Mar-20 SOFR Market Adoption
As part of our ongoing efforts to help you monitor the potential replacement of LIBOR and/or OIS by newly designated alternative reference rates (ARR), we have summarized the latest market activity for the ARR for USD LIBOR, SOFR. Further details about these market changes are available in our LIBOR Replacement Watchlist.
You can also download this market summary.
SOFR Swap Trading through Feb 2020
SOFR basis swaps have begun to overtake SOFR OIS swaps but this seems to be due to traded notional, not trade count. In addition to SOFR futures options now trading on the CME, the first two SOFR Swaptions have also traded. See ISDA Analysis for more details.
| 31-Aug-2018 | 14-Sep-2018 | 21-Sep-2018 | 28-Sep-2018 | 05-Oct-2018 | 12-Oct-2018 | 19-Oct-2018 | 26-Oct-2018 | 02-Nov-2018 | 09-Nov-2018 | 16-Nov-2018 | 23-Nov-2018 | 30-Nov-2018 | 07-Dec-2018 | 14-Dec-2018 | 21-Dec-2018 | 28-Dec-2018 | 04-Jan-2019 | 11-Jan-2019 | 18-Jan-2019 | 25-Jan-2019 | 01-Feb-2019 | 08-Feb-2019 | 15-Feb-2019 | 22-Feb-2019 | 01-Mar-2019 | 08-Mar-2019 | 15-Mar-2019 | 22-Mar-2019 | 29-Mar-2019 | 05-Apr-2019 | 12-Apr-2019 | 19-Apr-2019 | 26-Apr-2019 | 03-May-2019 | 10-May-2019 | 17-May-2019 | 24-May-2019 | 31-May-2019 | 07-Jun-2019 | 14-Jun-2019 | 21-Jun-2019 | 28-Jun-2019 | 05-Jul-2019 | 12-Jul-2019 | 19-Jul-2019 | 26-Jul-2019 | 02-Aug-2019 | 09-Aug-2019 | 16-Aug-2019 | 23-Aug-2019 | 30-Aug-2019 | 06-Sep-2019 | 13-Sep-2019 | 20-Sep-2019 | 27-Sep-2019 | 04-Oct-2019 | 11-Oct-2019 | 18-Oct-2019 | 25-Oct-2019 | 01-Nov-2019 | 08-Nov-2019 | 15-Nov-2019 | 22-Nov-2019 | 29-Nov-2019 | 06-Dec-2019 | 13-Dec-2019 | 20-Dec-2019 | 27-Dec-2019 | 31-Dec-2019 | 03-Jan-2020 | 10-Jan-2020 | 17-Jan-2020 | 24-Jan-2020 | 31-Jan-2020 | 07-Feb-2020 | 14-Feb-2020 | 21-Feb-2020 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SOFR OIS | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | 0.2 | 0.2 | 1.7 | 1.7 | 1.8 | 3 | 3.6 | 3.6 | 3.8 | 3.8 | 3.8 | 3.8 | 5.1 | 6.6 | 8.9 | 10.7 | 11.9 | 12.2 | 12.5 | 12.8 | 13 | 13.2 | 22.2 | 23.4 | 24.2 | 35.4 | 37.1 | 37.8 | 45 | 46.1 | 50 | 61.4 | 82.8 | 83.5 | 86.5 | 87.5 | 90.1 | 99.3 | 119.3 | 120.784 | 122.468 | 124.397 | 128.285 | 132.584 | 134.119 | 134.849 | 137.476 | 139.799 | 141.411 | 143.875 | 148.77 | 152.776 | 156.73 | 171.208 | 173.372 | 176.024 | 180.061 | 188.536 | 189.824 | 192.533 | 195.424 | 200.199 | 202.359 | 202.774 | 204.858 | 208.783 | 210.337 | 216.981 | 230.671 | 235.794 | 252.354 | 264.926 | |
| SOFR Basis Swaps | 1.4 | 1.4 | 1.4 | 1.4 | 1.6 | 1.6 | 1.8 | 1.8 | 2 | 2 | 2 | 2 | 2.4 | 2.4 | 2.4 | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | 2.7 | 2.7 | 2.8 | 3.1 | 3.1 | 63 | 64 | 65 | 67 | 70 | 72 | 106 | 113 | 120 | 130 | 141 | 148 | 152 | 161 | 174 | 187 | 198 | 205 | 215 | 230 | 244 | 255 | 268 | 315 | 355 | 380 | 412 | 444 | 460 | 477 | 518 | 557 | 594 | 619 | 633 | 653 | 671 | 692 | 727 | 746 | 778 | 800 | 831 | 850 | 862 | 873 | 900 | 922 | 967 | 1064 | 1112 | 1168 | 1219 |
| 31-Aug-2018 | 14-Sep-2018 | 21-Sep-2018 | 28-Sep-2018 | 05-Oct-2018 | 12-Oct-2018 | 19-Oct-2018 | 26-Oct-2018 | 02-Nov-2018 | 09-Nov-2018 | 16-Nov-2018 | 23-Nov-2018 | 30-Nov-2018 | 07-Dec-2018 | 14-Dec-2018 | 21-Dec-2018 | 28-Dec-2018 | 04-Jan-2019 | 11-Jan-2019 | 18-Jan-2019 | 25-Jan-2019 | 01-Feb-2019 | 08-Feb-2019 | 15-Feb-2019 | 22-Feb-2019 | 01-Mar-2019 | 08-Mar-2019 | 15-Mar-2019 | 22-Mar-2019 | 29-Mar-2019 | 05-Apr-2019 | 12-Apr-2019 | 19-Apr-2019 | 26-Apr-2019 | 03-May-2019 | 10-May-2019 | 17-May-2019 | 24-May-2019 | 31-May-2019 | 07-Jun-2019 | 14-Jun-2019 | 21-Jun-2019 | 28-Jun-2019 | 05-Jul-2019 | 12-Jul-2019 | 19-Jul-2019 | 26-Jul-2019 | 02-Aug-2019 | 09-Aug-2019 | 16-Aug-2019 | 23-Aug-2019 | 30-Aug-2019 | 06-Sep-2019 | 13-Sep-2019 | 20-Sep-2019 | 27-Sep-2019 | 04-Oct-2019 | 11-Oct-2019 | 18-Oct-2019 | 25-Oct-2019 | 01-Nov-2019 | 08-Nov-2019 | 15-Nov-2019 | 22-Nov-2019 | 29-Nov-2019 | 06-Dec-2019 | 13-Dec-2019 | 20-Dec-2019 | 27-Dec-2019 | 31-Dec-2019 | 03-Jan-2020 | 10-Jan-2020 | 17-Jan-2020 | 24-Jan-2020 | 31-Jan-2020 | 07-Feb-2020 | 14-Feb-2020 | 21-Feb-2020 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SOFR OIS | 2 | 2 | 2 | 3 | 3 | 3 | 3 | 4 | 6 | 7 | 9 | 19 | 23 | 23 | 24 | 24 | 24 | 24 | 31 | 37 | 45 | 53 | 59 | 61 | 62 | 63 | 64 | 65 | 67 | 70 | 72 | 106 | 113 | 120 | 130 | 141 | 148 | 152 | 161 | 174 | 187 | 198 | 205 | 215 | 230 | 244 | 255 | 268 | 315 | 355 | 380 | 412 | 444 | 460 | 477 | 518 | 557 | 594 | 619 | 633 | 653 | 671 | 692 | 727 | 746 | 778 | 800 | 831 | 850 | 862 | 873 | 900 | 922 | 967 | 1064 | 1112 | 1168 | 1219 |
| SOFR Basis Swaps | 12 | 12 | 12 | 12 | 16 | 16 | 21 | 21 | 24 | 24 | 25 | 25 | 27 | 27 | 27 | 28 | 28 | 28 | 29 | 29 | 32 | 32 | 33 | 39 | 39 | 40 | 47 | 49 | 49 | 51 | 55 | 60 | 65 | 66 | 72 | 84 | 87 | 87 | 89 | 91 | 95 | 95 | 104 | 105 | 114 | 117 | 130 | 141 | 159 | 169 | 186 | 195 | 223 | 238 | 246 | 263 | 285 | 302 | 326 | 339 | 359 | 370 | 385 | 404 | 416 | 428 | 444 | 465 | 467 | 469 | 474 | 498 | 535 | 571 | 601 | 640 | 678 | 705 |
ISDA Analysis on SOFR Swaps. (For trades reported to DTCC and Bloomberg SDRs which are required to be disclosed under US regulatory guidelines.)
