Annual disclosure statement data file,,,,,Notes Name of KiwiSaver scheme,Fisher Funds TWO KiwiSaver Scheme,,,, Name of KiwiSaver fund,Fisher Funds TWO KiwiSaver Scheme Balanced Fund,,,, Period to which disclosure statement relates,31/03/2016,,,, Description of the fund and its investment objectives,"A diversified fund that provides exposure to a range of growth assets (property and trans Tasman and international shares) and income assets (fixed interest and cash). At our discretion, the Balanced Fund may also invest in alternative assets and/or derivatives. The objective of the fund is to achieve moderate long term capital growth with a focus on capital protection.",,,, Total value of the fund,"508,882,963",,,, Number of members in the fund,29329,,,, Date the fund started,1/10/2007,,,, ,,,,, Information about returns [refer r16],,,,, ,Past five years,Past year,,, Annual return (after fund fees and tax at the highest PIR) ,6.22%,4.13%,,, Annual return (after fund fees and tax at 0% PIR),7.23%,4.40%,,, ,,,,, Information about past returns [refer r17],,,,, ,Disclosure year,Annual return (after fund fees and tax at the highest PIR) ,,, Annual compound return since the fund started,,4.46%,,, Return for latest complete disclosure year,31/03/2016,4.13%,,, Return for next latest complete disclosure year,31/03/2015,9.38%,,, Return for next latest complete disclosure year,31/03/2014,7.29%,,, Return for next latest complete disclosure year,31/03/2013,10.39%,,, Return for next latest complete disclosure year,31/03/2012,0.45%,,, Return for next latest complete disclosure year,31/03/2011,4.71%,,, Return for next latest complete disclosure year,31/03/2010,20.18%,,, Return for next latest complete disclosure year,31/03/2009,-12.76%,,, Return for next latest complete disclosure year,[specify disclosure year],[specify],,, Return for next latest complete disclosure year,[specify disclosure year],[specify],,, ,,,,, Information about fees [refer r25],,,,, ,% of members' interests,,,, Total fund fees,1.07%,,,,Further details of the fees charged can be found in the Investment Statement at http://www.ff2kiwisaver.co.nz/assets/Documents/Fisher-Funds-TWO-KiwiSaver-Scheme-Investment-Statement.pdf Annual management fee,0.88%,,,,"The weighted average management fee for the Fisher Funds TWO KiwiSaver Balanced Fund as at 31 March 2016 was 0.88% p.a. based on a tiered management calculation where the management fee charged on funds under management up to $100,000,000 is 0.95%, the management fee on funds under management over $100,000,000 and under $200,000,000 is 0.90%, and the fee on funds under management over $200,000,000 is 0.85%. This fee is calculated daily." Performance-based fees,0.00%,,,, Other fees and costs,0.19%,,,, ,,,,, Membership fees,28.32,,,, ,,,,, Synthetic total expense ratio,1.22%,,,, ,,,,, Actual investment mix [refer r29],,,,, ,% of pie graph,,,, Cash and cash equivalents,12.00%,,,, New Zealand fixed interest,24.15%,,,, International fixed interest,12.34%,,,, Australasian equities,18.20%,,,, International equities,23.58%,,,, Listed property,0.00%,,,, Unlisted property,9.73%,,,, Unknown,0.00%,,,, Other,0.00%,,,, ,,,,, Target investment mix [refer r29],,,,, Cash and cash equivalents,17.00%,,,, New Zealand fixed interest,10.00%,,,, International fixed interest,16.00%,,,, Australasian equities,19.00%,,,, International equities,28.00%,,,, Listed property,0.00%,,,, Unlisted property,10.00%,,,, Unknown,0.00%,,,, Other,0.00%,,,, ,,,,, Top 10 investments [refer r27],,,,, Name,Percentage of fund net assets,Type,Country,Credit rating (if applicable), Bayfair Mall,6.85%,Unlisted