201512,0.1259284722,30.3407279729,6.5529273055
LIWH16,102.7639,01/04/2021,09/30/2015,09/30/2015,03/16/2016,03/16/2021,03/16/2021,0.9450682200,0.9998738028,-0.0548055828,2.0000000000,0.1096250000,0.0000000000,0.0000000000,03/16/2021,1.0000000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,"",12/31/2020,102.7639,-0.0110008952,12/30/2020,0.0900000000,4,0.0000094506,1.8078745278,-0.0109914446,102.7639341924,"",100,2M-3M,1.0000000000,0.9450567681,09/16/2020,03/16/2021,0.6000000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",03/15/2021,6,5,5,5,LIW,LIWH16,03/14/2016,SOFR,LIBOR,5.00,0.02,5Y Mar 2016-2021 3mL,201603,0.5884284722,0.3566397478,2.3963030000
LIBH16,108.0647,01/04/2021,09/30/2015,09/30/2015,03/16/2016,03/16/2023,03/16/2023,5.1588816650,5.6207154298,-0.4618337648,2.2500000000,0.1848743249,0.0000000000,0.0000000000,03/16/2021,1.1250000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,108.0774,0.0270298607,12/30/2020,0.0900000000,4,0.0000517159,2.9328745277,0.0270815766,108.0646746161,"",100,2M-3M,1.0000000000,5.1715876874,09/16/2020,03/16/2021,0.6750000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",03/15/2023,187,170,170,170,LIB,LIBH16,03/14/2016,SOFR,LIBOR,24.96,20.87,7Y Mar 2016-2023 3mL,201603,0.6634284722,4.4954531928,3.5963029999
LIYH16,115.2670,01/04/2021,09/30/2015,09/30/2015,03/16/2016,03/16/2026,03/16/2026,11.3140491487,13.6925598806,-2.3785107320,2.5000000000,0.4342706464,0.0000000000,0.0000000000,03/16/2021,1.2500000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,115.2920,0.1048540555,12/30/2020,0.0900000000,4,0.0001133903,4.0578745276,0.1049674458,115.2669562305,"",100,2M-3M,1.0000000000,11.3390292995,09/16/2020,03/16/2021,0.7500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",03/13/2026,825,750,750,750,LIY,LIYH16,03/14/2016,SOFR,LIBOR,54.77,53.38,10Y Mar 2016-2026 3mL,201603,0.7384284722,10.5756206765,4.7963029998
LIEH16,136.2370,01/04/2021,09/30/2015,09/30/2015,03/16/2016,03/16/2046,03/16/2046,31.3614228238,62.3062575146,-30.9448346908,2.7500000000,1.3658065625,0.0000000000,0.0000000000,03/16/2021,1.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,136.1959,0.3069439435,12/30/2020,0.0900000000,4,0.0003131998,5.1828745277,0.3072571433,136.2370402082,"",100,2M-3M,1.0000000000,31.3199806896,09/16/2020,03/16/2021,0.8250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",03/15/2046,4510,4100,4100,4100,LIE,LIEH16,03/14/2016,SOFR,LIBOR,239.55,272.42,30Y Mar 2016-2046 3mL,201603,0.8134284722,30.5479943516,5.9963029999
LIWM16,102.8944,01/04/2021,12/31/2015,12/31/2015,06/15/2016,06/15/2021,06/15/2021,0.8995292849,0.9997412394,-0.1002119545,2.0000000000,0.2004757843,0.0000000000,0.0000000000,06/15/2021,1.0000000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,102.8955,-0.0170022407,12/30/2020,0.0900000000,4,0.0000090061,1.9778804165,-0.0169932346,102.8944029360,"",100,2M-3M,1.0000000000,0.9006063631,12/15/2020,06/15/2021,0.1055555556,12/15/2020,03/15/2021,"","","",0.0120277778,"",06/14/2021,6,5,5,5,LIW,LIWM16,06/13/2016,SOFR,LIBOR,5.00,2.59,5Y Jun 2016-2021 3mL,201606,0.0935277778,0.8060015071,2.0714081943
LIBM16,106.4852,01/04/2021,12/31/2015,12/31/2015,06/15/2016,06/15/2023,06/15/2023,4.4605389271,4.9952476021,-0.5347086749,2.0000000000,0.2140869553,0.0000000000,0.0000000000,06/15/2021,1.0000000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,106.4997,-0.0468197721,12/30/2020,0.0900000000,4,0.0000447500,1.9778804165,-0.0467750221,106.4851943657,"",100,2M-3M,1.0000000000,4.4750015066,12/15/2020,06/15/2021,0.1055555556,12/15/2020,03/15/2021,"","","",0.0120277778,"",06/14/2023,209,190,190,190,LIB,LIBM16,06/13/2016,SOFR,LIBOR,24.95,23.45,7Y Jun 2016-2023 3mL,201606,0.0935277778,4.3670111493,2.0714081943
LIYM16,112.7771,01/04/2021,12/31/2015,12/31/2015,06/15/2016,06/15/2026,06/15/2026,9.6666227785,12.3137227825,-2.6471000041,2.2500000000,0.4836859749,0.0000000000,0.0000000000,06/15/2021,1.1250000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,112.8057,-0.0076709403,12/30/2020,0.0900000000,4,0.0000969512,3.1028804166,-0.0075739891,112.7770771841,"",100,2M-3M,1.0000000000,9.6951239474,12/15/2020,06/15/2021,0.1187500000,12/15/2020,03/15/2021,"","","",0.0120277778,"",06/12/2026,880,800,800,800,LIY,LIYM16,06/13/2016,SOFR,LIBOR,54.74,55.70,10Y Jun 2016-2026 3mL,201606,0.1067222222,9.5599005563,3.2096026388
LIEM16,129.4645,01/04/2021,12/31/2015,12/31/2015,06/15/2016,06/15/2046,06/15/2046,25.2346535467,56.4808297640,-31.2461762173,2.5000000000,1.3830434303,0.0000000000,0.0000000000,06/15/2021,1.2500000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,129.4220,-0.0021906583,12/30/2020,0.0900000000,4,0.0002519189,4.2278804164,-0.0019387394,129.4644727025,"",100,2M-3M,1.0000000000,25.1918899361,12/15/2020,06/15/2021,0.1319444444,12/15/2020,03/15/2021,"","","",0.0120277778,"",06/14/2046,4510,4100,4100,4100,LIE,LIEM16,06/13/2016,SOFR,LIBOR,239.13,267.58,30Y Jun 2016-2046 3mL,201606,0.1199166666,25.1147368801,4.3477970830
LIIH16,120.5020,01/04/2021,01/08/2016,01/08/2016,03/16/2016,03/16/2028,03/16/2028,15.5425977293,20.4180072741,-4.8754095448,2.7500000000,0.6566446994,0.0000000000,0.0000000000,03/16/2021,1.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,120.5534,0.2233157800,12/30/2020,0.0900000000,4,0.0001559384,5.1828745277,0.2234717184,120.5020005386,"",100,2M-3M,1.0000000000,15.5938449584,09/16/2020,03/16/2021,0.8250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",03/15/2028,1980,1800,1800,1800,LII,LIIH16,03/14/2016,SOFR,LIBOR,74.48,75.70,12Y Mar 2016-2028 3mL,201603,0.8134284722,14.7291692571,5.9963029999
LIIM16,117.4497,01/04/2021,01/08/2016,01/08/2016,06/15/2016,06/15/2028,06/15/2028,13.3110967545,18.5378726731,-5.2267759186,2.5000000000,0.7048780638,0.0000000000,0.0000000000,06/15/2021,1.2500000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,117.5017,0.0890963576,12/30/2020,0.0900000000,4,0.0001336289,4.2278804164,0.0892299865,117.4497471844,"",100,2M-3M,1.0000000000,13.3628885635,12/15/2020,06/15/2021,0.1319444444,12/15/2020,03/15/2021,"","","",0.0120277778,"",06/14/2028,1980,1800,1800,1800,LII,LIIM16,06/13/2016,SOFR,LIBOR,74.44,77.71,12Y Jun 2016-2028 3mL,201606,0.1199166666,13.1911800879,4.3477970830
LILH16,123.7155,01/04/2021,01/08/2016,01/08/2016,03/16/2016,03/16/2031,03/17/2031,18.7646343569,28.2112383500,-9.4466039932,2.7500000000,0.9208444046,0.0000000000,0.0000000000,03/16/2021,1.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,123.7778,0.2318273641,12/30/2020,0.0900000000,4,0.0001882678,5.1828745277,0.2320156319,123.7154932527,"",100,2M-3M,1.0000000000,18.8267777395,09/16/2020,03/16/2021,0.8250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",03/14/2031,2420,2200,2200,2200,LIL,LILH16,03/14/2016,SOFR,LIBOR,103.74,108.48,15Y Mar 2016-2031 3mL,201603,0.8134284722,17.9512058847,5.9963029999
LILM16,119.9139,01/04/2021,01/08/2016,01/08/2016,06/15/2016,06/15/2031,06/16/2031,15.7488990537,25.5981968921,-9.8492978384,2.5000000000,0.9619132433,0.0000000000,0.0000000000,06/15/2021,1.2500000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,119.9767,0.0626796656,12/30/2020,0.0900000000,4,0.0001581148,4.2278804164,0.0628377804,119.9139416898,"",100,2M-3M,1.0000000000,15.8114777129,12/15/2020,06/15/2021,0.1319444444,12/15/2020,03/15/2021,"","","",0.0120277778,"",06/13/2031,2420,2200,2200,2200,LIL,LILM16,06/13/2016,SOFR,LIBOR,103.65,109.79,15Y Jun 2016-2031 3mL,201606,0.1199166666,15.6289823871,4.3477970830
LIOH16,128.0102,01/04/2021,01/08/2016,01/08/2016,03/16/2016,03/16/2036,03/17/2036,23.0721521002,40.4361310038,-17.3639789036,2.7500000000,1.1808978950,0.0000000000,0.0000000000,03/16/2021,1.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,128.0606,0.2445778449,12/30/2020,0.0900000000,4,0.0002312231,5.1828745277,0.2448090680,128.0102175599,"",100,2M-3M,1.0000000000,23.1223103241,09/16/2020,03/16/2021,0.8250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",03/14/2036,3190,2900,2900,2900,LIO,LIOH16,03/14/2016,SOFR,LIBOR,151.18,162.98,20Y Mar 2016-2036 3mL,201603,0.8134284722,22.2587236280,5.9963029999
LIOM16,123.1306,01/04/2021,01/08/2016,01/08/2016,06/15/2016,06/15/2036,06/16/2036,18.9264956652,36.6697371031,-17.7432414379,2.5000000000,1.2096651653,0.0000000000,0.0000000000,06/15/2021,1.2500000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,123.1808,0.0236203856,12/30/2020,0.0900000000,4,0.0001897650,4.2278804164,0.0238101506,123.1305659309,"",100,2M-3M,1.0000000000,18.9765023706,12/15/2020,06/15/2021,0.1319444444,12/15/2020,03/15/2021,"","","",0.0120277778,"",06/13/2036,3190,2900,2900,2900,LIO,LIOM16,06/13/2016,SOFR,LIBOR,151.00,162.72,20Y Jun 2016-2036 3mL,201606,0.1199166666,18.8065789986,4.3477970830
LIDM17,98.7544,01/04/2021,12/30/2016,12/30/2016,06/21/2017,06/21/2021,06/21/2021,0.5237846480,0.6248331275,-0.1010484794,1.2500000000,0.2021509324,0.0000000000,0.0000000000,06/21/2021,0.6250000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,98.7518,-0.1450847273,12/30/2020,0.0900000000,4,0.0000052110,-1.9144356945,-0.1450795163,98.7544284698,"",100,2M-3M,1.0000000000,0.5211016379,12/21/2020,06/21/2021,0.0451388889,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/18/2021,33,30,30,30,LID,LIDM17,06/19/2017,SOFR,LIBOR,5.00,2.55,4Y Jun 2017-2021 3mL,201706,0.0358588333,0.4879258147,-1.8785768612
LIWU16,102.8274,01/04/2021,04/01/2016,04/01/2016,09/21/2016,09/21/2021,09/21/2021,1.8540062664,1.9994645324,-0.1454582660,2.0000000000,0.1454972206,0.0000000000,0.0000000000,03/22/2021,1.0055555556,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,102.8257,-0.0233131924,12/30/2020,0.0900000000,4,0.0000185233,0.9500922777,-0.0232946691,102.8273932131,"",100,2M-3M,1.0000000000,1.8523334818,09/21/2020,03/22/2021,0.5722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/20/2021,6,5,5,5,LIW,LIWU16,09/19/2016,SOFR,LIBOR,9.99,5.16,5Y Sep 2016-2021 3mL,201609,0.5629421666,1.2910640998,1.5130344443
LIBU16,108.0522,01/04/2021,04/01/2016,04/01/2016,09/21/2016,09/21/2023,09/21/2023,6.1194921252,6.7432113434,-0.6237192182,2.2500000000,0.2081157136,0.0000000000,0.0000000000,03/22/2021,1.1312500000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,108.0631,0.0173433394,12/30/2020,0.0900000000,4,0.0000613037,1.9500922776,0.0174046431,108.0521797597,"",100,2M-3M,1.0000000000,6.1303671456,09/21/2020,03/22/2021,0.6437500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/20/2023,231,210,210,210,LIB,LIBU16,09/19/2016,SOFR,LIBOR,29.94,26.21,7Y Sep 2016-2023 3mL,201609,0.6344699444,5.4850221808,2.5845622220
LIYU16,112.4401,01/04/2021,04/01/2016,04/01/2016,09/21/2016,09/21/2026,09/21/2026,10.4747716146,13.4269640373,-2.9521924226,2.2500000000,0.4947084786,0.0000000000,0.0000000000,03/22/2021,1.1312500000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,112.4701,-0.0153374714,12/30/2020,0.0900000000,4,0.0001050466,1.9500922776,-0.0152324248,112.4400963170,"",100,2M-3M,1.0000000000,10.5046606687,09/21/2020,03/22/2021,0.6437500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/18/2026,935,850,850,850,LIY,LIYU16,09/19/2016,SOFR,LIBOR,59.71,58.37,10Y Sep 2016-2026 3mL,201609,0.6344699444,9.8403016702,2.5845622220
LIEU16,135.3955,01/04/2021,04/01/2016,04/01/2016,09/21/2016,09/21/2046,09/21/2046,31.7430575854,63.3116098402,-31.5685522548,2.7500000000,1.3712100975,0.0000000000,0.0000000000,03/22/2021,1.3826388889,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,135.3457,0.2973821133,12/30/2020,0.0900000000,4,0.0003169302,3.9500922777,0.2976990435,135.3954508196,"",100,2M-3M,1.0000000000,31.6930163321,09/21/2020,03/22/2021,0.7868055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/20/2046,4510,4100,4100,4100,LIE,LIEU16,09/19/2016,SOFR,LIBOR,243.68,277.87,30Y Sep 2016-2046 3mL,201609,0.7775255000,30.9655320854,4.7276177777
LIWZ16,100.6029,01/04/2021,06/30/2016,06/30/2016,12/21/2016,12/21/2021,12/21/2021,1.3097718562,1.4993816909,-0.1896098347,1.5000000000,0.1896880253,0.0000000000,0.0000000000,06/21/2021,0.7500000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,100.6009,-0.1254756592,12/30/2020,0.0900000000,4,0.0000130778,-0.8323494724,-0.1254625814,100.6028849652,"",100,2M-3M,1.0000000000,1.3077777377,12/21/2020,06/21/2021,0.0541666667,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/20/2021,6,5,5,5,LIW,LIWZ16,12/19/2016,SOFR,LIBOR,9.99,7.70,5Y Dec 2016-2021 3mL,201612,0.0448866111,1.2648852451,-0.7874628613
LIBZ16,104.8254,01/04/2021,06/30/2016,06/30/2016,12/21/2016,12/21/2023,12/21/2023,4.5210361487,5.2434542537,-0.7224181050,1.7500000000,0.2411066489,0.0000000000,0.0000000000,06/21/2021,0.8750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,104.8361,-0.1367294469,12/30/2020,0.0900000000,4,0.0000453169,0.1676505276,-0.1366841300,104.8253708062,"",100,2M-3M,1.0000000000,4.5316942718,12/21/2020,06/21/2021,0.0631944444,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/20/2023,264,240,240,240,LIB,LIBZ16,12/19/2016,SOFR,LIBOR,29.93,28.61,7Y Dec 2016-2023 3mL,201612,0.0539143888,4.4671217599,0.2215649164
LIYZ16,107.5968,01/04/2021,06/30/2016,06/30/2016,12/21/2016,12/21/2026,12/21/2026,7.1834868374,10.4335168011,-3.2500299637,1.7500000000,0.5451232355,0.0000000000,0.0000000000,06/21/2021,0.8750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,107.6310,-0.2457010234,12/30/2020,0.0900000000,4,0.0000721769,0.1676505276,-0.2456288465,107.5967662115,"",100,2M-3M,1.0000000000,7.2176877224,12/21/2020,06/21/2021,0.0631944444,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/18/2026,990,900,900,900,LIY,LIYZ16,12/19/2016,SOFR,LIBOR,59.68,60.05,10Y Dec 2016-2026 3mL,201612,0.0539143888,7.1295724486,0.2215649164
LIEZ16,122.2679,01/04/2021,06/30/2016,06/30/2016,12/21/2016,12/21/2046,12/21/2046,19.7835177243,51.6507763577,-31.8672586334,2.2500000000,1.3881946600,0.0000000000,0.0000000000,06/21/2021,1.1250000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,122.2177,-0.3169186702,12/30/2020,0.0900000000,4,0.0001973317,2.1676505276,-0.3167213385,122.2678895904,"",100,2M-3M,1.0000000000,19.7331662911,12/21/2020,06/21/2021,0.0812500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/20/2046,4510,4100,4100,4100,LIE,LIEZ16,12/19/2016,SOFR,LIBOR,243.24,264.87,30Y Dec 2016-2046 3mL,201612,0.0719699444,19.7115477799,2.2396204720
LIDH17,99.6418,01/04/2021,09/30/2016,09/30/2016,03/15/2017,03/15/2021,03/15/2021,0.6957883239,0.7499065823,-0.0541182584,1.5000000000,0.1082500000,0.0000000000,0.0000000000,03/15/2021,0.7500000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,"",12/31/2020,99.6418,-0.0955754849,12/30/2020,0.0900000000,4,0.0000069578,-1.1495776945,-0.0955685271,99.6417791565,"",100,2M-3M,1.0000000000,0.6957798447,09/15/2020,03/15/2021,0.4541666667,12/15/2020,03/15/2021,"","","",0.0120277778,"",03/12/2021,33,30,30,30,LID,LIDH17,03/13/2017,SOFR,LIBOR,5.00,0.01,4Y Mar 2017-2021 3mL,201703,0.4421388889,0.2536494350,-0.7074388056
LIWH17,100.9945,01/04/2021,09/30/2016,09/30/2016,03/15/2017,03/15/2022,03/15/2022,2.0086230200,2.2490799009,-0.2404568810,1.5000000000,0.1603701679,0.0000000000,0.0000000000,03/15/2021,0.7500000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,100.9954,-0.1355182545,12/30/2020,0.0900000000,4,0.0000200949,-1.1495776945,-0.1354981596,100.9945434851,"",100,2M-3M,1.0000000000,2.0094919660,09/15/2020,03/15/2021,0.4541666667,12/15/2020,03/15/2021,"","","",0.0120277778,"",03/14/2022,28,25,25,25,LIW,LIWH17,03/13/2017,SOFR,LIBOR,14.99,10.27,5Y Mar 2017-2022 3mL,201703,0.4421388889,1.5664841311,-0.7074388056
LIBH17,105.1568,01/04/2021,09/30/2016,09/30/2016,03/15/2017,03/15/2024,03/15/2024,5.2848426187,6.1169507083,-0.8321080896,1.7500000000,0.2380580172,0.0000000000,0.0000000000,03/15/2021,0.8750000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,105.1722,-0.1466341634,12/30/2020,0.0900000000,4,0.0000530019,-0.2745776945,-0.1465811615,105.1568460857,"",100,2M-3M,1.0000000000,5.3001896178,09/15/2020,03/15/2021,0.5298611111,12/15/2020,03/15/2021,"","","",0.0120277778,"",03/14/2024,286,260,260,260,LIB,LIBH17,03/13/2017,SOFR,LIBOR,34.92,31.26,7Y Mar 2017-2024 3mL,201703,0.5178333333,4.7670092854,0.2432556388
LIYH17,107.7445,01/04/2021,09/30/2016,09/30/2016,03/15/2017,03/15/2027,03/15/2027,7.7624327051,11.2984646812,-3.5360319761,1.7500000000,0.5476899856,0.0000000000,0.0000000000,03/15/2021,0.8750000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,107.7855,-0.2566989083,12/30/2020,0.0900000000,4,0.0000780336,-0.2745776945,-0.2566208747,107.7444758853,"",100,2M-3M,1.0000000000,7.8033578914,09/15/2020,03/15/2021,0.5298611111,12/15/2020,03/15/2021,"","","",0.0120277778,"",03/12/2027,1045,950,950,950,LIY,LIYH17,03/13/2017,SOFR,LIBOR,64.65,62.63,10Y Mar 2017-2027 3mL,201703,0.5178333333,7.2445993718,0.2432556388
LIEH17,122.2963,01/04/2021,09/30/2016,09/30/2016,03/15/2017,03/15/2047,03/15/2047,20.4927781488,52.6352399406,-32.1424617919,2.2500000000,1.3739946681,0.0000000000,0.0000000000,03/15/2021,1.1250000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,122.2462,-0.3283496080,12/30/2020,0.0900000000,4,0.0002044247,1.4754223055,-0.3281451833,122.2963456376,"",100,2M-3M,1.0000000000,20.4424686999,09/15/2020,03/15/2021,0.6812500000,12/15/2020,03/15/2021,"","","",0.0120277778,"",03/14/2047,4510,4100,4100,4100,LIE,LIEH17,03/13/2017,SOFR,LIBOR,247.83,267.34,30Y Mar 2017-2047 3mL,201703,0.6692222222,19.8235559266,2.1446445277
LIWM17,99.8675,01/04/2021,12/30/2016,12/30/2016,06/21/2017,06/21/2022,06/21/2022,1.5847865172,1.8739221008,-0.2891355836,1.2500000000,0.1928679316,0.0000000000,0.0000000000,06/21/2021,0.6250000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,99.8656,-0.1971270452,12/30/2020,0.0900000000,4,0.0000158287,-1.9144356945,-0.1971112165,99.8674620392,"",100,2M-3M,1.0000000000,1.5828675659,12/21/2020,06/21/2021,0.0451388889,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/20/2022,44,40,40,40,LIW,LIWM17,06/19/2017,SOFR,LIBOR,14.98,12.81,5Y Jun 2017-2022 3mL,201706,0.0358588333,1.5489276839,-1.8785768612
LIBM17,103.4562,01/04/2021,12/30/2016,12/30/2016,06/21/2017,06/21/2024,06/21/2024,4.2642665402,5.2413122088,-0.9770456686,1.5000000000,0.2796186231,0.0000000000,0.0000000000,06/21/2021,0.7500000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,103.4725,-0.2314077645,12/30/2020,0.0900000000,4,0.0000428050,-1.0394356946,-0.2313649595,103.4561958051,"",100,2M-3M,1.0000000000,4.2804965991,12/21/2020,06/21/2021,0.0541666667,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/20/2024,330,300,300,300,LIB,LIBM17,06/19/2017,SOFR,LIBOR,34.91,33.71,7Y Jun 2017-2024 3mL,201706,0.0448866111,4.2193799291,-0.9945490835
