CME SOFR futures offer the leading source of price discovery and liquidity on the Secured Overnight Financing Rate (SOFR), a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. One-Month SOFR futures (SR1) are cash settled and based on the arithmetic average of daily SOFR values during the contract delivery month.

Exchange | Asset Class | Spread Products | Type | Ratio | Side | Start Period | End Period | Credit |
---|---|---|---|---|---|---|---|---|

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 02/2021 | 06/2021 | 70% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2021 | 06/2023 | 70% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 09/2020 | 10/2020 | 70% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 07/2020 | 07/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 09/2020 | 09/2020 | 70% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 12/2020 | 03/2021 | ||||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2020 | 08/2020 | 70% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 08/2020 | 08/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 08/2020 | 08/2020 | 70% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 11/2020 | 07/2021 | 70% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2021 | 03/2022 | ||||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2021 | 06/2023 | 65% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 11/2020 | 01/2021 | 65% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 11/2020 | 01/2021 | 65% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 07/2020 | 07/2020 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 65% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 65% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 65% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 10/2020 | 10/2020 | 65% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2021 | 03/2022 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 11/2020 | 07/2021 | 65% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2023 | 03/2024 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 10/2020 | 10/2020 | 65% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2022 | 03/2023 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 11/2020 | 07/2021 | 65% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2022 | 03/2023 | ||||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2021 | 06/2023 | 60% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 02/2021 | 06/2021 | 60% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 02/2021 | 06/2021 | 60% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 07/2020 | 07/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2020 | 08/2020 | 60% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 07/2021 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 09/2020 | 09/2020 | 60% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2021 | 03/2022 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 08/2020 | 08/2020 | 60% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 12/2020 | 03/2021 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 10/2020 | 10/2020 | 60% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2023 | 03/2024 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 11/2020 | 07/2021 | 60% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2024 | 12/2029 | ||||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2020 | 08/2020 | 60% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 07/2020 | 07/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 07/2020 | 07/2020 | 60% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 07/2020 | 07/2020 | 60% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2020 | 06/2020 | ||||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | B | 03/2020 | 03/2021 | 55% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | LIC - 3-YEAR ERIS SWAP FUTURES | Delta | 4 | B | 03/2021 | 03/2021 | 55% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2019 | 12/2019 | 55% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2019 | 12/2019 | 55% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 11/2020 | 07/2021 | |||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2026 | 06/2027 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2027 | 06/2028 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2028 | 06/2029 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2029 | 06/2030 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2029 | 06/2030 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2027 | 06/2028 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2028 | 06/2029 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2026 | 06/2027 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2025 | 06/2026 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2025 | 06/2026 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2024 | 06/2025 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2024 | 06/2025 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2023 | 06/2024 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2023 | 06/2024 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 55% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 09/2020 | 09/2020 | |||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2022 | 06/2023 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2022 | 06/2023 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2021 | 06/2022 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2021 | 06/2022 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 10/2020 | 06/2021 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 10/2020 | 06/2021 | 55% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 09/2020 | 09/2020 | 55% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2022 | 03/2023 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 10/2020 | 10/2020 | 55% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2024 | 12/2029 | ||||

CBT | INTEREST RATES | 25 - 5 YR TREASURY NOTE FUTURES | Delta | 3 | B | All dates | 50% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | 25 - 5 YR TREASURY NOTE FUTURES | Delta | 3 | B | All dates | 50% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | 25 - 5 YR TREASURY NOTE FUTURES | Delta | 3 | B | All dates | 50% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | 25 - 5 YR TREASURY NOTE FUTURES | Delta | 3 | B | All dates | 50% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2019 | 06/2019 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2019 | 06/2019 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2021 | 06/2023 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 07/2020 | 07/2020 | |||

CBT | INTEREST RATES | LIT - 2-YEAR ERIS SWAP FUTURE | Delta | 2 | B | 09/2020 | 03/2021 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2018 | 12/2018 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2018 | 12/2018 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 11/2020 | 07/2021 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 09/2020 | 09/2020 | 50% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2024 | 12/2029 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 09/2020 | 09/2020 | 50% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2023 | 03/2024 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 07/2020 | 09/2020 | 50% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 07/2020 | 09/2020 | 50% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 08/2020 | 08/2020 | 50% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2021 | 03/2022 | ||||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2018 | 06/2018 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2018 | 06/2018 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 10/2020 | 10/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 07/2020 | 07/2020 | 50% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 12/2020 | 03/2021 | ||||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2017 | 12/2017 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2017 | 06/2017 | 50% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 09/2020 | 09/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 8 | B | 11/2020 | 07/2021 | 45% |