property,New Zealand,, Cash Deposit (ANZ Bank),4.77%,Cash and cash equivalents,New Zealand,, NZGS 15/03/19 5.00%,2.03%,New Zealand fixed interest,New Zealand,AA+, NZGS 15/04/23 5.50%,1.90%,New Zealand fixed interest,New Zealand,AA+, NZGS 15/04/20 3.00%,1.90%,New Zealand fixed interest,New Zealand,AA+, NZGS 15/05/21 6.00%,1.74%,New Zealand fixed interest,New Zealand,AA+, F & P Healthcare Crp ,1.31%,Australasian equities,New Zealand,, ASB 03/18 FRN,1.21%,New Zealand fixed interest,New Zealand,AA-, Auck Int Airport Ltd ,1.15%,Australasian equities,New Zealand,, Spark NZ Limited ,1.10%,Australasian equities,New Zealand,, Total value of 10 highest value assets as a percentage of fund net assets,23.96%,,,, ,,,,, "Liquidity and debt ratios [refer r32,33]",,,,, Liquidity ratio,81.32%,,,, Debt ratio,0.38%,,,, ,,,,, Key personnel [refer r35],,,,, Name,Current position,Time in current position,Previous or other position,Time in previous or other position, Mark Brighouse,Chief Investment Officer ,"4 Years, 5 Months","Managing Director, Brook Asset Management",5 years, Murray Brown,"Senior Portfolio Manager, NZ Equities","8 Years, 1 Months","Director, Research, First NZ Capital",10 years, Frank Jasper,Director,"11 Years, 0 Months","Equity Strategist, ABN Amro Craigs",4 years, David McLeish,"Senior Portfolio Manager, Fixed Interest","5 Years, 0 Months","Executive Director, Goldman Sachs International, London",3 years, Brent Buchanan,Head of Property,"7 Years, 10 Months","Portfolio Manager, Commercial & Industrial, AMP Capital Management",8 years, ,,,,, Additional information about individual assets [refer 28],,,,, Name of the asset,% of fund net assets,Code (if applicable),,, Bayfair Mall,6.85%,Bayfair Mall,,, Cash Deposit (ANZ Bank),4.77%,ANZ 10 A/C - Current Accounts,,, NZGS 15/03/19 5.00%,2.03%,NZGOVDT319C0,,, NZGS 15/04/23 5.50%,1.90%,NZGOVDT423C0,,, NZGS 15/04/20 3.00%,1.90%,NZGOVDT420C6,,, NZGS 15/05/21 6.00%,1.74%,NZGOVD0521C2,,, F & P Healthcare Crp ,1.31%,NZFAPE0001S2,,, ASB 03/18 FRN,1.21%,NZABBDT033C2,,, Auck Int Airport Ltd ,1.15%,NZAIAE0002S6,,, Spark NZ Limited ,1.10%,NZTELE0001S4,,, Westpac 03/18/FRN,1.09%,NZWNZD0318L4,,, NZGS 15/04/27 4.50%,1.05%,NZGOVDT427C1,,, "State Street Bank and Trust Co., N.A., New York (USD)",1.01%,"State Street Bank and Trust Co., N.A., New York (USD)",,, Akl Int Air 4/17 FRN,0.97%,NZAIADT317L4,,, Ryman Healthcare ,0.96%,NZRYME0001S4,,, Rabobank 05/16 FRN,0.95%,NZRABDT013C6,,, Fletcher Building ,0.94%,NZFBUE0001S0,,, Westpac 10/17 FRN,0.92%,NZWNZD1017L1,,, Fonterra FRN 24/X/17,0.90%,NZFCGDT286C5,,, Westpac Banking Corporation Current Account,0.76%,Westpac Banking Corporation Current Account,,, Westpac 07/17 FRN,0.75%,NZWNZD0717L7,,, Rabobank 05/17 5.38%,0.74%,NZRABDT012C8,,, Meridian Energy Ltd ,0.74%,NZMELE0002S7,,, Merivale Mall,0.73%,Merivale Mall,,, JAPAN TREASURY DISC BILL #587,0.72%,JP1745871G20,,, Contact Energy Ltd ,0.68%,NZCENE0001S6,,, ASB 08/18 FRN,0.68%,NZABBDT027C4,,, Infratil Limited ,0.67%,NZIFTE0003S3,,, Kiwibank 11/17 FRN,0.62%,NZKIWD1117L1,,, Mainfreight Limited ,0.60%,NZMFTE0001S9,,, Kiwibank 04/17 FRN,0.56%,NZKIWD0417L6,,, ANZ Bank 03/19 FRN,0.54%,NZANBDT015C5,,, TOWER Centre,0.52%,TOWER Centre,,, ANZ 08/03/17 FRN,0.51%,NZANBDG022C6,,, EBOS Group Ltd ,0.48%,NZEBOE0001S6,,, APPLE INC,0.47%,US0378331005,,, Freightways Ltd ,0.47%,NZFREE0001S0,,, Summerset Group Ltd ,0.47%,NZSUME0001S0,,, Kiwibank Deposit A/C - Deposit Accounts 26/07/2016,0.46%,Kiwibank Deposit A/C - Deposit Accounts 26/07/2016,,, Port of Tauranga ,0.46%,NZPOTE0001S4,,, Goodman Fielder,0.45%,Goodman Fielder,,, ASB Bank 03/19 