SOFR Futures Trading through Feb 2020
Futures trading was largely in line with Q4 2019. For more details, check out the latest SOFR futures recap from the CME.
CME Futures Volume Chart
SOFR-based Debt Issuances-to-date
Overall, 49 institutions have issued $376 billion notional in floating rate instruments tied to SOFR, with a new monthly high of over $10B issued in the 3-year tenor during January 2020, with February as the second highest with $48B issued.
SOFR Debt Issuances-to-date. Sources: CME, Bloomberg
| CUSIP | ISSUER | Amount Issued (Millions) | Issue Date | Maturity | Tenor (months) | Spread (bps) | Frequency |
|---|---|---|---|---|---|---|
| 172967MK4 | Citigroup Inc | 15 | 23-Jan-2020 | 323.4 | S/A | |
| 172967ML2 | Citigroup Inc | 22.5 | 29-Jan-2020 | 134 | 114.6 | S/A |
| 6174468L6 | Morgan Stanley | 35 | 22-Jan-2020 | 134 | 114.3 | S/A |
| 46647PBE5 | JPMorgan Chase & Co | 37.5 | 12-Sep-2019 | 135 | 151 | S/A |
| 48128BAF8 | JPMorgan Chase & Co | 22.5 | 31-Jul-2019 | 338 | S/A | |
| 6174468K8 | Morgan Stanley | 25 | 22-Jan-2020 | 36 | 70 | Qtrly |
| 09659W2K9 | BNP Paribas SA | 20 | 13-Jan-2020 | 134 | 150.7 | S/A |
| 459058HC0 | International Bank for Reconstruction & Development | 15 | 06-Aug-2019 | 61 | 30 | Qtrly |
| 22550UAA9 | Credit Suisse AG/New York NY | 20 | 04-Feb-2020 | 24 | 45 | Qtrly |
| 172967MG3 | Citigroup Inc | 15 | 12-Sep-2019 | 381.3 | S/A | |
| 87164DQS2 | Synovus Bank/Columbus GA | 4 | 12-Feb-2020 | 36 | 94.5 | S/A |
| 360271AL4 | Fulton Financial Corp | 2 | 03-Mar-2020 | 122 | 230 | S/A |
| 13607GKW3 | Canadian Imperial Bank of Commerce | 12.5 | 17-Dec-2019 | 40 | 80 | Qtrly |
| ZP8978204 | QNB Finance Ltd | 20 | 12-Feb-2020 | 24 | 122.5 | Qtrly |
| 33616CHQ6 | First Republic Bank/CA | 5 | 12-Feb-2020 | 49 | 62 | S/A |
| 89114QCF3 | Toronto-Dominion Bank/The | 10 | 27-Jan-2020 | 37 | 48 | Qtrly |
| 17308CC53 | Citigroup Inc | 22.5 | 05-Nov-2019 | 134 | 142.2 | S/A |
| 14042TCT2 | Capital One Bank USA NA | 7.5 | 28-Jan-2020 | 73 | 91.1 | S/A |
| 59217GEF2 | Metropolitan Life Global Funding I | 10 | 13-Jan-2020 | 37 | 57 | Qtrly |
| 3814267X7 | Goldman Sachs Bank USA/New York NY | 10 | 24-May-2019 | 24 | 60 | Qtrly |
| 251526CB3 | Deutsche Bank AG/New York NY | 20 | 26-Nov-2019 | 73 | 258.1 | S/A |
| 78015K7F5 | Royal Bank of Canada | 3 | 07-Feb-2020 | 30 | 40 | Qtrly |
| 14042TCS4 | Capital One Bank USA NA | 12.5 | 28-Jan-2020 | 37 | 61.6 | S/A |
| 6174468J1 | Morgan Stanley | 20 | 23-Jul-2019 | 73 | 115.2 | S/A |
| 360271AM2 | Fulton Financial Corp | 1.75 | 03-Mar-2020 | 183 | 270 | S/A |
| 17308CC38 | Citigroup Inc | 5 | 04-Nov-2019 | 37 | 87 | Qtrly |
| 6174468H5 | Morgan Stanley | 7.5 | 10-Jun-2019 | 37 | 83 | Qtrly |
| 459058GK3 | International Bank for Reconstruction & Development | 10 | 21-Aug-2018 | 24 | 22 | Qtrly |
| 3134GVDN5 | Federal Home Loan Mortgage Corp | 30.55 | 24-Feb-2020 | 12 | 3 | Qtrly |
| 29874QDQ4 | European Bank for Reconstruction & Development | 10 | 29-Aug-2019 | 36 | 26 | Qtrly |
| AZ0961583 | European Investment Bank | 15 | 18-Jun-2019 | 36 | 29 | Qtrly |
| 3130AJ6S3 | Federal Home Loan Banks | 56.5 | 19-Feb-2020 | 6 | 2 | Qtrly |
| 3134GVDT2 | Federal Home Loan Mortgage Corp | 30 | 25-Feb-2020 | 6 | 1 | Qtrly |
| ZP6124819 | European Investment Bank | 10 | 30-Jan-2020 | 37 | 25 | n/a |
| 63873QEH3 | Natixis SA/New York NY | 10.5 | 13-Feb-2020 | 12 | 25 | Monthly |
| 46849LTN1 | Jackson National Life Global Funding | 7.75 | 15-Jan-2020 | 36 | 60 | Qtrly |
| ZQ0426556 | Bank of China Ltd/Macau | 3.5 | 17-Oct-2019 | 37 | 95 | Qtrly |
| 05578AAR9 | BPCE SA | 5 | 18-Feb-2020 | 24 | 44 | Qtrly |
| 09659X2K7 | BNP Paribas SA | 20 | 13-Jan-2020 | 134 | 150.7 | S/A |
| 94988J5S2 | Wells Fargo Bank NA | 10 | 25-Sep-2018 | 18 | 48 | n/a |
| 17308CC46 | Citigroup Inc | 15 | 04-Nov-2019 | 37 | 86.7 | S/A |
| 17325FAW8 | Citibank NA | 10 | 13-Mar-2019 | 24 | 60 | n/a |
| 58989VAA2 | MET Tower Global Funding | 5 | 17-Jan-2020 | 37 | 55 | Qtrly |
| 298785HU3 | European Investment Bank | 10 | 05-Dec-2018 | 35 | 32 | Qtrly |
| 225401AM0 | Credit Suisse Group AG | 20 | 11-Sep-2019 | 73 | 156 | S/A |
| 89236TGP4 | Toyota Motor Credit Corp | 15.5 | 22-Oct-2019 | 12 | 40 | Monthly |
| 12556LBJ4 | CIT Bank NA | 5.5 | 27-Sep-2019 | 73 | 171.5 | n/a |
| 857477BF9 | State Street Corp | 5 | 01-Nov-2019 | 183 | 149 | S/A |
| 3130AH5B5 | Federal Home Loan Banks | 56.5 | 23-Sep-2019 | 15 | 10 | n/a |
| 22549LE92 | Credit Suisse AG/New York NY | 9.54 | 12-Feb-2020 | 9 | 21 | n/a |
| 3130AJAD1 | Federal Home Loan Banks | 22.5 | 25-Feb-2020 | 12 | 3.5 | Qtrly |
| 3130AJ3N7 | Federal Home Loan Banks | 50 | 05-Feb-2020 | 6 | 3 | Qtrly |