LIYM17,105.1308,01/04/2021,12/30/2016,12/30/2016,06/21/2017,06/21/2027,06/21/2027,5.7940266141,9.6734771148,-3.8794505007,1.5000000000,0.6015598819,0.0000000000,0.0000000000,06/21/2021,0.7500000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,105.1732,-0.3762290960,12/30/2020,0.0900000000,4,0.0000583638,-1.0394356946,-0.3761707322,105.1307616517,"",100,2M-3M,1.0000000000,5.8363789034,12/21/2020,06/21/2021,0.0541666667,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/18/2027,1100,1000,1000,1000,LIY,LIYM17,06/19/2017,SOFR,LIBOR,64.61,64.63,10Y Jun 2017-2027 3mL,201706,0.0448866111,5.7491400030,-0.9945490835
LIEM17,109.0990,01/04/2021,12/30/2016,12/30/2016,06/21/2017,06/21/2047,06/21/2047,8.3517616605,40.8121734265,-32.4604117659,1.7500000000,1.3918817799,0.0000000000,0.0000000000,06/21/2021,0.8750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,109.0455,-0.9117514516,12/30/2020,0.0900000000,4,0.0000829820,-0.1644356946,-0.9116684696,109.0989944355,"",100,2M-3M,1.0000000000,8.2981965512,12/21/2020,06/21/2021,0.0631944444,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/20/2047,4510,4100,4100,4100,LIE,LIEM17,06/19/2017,SOFR,LIBOR,247.35,253.49,30Y Jun 2017-2047 3mL,201706,0.0539143888,8.2978472717,-0.1105213058
LIDU17,101.9677,01/04/2021,03/31/2017,03/31/2017,09/20/2017,09/20/2021,09/20/2021,1.8489371621,1.9939127832,-0.1449756211,2.0000000000,0.1454182172,0.0000000000,0.0000000000,03/22/2021,1.0055555556,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,101.9661,-0.0364080024,12/30/2020,0.0900000000,4,0.0000184725,0.0824143333,-0.0363895299,101.9677410252,"",100,2M-3M,1.0000000000,1.8472533139,09/21/2020,03/22/2021,0.5722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/17/2021,28,25,25,25,LID,LIDU17,09/18/2017,SOFR,LIBOR,9.97,5.14,4Y Sep 2017-2021 3mL,201709,0.5629421666,1.2859949955,0.6453564999
LIWU17,103.7862,01/04/2021,03/31/2017,03/31/2017,09/20/2017,09/20/2022,09/20/2022,3.6541360371,3.9921129151,-0.3379768780,2.0000000000,0.1693223038,0.0000000000,0.0000000000,03/22/2021,1.0055555556,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,103.7847,-0.0497313855,12/30/2020,0.0900000000,4,0.0000365253,0.0824143333,-0.0496948602,103.7862452306,"",100,2M-3M,1.0000000000,3.6525299670,09/21/2020,03/22/2021,0.5722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/19/2022,61,55,55,55,LIW,LIWU17,09/18/2017,SOFR,LIBOR,19.95,15.53,5Y Sep 2017-2022 3mL,201709,0.5629421666,3.0911938705,0.6453564999
LIBU17,108.6893,01/04/2021,03/31/2017,03/31/2017,09/20/2017,09/20/2024,09/20/2024,7.8469585482,8.9775890328,-1.1306304846,2.2500000000,0.2833632260,0.0000000000,0.0000000000,03/22/2021,1.1312500000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,108.7089,-0.0092920011,12/30/2020,0.0900000000,4,0.0000786652,0.8331087777,-0.0092133359,108.6892806618,"",100,2M-3M,1.0000000000,7.8665187737,09/21/2020,03/22/2021,0.6437500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/19/2024,363,330,330,330,LIB,LIBU17,09/18/2017,SOFR,LIBOR,39.86,36.91,7Y Sep 2017-2024 3mL,201709,0.6344699444,7.2124886038,1.4675787221
LIYU17,114.6617,01/04/2021,03/31/2017,03/31/2017,09/20/2017,09/20/2027,09/20/2027,13.1383623601,17.3468766658,-4.2085143057,2.5000000000,0.6065233510,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,114.7075,0.0602843218,12/30/2020,0.0900000000,4,0.0001318399,1.5838032222,0.0604161617,114.6617494206,"",100,2M-3M,1.0000000000,13.1839874980,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/17/2027,1155,1050,1050,1050,LIY,LIYU17,09/18/2017,SOFR,LIBOR,69.54,69.58,10Y Sep 2017-2027 3mL,201709,0.7059977222,12.4323646379,2.2898009444
LIEU17,128.2401,01/04/2021,03/31/2017,03/31/2017,09/20/2017,09/20/2047,09/20/2047,26.6232475916,59.3776613045,-32.7544137130,2.5000000000,1.3790713963,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,128.1797,-0.0333338450,12/30/2020,0.0900000000,4,0.0002656260,1.5838032222,-0.0330682190,128.2401190328,"",100,2M-3M,1.0000000000,26.5625950617,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/19/2047,5500,5000,5000,5000,LIE,LIEU17,09/18/2017,SOFR,LIBOR,251.88,280.44,30Y Sep 2017-2047 3mL,201709,0.7059977222,25.9172498694,2.2898009444
LIDZ17,103.2256,01/04/2021,06/19/2017,06/19/2017,12/20/2017,12/20/2021,12/20/2021,2.0537485321,2.2428280149,-0.1890794827,2.2500000000,0.1896841101,0.0000000000,0.0000000000,06/21/2021,1.1250000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,103.2236,-0.0038084615,12/30/2020,0.0900000000,4,0.0000205179,1.1680393333,-0.0037879436,103.2255758090,"",100,2M-3M,1.0000000000,2.0517893420,12/21/2020,06/21/2021,0.0812500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/17/2021,28,25,25,25,LID,LIDZ17,12/18/2017,SOFR,LIBOR,9.96,7.72,4Y Dec 2017-2021 3mL,201712,0.0719699444,1.9817785877,1.2400092777
LIWZ17,105.2650,01/04/2021,06/19/2017,06/19/2017,12/20/2017,12/20/2022,12/20/2022,4.0919029381,4.4903699040,-0.3984669660,2.2500000000,0.1996607613,0.0000000000,0.0000000000,06/21/2021,1.1250000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,105.2703,-0.0051209117,12/30/2020,0.0900000000,4,0.0000409709,1.1680393333,-0.0050799408,105.2650222121,"",100,2M-3M,1.0000000000,4.0970918695,12/21/2020,06/21/2021,0.0812500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/19/2022,72,65,65,65,LIW,LIWZ17,12/18/2017,SOFR,LIBOR,19.94,18.21,5Y Dec 2017-2022 3mL,201712,0.0719699444,4.0199329937,1.2400092777
LIYZ17,114.6475,01/04/2021,06/19/2017,06/19/2017,12/20/2017,12/20/2027,12/20/2027,12.7804269082,17.3262686255,-4.5458417173,2.5000000000,0.6559175861,0.0000000000,0.0000000000,06/21/2021,1.2500000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,114.6955,0.0515051414,12/30/2020,0.0900000000,4,0.0001282831,1.9187337777,0.0516334245,114.6475272614,"",100,2M-3M,1.0000000000,12.8283091410,12/21/2020,06/21/2021,0.0902777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/17/2027,1210,1100,1100,1100,LIY,LIYZ17,12/18/2017,SOFR,LIBOR,69.50,72.27,10Y Dec 2017-2027 3mL,201712,0.0809977222,12.6994291860,1.9997314999
LIEZ17,134.5103,01/04/2021,06/19/2017,06/19/2017,12/20/2017,12/20/2047,12/20/2047,32.0788545525,65.1256390156,-33.0467844631,2.7500000000,1.3954359396,0.0000000000,0.0000000000,06/21/2021,1.3750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,134.4455,0.2376790193,12/30/2020,0.0900000000,4,0.0003201373,2.6694282222,0.2379991566,134.5102836181,"",100,2M-3M,1.0000000000,32.0137303393,12/21/2020,06/21/2021,0.0993055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/19/2047,5500,5000,5000,5000,LIE,LIEZ17,12/18/2017,SOFR,LIBOR,251.42,291.41,30Y Dec 2017-2047 3mL,201712,0.0900255000,31.9888290525,2.7594537222
LICH18,100.0413,01/04/2021,09/18/2017,09/18/2017,03/21/2018,03/21/2021,03/22/2021,0.8194293622,0.8797415249,-0.0603121627,1.7500000000,0.1199741989,0.0000000000,0.0000000000,03/22/2021,0.8798611111,12/17/2020,0.0023863000,03/22/2021,0.0603203611,"",12/31/2020,100.0413,-0.0633912466,12/30/2020,0.0900000000,4,0.0000081942,-0.8415497223,-0.0633830524,100.0412626923,"",100,2M-3M,1.0000000000,0.8194197683,09/21/2020,03/22/2021,0.5006944444,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/19/2021,11,10,10,10,LIC,LICH18,03/19/2018,SOFR,LIBOR,5.03,0.02,3Y Mar 2018-2021 3mL,201803,0.4914143888,0.3280149734,-0.3501353335
LIYH18,112.2775,01/04/2021,09/18/2017,09/18/2017,03/21/2018,03/21/2028,03/21/2028,11.8102360092,16.7044945621,-4.8942585529,2.2500000000,0.6592286706,0.0000000000,0.0000000000,03/22/2021,1.1312500000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,112.3265,-0.0589624902,12/30/2020,0.0900000000,4,0.0001185906,0.4084502776,-0.0588438996,112.2775301864,"",100,2M-3M,1.0000000000,11.8590627681,09/21/2020,03/22/2021,0.6437500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/20/2028,1265,1150,1150,1150,LIY,LIYH18,03/19/2018,SOFR,LIBOR,74.48,74.29,10Y Mar 2018-2028 3mL,201803,0.6344699444,11.1757660648,1.0429202220
LIEH18,128.0173,01/04/2021,09/18/2017,09/18/2017,03/21/2018,03/21/2048,03/23/2048,26.9497530938,60.2966847266,-33.3469316328,2.5000000000,1.3826187868,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,127.9505,-0.0343266282,12/30/2020,0.0900000000,4,0.0002688272,1.0334502777,-0.0340578010,128.0172611725,"",100,2M-3M,1.0000000000,26.8827243151,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/20/2048,5500,5000,5000,5000,LIE,LIEH18,03/19/2018,SOFR,LIBOR,256.02,285.66,30Y Mar 2018-2048 3mL,201803,0.7059977222,26.2437553716,1.7394479999
LICM18,100.6018,01/04/2021,12/18/2017,12/18/2017,06/20/2018,06/20/2021,06/21/2021,0.7737178990,0.8747663785,-0.1010484794,1.7500000000,0.2021509324,0.0000000000,0.0000000000,06/21/2021,0.8750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,100.5991,-0.0673718732,12/30/2020,0.0900000000,4,0.0000077103,-0.2393101112,-0.0673641629,100.6017719507,"",100,2M-3M,1.0000000000,0.7710335725,12/21/2020,06/21/2021,0.0631944444,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/18/2021,11,10,10,10,LIC,LICM18,06/18/2018,SOFR,LIBOR,5.00,2.56,3Y Jun 2018-2021 3mL,201806,0.0539143888,0.7198035102,-0.1853957224
LIDM18,102.1792,01/04/2021,12/18/2017,12/18/2017,06/20/2018,06/20/2022,06/20/2022,2.3299812991,2.6186357764,-0.2886544773,1.7500000000,0.1929040074,0.0000000000,0.0000000000,06/21/2021,0.8750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,102.1774,-0.0885650052,12/30/2020,0.0900000000,4,0.0000232810,-0.2393101112,-0.0885417242,102.1792129121,"",100,2M-3M,1.0000000000,2.3280998495,12/21/2020,06/21/2021,0.0631944444,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/17/2022,83,75,75,75,LID,LIDM18,06/18/2018,SOFR,LIBOR,14.95,12.85,4Y Jun 2018-2022 3mL,201806,0.0539143888,2.2760669103,-0.1853957224
LIYM18,112.5041,01/04/2021,12/18/2017,12/18/2017,06/20/2018,06/20/2028,06/20/2028,11.4310707845,16.6766053589,-5.2455345743,2.2500000000,0.7077251358,0.0000000000,0.0000000000,06/21/2021,1.1250000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,112.5533,-0.0610733765,12/30/2020,0.0900000000,4,0.0001148011,1.0120787777,-0.0609585754,112.5041081377,"",100,2M-3M,1.0000000000,11.4801075252,12/21/2020,06/21/2021,0.0812500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/19/2028,1320,1200,1200,1200,LIY,LIYM18,06/18/2018,SOFR,LIBOR,74.41,76.92,10Y Jun 2018-2028 3mL,201806,0.0719699444,11.3591008401,1.0840487221
LIEM18,128.1489,01/04/2021,12/18/2017,12/18/2017,06/20/2018,06/20/2048,06/22/2048,26.4808939208,60.1159715725,-33.6350776517,2.5000000000,1.3987579661,0.0000000000,0.0000000000,06/21/2021,1.2500000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,128.0790,-0.0305108216,12/30/2020,0.0900000000,4,0.0002641074,1.6377732221,-0.0302467142,128.1489138571,"",100,2M-3M,1.0000000000,26.4107417808,12/21/2020,06/21/2021,0.0902777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/19/2048,5500,5000,5000,5000,LIE,LIEM18,06/18/2018,SOFR,LIBOR,255.52,288.21,30Y Jun 2018-2048 3mL,201806,0.0809977222,26.3998961986,1.7187709443
LICU18,102.6016,01/04/2021,03/19/2018,03/19/2018,09/19/2018,09/19/2021,09/20/2021,2.0970464135,2.2431523163,-0.1461059028,2.2500000000,0.1465519211,0.0000000000,0.0000000000,03/19/2021,1.1125000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,102.6012,-0.0099460151,12/30/2020,0.0900000000,4,0.0000209665,0.4946296667,-0.0099250486,102.6016011288,"",100,2M-3M,1.0000000000,2.0966548723,09/21/2020,03/19/2021,0.6437500000,12/21/2020,03/19/2021,"","","",0.0092800556,"",09/17/2021,11,10,10,10,LIC,LICU18,09/17/2018,SOFR,LIBOR,9.97,5.23,3Y Sep 2018-2021 3mL,201809,0.6344699444,1.4625764691,1.1290996111
LIDU18,104.6497,01/04/2021,03/19/2018,03/19/2018,09/19/2018,09/19/2022,09/19/2022,4.1463153995,4.4848865486,-0.3385711491,2.2500000000,0.1698560437,0.0000000000,0.0000000000,03/19/2021,1.1125000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,104.6494,-0.0087918320,12/30/2020,0.0900000000,4,0.0000414601,0.4946296667,-0.0087503719,104.6496954381,"",100,2M-3M,1.0000000000,4.1460061413,09/21/2020,03/19/2021,0.6437500000,12/21/2020,03/19/2021,"","","",0.0092800556,"",09/16/2022,99,90,90,90,LID,LIDU18,09/17/2018,SOFR,LIBOR,19.92,15.63,4Y Sep 2018-2022 3mL,201809,0.6344699444,3.5118454551,1.1290996111
LIWU18,106.6114,01/04/2021,03/19/2018,03/19/2018,09/19/2018,09/19/2023,09/19/2023,6.1077606976,6.7307473123,-0.6229866146,2.2500000000,0.2082562036,0.0000000000,0.0000000000,03/19/2021,1.1125000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,106.6236,-0.0090280854,12/30/2020,0.0900000000,4,0.0000611999,0.4946296667,-0.0089668855,106.6113572498,"",100,2M-3M,1.0000000000,6.1199894959,09/21/2020,03/19/2021,0.6437500000,12/21/2020,03/19/2021,"","","",0.0092800556,"",09/18/2023,149,135,135,135,LIW,LIWU18,09/17/2018,SOFR,LIBOR,29.89,26.24,5Y Sep 2018-2023 3mL,201809,0.6344699444,5.4732907532,1.1290996111
LIBU18,109.8091,01/04/2021,03/19/2018,03/19/2018,09/19/2018,09/19/2025,09/19/2025,9.2971775211,11.2013394641,-1.9041619430,2.2500000000,0.3824867897,0.0000000000,0.0000000000,03/19/2021,1.1125000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,109.8312,-0.0173364557,12/30/2020,0.0900000000,4,0.0000931928,0.4946296667,-0.0172432629,109.8090504507,"",100,2M-3M,1.0000000000,9.3192808252,09/21/2020,03/19/2021,0.6437500000,12/21/2020,03/19/2021,"","","",0.0092800556,"",09/18/2025,550,500,500,500,LIB,LIBU18,09/17/2018,SOFR,LIBOR,49.76,47.69,7Y Sep 2018-2025 3mL,201809,0.6344699444,8.6627075767,1.1290996111
LIYU18,115.0959,01/04/2021,03/19/2018,03/19/2018,09/19/2018,09/19/2028,09/19/2028,14.1421964787,19.7467390646,-5.6045425859,2.5000000000,0.7095529251,0.0000000000,0.0000000000,03/19/2021,1.2361111111,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,115.1463,0.0421472253,12/30/2020,0.0900000000,4,0.0001419246,0.9960185556,0.0422891499,115.0959258844,"",100,2M-3M,1.0000000000,14.1924604326,09/21/2020,03/19/2021,0.7152777778,12/21/2020,03/19/2021,"","","",0.0092800556,"",09/18/2028,1375,1250,1250,1250,LIY,LIYU18,09/17/2018,SOFR,LIBOR,79.33,80.42,10Y Sep 2018-2028 3mL,201809,0.7059977222,13.4361987565,1.7020162778
LIEU18,128.2610,01/04/2021,03/19/2018,03/19/2018,09/19/2018,09/19/2048,09/21/2048,27.2621749228,61.1843980478,-33.9222231250,2.5000000000,1.3860650839,0.0000000000,0.0000000000,03/19/2021,1.2361111111,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,128.1892,-0.0030941054,12/30/2020,0.0900000000,4,0.0002719004,0.9960185556,-0.0028222050,128.2610156834,"",100,2M-3M,1.0000000000,27.1900388805,09/21/2020,03/19/2021,0.7152777778,12/21/2020,03/19/2021,"","","",0.0092800556,"",09/18/2048,5500,5000,5000,5000,LIE,LIEU18,09/17/2018,SOFR,LIBOR,260.02,290.85,30Y Sep 2018-2048 3mL,201809,0.7059977222,26.5561772006,1.7020162778
LICZ18,104.5940,01/04/2021,06/18/2018,06/18/2018,12/19/2018,12/19/2021,12/20/2021,2.5510244760,2.7412342404,-0.1902097644,2.7500000000,0.1908180061,0.0000000000,0.0000000000,06/21/2021,1.3750000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,104.5933,0.0456267536,12/30/2020,0.0900000000,4,0.0000255036,2.0885914723,0.0456522572,104.5939636911,"",100,2M-3M,1.0000000000,2.5503563578,12/21/2020,06/21/2021,0.0993055556,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/17/2021,11,10,10,10,LIC,LICZ18,12/17/2018,SOFR,LIBOR,9.96,7.84,3Y Dec 2018-2021 3mL,201812,0.0900255000,2.4609989760,2.1786169723
LIDZ18,107.1036,01/04/2021,06/18/2018,06/18/2018,12/19/2018,12/19/2022,12/19/2022,5.0816500301,5.4806041091,-0.3989540790,2.7500000000,0.2001829899,0.0000000000,0.0000000000,06/21/2021,1.3750000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,107.1101,0.0665531309,12/30/2020,0.0900000000,4,0.0000508810,2.0885914723,0.0666040119,107.1036374906,"",100,2M-3M,1.0000000000,5.0880964402,12/21/2020,06/21/2021,0.0993055556,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/16/2022,121,110,110,110,LID,LIDZ18,12/17/2018,SOFR,LIBOR,19.91,18.38,4Y Dec 2018-2022 3mL,201812,0.0900255000,4.9916245301,2.1786169723
LIWZ18,109.5061,01/04/2021,06/18/2018,06/18/2018,12/19/2018,12/19/2023,12/19/2023,7.5031721759,8.2244882263,-0.7213160504,2.7500000000,0.2411845071,0.0000000000,0.0000000000,06/21/2021,1.3750000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,109.5181,0.0855722607,12/30/2020,0.0900000000,4,0.0000751506,2.0885914723,0.0856474113,109.5061162369,"",100,2M-3M,1.0000000000,7.5150571176,12/21/2020,06/21/2021,0.0993055556,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/18/2023,187,170,170,170,LIW,LIWZ18,12/17/2018,SOFR,LIBOR,29.88,29.15,5Y Dec 2018-2023 3mL,201812,0.0900255000,7.4131466759,2.1786169723
LIBZ18,113.5171,01/04/2021,06/18/2018,06/18/2018,12/19/2018,12/19/2025,12/19/2025,11.5432317147,13.6815479420,-2.1383162274,2.7500000000,0.4298029470,0.0000000000,0.0000000000,06/21/2021,1.3750000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,113.5394,0.1145575434,12/30/2020,0.0900000000,4,0.0001156536,2.0885914723,0.1146731970,113.5171499900,"",100,2M-3M,1.0000000000,11.5653564374,12/21/2020,06/21/2021,0.0993055556,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/18/2025,605,550,550,550,LIB,LIBZ18,12/17/2018,SOFR,LIBOR,49.74,51.04,7Y Dec 2018-2025 3mL,201812,0.0900255000,11.4532062147,2.1786169723
LIYZ18,120.0633,01/04/2021,06/18/2018,06/18/2018,12/19/2018,12/19/2028,12/19/2028,17.6934709639,23.6624017806,-5.9689308167,3.0000000000,0.7567614064,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,120.1141,0.2200180565,12/30/2020,0.0900000000,4,0.0001774417,2.5899803612,0.2201954982,120.0632558269,"",100,2M-3M,1.0000000000,17.7441671686,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/18/2028,1430,1300,1300,1300,LIY,LIYZ18,12/17/2018,SOFR,LIBOR,79.28,84.78,10Y Dec 2018-2028 3mL,201812,0.0990532777,17.5944176862,2.6890336389
LIEZ18,141.1445,01/04/2021,06/18/2018,06/18/2018,12/19/2018,12/19/2048,12/21/2048,39.0008459359,73.2068491380,-34.2060032021,3.0000000000,1.4017542186,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,141.0665,0.4458945824,12/30/2020,0.0900000000,4,0.0003892243,2.5899803612,0.4462838067,141.1445424904,"",100,2M-3M,1.0000000000,38.9224308077,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/18/2048,5500,5000,5000,5000,LIE,LIEZ18,12/17/2018,SOFR,LIBOR,259.53,311.35,30Y Dec 2018-2048 3mL,201812,0.0990532777,38.9017926582,2.6890336389
LITH19,102.6875,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2021,03/22/2021,1.3221388050,1.3824509677,-0.0603121627,2.7500000000,0.1199741989,0.0000000000,0.0000000000,03/22/2021,1.3826388889,12/17/2020,0.0023863000,03/22/2021,0.0603203611,"",12/31/2020,102.6875,0.0310627359,12/30/2020,0.0900000000,4,0.0000132212,1.3964231666,0.0310759571,102.6874860145,"",100,2M-3M,1.0000000000,1.3221233254,09/21/2020,03/22/2021,0.7868055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/19/2021,11,10,10,10,LIT,LITH19,03/18/2019,SOFR,LIBOR,5.03,0.03,2Y Mar 2019-2021 3mL,201903,0.7775255000,0.5446133050,2.1739486666