CBT | UBE - LONG TERM U.S. TREASURY BOND FUTURE | 1 | A | All dates | ||||

CBT | INTEREST RATES | 17 - 30 YR U.S. TREASURY BOND FUTURES | Delta | 1 | A | All dates | 45% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 5 | B | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | 17 - 30 YR U.S. TREASURY BOND FUTURES | Delta | 1 | A | All dates | 45% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 5 | B | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | 17 - 30 YR U.S. TREASURY BOND FUTURES | Delta | 1 | A | All dates | 45% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 5 | B | 10/2020 | 10/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 2 | B | 09/2020 | 09/2020 | 45% |

CBT | TN - ULTRA 10-YEAR U S TREASURY NOTE FUT | 1 | A | All dates | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 2 | B | 10/2020 | 10/2020 | 45% |

CBT | TN - ULTRA 10-YEAR U S TREASURY NOTE FUT | 1 | A | All dates | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 2 | B | 11/2020 | 07/2021 | 45% |

CBT | TN - ULTRA 10-YEAR U S TREASURY NOTE FUT | 1 | A | All dates | ||||

CBT | INTEREST RATES | 21 - 10Y TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 45% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | 21 - 10Y TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 45% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | 21 - 10Y TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 45% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | 25 - 5 YR TREASURY NOTE FUTURES | Delta | 3 | B | All dates | 45% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2018 | 12/2018 | 45% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 09/2020 | 09/2020 | |||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 10/2020 | 06/2021 | 45% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 10/2020 | 06/2021 | 45% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 07/2020 | 09/2020 | 45% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 10/2020 | 06/2021 | 45% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 07/2020 | 09/2020 | 45% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 08/2020 | 08/2020 | 45% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2024 | 12/2029 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 08/2020 | 08/2020 | 45% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2022 | 03/2023 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 08/2020 | 08/2020 | 45% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2023 | 03/2024 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 07/2020 | 09/2020 | 45% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2018 | 06/2018 | 45% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 11/2020 | 07/2021 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 07/2020 | 07/2020 | 45% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2021 | 03/2022 | ||||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2017 | 12/2017 | 45% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 10/2020 | 10/2020 | |||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 07/2020 | 09/2020 | 45% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 09/2020 | 10/2020 | 85% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 11/2020 | 01/2021 | 85% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 02/2021 | 06/2021 | 85% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 09/2020 | 10/2020 | 85% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LIY - 10-YEAR ERIS SWAP FUTURES | Delta | 1 | B | 12/2019 | 03/2021 | 40% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 11/2020 | 07/2021 | |||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2029 | 06/2030 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2027 | 06/2028 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2026 | 06/2027 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2028 | 06/2029 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2029 | 06/2030 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2026 | 06/2027 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2028 | 06/2029 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2027 | 06/2028 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2025 | 06/2026 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2029 | 06/2030 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2028 | 06/2029 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2027 | 06/2028 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2026 | 06/2027 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2025 | 06/2026 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2024 | 06/2025 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2025 | 06/2026 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2024 | 06/2025 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2024 | 06/2025 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2023 | 06/2024 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2023 | 06/2024 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2021 | 06/2022 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2022 | 06/2023 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2023 | 06/2024 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2022 | 06/2023 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2021 | 06/2022 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2022 | 06/2023 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2021 | 06/2022 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | ||||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2018 | 12/2018 | 40% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 40% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2018 | 06/2018 | 40% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 08/2020 | 08/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 09/2020 | 09/2020 | 40% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2020 | 06/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 10/2020 | 06/2021 | 40% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 11/2020 | 07/2021 | 40% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2020 | 06/2020 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 10/2020 | 10/2020 | 40% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2020 | 06/2020 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 07/2020 | 07/2020 | 40% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2023 | 03/2024 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 07/2020 | 07/2020 | 40% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2022 | 03/2023 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 07/2020 | 07/2020 | 40% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2024 | 12/2029 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 08/2020 | 08/2020 | 40% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 06/2020 | 06/2020 | ||||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2017 | 12/2017 | 40% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2017 | 12/2017 | 40% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2017 | 06/2017 | 40% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2017 | 06/2017 | 40% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 08/2020 | 08/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 8 | B | 09/2020 | 09/2020 | 35% |

CBT | UBE - LONG TERM U.S. TREASURY BOND FUTURE | 1 | A | All dates | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 8 | B | All dates | 35% | |