| 22532XPE2 | Credit Agricole Corporate and Investment Bank/New York | 2 | 14-Feb-2020 | 21 | 40 | n/a |
| 45818WCP9 | Inter-American Development Bank | 10 | 18-Sep-2019 | 36 | 26 | Qtrly |
| 3134GVEK0 | Federal Home Loan Mortgage Corp | 4.65 | 27-Feb-2020 | 18 | 4.5 | n/a |
| 3130AJAR0 | Federal Home Loan Banks | 60 | 28-Feb-2020 | 6 | 2 | Qtrly |
| 3130AJ5K1 | Federal Home Loan Banks | 13.5 | 12-Feb-2020 | 24 | 11.5 | Qtrly |
| 00828EDE6 | African Development Bank | 3.5 | 06-Dec-2018 | 24 | 32 | Qtrly |
| 78014RCG3 | Royal Bank of Canada | 0.5 | 27-Feb-2020 | 37 | 295 | Qtrly |
| BG3082768 | European Investment Bank | 10 | 05-Mar-2020 | 49 | 28 | Qtrly |
| 3130AJBA6 | Federal Home Loan Banks | 25 | 28-Feb-2020 | 7 | 2.5 | Qtrly |
| 04517PAW2 | Asian Development Bank | 8 | 12-Sep-2019 | 24 | 24 | Qtrly |
| 3130AJC56 | Federal Home Loan Banks | 65 | 04-Mar-2020 | 6 | 3 | Qtrly |
| 06367BGT0 | Bank of Montreal/Chicago IL | 5.4 | 14-Feb-2020 | 13 | 20 | Monthly |
| 59217GCQ0 | Metropolitan Life Global Funding I | 10 | 07-Sep-2018 | 24 | 57 | Qtrly |
| 3134GVED6 | Federal Home Loan Mortgage Corp | 19.78 | 26-Feb-2020 | 12 | 2.5 | Qtrly |
| 624786FV6 | MUFG Union Bank NA | 3 | 09-Dec-2019 | 37 | 71 | Qtrly |
| 89117BAH1 | Toronto-Dominion Bank/The | 1 | 14-Jun-2019 | 24 | 61 | Qtrly |
| 3130AJ4K2 | Federal Home Loan Banks | 10 | 07-Feb-2020 | 4 | 2 | Qtrly |
| 3134GVAL2 | Federal Home Loan Mortgage Corp | 9.26 | 05-Feb-2020 | 6 | 1 | Qtrly |
| 3130AGXS9 | Federal Home Loan Banks | 30 | 23-Aug-2019 | 9 | 2 | Qtrly |
| 3130AHAP8 | Federal Home Loan Banks | 33 | 07-Oct-2019 | 12 | 12 | Qtrly |
| 85325V3Y4 | Standard Chartered Bank/New York | 2 | 13-Feb-2020 | 9 | 22 | Monthly |
| AX5234981 | Landeskreditbank Baden-Wuerttemberg Foerderbank | 5 | 15-Mar-2019 | 37 | 35 | Qtrly |
| 22549LH57 | Credit Suisse AG/New York NY | 1.1 | 20-Feb-2020 | 13 | 26 | Monthly |
| 40054PEU5 | Goldman Sachs Bank USA/New York NY | 1 | 14-Feb-2020 | 13 | 27 | Qtrly |
| 3130AGZV0 | Federal Home Loan Banks | 47.5 | 06-Sep-2019 | 6 | 3 | Qtrly |
| 3135G0V67 | Federal National Mortgage Association | 25 | 30-Apr-2019 | 18 | 7.5 | Qtrly |
| 59217HCR6 | Metropolitan Life Global Funding I | 10 | 13-Jan-2020 | 37 | 57 | Qtrly |
| 61690UUK4 | Morgan Stanley Bank NA | 6.5 | 25-Feb-2020 | 18 | 30 | Qtrly |
| 29878TFB5 | European Investment Bank | 10 | 05-Mar-2020 | 49 | 28 | Qtrly |
| 3130AJC49 | Federal Home Loan Banks | 45 | 04-Mar-2020 | 24 | 12 | Qtrly |
| 22549LWP6 | Credit Suisse AG/New York NY | 8.89 | 11-Mar-2019 | 12 | 38 | Monthly |
| 22549LF59 | Credit Suisse AG/New York NY | 2.95 | 13-Feb-2020 | 13 | 26 | Monthly |
| 31946MAA1 | First Citizens BancShares Inc/NC | 3.5 | 04-Mar-2020 | 122 | 246.5 | S/A |
| 59217GCY3 | Metropolitan Life Global Funding I | 12.5 | 28-May-2019 | 24 | 50 | Qtrly |
| 3135G0V26 | Federal National Mortgage Association | 20 | 30-Jan-2019 | 18 | 6 | Qtrly |
| 3130AHD26 | Federal Home Loan Banks | 40 | 16-Oct-2019 | 12 | 13 | Qtrly |
| 78012UTB1 | Royal Bank of Canada/New York NY | 1.6 | 24-Feb-2020 | 12 | 15 | Qtrly |
| 22411VAL2 | CPPIB Capital Inc | 5 | 10-Dec-2019 | 12 | 32 | Qtrly |
| 78012USY2 | Royal Bank of Canada/New York NY | 0.42 | 18-Feb-2020 | 11 | 16 | Qtrly |
| 3495MPAC3 | Fortis Financial Inc | 0.1 | 07-Feb-2020 | 122 | 456 | S/A |
| 06050TMM1 | Bank of America NA | 2.5 | 21-Jun-2019 | 24 | 55 | Qtrly |
| 61690UUW8 | Morgan Stanley Bank NA | 5 | 02-Mar-2020 | 15 | 25 | Qtrly |
| 63873NN23 | Natixis SA/New York NY | 2.65 | 13-Mar-2019 | 12 | 34 | Monthly |
| 3133ELMT8 | Federal Farm Credit Banks Funding Corp | 5.5 | 11-Feb-2020 | 24 | 13 | Qtrly |
| 06370RZZ5 | Bank of Montreal/Chicago IL | 7.8 | 09-May-2019 | 12 | 23 | Qtrly |
| 3130AGKE4 | Federal Home Loan Banks | 15 | 03-Jun-2019 | 15 | 4 | Qtrly |
| 3130AGXB6 | Federal Home Loan Banks | 37.5 | 21-Aug-2019 | 12 | 3 | Qtrly |
| 3130AGSF3 | Federal Home Loan Banks | 17.5 | 22-Jul-2019 | 18 | 5 | Qtrly |
| 59217HBT3 | Metropolitan Life Global Funding I | 10 | 07-Sep-2018 | 24 | 57 | Qtrly |
| 3134GTX24 | Federal Home Loan Mortgage Corp | 13 | 05-Aug-2019 | 18 | 3 | Qtrly |
| 3130AGN35 | Federal Home Loan Banks | 30 | 21-Jun-2019 | 12 | 3.5 | Qtrly |
| ZR4622018 | Credit Suisse Group AG | 20 | 11-Sep-2019 | 73 | 156 | S/A |
| 78012UTA3 | Royal Bank of Canada/New York NY | 1.5 | 19-Feb-2020 | 13 | 19 | Qtrly |
| 3134GT2E2 | Federal Home Loan Mortgage Corp | 20.25 | 13-Aug-2019 | 9 | 0.5 | Qtrly |
| 3130AGW92 | Federal Home Loan Banks | 32.5 | 14-Aug-2019 | 9 | 2 | Qtrly |
| 3130AGSE6 | Federal Home Loan Banks | 30 | 22-Jul-2019 | 9 | 2.5 | Qtrly |
| 3130AG3Q6 | Federal Home Loan Banks | 30 | 15-Mar-2019 | 24 | 11.5 | Qtrly |