LICH19,105.2227,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2022,03/21/2022,3.8802732536,4.1232705656,-0.2429973120,2.7500000000,0.1620661553,0.0000000000,0.0000000000,03/22/2021,1.3826388889,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,105.2209,0.0539314432,12/30/2020,0.0900000000,4,0.0000387842,1.3964231666,0.0539702274,105.2227261928,"",100,2M-3M,1.0000000000,3.8784188809,09/21/2020,03/22/2021,0.7868055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/18/2022,33,30,30,30,LIC,LICH19,03/18/2019,SOFR,LIBOR,14.99,10.38,3Y Mar 2019-2022 3mL,201903,0.7775255000,3.1027477536,2.1739486666
LIDH19,107.7187,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2023,03/20/2023,6.3977653116,6.8620704893,-0.4643051777,2.7500000000,0.1860720086,0.0000000000,0.0000000000,03/22/2021,1.3826388889,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,107.7292,0.0753813212,12/30/2020,0.0900000000,4,0.0000640819,1.3964231666,0.0754454031,107.7187430751,"",100,2M-3M,1.0000000000,6.4081893846,09/21/2020,03/22/2021,0.7868055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/17/2023,143,130,130,130,LID,LIDH19,03/18/2019,SOFR,LIBOR,24.93,20.98,4Y Mar 2019-2023 3mL,201903,0.7775255000,5.6202398116,2.1739486666
LIWH19,110.0682,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2024,03/20/2024,8.7663732278,9.6045595455,-0.8381863176,2.7500000000,0.2399914710,0.0000000000,0.0000000000,03/22/2021,1.3826388889,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,110.0809,0.0945033171,12/30/2020,0.0900000000,4,0.0000877903,1.3964231666,0.0945911074,110.0682052871,"",100,2M-3M,1.0000000000,8.7790275008,09/21/2020,03/22/2021,0.7868055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/19/2024,231,210,210,210,LIW,LIWH19,03/18/2019,SOFR,LIBOR,34.89,31.81,5Y Mar 2019-2024 3mL,201903,0.7775255000,7.9888477278,2.1739486666
LIBH19,113.9361,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2026,03/20/2026,12.6642740705,15.0536827047,-2.3894086342,2.7500000000,0.4364960969,0.0000000000,0.0000000000,03/22/2021,1.3826388889,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,113.9590,0.1244434482,12/30/2020,0.0900000000,4,0.0001268697,1.3964231666,0.1245703179,113.9361269192,"",100,2M-3M,1.0000000000,12.6869736014,09/21/2020,03/22/2021,0.7868055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/19/2026,660,600,600,600,LIB,LIBH19,03/18/2019,SOFR,LIBOR,54.74,53.71,7Y Mar 2019-2026 3mL,201903,0.7775255000,11.8867485705,2.1739486666
LIYH19,120.3448,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2029,03/20/2029,18.7958874810,25.1343679199,-6.3384804389,3.0000000000,0.7565514031,0.0000000000,0.0000000000,03/22/2021,1.5083333333,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,120.3958,0.2230283447,12/30/2020,0.0900000000,4,0.0001884674,1.7721176111,0.2232168121,120.3447882800,"",100,2M-3M,1.0000000000,18.8467425705,09/21/2020,03/22/2021,0.8583333333,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/19/2029,1485,1350,1350,1350,LIY,LIYH19,03/18/2019,SOFR,LIBOR,84.25,87.49,10Y Mar 2019-2029 3mL,201903,0.8490532777,17.9468342033,2.6211708888
LIEH19,141.3323,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2049,03/22/2049,40.0110984992,74.4973876503,-34.4862891511,3.0000000000,1.3887583272,0.0000000000,0.0000000000,03/22/2021,1.5083333333,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,141.2495,0.4505313432,12/30/2020,0.0900000000,4,0.0003992792,1.7721176111,0.4509306224,141.3322854879,"",100,2M-3M,1.0000000000,39.9279183760,09/21/2020,03/22/2021,0.8583333333,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/19/2049,5500,5000,5000,5000,LIE,LIEH19,03/18/2019,SOFR,LIBOR,264.06,314.14,30Y Mar 2019-2049 3mL,201903,0.8490532777,39.1620452215,2.6211708888
LIYM19,120.6028,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2029,06/19/2029,18.3722762856,25.0879934468,-6.7157171612,3.0000000000,0.8030595004,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,120.6574,0.2310779727,12/30/2020,0.0900000000,4,0.0001842672,2.4617850834,0.2312622399,120.6027991291,"",100,2M-3M,1.0000000000,18.4267249286,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/18/2029,1540,1400,1400,1400,LIY,LIYM19,06/17/2019,SOFR,LIBOR,84.16,90.34,10Y Jun 2019-2029 3mL,201906,0.0990532777,18.2732230079,2.5608383611
LIEM19,141.4954,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2049,06/21/2049,39.5073312263,74.2733911733,-34.7660599470,3.0000000000,1.4042469072,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,141.4104,0.4732787227,12/30/2020,0.0900000000,4,0.0003942191,2.4617850834,0.4736729418,141.4954433679,"",100,2M-3M,1.0000000000,39.4219140005,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/18/2049,5500,5000,5000,5000,LIE,LIEM19,06/17/2019,SOFR,LIBOR,263.53,317.06,30Y Jun 2019-2049 3mL,201906,0.0990532777,39.4082779486,2.5608383611
LIIU19,123.2326,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2031,09/18/2031,21.8784876752,32.1470290779,-10.2685414027,3.0000000000,0.9582728200,0.0000000000,0.0000000000,03/18/2021,1.5000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,123.2935,0.2585639738,12/30/2020,0.0900000000,4,0.0002193912,1.6129333334,0.2587833650,123.2326376435,"",100,2M-3M,1.0000000000,21.9391224106,09/18/2020,03/18/2021,0.8833333333,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/17/2031,1980,1800,1800,1800,LII,LIIU19,09/16/2019,SOFR,LIBOR,108.53,115.41,12Y Sep 2019-2031 3mL,201909,0.8721709444,21.0063167308,2.4851042778
LILU19,129.9721,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2034,09/18/2034,28.4916624397,43.5586336926,-15.0669712530,3.2500000000,1.1241779739,0.0000000000,0.0000000000,03/18/2021,1.6250000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,130.0258,0.3821907976,12/30/2020,0.0900000000,4,0.0002854503,1.8629333334,0.3824762479,129.9721195251,"",100,2M-3M,1.0000000000,28.5450326174,09/18/2020,03/18/2021,0.9569444444,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/15/2034,2420,2200,2200,2200,LIL,LILU19,09/16/2019,SOFR,LIBOR,137.11,151.36,15Y Sep 2019-2034 3mL,201909,0.9457820555,27.5458803842,2.8087153889
LIOU19,136.1124,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2039,09/19/2039,34.7148156032,57.2630111718,-22.5481955686,3.2500000000,1.2797377242,0.0000000000,0.0000000000,03/18/2021,1.6250000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,136.1387,0.4649645452,12/30/2020,0.0900000000,4,0.0003474071,1.8629333334,0.4653119523,136.1124369843,"",100,2M-3M,1.0000000000,34.7407079568,09/18/2020,03/18/2021,0.9569444444,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/16/2039,3190,2900,2900,2900,LIO,LIOU19,09/16/2019,SOFR,LIBOR,183.20,209.79,20Y Sep 2019-2039 3mL,201909,0.9457820555,33.7690335477,2.8087153889
LIIH20,114.7273,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2032,03/18/2032,14.0579692615,25.1373949202,-11.0794256587,2.2500000000,0.9916981378,0.0000000000,0.0000000000,03/18/2021,1.1250000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,114.7880,0.0906443594,12/30/2020,0.0900000000,4,0.0001411860,0.7600731389,0.0907855454,114.7272568550,"",100,2M-3M,1.0000000000,14.1185967821,09/18/2020,03/18/2021,0.6625000000,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/17/2032,1980,1800,1800,1800,LII,LIIH20,03/16/2020,SOFR,LIBOR,113.34,116.09,12Y Mar 2020-2032 3mL,202003,0.6513376111,13.4066316504,1.4114107500
LILH20,115.9645,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2035,03/19/2035,15.3038989685,31.1424758222,-15.8385768537,2.2500000000,1.1443148619,0.0000000000,0.0000000000,03/18/2021,1.1250000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,116.0185,0.0993417073,12/30/2020,0.0900000000,4,0.0001535781,0.7600731389,0.0994952854,115.9644768221,"",100,2M-3M,1.0000000000,15.3578050711,09/18/2020,03/18/2021,0.6625000000,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/16/2035,2420,2200,2200,2200,LIL,LILH20,03/16/2020,SOFR,LIBOR,141.84,146.94,15Y Mar 2020-2035 3mL,202003,0.6513376111,14.6525613574,1.4114107500
LIOH20,117.9503,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2040,03/19/2040,17.3031974172,40.5530133510,-23.2498159338,2.2500000000,1.2899679094,0.0000000000,0.0000000000,03/18/2021,1.1250000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,117.9754,0.1128233695,12/30/2020,0.0900000000,4,0.0001732819,0.7600731389,0.1129966514,117.9502739047,"",100,2M-3M,1.0000000000,17.3281889578,09/18/2020,03/18/2021,0.6625000000,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/16/2040,3190,2900,2900,2900,LIO,LIOH20,03/16/2020,SOFR,LIBOR,187.68,197.62,20Y Mar 2020-2040 3mL,202003,0.6513376111,16.6518598061,1.4114107500
LIIZ19,108.9277,01/04/2021,08/26/2019,08/26/2019,12/18/2019,12/18/2031,12/18/2031,8.0412814837,18.7150868591,-10.6738053754,1.7500000000,0.9980802947,0.0000000000,0.0000000000,06/18/2021,0.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,108.9895,0.0186791482,12/30/2020,0.0900000000,4,0.0000810302,0.9051745278,0.0187601784,108.9276958332,"",100,2M-3M,1.0000000000,8.1030154127,12/18/2020,06/18/2021,0.0777777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/17/2031,1980,1800,1800,1800,LII,LIIZ19,12/16/2019,SOFR,LIBOR,108.43,110.41,12Y Dec 2019-2031 3mL,201912,0.0666153889,7.9746660948,0.9717899167
LILZ19,108.8355,01/04/2021,08/26/2019,08/26/2019,12/18/2019,12/18/2034,12/18/2034,7.9457764045,23.3992999498,-15.4535235452,1.7500000000,1.1557468071,0.0000000000,0.0000000000,06/18/2021,0.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,108.8911,0.0153843150,12/30/2020,0.0900000000,4,0.0000800131,0.9051745278,0.0154643281,108.8354866042,"",100,2M-3M,1.0000000000,8.0013110596,12/18/2020,06/18/2021,0.0777777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/15/2034,2420,2200,2200,2200,LIL,LILZ19,12/16/2019,SOFR,LIBOR,136.96,139.43,15Y Dec 2019-2034 3mL,201912,0.0666153889,7.8791610156,0.9717899167
LIOZ19,108.7455,01/04/2021,08/26/2019,08/26/2019,12/18/2019,12/18/2039,12/19/2039,7.8502701694,30.7505843294,-22.9003141601,1.7500000000,1.3032451465,0.0000000000,0.0000000000,06/18/2021,0.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,108.7744,0.0098220621,12/30/2020,0.0900000000,4,0.0000787904,0.9051745278,0.0099008525,108.7455438447,"",100,2M-3M,1.0000000000,7.8790376533,12/18/2020,06/18/2021,0.0777777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/16/2039,3190,2900,2900,2900,LIO,LIOZ19,12/16/2019,SOFR,LIBOR,182.94,186.30,20Y Dec 2019-2039 3mL,201912,0.0666153889,7.7836547805,0.9717899167
LILM20,105.1197,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2035,06/18/2035,4.4907510934,20.7122616882,-16.2215105948,1.5000000000,1.1747759013,0.0000000000,0.0000000000,06/17/2021,0.7500000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,105.1746,-0.0175728466,12/30/2020,0.0900000000,4,0.0000454570,0.6113726945,-0.0175273896,105.1196511775,"",100,2M-3M,1.0000000000,4.5456996550,12/17/2020,06/17/2021,0.0708333333,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/15/2035,2420,2200,2200,2200,LIL,LILM20,06/15/2020,SOFR,LIBOR,141.68,141.58,15Y Jun 2020-2035 3mL,202006,0.0593958333,4.4313552601,0.6707685278
LIOM20,104.0088,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2040,06/18/2040,3.3665973271,26.9624710816,-23.5958737545,1.5000000000,1.3127064847,0.0000000000,0.0000000000,06/17/2021,0.7500000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,104.0346,-0.0308961384,12/30/2020,0.0900000000,4,0.0000339229,0.6113726945,-0.0308622155,104.0088322372,"",100,2M-3M,1.0000000000,3.3922896230,12/17/2020,06/17/2021,0.0708333333,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/15/2040,3190,2900,2900,2900,LIO,LIOM20,06/15/2020,SOFR,LIBOR,187.42,186.27,20Y Jun 2020-2040 3mL,202006,0.0593958333,3.3072014938,0.6707685278
LIIM20,102.9721,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2032,06/17/2032,2.4526523848,13.9366421945,-11.4839898097,1.2500000000,1.0300176371,0.0000000000,0.0000000000,06/17/2021,0.6250000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,103.0339,-0.0331387811,12/30/2020,0.0900000000,4,0.0000251441,0.4863726945,-0.0331136370,102.9721387162,"",100,2M-3M,1.0000000000,2.5144133638,12/17/2020,06/17/2021,0.0590277778,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/16/2032,1980,1800,1800,1800,LII,LIIM20,06/15/2020,SOFR,LIBOR,113.23,111.91,12Y Jun 2020-2032 3mL,202006,0.0475902778,2.4050621070,0.5339629723
LILU20,94.0449,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2035,09/17/2035,-5.8967150879,10.7059246479,-16.6026397358,0.7500000000,1.1630924195,0.0000000000,0.0000000000,03/16/2021,0.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,94.1010,-0.0015048070,12/30/2020,0.0900000000,4,-0.0000584053,-0.0599715278,-0.0015632123,94.0448765966,"",100,2M-3M,1.0000000000,-5.8405282968,09/16/2020,03/16/2021,0.2250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/14/2035,2420,2200,2200,2200,LIL,LILU20,09/14/2020,SOFR,LIBOR,146.52,135.71,15Y Sep 2020-2035 3mL,202009,0.2134284722,-6.1101435601,0.1534569444
LIOU20,89.8239,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2040,09/17/2040,-10.1192408780,13.8193919573,-23.9386328354,0.7500000000,1.2991870179,0.0000000000,0.0000000000,03/16/2021,0.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,89.8504,-0.0030173326,12/30/2020,0.0900000000,4,-0.0001009264,-0.0599715278,-0.0031182590,89.8239058531,"",100,2M-3M,1.0000000000,-10.0926387894,09/16/2020,03/16/2021,0.2250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/14/2040,3190,2900,2900,2900,LIO,LIOU20,09/14/2020,SOFR,LIBOR,192.15,174.26,20Y Sep 2020-2040 3mL,202009,0.2134284722,-10.3326693502,0.1534569444
LIIU20,96.7728,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2032,09/16/2032,-3.1677990952,8.7192439920,-11.8870430872,0.7500000000,1.0224834084,0.0000000000,0.0000000000,03/16/2021,0.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,96.8352,-0.0005499913,12/30/2020,0.0900000000,4,-0.0000310537,-0.0599715278,-0.0005810450,96.7728104220,"",100,2M-3M,1.0000000000,-3.1053651060,09/16/2020,03/16/2021,0.2250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/15/2032,1980,1800,1800,1800,LII,LIIU20,09/14/2020,SOFR,LIBOR,118.13,110.69,12Y Sep 2020-2032 3mL,202009,0.2134284722,-3.3812275674,0.1534569444
LILZ20,100.8137,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2035,12/17/2035,0.8157172676,17.7995686590,-16.9838513913,1.2500000000,1.1927150958,0.0000000000,0.0000000000,06/16/2021,0.6250000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,100.8681,0.0019742119,12/30/2020,0.0900000000,4,0.0000087007,0.0000000000,0.0019829126,100.8137343551,"",100,2M-3M,1.0000000000,0.8700697717,12/16/2020,06/16/2021,0.0625000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/14/2035,2420,2200,2200,2200,LIL,LILZ20,12/14/2020,SOFR,LIBOR,146.35,143.36,15Y Dec 2020-2035 3mL,202012,0.0509284722,0.7647887954,0.0509284722
LIOZ20,98.6877,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2040,12/17/2040,-1.3106618791,22.9691207908,-24.2797826699,1.2500000000,1.3213273862,0.0000000000,0.0000000000,06/16/2021,0.6250000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,98.7103,0.0016685286,12/30/2020,0.0900000000,4,-0.0000128804,0.0000000000,0.0016556482,98.6876824727,"",100,2M-3M,1.0000000000,-1.2880416987,12/16/2020,06/16/2021,0.0625000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/14/2040,3190,2900,2900,2900,LIO,LIOZ20,12/14/2020,SOFR,LIBOR,191.87,185.79,20Y Dec 2020-2040 3mL,202012,0.0509284722,-1.3615903513,0.0509284722
LIIZ20,102.2091,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2032,12/16/2032,2.2113104211,14.5010153918,-12.2897049707,1.2500000000,1.0593831396,0.0000000000,0.0000000000,06/16/2021,0.6250000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,102.2703,0.0021741982,12/30/2020,0.0900000000,4,0.0000227252,0.0000000000,0.0021969234,102.2091134977,"",100,2M-3M,1.0000000000,2.2725176732,12/16/2020,06/16/2021,0.0625000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/15/2032,1980,1800,1800,1800,LII,LIIZ20,12/14/2020,SOFR,LIBOR,118.02,116.49,12Y Dec 2020-2032 3mL,202012,0.0509284722,2.1603819489,0.0509284722
LILH21,93.3447,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2036,03/17/2036,-6.6570559207,10.6510093083,-17.3080652290,0.7500000000,1.2187623300,0.0000000000,0.0000000000,09/17/2021,0.3750000000,"","",06/17/2021,"",03/15/2021,12/31/2020,93.3987,-0.0016640102,12/30/2020,0.0900000000,4,-0.0000660294,0.0000000000,-0.0017300396,93.3446741189,"",100,"","",-6.6029433120,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/14/2036,2420,2200,2200,2200,LIL,LILH21,03/15/2021,SOFR,LIBOR,146.15,139.70,15Y Mar 2021-2036 3mL,202103,0.0000000000,-6.6570559207,0.0000000000
LIOH21,93.7624,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2041,03/18/2041,-6.2383687160,18.3237078033,-24.5620765192,1.0000000000,1.3404534051,0.0000000000,0.0000000000,09/17/2021,0.5000000000,"","",06/17/2021,"",03/15/2021,12/31/2020,93.7832,-0.0007330004,12/30/2020,0.0900000000,4,-0.0000621757,0.0000000000,-0.0007951761,93.7624264601,"",100,"","",-6.2175690476,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/15/2041,3190,2900,2900,2900,LIO,LIOH21,03/15/2021,SOFR,LIBOR,191.59,182.85,20Y Mar 2021-2041 3mL,202103,0.0000000000,-6.2383687160,0.0000000000
LIIH21,96.0479,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2033,03/17/2033,-3.9529859723,8.6812225099,-12.6342084822,0.7500000000,1.0915117486,0.0000000000,0.0000000000,09/17/2021,0.3750000000,"","",06/17/2021,"",03/15/2021,12/31/2020,96.1089,-0.0008028288,12/30/2020,0.0900000000,4,-0.0000389194,0.0000000000,-0.0008417482,96.0478557758,"",100,"","",-3.8919397628,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/16/2033,1980,1800,1800,1800,LII,LIIH21,03/15/2021,SOFR,LIBOR,117.90,114.91,12Y Mar 2021-2033 3mL,202103,0.0000000000,-3.9529859723,0.0000000000
LILM21,96.5230,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2036,06/16/2036,-3.4775382223,14.1652619282,-17.6428001505,1.0000000000,1.2454976293,0.0000000000,0.0000000000,12/16/2021,0.5000000000,"","",09/16/2021,"",06/14/2021,12/31/2020,96.5755,-0.0004957112,12/30/2020,0.0900000000,4,-0.0000342501,0.0000000000,-0.0005299613,96.5229917391,"",100,"","",-3.4250149118,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/13/2036,2420,2200,2200,2200,LIL,LILM21,06/14/2021,SOFR,LIBOR,145.98,142.14,15Y Jun 2021-2036 3mL,202106,0.0000000000,-3.4775382223,0.0000000000
LIOM21,93.4204,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2041,06/17/2041,-6.5808096941,18.2723466521,-24.8531563461,1.0000000000,1.3601513161,0.0000000000,0.0000000000,12/16/2021,0.5000000000,"","",09/16/2021,"",06/14/2021,12/31/2020,93.4387,-0.0011310278,12/30/2020,0.0900000000,4,-0.0000656244,0.0000000000,-0.0011966522,93.4203869581,"",100,"","",-6.5624352775,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/14/2041,3190,2900,2900,2900,LIO,LIOM21,06/14/2021,SOFR,LIBOR,191.30,182.25,20Y Jun 2021-2041 3mL,202106,0.0000000000,-6.5808096941,0.0000000000
