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Bond portfolio management, duration analytics, and sector allocation
Total Positions
$2.8B
Duration
5.4Y
DV01
$1.24M
Spread Duration
4.2Y
| Issuer | Coupon | Maturity | YTM | Spread | Notional | P&L |
|---|---|---|---|---|---|---|
| US Treasury 10Y | 4.28% | Feb 2035 | 4.28% | -- | $500M | +$85K |
| US Treasury 2Y | 4.62% | Feb 2028 | 4.62% | -- | $350M | +$42K |
| Apple 3.75% 2028 | 3.75% | Nov 2028 | 4.37% | 62bp | $150M | +$42K |
| MSFT 4.0% 2029 | 4.00% | Mar 2029 | 4.55% | 55bp | $120M | +$28K |
| FHLMC 5.5% MBS | 5.50% | Jul 2054 | 5.82% | CPR 8.2% | $320M | -$15K |
| JPM 4.25% 2030 | 4.25% | Jun 2030 | 4.97% | 72bp | $180M | +$18K |
| Goldman 3.5% 2027 | 3.50% | Sep 2027 | 4.08% | 58bp | $90M | +$12K |
| Verizon 4.125% 2031 | 4.125% | May 2031 | 5.075% | 95bp | $60M | -$8K |