| 3130AGEU5 | Federal Home Loan Banks | 20 | 08-May-2019 | 12 | 3.5 | Qtrly |
| 3135G0U76 | Federal National Mortgage Association | 15 | 30-Oct-2018 | 18 | 10 | Qtrly |
| 40054PBA2 | Goldman Sachs Bank USA/New York NY | 1.5 | 24-May-2019 | 12 | 28 | Qtrly |
| 22549LE50 | Credit Suisse AG/New York NY | 3.1 | 07-Feb-2020 | 7 | 16 | Monthly |
| 3134GT6K4 | Federal Home Loan Mortgage Corp | 40 | 10-Sep-2019 | 12 | 4 | Qtrly |
| 06370R4P1 | Bank of Montreal/Chicago IL | 6.75 | 03-Oct-2019 | 12 | 40 | Qtrly |
| 3134GUFR6 | Federal Home Loan Mortgage Corp | 9.61 | 03-Oct-2019 | 6 | 4 | Qtrly |
| 29878TDJ0 | European Investment Bank | 10 | 30-Jan-2020 | 37 | 25 | Qtrly |
| 3130AGA70 | Federal Home Loan Banks | 15 | 05-Apr-2019 | 18 | 10.5 | Qtrly |
| 3134GTPW7 | Federal Home Loan Mortgage Corp | 10.5 | 21-May-2019 | 15 | 3 | Qtrly |
| 3135G0W25 | Federal National Mortgage Association | 20 | 26-Aug-2019 | 9 | 1 | Qtrly |
| 05578BAR7 | BPCE SA | 5 | 18-Feb-2020 | 24 | 44 | Qtrly |
| 22549LF67 | Credit Suisse AG/New York NY | 9.5 | 07-Oct-2019 | 12 | 48 | Monthly |
| 40054PET8 | Goldman Sachs Bank USA/New York NY | 2 | 13-Feb-2020 | 12 | 25 | Qtrly |
| 03076KAB4 | Ameris Bancorp | 1.2 | 06-Dec-2019 | 122 | 294 | S/A |
| 3130AGVL6 | Federal Home Loan Banks | 25 | 09-Aug-2019 | 18 | 4 | Qtrly |
| 3130AH3A9 | Federal Home Loan Banks | 10 | 12-Sep-2019 | 24 | 8.5 | Qtrly |
| 05586FTK3 | BNP Paribas SA/New York NY | 3.5 | 06-Feb-2020 | 12 | 25 | Monthly |
| 22549LH99 | Credit Suisse AG/New York NY | 0.25 | 20-Feb-2020 | 9 | 19 | Monthly |
| 22549LF91 | Credit Suisse AG/New York NY | 0.3 | 14-Feb-2020 | 7 | 15 | Monthly |
| 3134GTJ46 | Federal Home Loan Mortgage Corp | 6.3 | 22-Jul-2019 | 18 | 3 | Qtrly |
| 89114N5L5 | Toronto-Dominion Bank/NY | 5.23 | 30-Sep-2019 | 12 | 42 | Qtrly |
| 29878TDE1 | European Investment Bank | 15 | 18-Jun-2019 | 36 | 29 | Qtrly |
| 3134GVEE4 | Federal Home Loan Mortgage Corp | 5 | 26-Feb-2020 | 15 | 3.5 | Qtrly |
| 86564F7E7 | Sumitomo Mitsui Trust Bank Limited/ New York | 1.5 | 28-Feb-2020 | 6 | 14 | Monthly |
| 22549LRR8 | Credit Suisse AG/New York NY | 3.5 | 19-Jun-2019 | 12 | 30 | Monthly |
| 3133EKHC3 | Federal Farm Credit Banks Funding Corp | 5 | 15-Apr-2019 | 21 | 10.5 | Qtrly |
| 3130AG5G6 | Federal Home Loan Banks | 42.5 | 27-Mar-2019 | 12 | 6.5 | Qtrly |
| 63873NZ38 | Natixis SA/New York NY | 5 | 06-Jun-2019 | 12 | 30 | Monthly |
| 61690UUV0 | Morgan Stanley Bank NA | 1.5 | 02-Mar-2020 | 21 | 30 | Qtrly |
| 46849LTJ0 | Jackson National Life Global Funding | 3 | 11-Jun-2019 | 24 | 50 | Qtrly |
| 22549LSR7 | Credit Suisse AG/New York NY | 3.855 | 08-Jul-2019 | 12 | 28 | Monthly |
| 22549LWH4 | Credit Suisse AG/New York NY | 2.93 | 04-Apr-2019 | 13 | 38 | Monthly |
| 22549LE68 | Credit Suisse AG/New York NY | 5.5 | 27-Sep-2019 | 12 | 45 | Monthly |
| 05586FUB1 | BNP Paribas SA/New York NY | 2 | 10-Feb-2020 | 12 | 20 | Monthly |
| 40054PEF8 | Goldman Sachs Bank USA/New York NY | 6.4747 | 20-Aug-2019 | 12 | 28 | Qtrly |
| 3130AFS73 | Federal Home Loan Banks | 15 | 24-Jan-2019 | 18 | 7.5 | Qtrly |
| 3130AGPH2 | Federal Home Loan Banks | 16 | 28-Jun-2019 | 9 | 3 | Qtrly |
| 22549LG90 | Credit Suisse AG/New York NY | 0.5 | 18-Feb-2020 | 9 | 18 | Monthly |
| 3134GTS87 | Federal Home Loan Mortgage Corp | 8.475 | 05-Aug-2019 | 37 | 13 | Qtrly |
| 3133EK7M2 | Federal Farm Credit Banks Funding Corp | 6.5 | 18-Nov-2019 | 24 | 19 | Qtrly |
| Federal Home Loan Banks | 25 | 10-Jul-2019 | 24 | 7.5 | Qtrly | |
| Credit Suisse AG/New York NY | 2 | 16-Jan-2020 | 12 | 33 | Monthly | |
| Goldman Sachs Bank USA/New York NY | 1.5 | 20-Feb-2020 | 12 | 20 | Qtrly | |
| Credit Suisse AG/New York NY | 1.5 | 13-Jun-2019 | 12 | 26 | Monthly | |
| Bank of Montreal/Chicago IL | 2.38 | 11-Jul-2019 | 12 | 25 | Qtrly | |
| Natixis SA/New York NY | 1.2 | 30-Jul-2019 | 12 | 23 | Monthly | |
| Sumitomo Mitsui Banking Corp/New York | 4.45 | 02-Oct-2019 | 6 | 33 | Monthly | |
| Federal Home Loan Banks | 25 | 11-Oct-2019 | 7 | 8 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 6 | 10-Feb-2020 | 12 | 4 | Qtrly | |
| Federal Home Loan Mortgage Corp | 18.6 | 16-Aug-2019 | 9 | 0.5 | Qtrly | |
| Federal Home Loan Banks | 30 | 26-Jul-2019 | 24 | 7.5 | Qtrly | |
| Royal Bank of Canada | 0.01 | 23-Jan-2020 | 37 | 0 | Qtrly | |
| Royal Bank of Canada | 2.7 | 24-Jan-2020 | 24 | 40 | Qtrly | |
| Federal Home Loan Banks | 30 | 30-Sep-2019 | 10 | 10 | Qtrly | |
| Sumitomo Mitsui Trust Bank Limited/ New York | 1.5 | 05-Sep-2019 | 6 | 21 | Monthly | |
| Goldman Sachs Bank USA/New York NY | 1.5 | 20-Feb-2020 | 12 | 21 | Qtrly | |