CBT | UBE - LONG TERM U.S. TREASURY BOND FUTURE | 1 | A | All dates | ||||

CBT | INTEREST RATES | LIY - 10-YEAR ERIS SWAP FUTURES | Delta | 1 | B | 12/2019 | 03/2021 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LIW - 5-YEAR ERIS SWAP FUTURES | Delta | 5 | B | 09/2020 | 12/2020 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 4 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LIW - 5-YEAR ERIS SWAP FUTURES | Delta | 5 | B | 09/2020 | 12/2020 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 4 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | LIW - 5-YEAR ERIS SWAP FUTURES | Delta | 5 | B | 03/2021 | 03/2021 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 4 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LIW - 5-YEAR ERIS SWAP FUTURES | Delta | 5 | B | 03/2021 | 03/2021 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 4 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2019 | 12/2019 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 09/2019 | 12/2019 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2019 | 06/2019 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LIT - 2-YEAR ERIS SWAP FUTURE | Delta | 2 | B | 09/2020 | 03/2021 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2019 | 06/2019 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LIT - 2-YEAR ERIS SWAP FUTURE | Delta | 2 | B | 09/2020 | 03/2021 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LIT - 2-YEAR ERIS SWAP FUTURE | Delta | 2 | B | 09/2020 | 03/2021 | 35% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LIY - 10-YEAR ERIS SWAP FUTURES | Delta | 1 | B | 12/2019 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LIY - 10-YEAR ERIS SWAP FUTURES | Delta | 1 | B | 12/2019 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 2 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LIB - 7-YEAR ERIS SWAP FUTURES | Delta | 2 | B | 03/2019 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LIB - 7-YEAR ERIS SWAP FUTURES | Delta | 2 | B | 03/2019 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LIB - 7-YEAR ERIS SWAP FUTURES | Delta | 2 | B | 03/2019 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | LIB - 7-YEAR ERIS SWAP FUTURES | Delta | 2 | B | 03/2019 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LIW - 5-YEAR ERIS SWAP FUTURES | Delta | 5 | B | 09/2020 | 12/2020 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 4 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LIW - 5-YEAR ERIS SWAP FUTURES | Delta | 5 | B | 03/2021 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 4 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LIW - 5-YEAR ERIS SWAP FUTURES | Delta | 5 | B | 09/2020 | 12/2020 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 4 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LIW - 5-YEAR ERIS SWAP FUTURES | Delta | 5 | B | 03/2021 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 4 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | B | 03/2020 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | B | 03/2020 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LIC - 3-YEAR ERIS SWAP FUTURES | Delta | 4 | B | 03/2021 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | B | 03/2020 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | LIC - 3-YEAR ERIS SWAP FUTURES | Delta | 4 | B | 03/2021 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | LIC - 3-YEAR ERIS SWAP FUTURES | Delta | 4 | B | 03/2021 | 03/2021 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 08/2020 | 08/2020 | |||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2028 | 06/2029 | 30% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2026 | 06/2027 | 30% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2027 | 06/2028 | 30% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2029 | 06/2030 | 30% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2025 | 06/2026 | 30% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2024 | 06/2025 | 30% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2023 | 06/2024 | 30% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2021 | 06/2022 | 30% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CME | INTEREST RATES | ED - EURODOLLAR FUTURES | Delta | 5 | B | 09/2022 | 06/2023 | 30% |

SR1 - ONE-MONTH SOFR FUTURES | 3 | A | 07/2020 | 07/2020 | ||||

CBT | INTEREST RATES | LID - 4-YEAR ERIS SWAP FUTURES | Delta | 1 | A | 03/2017 | 06/2017 | 30% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | B | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2021 | 06/2023 | 80% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 07/2021 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 11/2020 | 01/2021 | 80% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 09/2020 | 10/2020 | 80% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 07/2021 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 10/2020 | 10/2020 | 80% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 09/2020 | 09/2020 | ||||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 11/2020 | 01/2021 | 75% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 02/2021 | 06/2021 | 75% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 09/2020 | 10/2020 | 75% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2020 | 08/2020 | 75% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 09/2020 | 09/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 09/2020 | 09/2020 | 75% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 09/2020 | 09/2020 | ||||

CBT | INTEREST RATES | 41 - 30 DAY FED FUND FUTURES | Delta | 1 | B | 07/2020 | 08/2020 | 75% |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 11/2020 | 07/2021 | 75% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 09/2020 | 09/2020 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 11/2020 | 07/2021 | 75% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 12/2020 | 03/2021 | ||||

CME | INTEREST RATES | SR1 - ONE-MONTH SOFR FUTURES | Delta | 3 | A | 10/2020 | 10/2020 | 75% |

SR3 - THREE-MONTH SOFR FUTURES | 5 | B | 12/2020 | 03/2021 |