LIIM21,98.5608,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2033,06/16/2033,-1.4392989262,11.5487373615,-12.9880362877,1.0000000000,1.1246282499,0.0000000000,0.0000000000,12/16/2021,0.5000000000,"","",09/16/2021,"",06/14/2021,12/31/2020,98.6209,-0.0000845232,12/30/2020,0.0900000000,4,-0.0000137920,0.0000000000,-0.0000983152,98.5607993889,"",100,"","",-1.3791972040,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/15/2033,1980,1800,1800,1800,LII,LIIM21,06/14/2021,SOFR,LIBOR,117.78,116.46,12Y Jun 2021-2033 3mL,202106,0.0000000000,-1.4392989262,0.0000000000
YIAZ20,99.9406,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2021,12/20/2021,-0.0593780464,0.0000000000,-0.0593780464,0.0000000000,0.0585972071,0.0000000000,0.0000000000,12/20/2021,0.0000000000,"","",12/20/2021,0.0594110572,"",12/31/2020,99.9411,-0.0000132811,12/30/2020,0.0900000000,4,-0.0000005887,0.0000000000,-0.0000138698,99.9406358233,"",100,ON-ON,1.0000000000,-0.0588662434,12/16/2020,12/16/2021,0.0000000000,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/16/2021,66,60,60,60,YIA,YIAZ20,12/16/2020,SOFR,SOFR,10.13,9.59,1Y Dec 2020-2021 SOFR,202012,-0.0045278662,-0.0548501802,-0.0045278662
YITZ20,99.8678,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2022,12/20/2022,-0.1322352303,0.0000000000,-0.1322352303,0.0000000000,0.0652720204,0.0000000000,0.0000000000,12/20/2021,0.0000000000,"","",12/20/2021,0.0594110572,"",12/31/2020,99.8687,-0.0000263658,12/30/2020,0.0900000000,4,-0.0000013138,0.0000000000,-0.0000276796,99.8677924492,"",100,ON-ON,1.0000000000,-0.1313761013,12/16/2020,12/16/2021,0.0000000000,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/16/2022,154,140,140,140,YIT,YITZ20,12/16/2020,SOFR,SOFR,20.24,19.68,2Y Dec 2020-2022 SOFR,202012,-0.0045278662,-0.1277073641,-0.0045278662
YICZ20,99.7311,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2023,12/20/2023,-0.2689653818,0.0000000000,-0.2689653818,0.0000000000,0.0883985107,0.0000000000,0.0000000000,12/20/2021,0.0000000000,"","",12/20/2021,0.0594110572,"",12/31/2020,99.7243,-0.0000569059,12/30/2020,0.0900000000,4,-0.0000027571,0.0000000000,-0.0000596630,99.7310942812,"",100,ON-ON,1.0000000000,-0.2757148016,12/16/2020,12/16/2021,0.0000000000,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/18/2023,363,330,330,330,YIC,YICZ20,12/16/2020,SOFR,SOFR,30.39,29.78,3Y Dec 2020-2023 SOFR,202012,-0.0045278662,-0.2644375156,-0.0045278662
YIDZ20,99.3846,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2024,12/18/2024,-0.6154964391,0.0000000000,-0.6154964391,0.0000000000,0.1520662955,0.0000000000,0.0000000000,12/20/2021,0.0000000000,"","",12/20/2021,0.0594110572,"",12/31/2020,99.3896,-0.0001280359,12/30/2020,0.0900000000,4,-0.0000061057,0.0000000000,-0.0001341416,99.3846377025,"",100,ON-ON,1.0000000000,-0.6105675790,12/16/2020,12/16/2021,0.0000000000,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/16/2024,605,550,550,550,YID,YIDZ20,12/16/2020,SOFR,SOFR,40.44,39.74,4Y Dec 2020-2024 SOFR,202012,-0.0045278662,-0.6109685729,-0.0045278662
YIWZ20,100.0464,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2025,12/18/2025,0.0464116043,1.2622798137,-1.2158682094,0.2500000000,0.2408079802,0.0000000000,0.0000000000,12/20/2021,0.2534722222,"","",12/20/2021,0.0594110572,"",12/31/2020,100.0449,0.0000100017,12/30/2020,0.0900000000,4,0.0000004495,0.0000000000,0.0000104512,100.0464011531,"",100,ON-ON,1.0000000000,0.0449508371,12/16/2020,12/16/2021,0.0131944444,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/16/2025,770,700,700,700,YIW,YIWZ20,12/16/2020,SOFR,SOFR,50.49,50.03,5Y Dec 2020-2025 SOFR,202012,0.0086665782,0.0377450261,0.0086665782
YIBZ20,98.6087,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2027,12/20/2027,-1.3915734879,1.7559444611,-3.1475179489,0.2500000000,0.4481232207,0.0000000000,0.0000000000,12/20/2021,0.2534722222,"","",12/20/2021,0.0594110572,"",12/31/2020,98.6160,-0.0002514362,12/30/2020,0.0900000000,4,-0.0000138422,0.0000000000,-0.0002652784,98.6086917905,"",100,ON-ON,1.0000000000,-1.3842197910,12/16/2020,12/16/2021,0.0131944444,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/16/2027,1045,950,950,950,YIB,YIBZ20,12/16/2020,SOFR,SOFR,70.48,69.88,7Y Dec 2020-2027 SOFR,202012,0.0086665782,-1.4002400661,0.0086665782
YIYZ20,98.0047,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2030,12/18/2030,-1.9956236024,4.9484522412,-6.9440758436,0.5000000000,0.7016411905,0.0000000000,0.0000000000,12/20/2021,0.5069444444,"","",12/20/2021,0.0594110572,"",12/31/2020,97.9570,-0.0003194041,12/30/2020,0.0900000000,4,-0.0000204334,0.0000000000,-0.0003398375,98.0047162351,"",100,ON-ON,1.0000000000,-2.0433407320,12/16/2020,12/16/2021,0.0263888889,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/16/2030,1595,1450,1450,1450,YIY,YIYZ20,12/16/2020,SOFR,SOFR,100.14,100.21,10Y Dec 2020-2030 SOFR,202012,0.0218610227,-2.0174846251,0.0218610227
YIIZ20,96.1169,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2032,12/20/2032,-3.8837966608,5.8717620244,-9.7555586852,0.5000000000,0.8307181596,0.0000000000,0.0000000000,12/20/2021,0.5069444444,"","",12/20/2021,0.0594110572,"",12/31/2020,96.0935,-0.0006519835,12/30/2020,0.0900000000,4,-0.0000390711,0.0000000000,-0.0006910546,96.1168943938,"",100,ON-ON,1.0000000000,-3.9071134790,12/16/2020,12/16/2021,0.0263888889,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/16/2032,1980,1800,1800,1800,YII,YIIZ20,12/16/2020,SOFR,SOFR,119.62,119.37,12Y Dec 2020-2032 SOFR,202012,0.0218610227,-3.9056576835,0.0218610227
YILZ20,93.4246,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2035,12/19/2035,-6.5766149908,7.2042494635,-13.7808644543,0.5000000000,0.9564399820,0.0000000000,0.0000000000,12/20/2021,0.5069444444,"","",12/20/2021,0.0594110572,"",12/31/2020,93.3986,-0.0011388654,12/30/2020,0.0900000000,4,-0.0000660253,0.0000000000,-0.0012048907,93.4245898999,"",100,ON-ON,1.0000000000,-6.6025300678,12/16/2020,12/16/2021,0.0263888889,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/17/2035,2420,2200,2200,2200,YIL,YILZ20,12/16/2020,SOFR,SOFR,148.29,146.93,15Y Dec 2020-2035 SOFR,202012,0.0218610227,-6.5984760135,0.0218610227
YIOZ20,93.8958,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2040,12/19/2040,-6.1051897391,13.9423998874,-20.0475896265,0.7500000000,1.0784149315,0.0000000000,0.0000000000,12/20/2021,0.7604166667,"","",12/20/2021,0.0594110572,"",12/31/2020,93.8662,-0.0009492981,12/30/2020,0.0900000000,4,-0.0000613471,0.0000000000,-0.0010106452,93.8958209062,"",100,ON-ON,1.0000000000,-6.1347130623,12/16/2020,12/16/2021,0.0395833333,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/17/2040,3190,2900,2900,2900,YIO,YIOZ20,12/16/2020,SOFR,SOFR,194.37,194.16,20Y Dec 2020-2040 SOFR,202012,0.0350554671,-6.1402452062,0.0350554671
YIEZ20,89.3226,01/04/2021,10/05/2020,10/05/2020,12/16/2020,12/16/2050,12/20/2050,-10.6792406471,19.5826572832,-30.2618979303,0.7500000000,1.1590063146,0.0000000000,0.0000000000,12/20/2021,0.7604166667,"","",12/20/2021,0.0594110572,"",12/31/2020,89.2878,-0.0016898556,12/30/2020,0.0900000000,4,-0.0001071387,0.0000000000,-0.0017969943,89.3225563472,"",100,ON-ON,1.0000000000,-10.7138723353,12/16/2020,12/16/2021,0.0395833333,12/16/2020,12/16/2021,1.0000452787,1.0000000000,0.9994514940,0.0045278662,0.0548831909,12/16/2050,5500,5000,5000,5000,YIE,YIEZ20,12/16/2020,SOFR,SOFR,278.83,267.56,30Y Dec 2020-2050 SOFR,202012,0.0350554671,-10.7142961142,0.0350554671
YIAH21,99.9413,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2022,03/21/2022,-0.0586677372,0.0000000000,-0.0586677372,0.0000000000,0.0579058832,0.0000000000,0.0000000000,03/21/2022,0.0000000000,"","",03/21/2022,0.0587101316,"",12/31/2020,99.9425,-0.0000122138,12/30/2020,0.0900000000,4,-0.0000005751,0.0000000000,-0.0000127889,99.9413450517,"",100,"","",-0.0575122807,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/17/2022,88,80,80,80,YIA,YIAH21,03/17/2021,SOFR,SOFR,10.12,10.11,1Y Mar 2021-2022 SOFR,202103,0.0000000000,-0.0586677372,0.0000000000
YITH21,99.8620,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2023,03/21/2023,-0.1380106652,0.0000000000,-0.1380106652,0.0000000000,0.0681364027,0.0000000000,0.0000000000,03/21/2022,0.0000000000,"","",03/21/2022,0.0587101316,"",12/31/2020,99.8538,-0.0000280512,12/30/2020,0.0900000000,4,-0.0000014628,0.0000000000,-0.0000295140,99.8620188487,"",100,"","",-0.1462779474,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/17/2023,242,220,220,220,YIT,YITH21,03/17/2021,SOFR,SOFR,20.23,20.19,2Y Mar 2021-2023 SOFR,202103,0.0000000000,-0.1380106652,0.0000000000
YICH21,99.6853,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2024,03/20/2024,-0.3147629560,0.0000000000,-0.3147629560,0.0000000000,0.1034861534,0.0000000000,0.0000000000,03/21/2022,0.0000000000,"","",03/21/2022,0.0587101316,"",12/31/2020,99.6850,-0.0000663460,12/30/2020,0.0900000000,4,-0.0000031507,0.0000000000,-0.0000694967,99.6853065407,"",100,"","",-0.3150663522,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/18/2024,418,380,380,380,YIC,YICH21,03/17/2021,SOFR,SOFR,30.38,30.28,3Y Mar 2021-2024 SOFR,202103,0.0000000000,-0.3147629560,0.0000000000
YIDH21,99.2767,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2025,03/19/2025,-0.7234870287,0.0000000000,-0.7234870287,0.0000000000,0.1788493410,0.0000000000,0.0000000000,03/21/2022,0.0000000000,"","",03/21/2022,0.0587101316,"",12/31/2020,99.2800,-0.0001499089,12/30/2020,0.0900000000,4,-0.0000072015,0.0000000000,-0.0001571104,99.2766700817,"",100,"","",-0.7201499023,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/17/2025,605,550,550,550,YID,YIDH21,03/17/2021,SOFR,SOFR,40.42,40.22,4Y Mar 2021-2025 SOFR,202103,0.0000000000,-0.7234870287,0.0000000000
YIWH21,99.8703,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2026,03/19/2026,-0.1296892853,1.2612108834,-1.3909001687,0.2500000000,0.2757072959,0.0000000000,0.0000000000,03/21/2022,0.2534722222,"","",03/21/2022,0.0587101316,"",12/31/2020,99.8700,-0.0000236031,12/30/2020,0.0900000000,4,-0.0000013002,0.0000000000,-0.0000249033,99.8703356180,"",100,"","",-0.1300236007,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/17/2026,770,700,700,700,YIW,YIWH21,03/17/2021,SOFR,SOFR,50.46,50.52,5Y Mar 2021-2026 SOFR,202103,0.0000000000,-0.1296892853,0.0000000000
YIBH21,98.3356,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2028,03/21/2028,-1.6647413518,1.7541774901,-3.4189188418,0.2500000000,0.4872538357,0.0000000000,0.0000000000,03/21/2022,0.2534722222,"","",03/21/2022,0.0587101316,"",12/31/2020,98.3400,-0.0003025075,12/30/2020,0.0900000000,4,-0.0000166030,0.0000000000,-0.0003191105,98.3355777588,"",100,"","",-1.6603025092,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/17/2028,1045,950,950,950,YIB,YIBH21,03/17/2021,SOFR,SOFR,70.46,70.35,7Y Mar 2021-2028 SOFR,202103,0.0000000000,-1.6647413518,0.0000000000
YIYH21,97.6671,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2031,03/19/2031,-2.3332898624,4.9386085537,-7.2718984161,0.5000000000,0.7362294801,0.0000000000,0.0000000000,03/21/2022,0.5069444444,"","",03/21/2022,0.0587101316,"",12/31/2020,97.6200,-0.0003823425,12/30/2020,0.0900000000,4,-0.0000238038,0.0000000000,-0.0004061463,97.6671162840,"",100,"","",-2.3803823311,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/17/2031,1595,1450,1450,1450,YIY,YIYH21,03/17/2021,SOFR,SOFR,100.05,100.62,10Y Mar 2021-2031 SOFR,202103,0.0000000000,-2.3332898624,0.0000000000
YIIH21,95.7749,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2033,03/21/2033,-4.2258371803,5.8583733358,-10.0842105161,0.5000000000,0.8606664289,0.0000000000,0.0000000000,03/21/2022,0.5069444444,"","",03/21/2022,0.0587101316,"",12/31/2020,95.7544,-0.0007153175,12/30/2020,0.0900000000,4,-0.0000424636,0.0000000000,-0.0007577811,95.7749206008,"",100,"","",-4.2463575647,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/17/2033,1980,1800,1800,1800,YII,YIIH21,03/17/2021,SOFR,SOFR,119.50,119.71,12Y Mar 2021-2033 SOFR,202103,0.0000000000,-4.2258371803,0.0000000000
YILH21,93.0975,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2036,03/19/2036,-6.9037522699,7.1858323900,-14.0895846599,0.5000000000,0.9803724812,0.0000000000,0.0000000000,03/21/2022,0.5069444444,"","",03/21/2022,0.0587101316,"",12/31/2020,93.0705,-0.0012011798,12/30/2020,0.0900000000,4,-0.0000693069,0.0000000000,-0.0012704867,93.0975182168,"",100,"","",-6.9306902767,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/17/2036,2420,2200,2200,2200,YIL,YILH21,03/17/2021,SOFR,SOFR,148.11,147.14,15Y Mar 2021-2036 SOFR,202103,0.0000000000,-6.9037522699,0.0000000000
YIOH21,93.5868,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2041,03/20/2041,-6.4142336409,13.9031353323,-20.3173689731,0.7500000000,1.0960136952,0.0000000000,0.0000000000,03/21/2022,0.7604166667,"","",03/21/2022,0.0587101316,"",12/31/2020,93.5576,-0.0010079975,12/30/2020,0.0900000000,4,-0.0000644341,0.0000000000,-0.0010724316,93.5868387907,"",100,"","",-6.4434083910,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/18/2041,3190,2900,2900,2900,YIO,YIOH21,03/17/2021,SOFR,SOFR,194.08,194.23,20Y Mar 2021-2041 SOFR,202103,0.0000000000,-6.4142336409,0.0000000000
YIEH21,89.0637,01/04/2021,10/05/2020,10/05/2020,03/17/2021,03/17/2051,03/21/2051,-10.9381256830,19.5243151055,-30.4624407885,0.7500000000,1.1701732157,0.0000000000,0.0000000000,03/21/2022,0.7604166667,"","",03/21/2022,0.0587101316,"",12/31/2020,89.0291,-0.0017378237,12/30/2020,0.0900000000,4,-0.0001097262,0.0000000000,-0.0018475499,89.0637218668,"",100,"","",-10.9726157315,03/17/2021,03/17/2022,0.0000000000,03/17/2021,03/17/2022,"",0.9998721684,0.9992854866,0.0000000000,0.0587101316,03/17/2051,5500,5000,5000,5000,YIE,YIEH21,03/17/2021,SOFR,SOFR,278.27,267.11,30Y Mar 2021-2051 SOFR,202103,0.0000000000,-10.9381256830,0.0000000000
YIAM21,99.9370,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2022,06/20/2022,-0.0630450197,0.0000000000,-0.0630450197,0.0000000000,0.0622372971,0.0000000000,0.0000000000,06/20/2022,0.0000000000,"","",06/20/2022,0.0631017040,"",12/31/2020,99.9420,-0.0000115714,12/30/2020,0.0900000000,4,-0.0000005797,0.0000000000,-0.0000121511,99.9369671315,"",100,"","",-0.0579731723,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/16/2022,110,100,100,100,YIA,YIAM21,06/16/2021,SOFR,SOFR,10.12,10.10,1Y Jun 2021-2022 SOFR,202106,0.0000000000,-0.0630450197,0.0000000000
YITM21,99.8473,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2023,06/20/2023,-0.1526867991,0.0000000000,-0.1526867991,0.0000000000,0.0753993594,0.0000000000,0.0000000000,06/20/2022,0.0000000000,"","",06/20/2022,0.0631017040,"",12/31/2020,99.8341,-0.0000312714,12/30/2020,0.0900000000,4,-0.0000016597,0.0000000000,-0.0000329311,99.8473461321,"",100,"","",-0.1659721314,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/16/2023,242,220,220,220,YIT,YITM21,06/16/2021,SOFR,SOFR,20.23,20.17,2Y Jun 2021-2023 SOFR,202106,0.0000000000,-0.1526867991,0.0000000000
YICM21,99.6196,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2024,06/19/2024,-0.3804391220,0.0000000000,-0.3804391220,0.0000000000,0.1251311769,0.0000000000,0.0000000000,06/20/2022,0.0000000000,"","",06/20/2022,0.0631017040,"",12/31/2020,99.6229,-0.0000793182,12/30/2020,0.0900000000,4,-0.0000037718,0.0000000000,-0.0000830900,99.6196439680,"",100,"","",-0.3771837296,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/17/2024,418,380,380,380,YIC,YICM21,06/16/2021,SOFR,SOFR,30.37,30.25,3Y Jun 2021-2024 SOFR,202106,0.0000000000,-0.3804391220,0.0000000000
YIDM21,100.1593,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2025,06/18/2025,0.1593358991,1.0106323868,-0.8512964876,0.2500000000,0.2105850997,0.0000000000,0.0000000000,06/20/2022,0.2534722222,"","",06/20/2022,0.0631017040,"",12/31/2020,100.1598,0.0000316183,12/30/2020,0.0900000000,4,0.0000015985,0.0000000000,0.0000332168,100.1593026823,"",100,"","",0.1598532236,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/16/2025,605,550,550,550,YID,YIDM21,06/16/2021,SOFR,SOFR,40.40,40.48,4Y Jun 2021-2025 SOFR,202106,0.0000000000,0.1593358991,0.0000000000
YIWM21,99.6733,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2026,06/18/2026,-0.3267707583,1.2600043947,-1.5867751530,0.2500000000,0.3148352418,0.0000000000,0.0000000000,06/20/2022,0.2534722222,"","",06/20/2022,0.0631017040,"",12/31/2020,99.6742,-0.0000603025,12/30/2020,0.0900000000,4,-0.0000032588,0.0000000000,-0.0000635613,99.6732928030,"",100,"","",-0.3258813746,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/16/2026,770,700,700,700,YIW,YIWM21,06/16/2021,SOFR,SOFR,50.44,50.48,5Y Jun 2021-2026 SOFR,202106,0.0000000000,-0.3267707583,0.0000000000
YIBM21,99.8058,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2028,06/20/2028,-0.1942003428,3.5031311736,-3.6973315164,0.5000000000,0.5277181089,0.0000000000,0.0000000000,06/20/2022,0.5069444444,"","",06/20/2022,0.0631017040,"",12/31/2020,99.8053,0.0000036472,12/30/2020,0.0900000000,4,-0.0000019472,0.0000000000,0.0000017000,99.8057979572,"",100,"","",-0.1947198626,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/16/2028,1045,950,950,950,YIB,YIBM21,06/16/2021,SOFR,SOFR,70.41,71.05,7Y Jun 2021-2028 SOFR,202106,0.0000000000,-0.1942003428,0.0000000000
YIYM21,97.3219,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2031,06/18/2031,-2.6786190852,4.9283385563,-7.6069576415,0.5000000000,0.7717568055,0.0000000000,0.0000000000,06/20/2022,0.5069444444,"","",06/20/2022,0.0631017040,"",12/31/2020,97.2760,-0.0004460993,12/30/2020,0.0900000000,4,-0.0000272449,0.0000000000,-0.0004733442,97.3218542590,"",100,"","",-2.7244894633,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/16/2031,1595,1450,1450,1450,YIY,YIYM21,06/16/2021,SOFR,SOFR,99.96,100.49,10Y Jun 2021-2031 SOFR,202106,0.0000000000,-2.6786190852,0.0000000000
YIIM21,98.3530,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2033,06/20/2033,-1.6471987025,8.7668622982,-10.4140610007,0.7500000000,0.8909168965,0.0000000000,0.0000000000,06/20/2022,0.7604166667,"","",06/20/2022,0.0631017040,"",12/31/2020,98.3332,-0.0001792121,12/30/2020,0.0900000000,4,-0.0000166697,0.0000000000,-0.0001958818,98.3529971793,"",100,"","",-1.6669659456,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/16/2033,1980,1800,1800,1800,YII,YIIM21,06/16/2021,SOFR,SOFR,119.38,121.59,12Y Jun 2021-2033 SOFR,202106,0.0000000000,-1.6471987025,0.0000000000
YILM21,96.3493,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2036,06/18/2036,-3.6512978340,10.7505357341,-14.4018335681,0.7500000000,1.0047290147,0.0000000000,0.0000000000,06/20/2022,0.7604166667,"","",06/20/2022,0.0631017040,"",12/31/2020,96.3201,-0.0005274413,12/30/2020,0.0900000000,4,-0.0000368046,0.0000000000,-0.0005642459,96.3492664120,"",100,"","",-3.6804645822,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/16/2036,2420,2200,2200,2200,YIL,YILM21,06/16/2021,SOFR,SOFR,147.93,149.94,15Y Jun 2021-2036 SOFR,202106,0.0000000000,-3.6512978340,0.0000000000