| Canadian Imperial Bank of Commerce/New York NY | 2.45 | 13-Jun-2019 | 12 | 21 | Monthly | |
| Metropolitan Life Global Funding I | 2.65 | 15-Jan-2019 | 24 | 85 | Qtrly | |
| Westpac Banking Corp/NY | 3.6 | 12-Dec-2019 | 12 | 36 | Monthly | |
| Credit Suisse AG/New York NY | 5.25 | 01-May-2019 | 13 | 37 | Monthly | |
| Federal Home Loan Banks | 10 | 15-Jan-2020 | 7 | 4.5 | Qtrly | |
| Federal Home Loan Mortgage Corp | 20.04 | 03-Sep-2019 | 9 | 3 | Qtrly | |
| Federal Home Loan Mortgage Corp | 3.75 | 07-Aug-2019 | 12 | 0.5 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 5.75 | 14-Jan-2020 | 12 | 8 | Qtrly | |
| Veritex Holdings Inc | 0.75 | 08-Nov-2019 | 122 | 347 | S/A | |
| Federal Home Loan Banks | 30 | 10-Oct-2019 | 18 | 17 | Qtrly | |
| Federal Home Loan Mortgage Corp | 10.1 | 11-Jul-2019 | 9 | 0 | Qtrly | |
| Credit Suisse AG/New York NY | 0.65 | 14-Feb-2020 | 6 | 14 | Monthly | |
| Federal Home Loan Banks | 22.5 | 28-Jun-2019 | 15 | 4.5 | Qtrly | |
| Federal Home Loan Mortgage Corp | 3.95 | 12-Jul-2019 | 18 | 3 | Qtrly | |
| Federal National Mortgage Association | 20 | 29-Jul-2019 | 18 | 4 | Qtrly | |
| Banco Del Estado De Chile/New York | 0.25 | 26-Feb-2020 | 6 | 14 | Monthly | |
| Federal Home Loan Mortgage Corp | 21 | 08-Jul-2019 | 12 | 2 | Qtrly | |
| State Street Bank and Trust Co | 2 | 04-Feb-2020 | 6 | 14 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 7.75 | 14-Jan-2020 | 24 | 18 | Qtrly | |
| Federal Home Loan Mortgage Corp | 6 | 16-Jul-2019 | 9 | 0 | Qtrly | |
| Banco Del Estado De Chile/New York | 0.5 | 25-Feb-2020 | 6 | 15 | Monthly | |
| Federal Home Loan Mortgage Corp | 3.2 | 10-Feb-2020 | 4 | 0.5 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 3.85 | 26-Aug-2019 | 18 | 43 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 1.25 | 07-Feb-2020 | 15 | 33 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 5 | 10-May-2019 | 24 | 10 | Qtrly | |
| Federal Home Loan Mortgage Corp | 10 | 22-Jul-2019 | 12 | 1 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 5 | 09-Dec-2019 | 37 | 32 | Qtrly | |
| Royal Bank of Canada/New York NY | 2 | 18-Jul-2019 | 13 | 31 | Qtrly | |
| QNB Finance Ltd | 0.25 | 28-Jan-2020 | 24 | 96 | Qtrly | |
| Federal Home Loan Banks | 15 | 08-Aug-2019 | 15 | 3 | Qtrly | |
| Federal Home Loan Banks | 20 | 17-Jul-2019 | 12 | 3 | Qtrly | |
| Federal Home Loan Mortgage Corp | 18.82 | 19-Aug-2019 | 18 | 3 | Qtrly | |
| Royal Bank of Canada/New York NY | 0.5 | 10-Jun-2019 | 12 | 19 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 5 | 18-Mar-2019 | 24 | 12 | Qtrly | |
| Fortis Financial Inc | 0.1 | 07-Feb-2020 | 122 | 456 | S/A | |
| Federal Home Loan Banks | 25 | 18-Oct-2019 | 9 | 10 | Qtrly | |
| Royal Bank of Canada/New York NY | 3.11 | 30-Jan-2020 | 13 | 25 | Qtrly | |
| Toronto-Dominion Bank/The | 1.37 | 07-Jun-2019 | 24 | 65 | Qtrly | |
| Federal Home Loan Banks | 15 | 22-Nov-2019 | 15 | 10 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 0.5 | 21-Feb-2020 | 12 | 19 | Qtrly | |
| Sumitomo Mitsui Banking Corp/New York | 2 | 31-Jan-2020 | 6 | 20 | Monthly | |
| Federal Home Loan Mortgage Corp | 23.75 | 10-Jul-2019 | 12 | 2 | Qtrly | |
| Veritex Holdings Inc | 0 | 12-Mar-2020 | 118 | 347 | S/A | |
| Bar Harbor Bankshares | 0.4 | 26-Nov-2019 | 122 | 327 | S/A | |
| Morgan Stanley Bank NA | 0 | 07-Feb-2020 | 36 | 50 | Qtrly | |
| Federal Home Loan Banks | 48 | 30-Aug-2019 | 18 | 6.5 | Qtrly | |
| Level One Bancorp Inc | 0.3 | 18-Dec-2019 | 122 | 311 | S/A | |
| Goldman Sachs Bank USA/New York NY | 1 | 20-Jun-2019 | 12 | 25 | Qtrly | |
| Credit Suisse AG/New York NY | 1.75 | 04-Feb-2020 | 7 | 17 | Monthly | |
| Federal Home Loan Banks | 18 | 01-Aug-2019 | 18 | 5 | Qtrly | |
| Federal Home Loan Mortgage Corp | 20.15 | 05-Jun-2019 | 12 | 2 | Qtrly | |
| Credit Suisse AG/New York NY | 5.35 | 08-Oct-2019 | 7 | 38 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 5 | 10-Jun-2019 | 24 | 8 | Qtrly | |
| Reliant Bancorp Inc | 0.6 | 13-Dec-2019 | 122 | 376.5 | S/A | |
| Federal Home Loan Banks | 40 | 26-Sep-2019 | 6 | 6.5 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 3.83 | 07-Nov-2019 | 37 | 31 | Qtrly | |
| BNP Paribas SA/New York NY | 1 | 21-Feb-2020 | 9 | 13 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 5 | 15-Oct-2019 | 24 | 19 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.5 | 10-Feb-2020 | 9 | 7 | Qtrly | |
| Credit Suisse AG/New York NY | 1 | 07-Aug-2019 | 12 | 29 | Monthly | |
| Midland States Bancorp Inc | 0.7275 | 10-Jan-2020 | 118 | 361 | S/A | |
| Federal Agricultural Mortgage Corp | 0.3 | 28-Feb-2020 | 13 | 6 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 2 | 10-Jun-2019 | 18 | 40 | Qtrly | |