FRN,0.43%,NZABBDT035C7,,, BNZ Bank Deposit A/C - Deposit Accounts 27/05/2016,0.42%,BNZ Bank Deposit A/C - Deposit Accounts 27/05/2016,,, BNZ Bank Deposit A/C - Deposit Accounts 27/07/2016,0.42%,BNZ Bank Deposit A/C - Deposit Accounts 27/07/2016,,, Sky City Entertainmt ,0.42%,NZSKCE0001S2,,, Akl Int A 10/18 FRN,0.41%,NZAIAD1018L8,,, URS Centre,0.41%,URS Centre,,, Trade Me Group ,0.40%,NZTMEE0003S8,,, BNZ 15/07/16 5.73%,0.39%,NZBNZDT335C8,,, JAPAN TREASURY DISC BILL #593,0.37%,JP1745931G36,,, Mighty River Power ,0.36%,NZMRPE0001S2,,, Ramsay Health Care ,0.35%,AU000000RHC8,,, Kiwi Property Group ,0.35%,NZKPGE0001S9,,, NZGS 14/04/33 3.50%,0.35%,NZGOVDT433C9,,, BNZ 28/03/2018 FRN,0.35%,NZBNZDT365C5,,, CASH ACCOUNT (GBP),0.34%,CASH ACCOUNT (GBP),,, Trnpwr 11/18 5.14%,0.31%,NZ519D1118L9,,, MICROSOFT CORP,0.30%,US5949181045,,, ANZ 01/12/17 FRN,0.30%,NZANBDG026C7,,, Transpower House,0.29%,Transpower House,,, Port Tau 02/21 4.792,0.28%,NZPOTD0121L7,,, ANZ Bank Deposit A/C - Deposit Accounts 26/05/2016,0.28%,ANZ Bank Deposit A/C - Deposit Accounts 26/05/2016,,, Goodman Property Tst ,0.27%,NZCPTE0001S9,,, ASB 08/06/17 6.06%,0.26%,NZABBDT024C1,,, DANISH KRONER,0.26%,,,, Sky Network TV Ltd ,0.26%,NZSKTE0001S6,,, Dominos Pizza Enterp ,0.25%,AU000000DMP0,,, Akl CC 29/09/17 6.52,0.25%,NZMCC050D5L1,,, CSL Limited ,0.25%,AU000000CSL8,,, Restaurant Brands NZ ,0.25%,NZRBDE0001S1,,, Flight Centre ,0.24%,AU000000FLT9,,, BUY NZD:SELL USD NZD 23/06/2016,0.24%,BUY NZD:SELL USD NZD 23/06/2016,,, Brambles Limited ,0.23%,AU000000BXB1,,, EXXON MOBIL CORP,0.23%,US30231G1022,,, Seek Limited ,0.23%,AU000000SEK6,,, Burson Group Limited ,0.23%,AU000000BAP9,,, Ansell Limited ,0.23%,AU000000ANN9,,, Kiwibank Deposit A/C - Deposit Accounts 24/06/2016,0.22%,Kiwibank Deposit A/C - Deposit Accounts 24/06/2016,,, Sonic Healthcare Ltd ,0.22%,AU000000SHL7,,, Henderson Group PLC ,0.22%,AU000000HGG2,,, Westfield Place,0.22%,Westfield Place,,, Resmed Inc ,0.22%,AU000000RMD6,,, Technology One Ltd ,0.22%,AU000000TNE8,,, WBC 20/09/18 5.545%,0.22%,NZWNZD0918L1,,, GENERAL ELECTRIC CO W/D,0.22%,US3696041033,,, Trnpwr 06/22 4.30%,0.22%,NZTRPD0030L3,,, ASB 18/07/18 5.06%,0.22%,NZABBDT026C6,,, Timaru DC 04/20 4.76,0.21%,NZTDCDT016C3,,, Westpac Banking Corp ,0.21%,AU000000WBC1,,, FED HOME LN BK DISC NT,0.21%,US313384WM76,,, U S TREASURY NOTE,0.21%,US912828VS66,,, National Aust Bank ,0.21%,AU000000NAB4,,, "Deutsche Bank AG Global Corporate and Financial Institutions (EUR)",0.21%,"Deutsche Bank AG Global Corporate and Financial Institutions (EUR)",,, ANZ Bank Deposit A/C - Deposit Accounts 24/05/2016,0.21%,ANZ Bank Deposit A/C - Deposit Accounts 24/05/2016,,, Coca-Cola Amatil ,0.21%,AU000000CCL2,,, Tox Free Solutions ,0.21%,AU000000TOX6,,, Toyota 11/18 4.405%,0.20%,NZTFSDT498C3,,, MYOB Limited ,0.20%,AU000000MYO9,,, MTF Valnt Cl A 07/22,0.20%,NZVTMTFAT019,,, NESTLE SA REG,0.20%,CH0038863350,,, BNZ Bank Deposit A/C - Deposit Accounts 13/04/2016,0.20%,BNZ Bank Deposit A/C - Deposit Accounts 13/04/2016,,, Ingenia Comm Group ,0.20%,AU000000INA9,,, Medibank Private Ltd ,0.19%,AU000000MPL3,,, Carsales.com Ltd ,0.19%,AU000000CAR3,,, ALPHABET INC CL C,0.19%,US02079K1079,,, Port Tau 10/19 5.865,0.19%,NZPOTD1019L2,,, U S TREASURY INFLATE PROT BD,0.19%,US912828H458,,, CSG Limited ,0.19%,AU000000CSV7,,, AMAZON.COM INC,0.18%,US0231351067,,, Nanosonics Limited ,0.18%,AU000000NAN9,,, "Bank of Tokyo-Mitsubishi UFJ, Ltd. (JPY)",0.18%,"Bank of Tokyo-Mitsubishi UFJ, Ltd. (JPY)",,, GMT Bond 06/22 5.00%,0.17%,NZGMBDT003C6,,, Metro Performance Gl ,0.17%,NZMPGE0001S5,,, JPMORGAN CHASE + CO,0.17%,US46625H1005,,, JOHNSON + JOHNSON,0.17%,US4781601046,,, ALPHABET INC CL A,0.17%,US02079K3059,,, Spark 03/22 4.50%,0.17%,NZSPFD0322L1,,, U S TREASURY INFLATE PROT BD,0.17%,US912810FR42,,, AUB Group Limited ,0.16%,AU000000AUB9,,, ROCHE HOLDING AG GENUSSCHEIN,0.16%,CH0012032048,,, WELLS FARGO + CO,0.16%,US9497461015,,, CitiBank AUD Fishers - Current Accounts,0.16%,CitiBank AUD Fishers - Current Accounts,,, NOVARTIS AG REG,0.16%,CH0012005267,,, Kiwibk 05/20 4.6475%,0.16%,NZKIWD0520L7,,, FACEBOOK INC A,0.16%,US30303M1027,,, HOME DEPOT INC,0.15%,US4370761029,,, Vista Group Intl Ltd ,0.14%,NZVGLE0001S5,,, CHEVRON CORP,0.14%,US1667641005,,, Allied Pickfords,0.14%,Allied Pickfords,,, PFIZER INC,0.14%,US7170811035,,, WALT DISNEY CO/THE,0.14%,US2546871060,,, PROCTER + GAMBLE CO/THE,0.14%,US7427181091,,, AT+T INC,0.14%,US00206R1023,,, ANZ 18/04/18 5.28%,0.14%,NZANBD0006S7,,, Otp Bank Plc,0.13%,HU0000061726,,, Credit Corp Group ,0.13%,AU000000CCP3,,, Stride Property Ltd ,0.13%,NZDNZE0001S9,,, US Dollar Curr Fwd (USD) 29-APR-16,0.13%,US Dollar Curr Fwd (USD) 29-APR-16,,, "State Street Bank and Trust Company, London Branch (GBP)",0.13%,"State Street Bank and Trust Company, London Branch (GBP)",,, BANK OF AMERICA CORP,0.13%,US0605051046,,, COCA COLA CO/THE,0.13%,US1912161007,,, BNZ 17/12/25 5.314%,0.13%,NZBNZDT383C8,,, TOYOTA MOTOR CORP,0.13%,JP3633400001,,, VISA INC CLASS A SHARES,0.13%,US92826C8394,,, INTEL CORP,0.13%,US4581401001,,, CISCO SYSTEMS INC,0.13%,US17275R1023,,, Rabobank 06/20 4.592,0.13%,NZRABDT014C4,,, VERIZON COMMUNICATIONS INC,0.12%,US92343V1044,,, Link Administration ,0.12%,AU000000LNK2,,, Regis Healthcare Ltd ,0.12%,AU000000REG6,,, GILEAD SCIENCES INC,0.12%,US3755581036,,, JB #330 0.8000% 09-20-23,0.12%,JP1103301D90,,, Papanui Road,0.12%,Papanui Road,,, MERCK + CO. INC.,0.12%,US58933Y1055,,, HENRY SCHEIN INC,0.12%,US8064071025,,, BAYER AG REG,0.11%,DE000BAY0017,,, COMCAST CORP CLASS A,0.11%,US20030N1019,,, CITIGROUP INC,0.11%,US1729674242,,, Samsung Fire and Marine INS,0.11%,"KR7000810002 ",,, INTL BUSINESS MACHINES CORP,0.11%,US4592001014,,, ORACLE CORP,0.11%,US68389X1054,,, Akl IA 09/11/22 4.28,0.11%,NZAIADT200L2,,, ALLERGAN PLC,0.11%,IE00BY9D5467,,, JS # 114 0.3000% 09-20-18,0.11%,JP1051141D95,,, Ooh!Media Limited ,0.11%,AU000000OML6,,, IRS USD REC Float 0.63955% 03-16-23,0.10%,IRS USD REC Float 0.63955% 03-16-23,,, AMGEN INC,0.10%,US0311621009,,, MCDONALD S CORP,0.10%,US5801351017,,, NOVO NORDISK A/S B,0.10%,DK0060534915,,, BANK OF NOVA SCOTIA,0.10%,CA0641491075,,, UNITEDHEALTH GROUP INC,0.10%,US91324P1021,,, AMERICAN WATER WORKS CO INC,0.10%,US0304201033,,, MEDTRONIC PLC,0.10%,IE00BTN1Y115,,, TOTAL SA,0.10%,FR0000120271,,, Turk Telekom,0.10%,TRETTLK00013,,, ANHEUSER BUSCH INBEV SA/NV,0.10%,BE0003793107,,, TORONTO DOMINION BANK,0.10%,CA8911605092,,, JL # 106 2.2000% 09-20-28,0.10%,JP12010618A8,,, PEPSICO INC,0.10%,US7134481081,,, Contact 05/18 4.80%,0.10%,NZCEND0518L6,,, U S TREASURY BILLS,0.09%,US912796GH66,,, STARBUCKS CORP,0.09%,US8552441094,,, MASTERCARD INC CLASS A,0.09%,US57636Q1040,,, PAYPAL HOLDINGS INC,0.09%,US70450Y1038,,, Sanlam Ltd,0.09%,ZAE000070660,,, GLAXOSMITHKLINE PLC,0.09%,GB0009252882,,, APN Outdoor Grp Ltd ,0.09%,AU000000APO2,,, Samsung Electronics Co.,0.09%,KR7005930003,,, BRISTOL MYERS SQUIBB CO,0.09%,US1101221083,,, UNILEVER NV CVA,0.09%,NL0000009355,,, CVS HEALTH CORP,0.09%,US1266501006,,, IRS ZAR REC Float 0.0000% 03-15-18,0.09%,IRS ZAR REC Float 0.0000% 03-15-18,,, CONOCOPHILLIPS,0.09%,US20825C1045,,, EVERSOURCE ENERGY,0.09%,US30040W1080,,, HSBC HOLDINGS PLC,0.09%,GB0005405286,,, QUALCOMM INC,0.09%,US7475251036,,, JX #30 2.3000% 03-20-39,0.09%,JP1300301940,,, BANCO