YIOM21,93.2764,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2041,06/19/2041,-6.7246950700,13.8633205882,-20.5880156582,0.7500000000,1.1138032656,0.0000000000,0.0000000000,06/20/2022,0.7604166667,"","",06/20/2022,0.0631017040,"",12/31/2020,93.2467,-0.0010666333,12/30/2020,0.0900000000,4,-0.0000675436,0.0000000000,-0.0011341769,93.2764391069,"",100,"","",-6.7543643179,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/17/2041,3190,2900,2900,2900,YIO,YIOM21,06/16/2021,SOFR,SOFR,193.78,193.76,20Y Jun 2021-2041 SOFR,202106,0.0000000000,-6.7246950700,0.0000000000
YIEM21,88.8037,01/04/2021,10/05/2020,10/05/2020,06/16/2021,06/16/2051,06/20/2051,-11.1981707415,19.4655989309,-30.6637696724,0.7500000000,1.1814600381,0.0000000000,0.0000000000,06/20/2022,0.7604166667,"","",06/20/2022,0.0631017040,"",12/31/2020,88.7685,-0.0017857542,12/30/2020,0.0900000000,4,-0.0001123331,0.0000000000,-0.0018980873,88.8037273458,"",100,"","",-11.2333122051,06/16/2021,06/16/2022,0.0000000000,06/16/2021,06/16/2022,"",0.9997398677,0.9991094127,0.0000000000,0.0631017040,06/16/2051,5500,5000,5000,5000,YIE,YIEM21,06/16/2021,SOFR,SOFR,277.70,266.12,30Y Jun 2021-2051 SOFR,202106,0.0000000000,-11.1981707415,0.0000000000
LIBH18,107.3685,01/04/2021,09/18/2017,09/18/2017,03/21/2018,03/21/2025,03/21/2025,7.4924474890,8.9781819393,-1.4857344503,2.0000000000,0.3309655474,0.0000000000,0.0000000000,03/22/2021,1.0055555556,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,107.3910,-0.0926729668,12/30/2020,0.0900000000,4,0.0000751487,-0.2165497223,-0.0925978181,107.3684955848,"",100,2M-3M,1.0000000000,7.5148724670,09/21/2020,03/22/2021,0.5722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/20/2025,468,425,425,425,LIB,LIBH18,03/19/2018,SOFR,LIBOR,44.86,42.01,7Y Mar 2018-2025 3mL,201803,0.5629421666,6.9295053224,0.3463924443
LIBH20,109.9531,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2027,03/18/2027,9.3639656672,12.9120991469,-3.5481334798,2.0000000000,0.5495827502,0.0000000000,0.0000000000,03/18/2021,1.0000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,109.9932,0.0457960238,12/30/2020,0.0900000000,4,0.0000940395,0.6350731389,0.0458900633,109.9531487428,"",100,2M-3M,1.0000000000,9.4039487825,09/18/2020,03/18/2021,0.5888888889,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/17/2027,825,750,750,750,LIB,LIBH20,03/16/2020,SOFR,LIBOR,64.65,63.16,7Y Mar 2020-2027 3mL,202003,0.5777265000,8.7862391672,1.2127996389
LIBH21,98.6393,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2028,03/17/2028,-1.3610678673,3.4623446758,-4.8234125431,0.5000000000,0.6965529135,0.0000000000,0.0000000000,09/17/2021,0.2500000000,"","",06/17/2021,"",03/15/2021,12/31/2020,98.6900,-0.0003135510,12/30/2020,0.0900000000,4,-0.0000131030,0.0000000000,-0.0003266540,98.6392587867,"",100,"","",-1.3103000149,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/16/2028,1045,950,950,950,LIB,LIBH21,03/15/2021,SOFR,LIBOR,69.49,69.44,7Y Mar 2021-2028 3mL,202103,0.0000000000,-1.3610678673,0.0000000000
LIBM18,107.7618,01/04/2021,12/18/2017,12/18/2017,06/20/2018,06/20/2025,06/20/2025,7.2818747061,8.9678884478,-1.6860137417,2.0000000000,0.3760113100,0.0000000000,0.0000000000,06/21/2021,1.0000000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,107.7836,-0.0936351999,12/30/2020,0.0900000000,4,0.0000730360,0.3863843332,-0.0935621639,107.7618212032,"",100,2M-3M,1.0000000000,7.3036020588,12/21/2020,06/21/2021,0.0722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/19/2025,495,450,450,450,LIB,LIBM18,06/18/2018,SOFR,LIBOR,44.81,44.65,7Y Jun 2018-2025 3mL,201806,0.0629421666,7.2189325395,0.4493264998
LIBM19,116.0221,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2026,06/19/2026,13.7417492127,16.4010249066,-2.6592756940,3.0000000000,0.4864224722,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,116.0494,0.1812583024,12/30/2020,0.0900000000,4,0.0001376891,2.4617850834,0.1813959915,116.0221383046,"",100,2M-3M,1.0000000000,13.7689065650,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/18/2026,688,625,625,625,LIB,LIBM19,06/17/2019,SOFR,LIBOR,54.69,56.93,7Y Jun 2019-2026 3mL,201906,0.0990532777,13.6426959350,2.5608383611
LIBM20,104.6924,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2027,06/17/2027,4.1948060142,8.0616178341,-3.8668118199,1.2500000000,0.5995713112,0.0000000000,0.0000000000,06/17/2021,0.6250000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,104.7367,-0.0112847953,12/30/2020,0.0900000000,4,0.0000423900,0.4863726945,-0.0112424053,104.6924211140,"",100,2M-3M,1.0000000000,4.2389984691,12/17/2020,06/17/2021,0.0590277778,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/16/2027,880,800,800,800,LIB,LIBM20,06/15/2020,SOFR,LIBOR,64.61,64.10,7Y Jun 2020-2027 3mL,202006,0.0475902778,4.1472157364,0.5339629723
LIBM21,98.3278,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2028,06/16/2028,-1.6725196991,3.4575842056,-5.1301039047,0.5000000000,0.7418624681,0.0000000000,0.0000000000,12/16/2021,0.2500000000,"","",09/16/2021,"",06/14/2021,12/31/2020,98.3787,-0.0003441283,12/30/2020,0.0900000000,4,-0.0000162167,0.0000000000,-0.0003603450,98.3278406460,"",100,"","",-1.6216743694,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/15/2028,1045,950,950,950,LIB,LIBM21,06/14/2021,SOFR,LIBOR,69.44,69.22,7Y Jun 2021-2028 3mL,202106,0.0000000000,-1.6725196991,0.0000000000
LIBU19,116.3875,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2026,09/18/2026,14.9580870752,17.9031230044,-2.9450359292,3.0000000000,0.4934953408,0.0000000000,0.0000000000,03/18/2021,1.5000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,116.4191,0.1833472742,12/30/2020,0.0900000000,4,0.0001498952,1.6129333334,0.1834971694,116.3875232393,"",100,2M-3M,1.0000000000,14.9895168715,09/18/2020,03/18/2021,0.8833333333,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/17/2026,715,650,650,650,LIB,LIBU19,09/16/2019,SOFR,LIBOR,59.71,59.73,7Y Sep 2019-2026 3mL,201909,0.8721709444,14.0859161308,2.4851042778
LIBU20,100.9513,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2027,09/16/2027,1.0121969309,5.2064053428,-4.1942084119,0.7500000000,0.6041896667,0.0000000000,0.0000000000,03/16/2021,0.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,100.9992,0.0008681104,12/30/2020,0.0900000000,4,0.0000106007,-0.0599715278,0.0008787111,100.9513466919,"",100,2M-3M,1.0000000000,1.0600705456,09/16/2020,03/16/2021,0.2250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/15/2027,935,850,850,850,LIB,LIBU20,09/14/2020,SOFR,LIBOR,69.57,65.39,7Y Sep 2020-2027 3mL,202009,0.2134284722,0.7987684587,0.1534569444
LIBZ17,110.5316,01/04/2021,06/19/2017,06/19/2017,12/20/2017,12/20/2024,12/20/2024,8.6704476265,9.9709093475,-1.3004617210,2.5000000000,0.3260639716,0.0000000000,0.0000000000,06/21/2021,1.2500000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,110.5536,0.0574941848,12/30/2020,0.0900000000,4,0.0000869237,1.9187337777,0.0575811085,110.5316002957,"",100,2M-3M,1.0000000000,8.6923672358,12/21/2020,06/21/2021,0.0902777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/19/2024,413,375,375,375,LIB,LIBZ17,12/18/2017,SOFR,LIBOR,39.85,39.80,7Y Dec 2017-2024 3mL,201712,0.0809977222,8.5894499043,1.9997314999
LIBZ19,108.0734,01/04/2021,08/05/2019,08/05/2019,12/18/2019,12/18/2026,12/18/2026,7.1913805369,10.4338423250,-3.2424617881,1.7500000000,0.5438368678,0.0000000000,0.0000000000,06/18/2021,0.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,108.1092,0.0231288497,12/30/2020,0.0900000000,4,0.0000722717,0.9051745278,0.0232011214,108.0733539433,"",100,2M-3M,1.0000000000,7.2271676717,12/18/2020,06/18/2021,0.0777777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/17/2026,770,700,700,700,LIB,LIBZ19,12/16/2019,SOFR,LIBOR,59.68,60.08,7Y Dec 2019-2026 3mL,201912,0.0666153889,7.1247651480,0.9717899167
LIBZ20,102.4010,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2027,12/16/2027,2.4024575696,6.9336564121,-4.5311988424,1.0000000000,0.6535078425,0.0000000000,0.0000000000,06/16/2021,0.5000000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,102.4511,0.0014829542,12/30/2020,0.0900000000,4,0.0000245261,0.0000000000,0.0015074803,102.4009500893,"",100,2M-3M,1.0000000000,2.4526123560,12/16/2020,06/16/2021,0.0500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/15/2027,1045,950,950,950,LIB,LIBZ20,12/14/2020,SOFR,LIBOR,69.53,68.42,7Y Dec 2020-2027 3mL,202012,0.0384284722,2.3640290974,0.0384284722
LICH20,104.4105,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2023,03/20/2023,3.9142080501,4.3813534389,-0.4671453887,1.7500000000,0.1865871909,0.0000000000,0.0000000000,03/18/2021,0.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,104.4227,0.0137440628,12/30/2020,0.0900000000,4,0.0000392637,0.5100731389,0.0137833265,104.4104978625,"",100,2M-3M,1.0000000000,3.9263700494,09/18/2020,03/18/2021,0.5152777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/17/2023,105,95,95,95,LIC,LICH20,03/16/2020,SOFR,LIBOR,25.02,20.78,3Y Mar 2020-2023 3mL,202003,0.5041153889,3.4100926612,1.0141885278
LICH21,99.9692,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2024,03/18/2024,-0.0307854760,0.7495519867,-0.7803374626,0.2500000000,0.2602679589,0.0000000000,0.0000000000,09/17/2021,0.1250000000,"","",06/17/2021,"",03/15/2021,12/31/2020,99.9840,-0.0000313282,12/30/2020,0.0900000000,4,-0.0000001600,0.0000000000,-0.0000314882,99.9692460122,"",100,"","",-0.0160000064,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/15/2024,253,230,230,230,LIC,LICH21,03/15/2021,SOFR,LIBOR,29.95,30.39,3Y Mar 2021-2024 3mL,202103,0.0000000000,-0.0307854760,0.0000000000
LICM19,106.5801,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2022,06/20/2022,4.1993051435,4.4890899024,-0.2897847589,3.0000000000,0.1936593599,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,106.5796,0.0809403944,12/30/2020,0.0900000000,4,0.0000419874,2.4617850834,0.0809823818,106.5801078451,"",100,2M-3M,1.0000000000,4.1987401530,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/17/2022,50,45,45,45,LIC,LICM19,06/17/2019,SOFR,LIBOR,14.95,13.12,3Y Jun 2019-2022 3mL,201906,0.0990532777,4.1002518658,2.5608383611
LICM20,102.3338,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2023,06/19/2023,1.9638596646,2.5031554085,-0.5392957439,1.0000000000,0.2154463690,0.0000000000,0.0000000000,06/17/2021,0.5000000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,102.3475,-0.0085680589,12/30/2020,0.0900000000,4,0.0000197757,0.3613726945,-0.0085482832,102.3337806423,"",100,2M-3M,1.0000000000,1.9775694351,12/17/2020,06/17/2021,0.0472222222,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/16/2023,143,130,130,130,LIC,LICM20,06/15/2020,SOFR,LIBOR,25.01,23.15,3Y Jun 2020-2023 3mL,202006,0.0357847222,1.9280749424,0.3971574167
LICM21,99.8782,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2024,06/17/2024,-0.1218744014,0.7492920714,-0.8711664727,0.2500000000,0.2906631826,0.0000000000,0.0000000000,12/16/2021,0.1250000000,"","",09/16/2021,"",06/14/2021,12/31/2020,99.8962,-0.0000538846,12/30/2020,0.0900000000,4,-0.0000010382,0.0000000000,-0.0000549228,99.8781805214,"",100,"","",-0.1038206307,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/14/2024,286,260,260,260,LIC,LICM21,06/14/2021,SOFR,LIBOR,29.94,30.35,3Y Jun 2021-2024 3mL,202106,0.0000000000,-0.1218744014,0.0000000000
LICU19,107.1918,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2022,09/19/2022,5.6646299877,6.0048452045,-0.3402152168,3.0000000000,0.1699703516,0.0000000000,0.0000000000,03/18/2021,1.5000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,107.1919,0.0857193914,12/30/2020,0.0900000000,4,0.0000566472,1.6129333334,0.0857760386,107.1917872825,"",100,2M-3M,1.0000000000,5.6647199985,09/18/2020,03/18/2021,0.8833333333,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/16/2022,66,60,60,60,LIC,LICU19,09/16/2019,SOFR,LIBOR,20.00,15.81,3Y Sep 2019-2022 3mL,201909,0.8721709444,4.7924590433,2.4851042778
LICU20,100.8196,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2023,09/18/2023,0.8799716042,1.5012791098,-0.6213075056,0.5000000000,0.2069260478,0.0000000000,0.0000000000,03/16/2021,0.2500000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,100.8331,0.0004256921,12/30/2020,0.0900000000,4,0.0000089345,-0.0599715278,0.0004346266,100.8195654497,"",100,2M-3M,1.0000000000,0.8934528325,09/16/2020,03/16/2021,0.1500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/15/2023,176,160,160,160,LIC,LICU20,09/14/2020,SOFR,LIBOR,30.00,25.52,3Y Sep 2020-2023 3mL,202009,0.1384284722,0.7415431320,0.0784569444
LICZ19,103.2536,01/04/2021,08/26/2019,08/26/2019,12/18/2019,12/18/2022,12/19/2022,2.6013184206,3.0019165673,-0.4005981467,1.5000000000,0.2001711928,0.0000000000,0.0000000000,06/18/2021,0.7500000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,103.2605,0.0028299628,12/30/2020,0.0900000000,4,0.0000260813,0.6551745278,0.0028560441,103.2536369043,"",100,2M-3M,1.0000000000,2.6081261370,12/18/2020,06/18/2021,0.0666666667,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/16/2022,88,80,80,80,LIC,LICZ19,12/16/2019,SOFR,LIBOR,20.00,18.11,3Y Dec 2019-2022 3mL,201912,0.0555042778,2.5458141428,0.7106788056
LICZ20,101.5312,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2023,12/18/2023,1.5319247876,2.2513777491,-0.7194529615,0.7500000000,0.2396708955,0.0000000000,0.0000000000,06/16/2021,0.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,101.5444,0.0007191039,12/30/2020,0.0900000000,4,0.0000154508,0.0000000000,0.0007345547,101.5311902329,"",100,2M-3M,1.0000000000,1.5450753535,12/16/2020,06/16/2021,0.0375000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/15/2023,220,200,200,200,LIC,LICZ20,12/14/2020,SOFR,LIBOR,29.99,28.17,3Y Dec 2020-2023 3mL,202012,0.0259284722,1.5059963154,0.0259284722
LIDH18,102.5868,01/04/2021,09/18/2017,09/18/2017,03/21/2018,03/21/2022,03/21/2022,2.7557656546,2.9987424349,-0.2429767802,2.0000000000,0.1620524507,0.0000000000,0.0000000000,03/22/2021,1.0055555556,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,102.5850,-0.0476427563,12/30/2020,0.0900000000,4,0.0000275389,-0.2165497223,-0.0476152174,102.5868311498,"",100,2M-3M,1.0000000000,2.7538873560,09/21/2020,03/22/2021,0.5722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/18/2022,50,45,45,45,LID,LIDH18,03/19/2018,SOFR,LIBOR,14.99,10.30,4Y Mar 2018-2022 3mL,201803,0.5629421666,2.1928234880,0.3463924443
LIDH20,105.7709,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2024,03/18/2024,5.2785196595,6.1168942995,-0.8383746400,1.7500000000,0.2398530280,0.0000000000,0.0000000000,03/18/2021,0.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,105.7854,0.0176039459,12/30/2020,0.0900000000,4,0.0000529290,0.5100731389,0.0176568749,105.7709359236,"",100,2M-3M,1.0000000000,5.2928968236,09/18/2020,03/18/2021,0.5152777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/15/2024,264,240,240,240,LID,LIDH20,03/16/2020,SOFR,LIBOR,34.92,31.26,4Y Mar 2020-2024 3mL,202003,0.5041153889,4.7744042706,1.0141885278
LIDH21,99.5754,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2025,03/17/2025,-0.4247527701,0.9973130197,-1.4220657898,0.2500000000,0.3564742868,0.0000000000,0.0000000000,09/17/2021,0.1250000000,"","",06/17/2021,"",03/15/2021,12/31/2020,99.6000,-0.0001778046,12/30/2020,0.0900000000,4,-0.0000040020,0.0000000000,-0.0001818066,99.5754290365,"",100,"","",-0.4002000018,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/14/2025,462,420,420,420,LID,LIDH21,03/15/2021,SOFR,LIBOR,39.86,40.29,4Y Mar 2021-2025 3mL,202103,0.0000000000,-0.4247527701,0.0000000000
LIDM19,109.2894,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2023,06/19/2023,6.9376360338,7.4761446976,-0.5385086638,3.0000000000,0.2160907870,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,109.3024,0.1099612559,12/30/2020,0.0900000000,4,0.0000695059,2.4617850834,0.1100307618,109.2893903554,"",100,2M-3M,1.0000000000,6.9505931801,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/16/2023,165,150,150,150,LID,LIDM19,06/17/2019,SOFR,LIBOR,24.90,23.82,4Y Jun 2019-2023 3mL,201906,0.0990532777,6.8385827561,2.5608383611
LIDM20,102.8946,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2024,06/17/2024,2.5213607423,3.4942639952,-0.9729032529,1.0000000000,0.2784286632,0.0000000000,0.0000000000,06/17/2021,0.5000000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,102.9127,-0.0119064698,12/30/2020,0.0900000000,4,0.0000253945,0.3613726945,-0.0118810753,102.8946145121,"",100,2M-3M,1.0000000000,2.5394536754,12/17/2020,06/17/2021,0.0472222222,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/14/2024,308,280,280,280,LID,LIDM20,06/15/2020,SOFR,LIBOR,34.91,33.39,4Y Jun 2020-2024 3mL,202006,0.0357847222,2.4855760201,0.3971574167
LIDM21,99.4194,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2025,06/16/2025,-0.5807765132,0.9967414801,-1.5775179932,0.2500000000,0.3956687930,0.0000000000,0.0000000000,12/16/2021,0.1250000000,"","",09/16/2021,"",06/14/2021,12/31/2020,99.4431,-0.0001617653,12/30/2020,0.0900000000,4,-0.0000055704,0.0000000000,-0.0001673357,99.4193908226,"",100,"","",-0.5570430371,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/13/2025,605,550,550,550,LID,LIDM21,06/14/2021,SOFR,LIBOR,39.84,40.21,4Y Jun 2021-2025 3mL,202106,0.0000000000,-0.5807765132,0.0000000000
LIDU19,109.8661,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2023,09/18/2023,8.3673049377,8.9910177666,-0.6237128288,3.0000000000,0.2081119774,0.0000000000,0.0000000000,03/18/2021,1.5000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,109.8787,0.1140742048,12/30/2020,0.0900000000,4,0.0000837986,1.6129333334,0.1141580034,109.8660802678,"",100,2M-3M,1.0000000000,8.3798575187,09/18/2020,03/18/2021,0.8833333333,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/15/2023,193,175,175,175,LID,LIDU19,09/16/2019,SOFR,LIBOR,29.94,26.57,4Y Sep 2019-2023 3mL,201909,0.8721709444,7.4951339933,2.4851042778
LIDU20,100.8117,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2024,09/16/2024,0.8721621137,1.9964438826,-1.1242817689,0.5000000000,0.2815710922,0.0000000000,0.0000000000,03/16/2021,0.2500000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,100.8337,0.0004477730,12/30/2020,0.0900000000,4,0.0000089412,-0.0599715278,0.0004567142,100.8117338717,"",100,2M-3M,1.0000000000,0.8941204779,09/16/2020,03/16/2021,0.1500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/13/2024,330,300,300,300,LID,LIDU20,09/14/2020,SOFR,LIBOR,39.89,35.58,4Y Sep 2020-2024 3mL,202009,0.1384284722,0.7337336415,0.0784569444
LIDZ19,104.4235,01/04/2021,08/26/2019,08/26/2019,12/18/2019,12/18/2023,12/18/2023,3.7725712576,4.4944295423,-0.7218582847,1.5000000000,0.2409176553,0.0000000000,0.0000000000,06/18/2021,0.7500000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,104.4359,0.0041947768,12/30/2020,0.0900000000,4,0.0000378494,0.6551745278,0.0042326262,104.4235131592,"",100,2M-3M,1.0000000000,3.7849424635,12/18/2020,06/18/2021,0.0666666667,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/15/2023,242,220,220,220,LID,LIDZ19,12/16/2019,SOFR,LIBOR,29.93,28.51,4Y Dec 2019-2023 3mL,201912,0.0555042778,3.7170669798,0.7106788056