| Credit Suisse AG/New York NY | 4 | 03-Feb-2020 | 9 | 23 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 2.5 | 27-Nov-2019 | 12 | 8 | Qtrly | |
| Federal Home Loan Banks | 37.5 | 14-Aug-2019 | 21 | 5.5 | Qtrly | |
| Canadian Imperial Bank of Commerce/New York NY | 3.75 | 13-Jun-2019 | 9 | 16 | Monthly | |
| Federal Home Loan Banks | 27.5 | 06-Nov-2019 | 6 | 6 | Qtrly | |
| Natixis SA/New York NY | 1.25 | 12-Jun-2019 | 18 | 43 | Monthly | |
| Federal Agricultural Mortgage Corp | 0.4 | 03-Mar-2020 | 12 | 5.5 | Qtrly | |
| Toronto-Dominion Bank/The | 0.5 | 12-Mar-2019 | 24 | 61 | Qtrly | |
| Federal Home Loan Banks | 10 | 04-Dec-2019 | 18 | 13.5 | Qtrly | |
| Credit Suisse AG/New York NY | 2.5 | 02-Jul-2019 | 13 | 32 | Monthly | |
| Credit Suisse AG/New York NY | 2.45 | 03-Feb-2020 | 12 | 27 | Monthly | |
| MET Tower Global Funding | 5 | 17-Jan-2020 | 37 | 55 | Qtrly | |
| Federal Home Loan Banks | 15.5 | 10-Dec-2018 | 18 | 11 | Qtrly | |
| Federal Home Loan Banks | 29 | 14-Jun-2019 | 24 | 7.5 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.5 | 07-Jun-2019 | 24 | 11 | Qtrly | |
| Bank of Montreal/Chicago IL | 2.925 | 06-Jun-2019 | 12 | 20 | Qtrly | |
| Canadian Imperial Bank of Commerce | 0.75 | 24-Jan-2020 | 37 | 61 | Qtrly | |
| Royal Bank of Canada/New York NY | 1 | 03-May-2019 | 12 | 23 | Qtrly | |
| Federal Home Loan Mortgage Corp | 5.65 | 05-Apr-2019 | 12 | 5.5 | Qtrly | |
| Credit Suisse AG/New York NY | 0.75 | 11-Sep-2019 | 9 | 26 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 1.2 | 29-Aug-2019 | 36 | 15 | Qtrly | |
| Federal Home Loan Mortgage Corp | 10.3 | 22-May-2019 | 12 | 2.5 | Qtrly | |
| Bradford Bancorp Inc | 0.08 | 23-Oct-2019 | 183 | 382 | S/A | |
| Federal Agricultural Mortgage Corp | 0.805 | 10-Feb-2020 | 12 | 9 | Qtrly | |
| Federal Home Loan Mortgage Corp | 5.025 | 17-Sep-2019 | 9 | 3 | Qtrly | |
| Royal Bank of Canada/New York NY | 0.85 | 11-Oct-2019 | 12 | 38 | Qtrly | |
| Federal Home Loan Mortgage Corp | 7.45 | 04-Sep-2019 | 9 | 3 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.5 | 17-Jun-2019 | 22 | 10 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 1.25 | 04-Feb-2020 | 12 | 28 | Qtrly | |
| Natixis SA/New York NY | 1 | 11-Jun-2019 | 12 | 26 | Monthly | |
| Jackson National Life Global Funding | 3 | 11-Jun-2019 | 24 | 50 | Qtrly | |
| Credit Suisse AG/New York NY | 0.1 | 05-Feb-2020 | 9 | 22 | Monthly | |
| Credit Suisse AG/New York NY | 0.75 | 27-Jun-2019 | 13 | 32 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 5 | 20-Aug-2019 | 24 | 6.5 | Qtrly | |
| Credit Suisse AG/New York NY | 1 | 05-Feb-2020 | 7 | 17 | Monthly | |
| Credit Suisse AG/New York NY | 0.5 | 04-Feb-2020 | 24 | 44 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 5 | 15-Jul-2019 | 24 | 7.5 | Qtrly | |
| Sumitomo Mitsui Banking Corp/New York | 1.75 | 28-Jan-2020 | 4 | 19 | Monthly | |
| Credit Suisse AG/New York NY | 0.35 | 18-Jul-2019 | 12 | 27 | Monthly | |
| Credit Suisse AG/New York NY | 0.4 | 10-Oct-2019 | 18 | 59 | Monthly | |
| Bank of Montreal/Chicago IL | 1 | 26-Jul-2019 | 12 | 25 | Qtrly | |
| Societe Generale/New York NY | 0.75 | 15-Oct-2019 | 9 | 37 | Monthly | |
| Federal Home Loan Mortgage Corp | 22.5 | 29-Apr-2019 | 12 | 4 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 5 | 24-Sep-2019 | 24 | 14 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.5 | 26-Jul-2019 | 23 | 11 | Qtrly | |
| Avidbank Holdings Inc | 0.22 | 20-Dec-2019 | 122 | 359.5 | S/A | |
| Northern Bancorp Inc | 0.5225 | 27-Dec-2019 | 122 | 327.5 | S/A | |
| BNP Paribas Fortis SA/New York | 2 | 21-Feb-2020 | 9 | 13 | Monthly | |
| Midland States Bancorp Inc | 0.2725 | 10-Jan-2020 | 179 | 404.5 | S/A | |
| Credit Suisse AG/New York NY | 0.5 | 17-Sep-2019 | 9 | 26 | Monthly | |
| Meridian Corp | 0.4 | 18-Dec-2019 | 122 | 395 | S/A | |
| Federal Agricultural Mortgage Corp | 0.8 | 18-Mar-2019 | 12 | 5 | Qtrly | |
| Sumitomo Mitsui Banking Corp/New York | 1.5 | 24-Jan-2020 | 6 | 21 | Monthly | |
| Federal Home Loan Mortgage Corp | 1.55 | 05-Aug-2019 | 15 | 1.5 | Qtrly | |
| Credit Agricole Corporate and Investment Bank/New York | 1 | 26-Nov-2019 | 24 | 60 | Qtrly | |
| Metropolitan Life Global Funding I | 12.5 | 28-May-2019 | 24 | 50 | Qtrly | |
| Bank of Montreal/Chicago IL | 1.37 | 04-Oct-2019 | 12 | 41 | Qtrly | |
| Royal Bank of Canada | 0.5 | 30-Jan-2020 | 37 | 40 | Qtrly | |
| Credit Suisse AG/New York NY | 0.4 | 15-Jul-2019 | 10 | 22 | Monthly | |
| Goldman Sachs Bank USA/New York NY | 1 | 11-Jul-2019 | 12 | 25 | Qtrly | |
| Federal Home Loan Mortgage Corp | 15.25 | 04-Sep-2019 | 6 | 2 | Qtrly | |