SANTANDER SA,0.09%,ES0113900J37,,, CELGENE CORP,0.09%,US1510201049,,, BERKSHIRE HATHAWAY INC CL B,0.09%,US0846707026,,, BHP BILLITON PLC,0.08%,GB0000566504,,, COMMONWEALTH BANK OF AUSTRAL,0.08%,AU000000CBA7,,, HCL Technologies,0.08%,INE860A01027,,, ROYAL BANK OF CANADA,0.08%,CA7800871021,,, ANZ Bank Deposit A/C - Deposit Accounts 22/04/2016,0.08%,ANZ Bank Deposit A/C - Deposit Accounts 22/04/2016,,, NIKE INC CL B,0.08%,US6541061031,,, US Treasury N/B 0.7500% 12-31-17,0.08%,US912828UE89,,, ABBVIE INC,0.08%,US00287Y1091,,, TOTAL FFX Other,0.08%,TOTAL FFX Other,,, Trnpwr 02/17 6.595%,0.08%,NZ519D0217L0,,, BP PLC,0.08%,GB0007980591,,, SANOFI,0.08%,FR0000120578,,, VODAFONE GROUP PLC,0.08%,GB00BH4HKS39,,, DAIMLER AG REGISTERED SHARES,0.08%,DE0007100000,,, Metro Bank,0.08%,PHY6028G1361,,, LOWE S COS INC,0.08%,US5486611073,,, MITSUBISHI CORP,0.08%,JP3898400001,,, ELI LILLY + CO,0.08%,US5324571083,,, PRICELINE GROUP INC/THE,0.08%,US7415034039,,, US Dollar On-Hand,0.08%,US Dollar On-Hand,,, CATERPILLAR INC,0.08%,US1491231015,,, SK Hynix Inc,0.08%,KR7000660001,,, Spain Kingdom SRg144 1.9500% 04-30-26,0.08%,ES00000127Z9,,, MARSH + MCLENNAN COS,0.08%,US5717481023,,, MITSUBISHI UFJ FINANCIAL GRO,0.08%,JP3902900004,,, CAN IMPERIAL BK OF COMMERCE,0.08%,CA1360691010,,, ANZ 11/05/20 4.48%,0.08%,NZANBDG027C5,,, BASF SE,0.08%,DE000BASF111,,, THERMO FISHER SCIENTIFIC INC,0.08%,US8835561023,,, ALLIANZ SE REG,0.08%,DE0008404005,,, Rabobank 8/10/37 FRN,0.08%,NZRBOD0001S0,,, SCHLUMBERGER LTD,0.08%,AN8068571086,,, DANAHER CORP W/D,0.08%,US2358511028,,, AIA GROUP LTD,0.08%,HK0000069689,,, TEXAS INSTRUMENTS INC,0.08%,US8825081040,,, Italy BTPS    SRg144 4.7500% 09-01-44,0.08%,IT0004923998,,, CMS ENERGY CORP,0.08%,US1258961002,,, Powszechny Zaklad ubezpiecze,0.07%,PLPZU0000011,,, EMC CORP/MA,0.07%,US2686481027,,, XCEL ENERGY INC,0.07%,US98389B1008,,, UNILEVER PLC,0.07%,GB00B10RZP78,,, Porto Seguro Sa,0.07%,BRPSSAACNOR7,,, BOEING CO/THE,0.07%,US0970231058,,, AMERICAN INTERNATIONAL GROUP,0.07%,US0268747849,,, AUST AND NZ BANKING GROUP,0.07%,AU000000ANZ3,,, ABBOTT LABORATORIES,0.07%,US0028241000,,, CANADIAN NATL RAILWAY CO,0.07%,CA1363751027,,, SIEMENS AG REG,0.07%,DE0007236101,,, HONDA MOTOR CO LTD,0.07%,JP3854600008,,, BHP BILLITON LIMITED,0.07%,AU000000BHP4,,, FORTIS INC,0.07%,CA3495531079,,, KYUSHU FINANCIAL GROUP INC,0.07%,JP3246500007,,, ROYAL DUTCH SHELL PLC A SHS,0.07%,GB00B03MLX29,,, HONEYWELL INTERNATIONAL INC,0.07%,US4385161066,,, DIAGEO PLC,0.07%,GB0002374006,,, SABMILLER PLC,0.07%,GB0004835483,,, UNION PACIFIC CORP,0.07%,US9078181081,,, JX #38 1.8000% 03-20-43,0.07%,JP1300381D38,,, CHURCH + DWIGHT CO INC,0.07%,US1713401024,,, ITALIAN BTP BOND,0.07%,IT0004513641,,, DOW CHEMICAL CO W/D,0.07%,US2605431038,,, BNP PARIBAS,0.07%,FR0000131104,,, SAP SE,0.07%,DE0007164600,,, COLGATE PALMOLIVE CO,0.07%,US1941621039,,, UK Gilt         RgSS 4.7500% 12-07-30,0.07%,GB00B24FF097,,, GOLDMAN SACHS GROUP INC,0.07%,US38141G1040,,, Wipro Ltd,0.07%,INE075A01022,,, WESTFIELD CORP,0.07%,AU000000WFD0,,, PRUDENTIAL FINANCIAL INC,0.07%,US7443201022,,, DEUTSCHE TELEKOM AG REG,0.07%,DE0005557508,,, AMETEK INC,0.07%,US0311001004,,, Aboitiz Power Corp,0.07%,PHY0005M1090,,, COSTCO WHOLESALE CORP,0.07%,US22160K1051,,, WALGREENS BOOTS ALLIANCE INC,0.07%,US9314271084,,, Meridian 03/23 4.53%,0.07%,NZMELDT016C8,,, Pou Chen,0.07%,TW0009904003,,, Axis Bank Ltd,0.07%,INE238A01026,,, BNZ 18/06/20 4.426%,0.06%,NZBNZDT380C4,,, UBS GROUP AG REG,0.06%,CH0244767585,,, ONTARIO (PROVINCE OF) BD (1500MM),0.06%,CA68323AAW41,,, OCCIDENTAL PETROLEUM CORP,0.06%,US6745991058,,, COLUMBIA PIPELINE