LIDZ20,102.6964,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2024,12/16/2024,2.6977979668,3.9912225112,-1.2934245444,1.0000000000,0.3240672603,0.0000000000,0.0000000000,06/16/2021,0.5000000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,102.7208,0.0013250783,12/30/2020,0.0900000000,4,0.0000272214,0.0000000000,0.0013522997,102.6964456670,"",100,2M-3M,1.0000000000,2.7221426288,12/16/2020,06/16/2021,0.0500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/13/2024,385,350,350,350,LID,LIDZ20,12/14/2020,SOFR,LIBOR,39.88,38.52,4Y Dec 2020-2024 3mL,202012,0.0384284722,2.6593694946,0.0384284722
LIEH20,122.4975,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2050,03/18/2050,21.8851956640,57.4634435428,-35.5782478788,2.2500000000,1.3930779778,0.0000000000,0.0000000000,03/18/2021,1.1250000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,122.4063,0.1475060741,12/30/2020,0.0900000000,4,0.0002179377,0.7600731389,0.1477240118,122.4975447911,"",100,2M-3M,1.0000000000,21.7937668040,09/18/2020,03/18/2021,0.6625000000,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/17/2050,5500,5000,5000,5000,LIE,LIEH20,03/16/2020,SOFR,LIBOR,272.00,296.51,30Y Mar 2020-2050 3mL,202003,0.6513376111,21.2338580529,1.4114107500
LIEH21,89.1694,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2051,03/17/2051,-10.8323849715,25.7375892193,-36.5699741909,1.0000000000,1.4208779960,0.0000000000,0.0000000000,09/17/2021,0.5000000000,"","",06/17/2021,"",03/15/2021,12/31/2020,89.0700,-0.0016758588,12/30/2020,0.0900000000,4,-0.0001093170,0.0000000000,-0.0017851758,89.1694002043,"",100,"","",-10.9316990046,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/16/2051,5500,5000,5000,5000,LIE,LIEH21,03/15/2021,SOFR,LIBOR,274.85,254.86,30Y Mar 2021-2051 3mL,202103,0.0000000000,-10.8323849715,0.0000000000
LIEM20,103.0116,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2050,06/17/2050,2.3529087858,38.1977385707,-35.8448297849,1.5000000000,1.4076028239,0.0000000000,0.0000000000,06/17/2021,0.7500000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,102.9213,-0.0473215126,12/30/2020,0.0900000000,4,0.0000226263,0.6113726945,-0.0472988863,103.0115803666,"",100,2M-3M,1.0000000000,2.2626286539,12/17/2020,06/17/2021,0.0708333333,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/16/2050,5500,5000,5000,5000,LIE,LIEM20,06/15/2020,SOFR,LIBOR,271.48,269.46,30Y Jun 2020-2050 3mL,202006,0.0593958333,2.2935129525,0.6707685278
LIEM21,95.2973,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2051,06/16/2051,-4.7030736382,32.0766829256,-36.7797565638,1.2500000000,1.4332746254,0.0000000000,0.0000000000,12/16/2021,0.6250000000,"","",09/16/2021,"",06/14/2021,12/31/2020,95.1919,-0.0003281216,12/30/2020,0.0900000000,4,-0.0000480840,0.0000000000,-0.0003762056,95.2973025674,"",100,"","",-4.8083952979,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/15/2051,5500,5000,5000,5000,LIE,LIEM21,06/14/2021,SOFR,LIBOR,274.30,264.43,30Y Jun 2021-2051 3mL,202106,0.0000000000,-4.7030736382,0.0000000000
LIEU19,148.0640,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2049,09/20/2049,46.8276004306,81.8712660819,-35.0436656513,3.2500000000,1.3911097118,0.0000000000,0.0000000000,03/18/2021,1.6250000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,147.9743,0.6260339465,12/30/2020,0.0900000000,4,0.0004673738,1.8629333334,0.6265013203,148.0640324437,"",100,2M-3M,1.0000000000,46.7373814391,09/18/2020,03/18/2021,0.9569444444,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/17/2049,5500,5000,5000,5000,LIE,LIEU19,09/16/2019,SOFR,LIBOR,268.08,329.32,30Y Sep 2019-2049 3mL,201909,0.9457820555,45.8818183751,2.8087153889
LIEU20,83.2558,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2050,09/16/2050,-16.6896181064,19.4180610130,-36.1076791194,0.7500000000,1.3946170692,0.0000000000,0.0000000000,03/16/2021,0.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,83.1666,-0.0051744633,12/30/2020,0.0900000000,4,-0.0001677859,-0.0599715278,-0.0053422492,83.2557526150,"",100,2M-3M,1.0000000000,-16.7785947048,09/16/2020,03/16/2021,0.2250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/15/2050,5500,5000,5000,5000,LIE,LIEU20,09/14/2020,SOFR,LIBOR,275.95,241.53,30Y Sep 2020-2050 3mL,202009,0.2134284722,-16.9030465786,0.1534569444
LIEZ19,109.5359,01/04/2021,08/26/2019,08/26/2019,12/18/2019,12/18/2049,12/20/2049,8.6384395532,43.9553114702,-35.3168719170,1.7500000000,1.4060763941,0.0000000000,0.0000000000,06/18/2021,0.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,109.4513,0.0076476569,12/30/2020,0.0900000000,4,0.0000855381,0.9051745278,0.0077331950,109.5358808860,"",100,2M-3M,1.0000000000,8.5538117378,12/18/2020,06/18/2021,0.0777777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/17/2049,5500,5000,5000,5000,LIE,LIEZ19,12/16/2019,SOFR,LIBOR,267.57,275.06,30Y Dec 2019-2049 3mL,201912,0.0666153889,8.5718241643,0.9717899167
LIEZ20,95.8982,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2050,12/16/2050,-4.1001461504,32.2683502761,-36.3684964265,1.2500000000,1.4088300190,0.0000000000,0.0000000000,06/16/2021,0.6250000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,95.8019,0.0016731845,12/30/2020,0.0900000000,4,-0.0000419644,0.0000000000,0.0016312201,95.8982226295,"",100,2M-3M,1.0000000000,-4.1964391372,12/16/2020,06/16/2021,0.0625000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/15/2050,5500,5000,5000,5000,LIE,LIEZ20,12/14/2020,SOFR,LIBOR,275.40,263.33,30Y Dec 2020-2050 3mL,202012,0.0509284722,-4.1510746226,0.0509284722
LIIH17,111.2521,01/04/2021,09/30/2016,09/30/2016,03/15/2017,03/15/2029,03/15/2029,10.4444728604,16.7631574908,-6.3186846305,2.0000000000,0.7538776193,0.0000000000,0.0000000000,03/15/2021,1.0000000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,111.3058,-0.2073401705,12/30/2020,0.0900000000,4,0.0001049807,0.6004223055,-0.2072351898,111.2521303557,"",100,2M-3M,1.0000000000,10.4980671758,09/15/2020,03/15/2021,0.6055555556,12/15/2020,03/15/2021,"","","",0.0120277778,"",03/14/2029,1980,1800,1800,1800,LII,LIIH17,03/13/2017,SOFR,LIBOR,84.28,83.96,12Y Mar 2017-2029 3mL,201703,0.5935277778,9.8509450826,1.1939500833
LIIH18,113.6034,01/04/2021,09/18/2017,09/18/2017,03/21/2018,03/21/2030,03/21/2030,13.1032205093,20.9803888421,-7.8771683328,2.2500000000,0.8447712234,0.0000000000,0.0000000000,03/22/2021,1.1312500000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,113.6630,-0.0918183667,12/30/2020,0.0900000000,4,0.0001316274,0.4084502776,-0.0916867393,113.6033575262,"",100,2M-3M,1.0000000000,13.1627364468,09/21/2020,03/22/2021,0.6437500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/20/2030,1980,1800,1800,1800,LII,LIIH18,03/19/2018,SOFR,LIBOR,94.02,95.31,12Y Mar 2018-2030 3mL,201803,0.6344699444,12.4687505649,1.0429202220
LIIH19,122.8231,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2031,03/20/2031,21.2981263881,30.7573762070,-9.4592498189,3.0000000000,0.9226323229,0.0000000000,0.0000000000,03/22/2021,1.5083333333,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,122.8828,0.2469080376,12/30/2020,0.0900000000,4,0.0002135764,1.7721176111,0.2471216140,122.8231223852,"",100,2M-3M,1.0000000000,21.3576395976,09/21/2020,03/22/2021,0.8583333333,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/19/2031,1980,1800,1800,1800,LII,LIIH19,03/18/2019,SOFR,LIBOR,103.68,109.76,12Y Mar 2019-2031 3mL,201903,0.8490532777,20.4490731104,2.6211708888
LIIM17,105.2698,01/04/2021,12/30/2016,12/30/2016,06/21/2017,06/21/2029,06/21/2029,5.8288289939,12.5518983907,-6.7230693968,1.5000000000,0.8034325790,0.0000000000,0.0000000000,06/21/2021,0.7500000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,105.3233,-0.4804471076,12/30/2020,0.0900000000,4,0.0000588224,-1.0394356946,-0.4803882852,105.2697815845,"",100,2M-3M,1.0000000000,5.8822409551,12/21/2020,06/21/2021,0.0541666667,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/20/2029,1980,1800,1800,1800,LII,LIIM17,06/19/2017,SOFR,LIBOR,84.22,84.63,12Y Jun 2017-2029 3mL,201706,0.0448866111,5.7839423828,-0.9945490835
LIIM18,113.7737,01/04/2021,12/18/2017,12/18/2017,06/20/2018,06/20/2030,06/20/2030,12.6700797417,20.9382362772,-8.2681565355,2.2500000000,0.8884870702,0.0000000000,0.0000000000,06/21/2021,1.1250000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,113.8340,-0.0916374517,12/30/2020,0.0900000000,4,0.0001273028,1.0120787777,-0.0915101489,113.7736686683,"",100,2M-3M,1.0000000000,12.7302773734,12/21/2020,06/21/2021,0.0812500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/19/2030,1980,1800,1800,1800,LII,LIIM18,06/18/2018,SOFR,LIBOR,93.92,97.90,12Y Jun 2018-2030 3mL,201806,0.0719699444,12.5981097973,1.0840487221
LIIM19,123.0324,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2031,06/19/2031,20.8281347670,30.6909068405,-9.8627720734,3.0000000000,0.9640743551,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,123.0932,0.2573580311,12/30/2020,0.0900000000,4,0.0002088874,2.4617850834,0.2575669185,123.0323529319,"",100,2M-3M,1.0000000000,20.8887445827,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/18/2031,1980,1800,1800,1800,LII,LIIM19,06/17/2019,SOFR,LIBOR,103.56,112.61,12Y Jun 2019-2031 3mL,201906,0.0990532777,20.7290814893,2.5608383611
LIIU16,117.0170,01/04/2021,04/01/2016,04/01/2016,09/21/2016,09/21/2028,09/21/2028,14.1485272368,19.7600378854,-5.6115106486,2.5000000000,0.7099569699,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,117.0660,0.0815175991,12/30/2020,0.0900000000,4,0.0001419745,2.9500922777,0.0816595736,117.0169599409,"",100,2M-3M,1.0000000000,14.1974518561,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/20/2028,1980,1800,1800,1800,LII,LIIU16,09/19/2016,SOFR,LIBOR,79.38,80.40,12Y Sep 2016-2028 3mL,201609,0.7059977222,13.4425295146,3.6560899999
LIIU17,116.5639,01/04/2021,03/31/2017,03/31/2017,09/20/2017,09/20/2029,09/20/2029,15.0251998219,22.1292228011,-7.1040229793,2.5000000000,0.8025612832,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,116.6199,0.0450007728,12/30/2020,0.0900000000,4,0.0001508105,1.5838032222,0.0451515833,116.5638514607,"",100,2M-3M,1.0000000000,15.0810540045,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/19/2029,1980,1800,1800,1800,LII,LIIU17,09/18/2017,SOFR,LIBOR,89.13,91.09,12Y Sep 2017-2029 3mL,201709,0.7059977222,14.3192020997,2.2898009444
LIIU18,116.7665,01/04/2021,03/19/2018,03/19/2018,09/19/2018,09/19/2030,09/19/2030,15.8026334577,24.4658852045,-8.6632517468,2.5000000000,0.8852379215,0.0000000000,0.0000000000,03/19/2021,1.2361111111,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,116.8281,0.0319452457,12/30/2020,0.0900000000,4,0.0001586406,0.9960185556,0.0321038863,116.7665481270,"",100,2M-3M,1.0000000000,15.8640559718,09/21/2020,03/19/2021,0.7152777778,12/21/2020,03/19/2021,"","","",0.0092800556,"",09/18/2030,1980,1800,1800,1800,LII,LIIU18,09/17/2018,SOFR,LIBOR,98.82,101.81,12Y Sep 2018-2030 3mL,201809,0.7059977222,15.0966357355,1.7020162778
LIIZ16,111.1731,01/04/2021,06/30/2016,06/30/2016,12/21/2016,12/21/2028,12/21/2028,9.8095012554,15.7855396701,-5.9760384147,2.0000000000,0.7571535139,0.0000000000,0.0000000000,06/21/2021,1.0000000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,111.2226,-0.1960127862,12/30/2020,0.0900000000,4,0.0000985892,1.1676505276,-0.1959141970,111.1730659800,"",100,2M-3M,1.0000000000,9.8589177594,12/21/2020,06/21/2021,0.0722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/20/2028,1980,1800,1800,1800,LII,LIIZ16,12/19/2016,SOFR,LIBOR,79.33,81.39,12Y Dec 2016-2028 3mL,201612,0.0629421666,9.7465590888,1.2305926942
LIIZ17,119.3199,01/04/2021,06/19/2017,06/19/2017,12/20/2017,12/20/2029,12/20/2029,16.8134536156,24.3024249530,-7.4889713374,2.7500000000,0.8474327652,0.0000000000,0.0000000000,06/21/2021,1.3750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,119.3781,0.1627757786,12/30/2020,0.0900000000,4,0.0001687146,2.6694282222,0.1629444932,119.3199373446,"",100,2M-3M,1.0000000000,16.8714584601,12/21/2020,06/21/2021,0.0993055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/19/2029,1980,1800,1800,1800,LII,LIIZ17,12/18/2017,SOFR,LIBOR,89.06,94.80,12Y Dec 2017-2029 3mL,201712,0.0900255000,16.7234281156,2.7594537222
LIIZ18,122.5919,01/04/2021,06/18/2018,06/18/2018,12/19/2018,12/19/2030,12/19/2030,20.2452881229,29.3055829360,-9.0602948130,3.0000000000,0.9274985077,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,122.6530,0.2432136038,12/30/2020,0.0900000000,4,0.0002030622,2.5899803612,0.2434166660,122.5918518181,"",100,2M-3M,1.0000000000,20.3062214537,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/18/2030,1980,1800,1800,1800,LII,LIIZ18,12/17/2018,SOFR,LIBOR,98.74,107.05,12Y Dec 2018-2030 3mL,201812,0.0990532777,20.1462348452,2.6890336389
LILH17,112.1812,01/04/2021,09/30/2016,09/30/2016,03/15/2017,03/15/2032,03/15/2032,11.2814871956,22.3458412808,-11.0643540852,2.0000000000,0.9902830640,0.0000000000,0.0000000000,03/15/2021,1.0000000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,112.2433,-0.2993659136,12/30/2020,0.0900000000,4,0.0001134351,0.6004223055,-0.2992524785,112.1811619796,"",100,2M-3M,1.0000000000,11.3435120969,09/15/2020,03/15/2021,0.6055555556,12/15/2020,03/15/2021,"","","",0.0120277778,"",03/12/2032,2420,2200,2200,2200,LIL,LILH17,03/13/2017,SOFR,LIBOR,113.34,114.47,15Y Mar 2017-2032 3mL,201703,0.5935277778,10.6879594178,1.1939500833
LILH18,115.0076,01/04/2021,09/18/2017,09/18/2017,03/21/2018,03/21/2033,03/21/2033,14.4586707874,27.1659520997,-12.7072813123,2.2500000000,1.0524712275,0.0000000000,0.0000000000,03/22/2021,1.1312500000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,115.0645,-0.1406525414,12/30/2020,0.0900000000,4,0.0001451535,0.4084502776,-0.1405073879,115.0076284529,"",100,2M-3M,1.0000000000,14.5153485877,09/21/2020,03/22/2021,0.6437500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/18/2033,2420,2200,2200,2200,LIL,LILH18,03/19/2018,SOFR,LIBOR,122.89,126.36,15Y Mar 2018-2033 3mL,201803,0.6344699444,13.8242008430,1.0429202220
LILH19,126.0851,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2034,03/20/2034,24.5934367552,38.8797403823,-14.2863036271,3.0000000000,1.1023456036,0.0000000000,0.0000000000,03/22/2021,1.5083333333,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,126.1387,0.2802378200,12/30/2020,0.0900000000,4,0.0002464679,1.7721176111,0.2804842879,126.0850700784,"",100,2M-3M,1.0000000000,24.6467895713,09/21/2020,03/22/2021,0.8583333333,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/17/2034,2420,2200,2200,2200,LIL,LILH19,03/18/2019,SOFR,LIBOR,132.36,143.28,15Y Mar 2019-2034 3mL,201903,0.8490532777,23.7443834775,2.6211708888
LILM17,104.8155,01/04/2021,12/30/2016,12/30/2016,06/21/2017,06/21/2032,06/21/2032,5.2222983716,16.7224315044,-11.5001331328,1.5000000000,1.0315604937,0.0000000000,0.0000000000,06/21/2021,0.7500000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,104.8750,-0.6327228502,12/30/2020,0.0900000000,4,0.0000528169,-1.0394356946,-0.6326700333,104.8155327103,"",100,2M-3M,1.0000000000,5.2816901190,12/21/2020,06/21/2021,0.0541666667,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/18/2032,2420,2200,2200,2200,LIL,LILM17,06/19/2017,SOFR,LIBOR,113.23,113.57,15Y Jun 2017-2032 3mL,201706,0.0448866111,5.1774117605,-0.9945490835
LILM18,115.1437,01/04/2021,12/18/2017,12/18/2017,06/20/2018,06/20/2033,06/20/2033,13.9953742222,27.1004638140,-13.1050895918,2.2500000000,1.0880423222,0.0000000000,0.0000000000,06/21/2021,1.1250000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,115.2001,-0.1363758556,12/30/2020,0.0900000000,4,0.0001405160,1.0120787777,-0.1362353396,115.1436883395,"",100,2M-3M,1.0000000000,14.0516017156,12/21/2020,06/21/2021,0.0812500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/17/2033,2420,2200,2200,2200,LIL,LILM18,06/18/2018,SOFR,LIBOR,122.75,128.91,15Y Jun 2018-2033 3mL,201806,0.0719699444,13.9234042778,1.0840487221
LILM19,126.2726,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2034,06/19/2034,24.1051798794,38.7824275712,-14.6772476919,3.0000000000,1.1353529377,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,126.3270,0.2940747653,12/30/2020,0.0900000000,4,0.0002415925,2.4617850834,0.2943163578,126.2726486050,"",100,2M-3M,1.0000000000,24.1592535300,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/16/2034,2420,2200,2200,2200,LIL,LILM19,06/17/2019,SOFR,LIBOR,132.20,146.15,15Y Jun 2019-2034 3mL,201906,0.0990532777,24.0061266017,2.5608383611
LILU16,119.4047,01/04/2021,04/01/2016,04/01/2016,09/21/2016,09/21/2031,09/22/2031,16.5098825531,26.7938190796,-10.2839365265,2.5000000000,0.9595437380,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,119.4643,0.0551137597,12/30/2020,0.0900000000,4,0.0001656934,2.9500922777,0.0552794531,119.4046953777,"",100,2M-3M,1.0000000000,16.5693402635,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/19/2031,2420,2200,2200,2200,LIL,LILU16,09/19/2016,SOFR,LIBOR,108.55,112.44,15Y Sep 2016-2031 3mL,201609,0.7059977222,15.8038848309,3.6560899999
LILU17,118.7144,01/04/2021,03/31/2017,03/31/2017,09/20/2017,09/20/2032,09/20/2032,17.1503316535,29.0545259570,-11.9041943036,2.5000000000,1.0242977567,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,118.7720,0.0195552800,12/30/2020,0.0900000000,4,0.0001720780,1.5838032222,0.0197273580,118.7144075177,"",100,2M-3M,1.0000000000,17.2078004594,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/17/2032,2420,2200,2200,2200,LIL,LILU17,09/18/2017,SOFR,LIBOR,118.10,122.98,15Y Sep 2017-2032 3mL,201709,0.7059977222,16.4443339313,2.2898009444
LILU18,118.7643,01/04/2021,03/19/2018,03/19/2018,09/19/2018,09/19/2033,09/19/2033,17.7850566271,31.2869738958,-13.5019172687,2.5000000000,1.0788768925,0.0000000000,0.0000000000,03/19/2021,1.2361111111,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,118.8210,0.0166077161,12/30/2020,0.0900000000,4,0.0001784163,0.9960185556,0.0167861324,118.7642890503,"",100,2M-3M,1.0000000000,17.8416343889,09/21/2020,03/19/2021,0.7152777778,12/21/2020,03/19/2021,"","","",0.0092800556,"",09/16/2033,2420,2200,2200,2200,LIL,LILU18,09/17/2018,SOFR,LIBOR,127.60,133.62,15Y Sep 2018-2033 3mL,201809,0.7059977222,17.0790589049,1.7020162778
LILZ16,112.1590,01/04/2021,06/30/2016,06/30/2016,12/21/2016,12/21/2031,12/22/2031,10.7030735838,21.3923041670,-10.6892305832,2.0000000000,0.9993528981,0.0000000000,0.0000000000,06/21/2021,1.0000000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,112.2188,-0.2883635182,12/30/2020,0.0900000000,4,0.0001076274,1.1676505276,-0.2882558908,112.1589800022,"",100,2M-3M,1.0000000000,10.7627447060,12/21/2020,06/21/2021,0.0722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/19/2031,2420,2200,2200,2200,LIL,LILZ16,12/19/2016,SOFR,LIBOR,108.46,111.96,15Y Dec 2016-2031 3mL,201612,0.0629421666,10.6401314172,1.2305926942