| Credit Suisse AG/New York NY | 0.4 | 10-Oct-2019 | 13 | 48 | Monthly | |
| Toronto-Dominion Bank/NY | 1.225 | 27-Feb-2020 | 12 | 15 | Qtrly | |
| Credit Suisse AG/New York NY | 2.25 | 07-Oct-2019 | 12 | 48 | Monthly | |
| Lloyds Bank Corporate Markets PLC/New York NY | 1 | 17-Jan-2020 | 12 | 33 | Qtrly | |
| Sumitomo Mitsui Trust Bank Limited/ New York | 1.8 | 11-Sep-2019 | 6 | 21 | Monthly | |
| Jackson National Life Global Funding | 7.75 | 15-Jan-2020 | 36 | 60 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 1.55 | 03-Jun-2019 | 18 | 40 | Qtrly | |
| Federal Home Loan Mortgage Corp | 32.65 | 03-Sep-2019 | 6 | 2 | Qtrly | |
| Bar Harbor Bankshares | 0 | 06-Mar-2020 | 119 | 327 | S/A | |
| Credit Suisse AG/New York NY | 1 | 15-Mar-2019 | 12 | 35 | Monthly | |
| Federal Home Loan Mortgage Corp | 10 | 14-Jun-2019 | 24 | 6 | Qtrly | |
| Royal Bank of Canada/New York NY | 0.4 | 16-Jul-2019 | 9 | 20 | Qtrly | |
| Federal Home Loan Mortgage Corp | 2.5 | 03-Sep-2019 | 12 | 1 | Qtrly | |
| Credit Suisse AG/New York NY | 0.45 | 10-Oct-2019 | 6 | 37 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 1.54 | 16-May-2019 | 37 | 17 | Qtrly | |
| Credit Suisse AG/New York NY | 1 | 16-Oct-2019 | 12 | 48 | Monthly | |
| BNP Paribas SA/New York NY | 0.25 | 11-Dec-2019 | 6 | 29 | Monthly | |
| Federal Home Loan Mortgage Corp | 12 | 08-May-2019 | 12 | 3 | Qtrly | |
| Metropolitan Life Global Funding I | 2.65 | 15-Jan-2019 | 24 | 85 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.15 | 23-Aug-2019 | 24 | 10 | Qtrly | |
| Credit Suisse AG/New York NY | 0.1 | 05-Sep-2019 | 12 | 30 | Monthly | |
| Royal Bank of Canada/New York NY | 1.05 | 04-Oct-2019 | 12 | 40 | Qtrly | |
| Natixis SA/New York NY | 1 | 16-Jul-2019 | 12 | 26 | Monthly | |
| Reliant Bancorp Inc | 0.6 | 13-Dec-2019 | 122 | 376.5 | S/A | |
| Federal Home Loan Mortgage Corp | 12.75 | 14-Jun-2019 | 18 | 4 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 0.72 | 10-Sep-2019 | 12 | 30 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 2 | 22-Apr-2019 | 37 | 20 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 5 | 28-Oct-2019 | 24 | 21 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.5 | 02-Jul-2019 | 15 | 7 | Qtrly | |
| Federal Home Loan Mortgage Corp | 2.75 | 20-Aug-2019 | 15 | 2 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 1.2 | 04-Nov-2019 | 12 | 40 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.25 | 21-Jun-2019 | 18 | 8 | Qtrly | |
| Jonesboro Bancshares Inc | 0.035 | 31-Dec-2019 | 122 | 351 | S/A | |
| Credit Suisse AG/New York NY | 1.25 | 22-Oct-2019 | 6 | 35 | Monthly | |
| Congressional Bancshares Inc | 0.25 | 22-Nov-2019 | 122 | 439 | S/A | |
| Royal Bank of Canada/New York NY | 1.775 | 17-Jul-2019 | 12 | 29 | Qtrly | |
| Credit Suisse AG/New York NY | 0.12 | 04-Dec-2019 | 7 | 34 | Monthly | |
| Federal Agricultural Mortgage Corp | 0.25 | 09-Aug-2019 | 15 | 6 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 0.5 | 18-Sep-2019 | 12 | 30 | Qtrly | |
| Northpointe Bancshares Inc | 0.2 | 09-Sep-2019 | 122 | 490.5 | S/A | |
| Federal Agricultural Mortgage Corp | 0.25 | 27-Jun-2019 | 15 | 6 | Qtrly | |
| Credit Suisse AG/New York NY | 0.25 | 24-Oct-2019 | 6 | 33 | Monthly | |
| Southern First Bancshares Inc | 0 | 27-Feb-2020 | 117 | 340.8 | S/A | |
| Royal Bank of Canada/New York NY | 1 | 23-Oct-2019 | 12 | 39 | Qtrly | |
| Credit Suisse AG/New York NY | 6 | 10-Oct-2019 | 7 | 38 | Monthly | |
| Jonesboro Bancshares Inc | 0.1035 | 31-Dec-2019 | 183 | 438 | S/A | |
| Royal Bank of Canada/New York NY | 2.97 | 09-Jul-2019 | 12 | 24 | Qtrly | |
| Credit Suisse AG/New York NY | 2.25 | 04-Nov-2019 | 12 | 46 | Monthly | |
| Federal Home Loan Mortgage Corp | 21 | 06-Jun-2019 | 15 | 3 | Qtrly | |
| Royal Bank of Canada/New York NY | 1.525 | 19-Sep-2019 | 12 | 32 | Qtrly | |
| Credit Suisse AG/New York NY | 0.25 | 25-Oct-2019 | 9 | 40 | Monthly | |
| Natixis SA/New York NY | 1.6 | 05-Sep-2019 | 12 | 35 | Monthly | |
| Credit Suisse AG/New York NY | 1 | 28-Oct-2019 | 6 | 34 | Monthly | |
| Royal Bank of Canada/New York NY | 0.5 | 18-Dec-2019 | 6 | 29 | Qtrly | |
| National Bank of Canada/New York NY | 1 | 11-Oct-2019 | 9 | 35 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.25 | 12-Sep-2019 | 19 | 10 | Qtrly | |
| Credit Suisse AG/New York NY | 0.4 | 10-Oct-2019 | 13 | 48 | Monthly | |
| Federal Home Loan Mortgage Corp | 22.5 | 01-May-2019 | 12 | 4 | Qtrly | |
| Sumitomo Mitsui Banking Corp/New York | 1.5 | 30-Jan-2020 | 6 | 20 | Monthly | |
| Bank of Montreal/Chicago IL | 1.4 | 23-Sep-2019 | 12 | 32 | Qtrly | |
| Federal Agricultural Mortgage Corp | 1 | 08-Aug-2019 | 18 | 7 | Qtrly | |