GROUP,0.06%,US1982801094,,, RECKITT BENCKISER GROUP PLC,0.06%,GB00B24CGK77,,, WAL MART STORES INC,0.06%,US9311421039,,, WPP PLC,0.06%,JE00B8KF9B49,,, BIOGEN INC,0.06%,US09062X1037,,, ING GROEP NV CVA,0.06%,NL0000303600,,, MONDELEZ INTERNATIONAL INC A,0.06%,US6092071058,,, State Street Bank and Trust Company International Deposit Services (CAD),0.06%,State Street Bank and Trust Company International Deposit Services (CAD),,, NYKREDIT REALKREDIT AS,0.06%,DK0009500688,,, MARATHON OIL CORP,0.06%,US5658491064,,, EXPRESS SCRIPTS HOLDING CO,0.06%,US30219G1085,,, BROADCOM LTD,0.06%,SG9999014823,,, ASTRAZENECA PLC,0.06%,GB0009895292,,, NATIONAL GRID PLC,0.06%,GB00B08SNH34,,, AMPHENOL CORP CL A,0.06%,US0320951017,,, LVMH MOET HENNESSY LOUIS VUI,0.06%,FR0000121014,,, RIO TINTO PLC,0.06%,GB0007188757,,, 3M CO,0.06%,US88579Y1010,,, AMERICAN EXPRESS CO,0.06%,US0258161092,,, US BANCORP,0.06%,US9029733048,,, U S TREASURY BOND,0.06%,US912810QU51,,, SIMON PROPERTY GROUP INC,0.06%,US8288061091,,, Aksa Akrilik Kimya Sanayii,0.06%,TRAAKSAW91E1,,, Ontario Province 3.5000% 06-02-24,0.06%,CA68323ACG72,,, Skandinaviska Enskilda Banken (SEK),0.06%,Skandinaviska Enskilda Banken (SEK),,, DU PONT (E.I.) DE NEMOURS,0.06%,US2635341090,,, ACCENTURE PLC CL A,0.06%,IE00B4BNMY34,,, DOVER CORP,0.06%,US2600031080,,, COMPAGNIE DE SAINT GOBAIN,0.06%,FR0000125007,,, BARCLAYS BANK PLC - CONTINGENT CAPITAL,0.06%,US06740L8C27,,, TJX COMPANIES INC,0.06%,US8725401090,,, UK GILT 4.25 12/07/2040 BD,0.06%,GB00B6460505,,, SALESFORCE.COM INC,0.06%,US79466L3024,,, SUNCOR ENERGY INC,0.06%,CA8672241079,,, NTT DOCOMO INC,0.06%,JP3165650007,,, ATLAS COPCO AB A SHS,0.06%,SE0006886750,,, SLOVENIA GOVT REGS,0.06%,XS0982709221,,, ANALOG DEVICES INC,0.06%,US0326541051,,, ADOBE SYSTEMS INC,0.06%,US00724F1012,,, DELPHI AUTOMOTIVE PLC,0.06%,JE00B783TY65,,, NEXTERA ENERGY INC,0.06%,US65339F1012,,, EATON CORP PLC,0.06%,IE00B8KQN827,,, BROOKFIELD ASSET MANAGE CL A,0.06%,CA1125851040,,, ITALIAN BTP BOND,0.06%,IT0005001547,,, GE Cap Intl Fdg RgSS 0.9640% 04-15-16,0.06%,US36164PFE51,,, PARKER HANNIFIN CORP,0.06%,US7010941042,,, COCA COLA ENTERPRISES,0.06%,US19122T1097,,, UNIBAIL RODAMCO SE,0.06%,FR0000124711,,, MIZUHO FINANCIAL GROUP INC,0.06%,JP3885780001,,, CHUBB LTD,0.06%,CH0044328745,,, UK Gilt         RgSS 2.0000% 07-22-20,0.06%,GB00BN65R198,,, INTESA SANPAOLO,0.06%,IT0000072618,,, STARWOOD HOTELS + RESORTS,0.06%,US85590A4013,,, PPL CORP,0.06%,US69351T1060,,, L OREAL,0.06%,FR0000120321,,, HEINEKEN NV,0.06%,NL0000009165,,, SANDVIK AB,0.06%,SE0000667891,,, BT GROUP PLC,0.06%,GB0030913577,,, TIME WARNER CABLE,0.06%,US88732J2078,,, CLOROX COMPANY,0.06%,US1890541097,,, JPMORGAN CHASE & CO UNSEC,0.06%,US46625HMN79,,, SCHWAB (CHARLES) CORP,0.06%,US8085131055,,, BANK OF MONTREAL,0.06%,CA0636711016,,, TOKIO MARINE HOLDINGS INC,0.06%,JP3910660004,,, Nongshim Co Ltd,0.06%,KR7072710007,,, TELEFONICA SA,0.06%,ES0178430E18,,, TOYOTA INDUSTRIES CORP,0.06%,JP3634600005,,, T ROWE PRICE GROUP INC,0.06%,US74144T1088,,, POWER CORP OF CANADA,0.06%,CA7392391016,,, FRESENIUS SE + CO KGAA,0.06%,DE0005785604,,, UNITED PARCEL SERVICE CL B,0.06%,US9113121068,,, JB #323 0.9000% 06-20-22,0.06%,JP1103231C62,,, CIE FINANCIERE RICHEMONT REG,0.05%,CH0210483332,,, AXA SA,0.05%,FR0000120628,,, UK GILT 3 1/4% 2044,0.05%,GB00B84Z9V04,,, KEYENCE CORP,0.05%,JP3236200006,,, AIR LIQUIDE SA,0.05%,FR0000120073,,, Italy BTPS    SRg144 3.5000% 03-01-30,0.05%,IT0005024234,,, PUBLIC SERVICE ENTERPRISE GP,0.05%,US7445731067,,, STRYKER CORP,0.05%,US8636671013,,, KRAFT HEINZ CO/THE,0.05%,US5007541064,,, YUM BRANDS INC,0.05%,US9884981013,,, SL GREEN REALTY CORP,0.05%,US78440X1019,,, GENERAL