LILZ17,122.0864,01/04/2021,06/19/2017,06/19/2017,12/20/2017,12/20/2032,12/20/2032,19.5847904541,31.8915594213,-12.3067689672,2.7500000000,1.0612091498,0.0000000000,0.0000000000,06/21/2021,1.3750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,122.1431,0.1676572603,12/30/2020,0.0900000000,4,0.0001964132,2.6694282222,0.1678536735,122.0863650028,"",100,2M-3M,1.0000000000,19.6413218761,12/21/2020,06/21/2021,0.0993055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/17/2032,2420,2200,2200,2200,LIL,LILZ17,12/18/2017,SOFR,LIBOR,117.98,127.46,15Y Dec 2017-2032 3mL,201712,0.0900255000,19.4947649541,2.7594537222
LILZ18,125.8782,01/04/2021,06/18/2018,06/18/2018,12/19/2018,12/19/2033,12/19/2033,23.5638708393,37.4594855917,-13.8956147524,3.0000000000,1.1128514874,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,125.9336,0.2754477791,12/30/2020,0.0900000000,4,0.0002361909,2.5899803612,0.2756839700,125.8781672305,"",100,2M-3M,1.0000000000,23.6190926198,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/16/2033,2420,2200,2200,2200,LIL,LILZ18,12/17/2018,SOFR,LIBOR,127.47,140.54,15Y Dec 2018-2033 3mL,201812,0.0990532777,23.4648175616,2.6890336389
LIOH17,117.8200,01/04/2021,09/30/2016,09/30/2016,03/15/2017,03/15/2037,03/16/2037,16.1233411334,34.9957121201,-18.8723709867,2.2500000000,1.2133725004,0.0000000000,0.0000000000,03/15/2021,1.1250000000,12/11/2020,0.0021650000,03/15/2021,0.0541250000,03/11/2021,12/31/2020,117.8672,-0.2214391188,12/30/2020,0.0900000000,4,0.0001617032,1.4754223055,-0.2212774156,117.8200408545,"",100,2M-3M,1.0000000000,16.1703234552,09/15/2020,03/15/2021,0.6812500000,12/15/2020,03/15/2021,"","","",0.0120277778,"",03/13/2037,3190,2900,2900,2900,LIO,LIOH17,03/13/2017,SOFR,LIBOR,160.44,167.34,20Y Mar 2017-2037 3mL,201703,0.6692222222,15.4541189112,2.1446445277
LIOH18,121.6397,01/04/2021,09/18/2017,09/18/2017,03/21/2018,03/21/2038,03/22/2038,20.5849289911,40.9679783381,-20.3830493469,2.5000000000,1.2438403220,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,121.6775,-0.0215455833,12/30/2020,0.0900000000,4,0.0002062249,1.0334502777,-0.0213393584,121.6397186273,"",100,2M-3M,1.0000000000,20.6224871691,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/19/2038,3190,2900,2900,2900,LIO,LIOH18,03/19/2018,SOFR,LIBOR,169.60,181.11,20Y Mar 2018-2038 3mL,201803,0.7059977222,19.8789312689,1.7394479999
LIOH19,131.2286,01/04/2021,09/17/2018,09/17/2018,03/20/2019,03/20/2039,03/21/2039,29.7914396620,51.6253018140,-21.8338621520,3.0000000000,1.2687884459,0.0000000000,0.0000000000,03/22/2021,1.5083333333,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,131.2579,0.3346776968,12/30/2020,0.0900000000,4,0.0002982046,1.7721176111,0.3349759014,131.2285813718,"",100,2M-3M,1.0000000000,29.8204586811,09/21/2020,03/22/2021,0.8583333333,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/18/2039,3190,2900,2900,2900,LIO,LIOH19,03/18/2019,SOFR,LIBOR,178.66,199.75,20Y Mar 2019-2039 3mL,201903,0.8490532777,28.9423863843,2.6211708888
LIOM17,108.3550,01/04/2021,12/30/2016,12/30/2016,06/21/2017,06/21/2037,06/22/2037,7.8709164116,27.1446388476,-19.2737224360,1.7500000000,1.2425663297,0.0000000000,0.0000000000,06/21/2021,0.8750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,108.3991,-0.6486107140,12/30/2020,0.0900000000,4,0.0000791496,-0.1644356946,-0.6485315644,108.3550122815,"",100,2M-3M,1.0000000000,7.9149596114,12/21/2020,06/21/2021,0.0631944444,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/19/2037,3190,2900,2900,2900,LIO,LIOM17,06/19/2017,SOFR,LIBOR,160.23,163.09,20Y Jun 2017-2037 3mL,201706,0.0539143888,7.8170020228,-0.1105213058
LIOM18,121.7652,01/04/2021,12/18/2017,12/18/2017,06/20/2018,06/20/2038,06/21/2038,20.1058120311,40.8546415550,-20.7488295239,2.5000000000,1.2696739424,0.0000000000,0.0000000000,06/21/2021,1.2500000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,121.8014,-0.0218122627,12/30/2020,0.0900000000,4,0.0002014178,1.6377732221,-0.0216108449,121.7651960981,"",100,2M-3M,1.0000000000,20.1417831015,12/21/2020,06/21/2021,0.0902777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/18/2038,3190,2900,2900,2900,LIO,LIOM18,06/18/2018,SOFR,LIBOR,169.35,183.71,20Y Jun 2018-2038 3mL,201806,0.0809977222,20.0248143089,1.7187709443
LIOM19,131.3967,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2039,06/20/2039,29.2881083151,51.4800981847,-22.1919898696,3.0000000000,1.2932370364,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,131.4254,0.3528760367,12/30/2020,0.0900000000,4,0.0002931647,2.4617850834,0.3531692014,131.3967241971,"",100,2M-3M,1.0000000000,29.3164685997,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/17/2039,3190,2900,2900,2900,LIO,LIOM19,06/17/2019,SOFR,LIBOR,178.39,202.65,20Y Jun 2019-2039 3mL,201906,0.0990532777,29.1890550374,2.5608383611
LIOU16,122.6039,01/04/2021,04/01/2016,04/01/2016,09/21/2016,09/21/2036,09/22/2036,19.6711198060,37.8204369055,-18.1493170995,2.5000000000,1.1997030299,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,122.6501,0.0170893503,12/30/2020,0.0900000000,4,0.0001971711,2.9500922777,0.0172865214,122.6039255624,"",100,2M-3M,1.0000000000,19.7171051472,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/19/2036,3190,2900,2900,2900,LIO,LIOU16,09/19/2016,SOFR,LIBOR,155.81,165.36,20Y Sep 2016-2036 3mL,201609,0.7059977222,18.9651220838,3.6560899999
LIOU17,121.8737,01/04/2021,03/31/2017,03/31/2017,09/20/2017,09/20/2037,09/21/2037,20.2758060517,39.9209460249,-19.6451399732,2.5000000000,1.2302526574,0.0000000000,0.0000000000,03/22/2021,1.2569444444,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,121.9146,-0.0143160667,12/30/2020,0.0900000000,4,0.0002031653,1.5838032222,-0.0141129014,121.8737221753,"",100,2M-3M,1.0000000000,20.3165254054,09/21/2020,03/22/2021,0.7152777778,12/21/2020,03/22/2021,"","","",0.0092800556,"",09/18/2037,3190,2900,2900,2900,LIO,LIOU17,09/18/2017,SOFR,LIBOR,165.00,175.85,20Y Sep 2017-2037 3mL,201709,0.7059977222,19.5698083295,2.2898009444
LIOU18,121.8737,01/04/2021,03/19/2018,03/19/2018,09/19/2018,09/19/2038,09/20/2038,20.8760140256,41.9897572506,-21.1137432250,2.5000000000,1.2570769997,0.0000000000,0.0000000000,03/19/2021,1.2361111111,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,121.9094,-0.0018274496,12/30/2020,0.0900000000,4,0.0002091153,0.9960185556,-0.0016183343,121.8736509154,"",100,2M-3M,1.0000000000,20.9115337961,09/21/2020,03/19/2021,0.7152777778,12/21/2020,03/19/2021,"","","",0.0092800556,"",09/17/2038,3190,2900,2900,2900,LIO,LIOU18,09/17/2018,SOFR,LIBOR,174.10,186.41,20Y Sep 2018-2038 3mL,201809,0.7059977222,20.1700163034,1.7020162778
LIOZ16,117.8041,01/04/2021,06/30/2016,06/30/2016,12/21/2016,12/21/2036,12/22/2036,15.4267886661,33.9524066964,-18.5256180303,2.2500000000,1.2276785248,0.0000000000,0.0000000000,06/21/2021,1.1250000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,117.8496,-0.2097908832,12/30/2020,0.0900000000,4,0.0001547217,2.1676505276,-0.2096361615,117.8040753552,"",100,2M-3M,1.0000000000,15.4721733712,12/21/2020,06/21/2021,0.0812500000,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/19/2036,3190,2900,2900,2900,LIO,LIOZ16,12/19/2016,SOFR,LIBOR,155.62,164.79,20Y Dec 2016-2036 3mL,201612,0.0719699444,15.3548187217,2.2396204720
LIOZ17,126.2734,01/04/2021,06/19/2017,06/19/2017,12/20/2017,12/20/2037,12/21/2037,23.7841691577,43.7991158027,-20.0149466450,2.7500000000,1.2566715621,0.0000000000,0.0000000000,06/21/2021,1.3750000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,126.3122,0.1799805851,12/30/2020,0.0900000000,4,0.0002382271,2.6694282222,0.1802188122,126.2733785678,"",100,2M-3M,1.0000000000,23.8227062390,12/21/2020,06/21/2021,0.0993055556,12/21/2020,03/22/2021,"","","",0.0092800556,"",12/18/2037,3190,2900,2900,2900,LIO,LIOZ17,12/18/2017,SOFR,LIBOR,164.79,182.05,20Y Dec 2017-2037 3mL,201712,0.0900255000,23.6941436577,2.7594537222
LIOZ18,131.0394,01/04/2021,06/18/2018,06/18/2018,12/19/2018,12/19/2038,12/20/2038,28.7785467407,50.2539969833,-21.4754502426,3.0000000000,1.2820144585,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,131.0719,0.3288875107,12/30/2020,0.0900000000,4,0.0002881077,2.5899803612,0.3291756184,131.0393514834,"",100,2M-3M,1.0000000000,28.8107748989,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",12/17/2038,3190,2900,2900,2900,LIO,LIOZ18,12/17/2018,SOFR,LIBOR,173.87,196.99,20Y Dec 2018-2038 3mL,201812,0.0990532777,28.6794934630,2.6890336389
LITH20,102.8810,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2022,03/18/2022,2.3798306155,2.6239134478,-0.2440828322,1.7500000000,0.1627892707,0.0000000000,0.0000000000,03/18/2021,0.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,102.8808,0.0089238023,12/30/2020,0.0900000000,4,0.0000237963,0.5100731389,0.0089475986,102.8809561559,"",100,2M-3M,1.0000000000,2.3796271356,09/18/2020,03/18/2021,0.5152777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/17/2022,28,25,25,25,LIT,LITH20,03/16/2020,SOFR,LIBOR,14.99,10.30,2Y Mar 2020-2022 3mL,202003,0.5041153889,1.8757152266,1.0141885278
LITH21,100.0926,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2023,03/17/2023,0.0926538804,0.4995387491,-0.4068848688,0.2500000000,0.2036302837,0.0000000000,0.0000000000,09/17/2021,0.1250000000,"","",06/17/2021,"",03/15/2021,12/31/2020,100.1050,0.0000236586,12/30/2020,0.0900000000,4,0.0000010500,0.0000000000,0.0000247086,100.0926291718,"",100,"","",0.1050000272,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/16/2023,99,90,90,90,LIT,LITH21,03/15/2021,SOFR,LIBOR,19.96,20.27,2Y Mar 2021-2023 3mL,202103,0.0000000000,0.0926538804,0.0000000000
LITM19,103.8092,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2021,06/21/2021,1.3974207448,1.4995995060,-0.1021787611,3.0000000000,0.2044120994,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,103.8078,0.0499927019,12/30/2020,0.0900000000,4,0.0000139603,2.4617850834,0.0500066622,103.8091991661,"",100,2M-3M,1.0000000000,1.3960268163,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/18/2021,11,10,10,10,LIT,LITM19,06/17/2019,SOFR,LIBOR,5.00,2.67,2Y Jun 2019-2021 3mL,201906,0.0990532777,1.2983674671,2.5608383611
LITM20,101.5771,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2022,06/17/2022,1.2100061562,1.4991478458,-0.2891416896,1.0000000000,0.1928706968,0.0000000000,0.0000000000,06/17/2021,0.5000000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,101.5773,-0.0057046578,12/30/2020,0.0900000000,4,0.0000121018,0.3613726945,-0.0056925560,101.5770714066,"",100,2M-3M,1.0000000000,1.2101811468,12/17/2020,06/17/2021,0.0472222222,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/16/2022,39,35,35,35,LIT,LITM20,06/15/2020,SOFR,LIBOR,14.98,12.80,2Y Jun 2020-2022 3mL,202006,0.0357847222,1.1742214340,0.3971574167
LITM21,100.0644,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2023,06/16/2023,0.0643554280,0.4994371005,-0.4350816725,0.2500000000,0.2177860195,0.0000000000,0.0000000000,12/16/2021,0.1250000000,"","",09/16/2021,"",06/14/2021,12/31/2020,100.0780,-0.0000038264,12/30/2020,0.0900000000,4,0.0000007801,0.0000000000,-0.0000030463,100.0643584744,"",100,"","",0.0780067581,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/15/2023,116,105,105,105,LIT,LITM21,06/14/2021,SOFR,LIBOR,19.96,20.26,2Y Jun 2021-2023 3mL,202106,0.0000000000,0.0643554280,0.0000000000
LITU19,104.4256,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2021,09/20/2021,2.8680283202,3.0158666754,-0.1478383553,3.0000000000,0.1470605678,0.0000000000,0.0000000000,03/18/2021,1.5000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,104.4256,0.0553471231,12/30/2020,0.0900000000,4,0.0000286799,1.6129333334,0.0553758030,104.4255858506,"",100,2M-3M,1.0000000000,2.8679888866,09/18/2020,03/18/2021,0.8833333333,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/17/2021,11,10,10,10,LIT,LITU19,09/16/2019,SOFR,LIBOR,10.05,5.29,2Y Sep 2019-2021 3mL,201909,0.8721709444,1.9958573758,2.4851042778
LITU20,100.6030,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2022,09/16/2022,0.6632849808,0.9994241771,-0.3361391962,0.5000000000,0.1681664322,0.0000000000,0.0000000000,03/16/2021,0.2500000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,100.6036,0.0003127237,12/30/2020,0.0900000000,4,0.0000066389,-0.0599715278,0.0003193626,100.6029940904,"",100,2M-3M,1.0000000000,0.6638912892,09/16/2020,03/16/2021,0.1500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/15/2022,55,50,50,50,LIT,LITU20,09/14/2020,SOFR,LIBOR,19.98,15.30,2Y Sep 2020-2022 3mL,202009,0.1384284722,0.5248565086,0.0784569444
LITZ19,103.9440,01/04/2021,03/18/2019,03/18/2019,12/18/2019,12/18/2021,12/20/2021,2.3209158177,2.5128580346,-0.1919422169,2.5000000000,0.1909600684,0.0000000000,0.0000000000,06/18/2021,1.2500000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,103.9437,0.0321162803,12/30/2020,0.0900000000,4,0.0000232061,1.6551745278,0.0321394864,103.9439508591,"",100,2M-3M,1.0000000000,2.3206051345,12/18/2020,06/18/2021,0.1111111111,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/17/2021,11,10,10,10,LIT,LITZ19,12/16/2019,SOFR,LIBOR,10.05,7.85,2Y Dec 2019-2021 3mL,201912,0.0999487222,2.2209670955,1.7551232500
LITZ20,101.1022,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2022,12/16/2022,1.1026902277,1.4988838835,-0.3961936558,0.7500000000,0.1982443371,0.0000000000,0.0000000000,06/16/2021,0.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,101.1094,0.0005115982,12/30/2020,0.0900000000,4,0.0000110993,0.0000000000,0.0005226975,101.1021675303,"",100,2M-3M,1.0000000000,1.1099255389,12/16/2020,06/16/2021,0.0375000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/15/2022,77,70,70,70,LIT,LITZ20,12/14/2020,SOFR,LIBOR,19.97,17.89,2Y Dec 2020-2022 3mL,202012,0.0259284722,1.0767617555,0.0259284722
LIWH18,104.3747,01/04/2021,09/18/2017,09/18/2017,03/21/2018,03/21/2023,03/21/2023,4.5310856265,4.9961416180,-0.4650559915,2.0000000000,0.1861660565,0.0000000000,0.0000000000,03/22/2021,1.0055555556,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,104.3852,-0.0602522850,12/30/2020,0.0900000000,4,0.0000454154,-0.2165497223,-0.0602068696,104.3747427738,"",100,2M-3M,1.0000000000,4.5415439742,09/21/2020,03/22/2021,0.5722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",03/20/2023,94,85,85,85,LIW,LIWH18,03/19/2018,SOFR,LIBOR,24.96,20.78,5Y Mar 2018-2023 3mL,201803,0.5629421666,3.9681434599,0.3463924443
LIWH20,106.8637,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2025,03/18/2025,6.3739222959,7.8560355705,-1.4821132746,1.7500000000,0.3301535752,0.0000000000,0.0000000000,03/18/2021,0.8750000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,106.8880,0.0202300946,12/30/2020,0.0900000000,4,0.0000639811,0.5100731389,0.0202940757,106.8637013591,"",100,2M-3M,1.0000000000,6.3981103325,09/18/2020,03/18/2021,0.5152777778,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/17/2025,407,370,370,370,LIW,LIWH20,03/16/2020,SOFR,LIBOR,44.86,41.79,5Y Mar 2020-2025 3mL,202003,0.5041153889,5.8698069070,1.0141885278
LIWH21,100.1628,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2026,03/17/2026,0.1629689002,2.4885205931,-2.3255516929,0.5000000000,0.4672558667,0.0000000000,0.0000000000,09/17/2021,0.2500000000,"","",06/17/2021,"",03/15/2021,12/31/2020,100.1875,0.0001800636,12/30/2020,0.0900000000,4,0.0000018770,0.0000000000,0.0001819406,100.1627869596,"",100,"","",0.1876999943,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/16/2026,583,530,530,530,LIW,LIWH21,03/15/2021,SOFR,LIBOR,49.77,50.39,5Y Mar 2021-2026 3mL,202103,0.0000000000,0.1629689002,0.0000000000
LIWM18,104.9007,01/04/2021,12/18/2017,12/18/2017,06/20/2018,06/20/2023,06/20/2023,4.4515244497,4.9896389905,-0.5381145409,2.0000000000,0.2156927753,0.0000000000,0.0000000000,06/21/2021,1.0000000000,12/17/2020,0.0023863000,03/22/2021,0.0603203611,03/18/2021,12/31/2020,104.9125,-0.0628616662,12/30/2020,0.0900000000,4,0.0000446322,0.3863843332,-0.0628170340,104.9007258169,"",100,2M-3M,1.0000000000,4.4632157535,12/21/2020,06/21/2021,0.0722222222,12/21/2020,03/22/2021,"","","",0.0092800556,"",06/19/2023,121,110,110,110,LIW,LIWM18,06/18/2018,SOFR,LIBOR,24.93,23.40,5Y Jun 2018-2023 3mL,201806,0.0629421666,4.3885822831,0.4493264998
LIWM19,111.8162,01/04/2021,11/30/2018,11/30/2018,06/19/2019,06/19/2024,06/19/2024,9.4909257776,10.4660434409,-0.9751176632,3.0000000000,0.2795089669,0.0000000000,0.0000000000,06/21/2021,1.5000000000,12/17/2020,0.0023863000,03/19/2021,0.0583317778,03/17/2021,12/31/2020,111.8336,0.1364527926,12/30/2020,0.0900000000,4,0.0000950830,2.4617850834,0.1365478756,111.8161629855,"",100,2M-3M,1.0000000000,9.5082951684,12/21/2020,06/21/2021,0.1083333333,12/21/2020,03/19/2021,"","","",0.0092800556,"",06/18/2024,275,250,250,250,LIW,LIWM19,06/17/2019,SOFR,LIBOR,34.85,34.77,5Y Jun 2019-2024 3mL,201906,0.0990532777,9.3918724999,2.5608383611
LIWM20,104.4189,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2025,06/17/2025,3.9271555796,5.6085097099,-1.6813541303,1.2500000000,0.3747328206,0.0000000000,0.0000000000,06/17/2021,0.6250000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,104.4427,-0.0054153590,12/30/2020,0.0900000000,4,0.0000395092,0.4863726945,-0.0053758498,104.4189041238,"",100,2M-3M,1.0000000000,3.9509232860,12/17/2020,06/17/2021,0.0590277778,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/16/2025,451,410,410,410,LIW,LIWM20,06/15/2020,SOFR,LIBOR,44.84,43.87,5Y Jun 2020-2025 3mL,202006,0.0475902778,3.8795653018,0.5339629723
LIWM21,99.9369,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2026,06/16/2026,-0.0631465825,2.4864224040,-2.5495689865,0.5000000000,0.5126982814,0.0000000000,0.0000000000,12/16/2021,0.2500000000,"","",09/16/2021,"",06/14/2021,12/31/2020,99.9646,-0.0000091690,12/30/2020,0.0900000000,4,-0.0000003539,0.0000000000,-0.0000095229,99.9368629404,"",100,"","",-0.0353922515,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/15/2026,627,570,570,570,LIW,LIWM21,06/14/2021,SOFR,LIBOR,49.74,50.28,5Y Jun 2021-2026 3mL,202106,0.0000000000,-0.0631465825,0.0000000000
LIWU19,112.3216,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2024,09/18/2024,10.8485155580,11.9785557920,-1.1300402341,3.0000000000,0.2830158127,0.0000000000,0.0000000000,03/18/2021,1.5000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,112.3428,0.1397847451,12/30/2020,0.0900000000,4,0.0001086965,1.6129333334,0.1398934416,112.3215554498,"",100,2M-3M,1.0000000000,10.8696492058,09/18/2020,03/18/2021,0.8833333333,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/17/2024,319,290,290,290,LIW,LIWU19,09/16/2019,SOFR,LIBOR,39.89,37.55,5Y Sep 2019-2024 3mL,201909,0.8721709444,9.9763446136,2.4851042778