| Morgan Stanley | 0.01 | 23-Aug-2019 | 24 | 0 | Qtrly | |
| Bank of Montreal/Chicago IL | 0.4 | 31-Jul-2019 | 12 | 26 | Qtrly | |
| Credit Suisse AG/New York NY | 1 | 21-Oct-2019 | 12 | 48 | Monthly | |
| Goldman Sachs Bank USA/New York NY | 1.3 | 24-Jun-2019 | 12 | 25 | Qtrly | |
| Banco Del Estado De Chile/New York | 0.5 | 28-Feb-2020 | 6 | 15 | Monthly | |
| Royal Bank of Canada/New York NY | 0.85 | 03-Oct-2019 | 12 | 40 | Qtrly | |
| Volunteer State Bancshares Inc | 0.4 | 07-Nov-2019 | 122 | 436.5 | S/A | |
| Goldman Sachs Bank USA/New York NY | 1 | 13-Sep-2019 | 12 | 30 | Qtrly | |
| Federal Home Loan Mortgage Corp | 20.5 | 06-Jun-2019 | 15 | 3 | Qtrly | |
| Morgan Stanley Bank NA | 0.05 | 16-Oct-2019 | 85 | 0 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 5 | 13-Sep-2019 | 24 | 7.5 | Qtrly | |
| Bank of Montreal/Chicago IL | 0.6 | 02-Aug-2019 | 12 | 26 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.5 | 22-Aug-2019 | 18 | 6 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 2 | 11-Sep-2019 | 12 | 3.5 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.5 | 26-Jul-2019 | 17 | 7 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.25 | 26-Jul-2019 | 26 | 13 | Qtrly | |
| White River Bancshares Co | 0.11 | 11-Dec-2019 | 122 | 442 | S/A | |
| Federal Agricultural Mortgage Corp | 0.1 | 23-Dec-2019 | 37 | 28 | Qtrly | |
| Northern Bancorp Inc | 0.5225 | 27-Dec-2019 | 122 | 327.5 | S/A | |
| Federal Agricultural Mortgage Corp | 0.15 | 26-Aug-2019 | 12 | 5 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 2 | 28-Jun-2019 | 12 | 25 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.3 | 13-Aug-2019 | 12 | 4 | Qtrly | |
| F&M Financial Corp/TN | 0.5 | 12-Sep-2019 | 122 | 484 | S/A | |
| Federal Agricultural Mortgage Corp | 0.25 | 03-May-2019 | 12 | 7 | Qtrly | |
| Bradford Bancorp Inc | 0.08 | 23-Oct-2019 | 183 | 382 | S/A | |
| Goldman Sachs Bank USA/New York NY | 0.75 | 14-Jan-2020 | 15 | 37 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 1 | 18-Jun-2019 | 12 | 25 | Qtrly | |
| Veritex Holdings Inc | 0.75 | 08-Nov-2019 | 122 | 347 | S/A | |
| Goldman Sachs Bank USA/New York NY | 0.3 | 26-Jun-2019 | 15 | 30 | Qtrly | |
| Southern First Bancshares Inc | 0.23 | 30-Sep-2019 | 122 | 340.8 | S/A | |
| F&M Financial Corp/TN | 0.5 | 12-Sep-2019 | 122 | 484 | S/A | |
| Goldman Sachs Bank USA/New York NY | 1 | 12-Jun-2019 | 24 | 50 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 0.5 | 20-Jun-2019 | 15 | 30 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 0.5 | 28-Jun-2019 | 12 | 25 | Qtrly | |
| Bar Harbor Bankshares | 0.4 | 26-Nov-2019 | 122 | 327 | S/A | |
| Goldman Sachs Bank USA/New York NY | 1.34 | 07-Oct-2019 | 12 | 40 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 2 | 10-Jun-2019 | 12 | 25 | Qtrly | |
| Avidbank Holdings Inc | 0.22 | 20-Dec-2019 | 122 | 359.5 | S/A | |
| Jonesboro Bancshares Inc | 0.035 | 31-Dec-2019 | 122 | 351 | S/A | |
| Fidelity Federal Bancorp | 0.235 | 31-Oct-2019 | 122 | 465 | S/A | |
| Jonesboro Bancshares Inc | 0.1035 | 31-Dec-2019 | 183 | 438 | S/A | |
| Volunteer State Bancshares Inc | 0.4 | 07-Nov-2019 | 122 | 436.5 | S/A | |
| Southern First Bancshares Inc | 0.23 | 30-Sep-2019 | 122 | 340.8 | S/A | |
| Bay Banks of Virginia Inc | 0.25 | 07-Oct-2019 | 122 | 433.5 | S/A | |
| Fidelity Federal Bancorp | 0.235 | 31-Oct-2019 | 122 | 465 | S/A | |
| Grant Bancshares Inc | 0.165 | 14-Aug-2019 | 122 | 436 | S/A | |
| Grant Bancshares Inc | 0.165 | 14-Aug-2019 | 122 | 436 | S/A | |
| Reliant Bancorp Inc | 0 | 26-Mar-2020 | 118 | 376.5 | S/A | |
| Level One Bancorp Inc | 0.3 | 18-Dec-2019 | 122 | 311 | S/A | |
| JPMorgan Chase & Co | 30 | 23-Jan-2020 | -1462 | 312.5 | S/A | |
| Northpointe Bancshares Inc | 0.2 | 09-Sep-2019 | 122 | 490.5 | S/A | |
| Meridian Corp | 0.4 | 18-Dec-2019 | 122 | 395 | S/A | |
| JPMorgan Chase & Co | 15 | 24-Feb-2020 | -1463 | 274.5 | S/A | |
| Congressional Bancshares Inc | 0.25 | 22-Nov-2019 | 122 | 439 | S/A |
About Epsilon Technologies Group
Epsilon is a vibrant capital markets technology solutions and services firm serving small and medium-sized financial institutions such as regional banks, Government-Sponsored Enterprises, and Federal Home Loan Banks. The Group’s deep expertise embraces every aspect of software development, products, data, technologies, and consulting. Epsilon offers ETS and Principia Analytic System as licensed products, and various innovative bespoke solutions across a broad set of capital markets domains. Epsilon also offers a full range of consulting services, including implementation, advisory, analytics, risk management, accounting, and data modeling.