MILLS INC,0.05%,US3703341046,,, ENEL SPA,0.05%,IT0003128367,,, TRANSURBAN GROUP,0.05%,AU000000TCL6,,, FORD MOTOR CO,0.05%,US3453708600,,, SCENTRE GROUP,0.05%,AU000000SCG8,,, MARRIOTT INTERNATIONAL CL A,0.05%,US5719032022,,, UNITEDHEALTH GROUP INC SR UNSEC,0.05%,US91324PCP53,,, KIMBERLY CLARK CORP,0.05%,US4943681035,,, TIME WARNER INC,0.05%,US8873173038,,, MITSUI + CO LTD,0.05%,JP3893600001,,, INDUSTRIA DE DISENO TEXTIL,0.05%,ES0148396007,,, SCHNEIDER ELECTRIC SE,0.05%,FR0000121972,,, PACCAR INC,0.05%,US6937181088,,, MAGNA INTERNATIONAL INC,0.05%,CA5592224011,,, AIRBUS GROUP SE,0.05%,NL0000235190,,, NATIONAL BANK OF CANADA,0.05%,CA6330671034,,, TEVA PHARMACEUTICAL IND LTD,0.05%,IL0006290147,,, MARUBENI CORP,0.05%,JP3877600001,,, KDDI CORP,0.05%,JP3496400007,,, Italy BTPS 4.0000% 09-01-20,0.05%,IT0004594930,,, ROCKWELL AUTOMATION INC,0.05%,US7739031091,,, INTUIT INC,0.05%,US4612021034,,, ABB LTD REG,0.05%,CH0012221716,,, GREAT WEST LIFECO INC,0.05%,CA39138C1068,,, WABTEC CORP,0.05%,US9297401088,,, PRUDENTIAL PLC,0.05%,GB0007099541,,, PERNOD RICARD SA,0.05%,FR0000120693,,, BANK OF NEW YORK MELLON CORP,0.05%,US0640581007,,, GOODMAN FUNDING PTY LTD CO GTD 144A,0.05%,US38239FAA75,,, FIFTH THIRD BANCORP,0.05%,US3167731005,,, TARGET CORP,0.05%,US87612E1064,,, AMERIPRISE FINANCIAL INC,0.05%,US03076C1062,,, WEC ENERGY GROUP INC,0.05%,US92939U1060,,, MS+AD INSURANCE GROUP HOLDIN,0.05%,JP3890310000,,, DANONE,0.05%,FR0000120644,,, UNITED TECHNOLOGIES CORP,0.05%,US9130171096,,, P G + E CORP,0.05%,US69331C1080,,, LIBERTY GLOBAL PLC SERIES C,0.05%,GB00B8W67B19,,, BEIERSDORF AG,0.05%,DE0005200000,,, FANUC CORP,0.05%,JP3802400006,,, STATE STREET CORP,0.05%,US8574771031,,, AETNA INC,0.05%,US00817Y1082,,, ONTARIO (PROVINCE OF),0.05%,CA68323ADM32,,, US Treasury N/B 3.0000% 05-15-45,0.05%,US912810RM27,,, KELLOGG CO,0.05%,US4878361082,,, Kommunalbanken  144A 1.0000% 03-15-18,0.05%,US50048MAV28,,, VORNADO REALTY TRUST,0.05%,US9290421091,,, BAYERISCHE MOTOREN WERKE AG,0.05%,DE0005190003,,, Euro Stability  RgSS 2.1250% 11-20-23,0.05%,EU000A1U9803,,, SUMITOMO MITSUI FINANCIAL GR,0.05%,JP3890350006,,, ENI SPA,0.05%,IT0003132476,,, CAPITAL ONE FINANCIAL CORP,0.05%,US14040H1059,,, U S TREASURY INFLATE PROT BD,0.05%,US912810PZ57,,, SUMITOMO ELECTRIC INDUSTRIES,0.05%,JP3407400005,,, MORGAN STANLEY,0.05%,US6174464486,,, TAKEDA PHARMACEUTICAL CO LTD,0.05%,JP3463000004,,, ERICSSON LM B SHS,0.05%,SE0000108656,,, FRANCE (GOVT OF) BD,0.05%,FR0010773192,,, ASTELLAS PHARMA INC,0.05%,JP3942400007,,, SPANISH GOVT BD (BONOS Y OBLIG),0.05%,ES00000128C6,,, Nexen Tire Corp,0.05%,KR7002350007,,, ITOCHU CORP,0.05%,JP3143600009,,, LLOYDS BANKING GROUP PLC,0.05%,GB0008706128,,, ASSA ABLOY AB B,0.05%,SE0007100581,,, CANADIAN PACIFIC RAILWAY LTD,0.05%,CA13645T1003,,, GOODMAN GROUP,0.05%,AU000000GMG2,,, Kiwibank Deposit A/C - Deposit Accounts 28/04/2016,0.05%,Kiwibank Deposit A/C - Deposit Accounts 28/04/2016,,, National Bank of Abu Dhabi,0.05%,AEN000101016,,, BECTON DICKINSON AND CO,0.05%,US0758871091,,, NIPPON STEEL + SUMITOMO META,0.05%,JP3381000003,,, Shoprite Holdings Ltd,0.05%,ZAE000012084,,, KAO CORP,0.05%,JP3205800000,,, TWENTY FIRST CENTURY FOX A,0.05%,US90130A1016,,, DAIWA HOUSE INDUSTRY CO LTD,0.05%,JP3505000004,,, FADE - Fondo de Amor 2.2500% 12-17-16,0.05%,ES0378641189,,, IBERDROLA SA,0.05%,ES0144580Y14,,, DR PEPPER SNAPPLE GROUP INC,0.05%,US26138E1091,,, RIO TINTO LTD,0.05%,AU000000RIO1,,, EQUINIX INC,0.05%,US29444U7000,,, GENERAL MOTORS CO,0.05%,US37045V1008,,, MANULIFE FINANCIAL CORP,0.05%,CA56501R1064,,, EOG RESOURCES INC,0.05%,US26875P1012,,, HENNES + MAURITZ AB B