LIWU20,100.5353,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2025,09/16/2025,0.5956768862,2.4920157808,-1.8963388945,0.5000000000,0.3804829225,0.0000000000,0.0000000000,03/16/2021,0.2500000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,100.5587,0.0003540273,12/30/2020,0.0900000000,4,0.0000061901,-0.0599715278,0.0003602174,100.5353451410,"",100,2M-3M,1.0000000000,0.6190112001,09/16/2020,03/16/2021,0.1500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/15/2025,495,450,450,450,LIW,LIWU20,09/14/2020,SOFR,LIBOR,49.82,45.53,5Y Sep 2020-2025 3mL,202009,0.1384284722,0.4572484140,0.0784569444
LIWZ19,105.3376,01/04/2021,08/26/2019,08/26/2019,12/18/2019,12/18/2024,12/18/2024,4.6872446344,5.9867721743,-1.2995275399,1.5000000000,0.3255997144,0.0000000000,0.0000000000,06/18/2021,0.7500000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,105.3613,0.0048090054,12/30/2020,0.0900000000,4,0.0000471089,0.6551745278,0.0048561143,105.3375630479,"",100,2M-3M,1.0000000000,4.7108857440,12/18/2020,06/18/2021,0.0666666667,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/17/2024,363,330,330,330,LIW,LIWZ19,12/16/2019,SOFR,LIBOR,39.88,38.97,5Y Dec 2019-2024 3mL,201912,0.0555042778,4.6317403566,0.7106788056
LIWZ20,102.8494,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2025,12/16/2025,2.8508683783,4.9807789706,-2.1299105923,1.0000000000,0.4276260009,0.0000000000,0.0000000000,06/16/2021,0.5000000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,102.8727,0.0014627731,12/30/2020,0.0900000000,4,0.0000287417,0.0000000000,0.0014915148,102.8493768635,"",100,2M-3M,1.0000000000,2.8741742145,12/16/2020,06/16/2021,0.0500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/15/2025,539,490,490,490,LIW,LIWZ20,12/14/2020,SOFR,LIBOR,49.79,48.66,5Y Dec 2020-2025 3mL,202012,0.0384284722,2.8124399061,0.0384284722
LIYH20,111.3679,01/04/2021,06/17/2019,06/17/2019,03/18/2020,03/18/2030,03/18/2030,10.7834130865,18.6502621009,-7.8668490144,2.0000000000,0.8436180652,0.0000000000,0.0000000000,03/18/2021,1.0000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,111.4293,0.0505042877,12/30/2020,0.0900000000,4,0.0001084474,0.6350731389,0.0506127351,111.3678734902,"",100,2M-3M,1.0000000000,10.8447442799,09/18/2020,03/18/2021,0.5888888889,12/18/2020,03/18/2021,"","","",0.0111623889,"",03/15/2030,1595,1450,1450,1450,LIY,LIYH20,03/16/2020,SOFR,LIBOR,94.02,94.22,10Y Mar 2020-2030 3mL,202003,0.5777265000,10.2056865865,1.2127996389
LIYH21,97.9265,01/04/2021,06/16/2020,06/16/2020,03/17/2021,03/17/2031,03/17/2031,-2.0737611547,7.3169462169,-9.3907073716,0.7500000000,0.9625642064,0.0000000000,0.0000000000,09/17/2021,0.3750000000,"","",06/17/2021,"",03/15/2021,12/31/2020,97.9900,-0.0002136344,12/30/2020,0.0900000000,4,-0.0000201020,0.0000000000,-0.0002337364,97.9264725817,"",100,"","",-2.0102000046,03/17/2021,09/17/2021,0.0000000000,03/17/2021,06/17/2021,"","","",0.0000000000,"",03/14/2031,1595,1450,1450,1450,LIY,LIYH21,03/15/2021,SOFR,LIBOR,98.71,97.59,10Y Mar 2021-2031 3mL,202103,0.0000000000,-2.0737611547,0.0000000000
LIYM20,103.8896,01/04/2021,09/17/2019,09/17/2019,06/17/2020,06/17/2030,06/17/2030,3.3794153922,11.6365003147,-8.2570849225,1.2500000000,0.8869811261,0.0000000000,0.0000000000,06/17/2021,0.6250000000,12/15/2020,0.0022875000,03/17/2021,0.0571875000,03/15/2021,12/31/2020,103.9523,-0.0238051442,12/30/2020,0.0900000000,4,0.0000344211,0.4863726945,-0.0237707231,103.8895588097,"",100,2M-3M,1.0000000000,3.4421123907,12/17/2020,06/17/2021,0.0590277778,12/17/2020,03/17/2021,"","","",0.0114375000,"",06/14/2030,1595,1450,1450,1450,LIY,LIYM20,06/15/2020,SOFR,LIBOR,93.95,93.27,10Y Jun 2020-2030 3mL,202006,0.0475902778,3.3318251144,0.5339629723
LIYM21,97.5541,01/04/2021,09/15/2020,09/15/2020,06/16/2021,06/16/2031,06/16/2031,-2.4463610005,7.3024826923,-9.7488436928,0.7500000000,1.0012530091,0.0000000000,0.0000000000,12/16/2021,0.3750000000,"","",09/16/2021,"",06/14/2021,12/31/2020,97.6176,-0.0004264489,12/30/2020,0.0900000000,4,-0.0000238285,0.0000000000,-0.0004502774,97.5540892769,"",100,"","",-2.3828485607,06/16/2021,12/16/2021,0.0000000000,06/16/2021,09/16/2021,"","","",0.0000000000,"",06/13/2031,1595,1450,1450,1450,LIY,LIYM21,06/14/2021,SOFR,LIBOR,98.63,97.25,10Y Jun 2021-2031 3mL,202106,0.0000000000,-2.4463610005,0.0000000000
LIYU19,120.8466,01/04/2021,12/17/2018,12/17/2018,09/18/2019,09/18/2029,09/18/2029,19.4661141710,26.5643206007,-7.0982064297,3.0000000000,0.8016248414,0.0000000000,0.0000000000,03/18/2021,1.5000000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,120.9042,0.2322237397,12/30/2020,0.0900000000,4,0.0001952346,1.6129333334,0.2324189743,120.8466285301,"",100,2M-3M,1.0000000000,19.5234642919,09/18/2020,03/18/2021,0.8833333333,12/18/2020,03/18/2021,"","","",0.0111623889,"",09/17/2029,1595,1450,1450,1450,LIY,LIYU19,09/16/2019,SOFR,LIBOR,89.16,93.14,10Y Sep 2019-2029 3mL,201909,0.8721709444,18.5939432266,2.4851042778
LIYU20,98.6346,01/04/2021,04/20/2020,04/20/2020,09/16/2020,09/16/2030,09/16/2030,-1.3053825435,7.3443621274,-8.6497446709,0.7500000000,0.8833045526,0.0000000000,0.0000000000,03/16/2021,0.3750000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,98.6983,0.0001005166,12/30/2020,0.0900000000,4,-0.0000124164,-0.0599715278,0.0000881002,98.6345578285,"",100,2M-3M,1.0000000000,-1.2416417174,09/16/2020,03/16/2021,0.2250000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",09/13/2030,1595,1450,1450,1450,LIY,LIYU20,09/14/2020,SOFR,LIBOR,98.87,93.19,10Y Sep 2020-2030 3mL,202009,0.2134284722,-1.5188110157,0.1534569444
LIYZ19,106.4361,01/04/2021,09/03/2019,09/03/2019,12/18/2019,12/18/2029,12/18/2029,5.7774382851,13.2605157659,-7.4830774808,1.5000000000,0.8464690529,0.0000000000,0.0000000000,06/18/2021,0.7500000000,12/16/2020,0.0023638000,03/18/2021,0.0590950000,03/16/2021,12/31/2020,106.4963,-0.0035859333,12/30/2020,0.0900000000,4,0.0000583751,0.6551745278,-0.0035275582,106.4361403711,"",100,2M-3M,1.0000000000,5.8375132829,12/18/2020,06/18/2021,0.0666666667,12/18/2020,03/18/2021,"","","",0.0111623889,"",12/17/2029,1595,1450,1450,1450,LIY,LIYZ19,12/16/2019,SOFR,LIBOR,89.09,89.58,10Y Dec 2019-2029 3mL,201912,0.0555042778,5.7219340073,0.7106788056
LIYZ20,100.7269,01/04/2021,06/16/2020,06/16/2020,12/16/2020,12/16/2030,12/16/2030,0.7279928806,9.7746812561,-9.0466883755,1.0000000000,0.9255225964,0.0000000000,0.0000000000,06/16/2021,0.5000000000,12/14/2020,0.0021925000,03/16/2021,0.0548125000,03/12/2021,12/31/2020,100.7905,0.0011124414,12/30/2020,0.0900000000,4,0.0000079165,0.0000000000,0.0011203579,100.7268725227,"",100,2M-3M,1.0000000000,0.7916503452,12/16/2020,06/16/2021,0.0500000000,12/16/2020,03/16/2021,"","","",0.0115715278,"",12/13/2030,1595,1450,1450,1450,LIY,LIYZ20,12/14/2020,SOFR,LIBOR,98.79,96.71,10Y Dec 2020-2030 3mL,202012,0.0384284722,0.6895644084,0.0384284722
YIAU21,99.9322,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2022,09/19/2022,-0.0677791836,0.0000000000,-0.0677791836,0.0000000000,0.0669228216,0.0000000000,0.0000000000,09/19/2022,0.0000000000,"","",09/19/2022,0.0678523052,"",12/31/2020,99.9381,-0.0000024252,12/30/2020,0.0900000000,4,-0.0000006185,0.0000000000,-0.0000030437,99.9322238601,"",100,"","",-0.0618545010,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/15/2022,110,100,100,100,YIA,YIAU21,09/15/2021,SOFR,SOFR,10.12,10.10,1Y Sep 2021-2022 SOFR,202109,0.0000000000,-0.0677791836,0.0000000000
YITU21,99.8243,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2023,09/19/2023,-0.1756896781,0.0000000000,-0.1756896781,0.0000000000,0.0867822632,0.0000000000,0.0000000000,09/19/2022,0.0000000000,"","",09/19/2022,0.0678523052,"",12/31/2020,99.8115,-0.0000073191,12/30/2020,0.0900000000,4,-0.0000018847,0.0000000000,-0.0000092038,99.8243195257,"",100,"","",-0.1884687178,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/15/2023,242,220,220,220,YIT,YITU21,09/15/2021,SOFR,SOFR,20.22,20.15,2Y Sep 2021-2023 SOFR,202109,0.0000000000,-0.1756896781,0.0000000000
YICU21,100.2979,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2024,09/18/2024,0.2978643130,0.7597006071,-0.4618362941,0.2500000000,0.1519797042,0.0000000000,0.0000000000,09/19/2022,0.2534722222,"","",09/19/2022,0.0678523052,"",12/31/2020,100.3021,0.0000100749,12/30/2020,0.0900000000,4,0.0000030211,0.0000000000,0.0000130960,100.2978512170,"",100,"","",0.3021079858,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/16/2024,418,380,380,380,YIC,YICU21,09/15/2021,SOFR,SOFR,30.36,30.42,3Y Sep 2021-2024 SOFR,202109,0.0000000000,0.2978643130,0.0000000000
YIDU21,100.0142,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2025,09/17/2025,0.0142342219,1.0098534162,-0.9956191943,0.2500000000,0.2464761663,0.0000000000,0.0000000000,09/19/2022,0.2534722222,"","",09/19/2022,0.0678523052,"",12/31/2020,100.0124,-0.0000023556,12/30/2020,0.0900000000,4,0.0000001238,0.0000000000,-0.0000022318,100.0142364538,"",100,"","",0.0123767881,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/15/2025,605,550,550,550,YID,YIDU21,09/15/2021,SOFR,SOFR,40.38,40.45,4Y Sep 2021-2025 SOFR,202109,0.0000000000,0.0142342219,0.0000000000
YIWU21,99.4607,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2026,09/17/2026,-0.5393686060,1.2586558235,-1.7980244295,0.2500000000,0.3571318696,0.0000000000,0.0000000000,09/19/2022,0.2534722222,"","",09/19/2022,0.0678523052,"",12/31/2020,99.4631,-0.0000241971,12/30/2020,0.0900000000,4,-0.0000053690,0.0000000000,-0.0000295661,99.4606609601,"",100,"","",-0.5368986972,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/15/2026,770,700,700,700,YIW,YIWU21,09/15/2021,SOFR,SOFR,50.41,50.44,5Y Sep 2021-2026 SOFR,202109,0.0000000000,-0.5393686060,0.0000000000
YIBU21,99.5159,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2028,09/19/2028,-0.4841238818,3.4975460978,-3.9816699797,0.5000000000,0.5692090781,0.0000000000,0.0000000000,09/19/2022,0.5069444444,"","",09/19/2022,0.0678523052,"",12/31/2020,99.5096,-0.0000239425,12/30/2020,0.0900000000,4,-0.0000049047,0.0000000000,-0.0000288472,99.5159049653,"",100,"","",-0.4904694852,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/15/2028,1045,950,950,950,YIB,YIBU21,09/15/2021,SOFR,SOFR,70.36,71.00,7Y Sep 2021-2028 SOFR,202109,0.0000000000,-0.4841238818,0.0000000000
YIYU21,99.4321,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2031,09/17/2031,-0.5678959468,7.3764731090,-7.9443690558,0.7500000000,0.8077405969,0.0000000000,0.0000000000,09/19/2022,0.7604166667,"","",09/19/2022,0.0678523052,"",12/31/2020,99.3882,-0.0000313602,12/30/2020,0.0900000000,4,-0.0000061180,0.0000000000,-0.0000374782,99.4321415314,"",100,"","",-0.6118039208,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/15/2031,1595,1450,1450,1450,YIY,YIYU21,09/15/2021,SOFR,SOFR,99.87,101.92,10Y Sep 2021-2031 SOFR,202109,0.0000000000,-0.5678959468,0.0000000000
YIIU21,98.0043,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2033,09/19/2033,-1.9957890936,8.7455643737,-10.7413534673,0.7500000000,0.9211543997,0.0000000000,0.0000000000,09/19/2022,0.7604166667,"","",09/19/2022,0.0678523052,"",12/31/2020,97.9850,-0.0000852722,12/30/2020,0.0900000000,4,-0.0000201512,0.0000000000,-0.0001054234,98.0043163298,"",100,"","",-2.0151189678,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/15/2033,1980,1800,1800,1800,YII,YIIU21,09/15/2021,SOFR,SOFR,119.25,121.45,12Y Sep 2021-2033 SOFR,202109,0.0000000000,-1.9957890936,0.0000000000
YILU21,99.5822,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2036,09/17/2036,-0.4177993244,14.2956640504,-14.7134633748,1.0000000000,1.0292255976,0.0000000000,0.0000000000,09/19/2022,1.0138888889,"","",09/19/2022,0.0678523052,"",12/31/2020,99.5510,-0.0000283358,12/30/2020,0.0900000000,4,-0.0000044904,0.0000000000,-0.0000328262,99.5822335018,"",100,"","",-0.4490417121,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/15/2036,2420,2200,2200,2200,YIL,YILU21,09/15/2021,SOFR,SOFR,147.74,152.90,15Y Sep 2021-2036 SOFR,202109,0.0000000000,-0.4177993244,0.0000000000
YIOU21,97.5750,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2041,09/18/2041,-2.4251199170,18.4306926496,-20.8558125666,1.0000000000,1.1315805088,0.0000000000,0.0000000000,09/19/2022,1.0138888889,"","",09/19/2022,0.0678523052,"",12/31/2020,97.5438,-0.0001086592,12/30/2020,0.0900000000,4,-0.0000245631,0.0000000000,-0.0001332223,97.5750133053,"",100,"","",-2.4563133211,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/16/2041,3190,2900,2900,2900,YIO,YIOU21,09/15/2021,SOFR,SOFR,193.48,198.65,20Y Sep 2021-2041 SOFR,202109,0.0000000000,-2.4251199170,0.0000000000
YIEU21,95.0137,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2051,09/19/2051,-4.9865912274,25.8753728207,-30.8619640481,1.0000000000,1.1927157248,0.0000000000,0.0000000000,09/19/2022,1.0138888889,"","",09/19/2022,0.0678523052,"",12/31/2020,94.9761,-0.0002088936,12/30/2020,0.0900000000,4,-0.0000502412,0.0000000000,-0.0002591348,95.0136679074,"",100,"","",-5.0241200188,09/15/2021,09/15/2022,0.0000000000,09/15/2021,09/15/2022,"",0.9996084913,0.9989306938,0.0000000000,0.0678523052,09/15/2051,5500,5000,5000,5000,YIE,YIEU21,09/15/2021,SOFR,SOFR,277.13,275.98,30Y Sep 2021-2051 SOFR,202109,0.0000000000,-4.9865912274,0.0000000000
LITU21,100.0239,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2023,09/15/2023,0.0239484524,0.4993211307,-0.4753726783,0.2500000000,0.2380094938,0.0000000000,0.0000000000,03/15/2022,0.1250000000,"","",12/15/2021,"",09/13/2021,12/31/2020,100.0370,0.0000001800,12/30/2020,0.0900000000,4,0.0000003698,0.0000000000,0.0000005498,100.0239479026,"",100,"","",0.0369795681,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/14/2023,154,140,140,140,LIT,LITU21,09/13/2021,SOFR,LIBOR,19.95,20.25,2Y Sep 2021-2023 3mL,202109,0.0000000000,0.0239484524,0.0000000000
LICU21,99.7678,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2024,09/16/2024,-0.2322318463,0.7489793295,-0.9812111758,0.2500000000,0.3275161067,0.0000000000,0.0000000000,03/15/2022,0.1250000000,"","",12/15/2021,"",09/13/2021,12/31/2020,99.7893,-0.0000100727,12/30/2020,0.0900000000,4,-0.0000021076,0.0000000000,-0.0000121803,99.7677803340,"",100,"","",-0.2107586116,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/13/2024,319,290,290,290,LIC,LICU21,09/13/2021,SOFR,LIBOR,29.93,30.30,3Y Sep 2021-2024 3mL,202109,0.0000000000,-0.2322318463,0.0000000000
LIDU21,100.2413,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2025,09/15/2025,0.2412647276,1.9921605754,-1.7508958479,0.5000000000,0.4394464657,0.0000000000,0.0000000000,03/15/2022,0.2500000000,"","",12/15/2021,"",09/13/2021,12/31/2020,100.2641,0.0000064243,12/30/2020,0.0900000000,4,0.0000026411,0.0000000000,0.0000090654,100.2412556622,"",100,"","",0.2641070930,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/12/2025,605,550,550,550,LID,LIDU21,09/13/2021,SOFR,LIBOR,39.82,40.41,4Y Sep 2021-2025 3mL,202109,0.0000000000,0.2412647276,0.0000000000
LIWU21,99.6936,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2026,09/15/2026,-0.3063799773,2.4840697084,-2.7904496858,0.5000000000,0.5616689573,0.0000000000,0.0000000000,03/15/2022,0.2500000000,"","",12/15/2021,"",09/13/2021,12/31/2020,99.7253,-0.0000148435,12/30/2020,0.0900000000,4,-0.0000027471,0.0000000000,-0.0000175906,99.6936376133,"",100,"","",-0.2747091238,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/14/2026,671,610,610,610,LIW,LIWU21,09/13/2021,SOFR,LIBOR,49.72,50.16,5Y Sep 2021-2026 3mL,202109,0.0000000000,-0.3063799773,0.0000000000
LIBU21,99.7337,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2028,09/15/2028,-0.2663441525,5.1787378610,-5.4450820136,0.7500000000,0.7885727410,0.0000000000,0.0000000000,03/15/2022,0.3750000000,"","",12/15/2021,"",09/13/2021,12/31/2020,99.7845,-0.0000129032,12/30/2020,0.0900000000,4,-0.0000021546,0.0000000000,-0.0000150578,99.7336709053,"",100,"","",-0.2154642464,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/14/2028,1045,950,950,950,LIB,LIBU21,09/13/2021,SOFR,LIBOR,69.39,69.76,7Y Sep 2021-2028 3mL,202109,0.0000000000,-0.2663441525,0.0000000000
LIYU21,99.6064,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2031,09/15/2031,-0.3936155051,9.7166214211,-10.1102369262,1.0000000000,1.0405095031,0.0000000000,0.0000000000,03/15/2022,0.5000000000,"","",12/15/2021,"",09/13/2021,12/31/2020,99.6695,-0.0000195798,12/30/2020,0.0900000000,4,-0.0000033048,0.0000000000,-0.0000228846,99.6064073795,"",100,"","",-0.3304848261,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/12/2031,1595,1450,1450,1450,LIY,LIYU21,09/13/2021,SOFR,LIBOR,98.54,98.37,10Y Sep 2021-2031 3mL,202109,0.0000000000,-0.3936155051,0.0000000000
LIIU21,98.1808,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2033,09/15/2033,-1.8193117797,11.5218234670,-13.3411352467,1.0000000000,1.1579013760,0.0000000000,0.0000000000,03/15/2022,0.5000000000,"","",12/15/2021,"",09/13/2021,12/31/2020,98.2404,-0.0000735820,12/30/2020,0.0900000000,4,-0.0000175965,0.0000000000,-0.0000911785,98.1807793988,"",100,"","",-1.7596504550,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/14/2033,1980,1800,1800,1800,LII,LIIU21,09/13/2021,SOFR,LIBOR,117.66,116.10,12Y Sep 2021-2033 3mL,202109,0.0000000000,-1.8193117797,0.0000000000
LILU21,99.6830,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2036,09/15/2036,-0.3170507478,17.6607026489,-17.9777533967,1.2500000000,1.2724404115,0.0000000000,0.0000000000,03/15/2022,0.6250000000,"","",12/15/2021,"",09/13/2021,12/31/2020,99.7339,-0.0000179249,12/30/2020,0.0900000000,4,-0.0000026612,0.0000000000,-0.0000205861,99.6829698383,"",100,"","",-0.2661170741,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/12/2036,2420,2200,2200,2200,LIL,LILU21,09/13/2021,SOFR,LIBOR,145.80,144.75,15Y Sep 2021-2036 3mL,202109,0.0000000000,-0.3170507478,0.0000000000
LIOU21,97.6329,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2041,09/16/2041,-2.3672653367,22.7756846137,-25.1429499504,1.2500000000,1.3799228419,0.0000000000,0.0000000000,03/15/2022,0.6250000000,"","",12/15/2021,"",09/13/2021,12/31/2020,97.6479,-0.0000971303,12/30/2020,0.0900000000,4,-0.0000235221,0.0000000000,-0.0001206524,97.6328553158,"",100,"","",-2.3522138027,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/13/2041,3190,2900,2900,2900,LIO,LIOU21,09/13/2021,SOFR,LIBOR,191.01,186.81,20Y Sep 2021-2041 3mL,202109,0.0000000000,-2.3672653367,0.0000000000
LIEU21,94.9938,01/04/2021,12/15/2020,12/15/2020,09/15/2021,09/15/2051,09/15/2051,-5.0064482986,31.9811819629,-36.9876302615,1.2500000000,1.4456794586,0.0000000000,0.0000000000,03/15/2022,0.6250000000,"","",12/15/2021,"",09/13/2021,12/31/2020,94.8842,-0.0002031478,12/30/2020,0.0900000000,4,-0.0000511604,0.0000000000,-0.0002543082,94.9938060096,"",100,"","",-5.1160377423,09/15/2021,03/15/2022,0.0000000000,09/15/2021,12/15/2021,"","","",0.0000000000,"",09/14/2051,5500,5000,5000,5000,LIE,LIEU21,09/13/2021,SOFR,LIBOR,273.74,263.72,30Y Sep 2021-2051 3mL,202109,0.0000000000,-5.0064482986,0.0000000000