SHS,0.05%,SE0000106270,,, PNC FINANCIAL SERVICES GROUP,0.05%,US6934751057,,, METLIFE INC,0.05%,US59156R1086,,, DEUTSCHLAND REP,0.05%,DE0001135325,,, PRINCIPAL FINANCIAL GROUP,0.05%,US74251V1026,,, QUALCOMM INC SR UNSEC,0.05%,US747525AE30,,, HENKEL AG + CO KGAA VORZUG,0.05%,DE0006048432,,, JB #337 0.3000% 12-20-24,0.05%,JP1103371F10,,, SYNGENTA AG REG,0.05%,CH0011037469,,, LYONDELLBASELL INDU CL A,0.05%,NL0009434992,,, BANCO BILBAO VIZCAYA ARGENTA,0.05%,ES0113211835,,, ESSILOR INTERNATIONAL,0.05%,FR0000121667,,, EAST JAPAN RAILWAY CO,0.05%,JP3783600004,,, AURIZON HOLDINGS LTD,0.05%,AU000000AZJ1,,, NIPPON TELEGRAPH + TELEPHONE,0.05%,JP3735400008,,, CONTINENTAL AG,0.04%,DE0005439004,,, PHILLIPS 66,0.04%,US7185461040,,, SHIRE PLC,0.04%,JE00B2QKY057,,, CDP Financial I 144A 4.4000% 11-25-19,0.04%,US125094AD49,,, ZOETIS INC,0.04%,US98978V1035,,, U S TREASURY BOND,0.04%,US912810QH41,,, CIGNA CORP,0.04%,US1255091092,,, AMERICAN TOWER CORP,0.04%,US03027X1000,,, MCKESSON CORP,0.04%,US58155Q1031,,, FRANCE (GOVT OF),0.04%,FR0010371401,,, STANDARD CHARTERED PLC,0.04%,GB0004082847,,, Trnpwr 09/19 4.65%,0.04%,NZTRPD0020L4,,, France OAT      RgSS 3.2500% 05-25-45,0.04%,FR0011461037,,, SEVEN + I HOLDINGS CO LTD,0.04%,JP3422950000,,, SLOVENIA GOVT REGS,0.04%,XS0982708926,,, NISSAN MOTOR CO LTD,0.04%,JP3672400003,,, CK HUTCHISON HOLDINGS LTD,0.04%,KYG217651051,,, NORDEA KREDIT REALKR **PARTIAL CALL**,0.04%,DK0002030683,,, ALEXION PHARMACEUTICALS INC,0.04%,US0153511094,,, DEUTSCHE BANK AG REGISTERED,0.04%,DE0005140008,,, Kiwibank Deposit A/C - Deposit Accounts 17/05/2016,0.04%,Kiwibank Deposit A/C - Deposit Accounts 17/05/2016,,, EQUITY RESIDENTIAL,0.04%,US29476L1070,,, UNITED UTILITIES GROUP PLC,0.04%,GB00B39J2M42,,, Euro Stability  RgSS 1.2500% 10-15-18,0.04%,EU000A1U98Z1,,, SUMITOMO CORP,0.04%,JP3404600003,,, SMITH + NEPHEW PLC,0.04%,GB0009223206,,, CREDIT SUISSE GROUP AG REG,0.04%,CH0012138530,,, MURATA MANUFACTURING CO LTD,0.04%,JP3914400001,,, ALFA LAVAL AB,0.04%,SE0000695876,,, NORDEA BANK AB,0.04%,SE0000427361,,, RAYTHEON COMPANY,0.04%,US7551115071,,, BB+T CORP,0.04%,US0549371070,,, SOCIETE GENERALE SA,0.04%,FR0000130809,,, COMMONWEALTH BANK AUST COVERED SEC EMTN,0.04%,XS0822509138,,, DENSO CORP,0.04%,JP3551500006,,, CENTRAL JAPAN RAILWAY CO,0.04%,JP3566800003,,, EUROFIMA AUD UNSUBORDINATED MTN,0.04%,AU300EF20045,,, MONSANTO CO,0.04%,US61166W1018,,, France OAT      RgSS 0.5000% 11-25-19,0.04%,FR0011993179,,, KROGER CO,0.04%,US5010441013,,, SUNTRUST BANKS INC,0.04%,US8679141031,,, U S TREASURY INFLATE PROT BD,0.04%,US912828XL95,,, KT&G Corporation,0.04%,KR7033780008,,, ANZ 18/09/17 4.89%,0.04%,NZANBDT011C4,,, State Street Bank and Trust Company (AUD),0.04%,State Street Bank and Trust Company (AUD),,, DEXIA CREDIT LOCAL GOV GTD,0.04%,XS1348774644,,, U S TREASURY INFLATE PROT BD,0.04%,US912828WU04,,, MEIJI YASUDA LIFE INSURANCE SUB REGS,0.04%,USJ41838AA14,,, US Treasury N/B 1.5000% 08-31-18,0.04%,US912828RE27,,, Deutsche Bundes RgSS 1.0000% 08-15-25,0.04%,DE0001102382,,, ING BANK NV COVERED SEC REGS,0.04%,US44986NAA37,,, RABOBANK NEDERLAND SRUNSEC COCO EMTN,0.04%,XS0496281618,,, ROYAL BK SCOTLND GRP PLC,0.04%,XS1382368113,,, COUNCIL OF EUROPE EMTN NT (1MMM),0.04%,XS0671138377,,, BUY NZD:SELL JPY NZD 23/06/2016,0.04%,BUY NZD:SELL JPY NZD 23/06/2016,,, Anheu-Busch InbevFin 3.3000% 02-01-23,0.04%,US035242AL09,,, eMemory Technology Inc,0.04%,TW0003529004,,, American Honda FRN 1.1171% 10-07-16,0.04%,US02665WAA99,,, Anadolu Hayat Emeklilik,0.04%,TRAANHYT91O3,,, Goldman Sachs Gp Inc 3.7500% 05-22-25,0.04%,US38148LAE65,,, SLOVENIA GOVT BOND,0.04%,XS0847086237,,, BARCLAYS PLC,0.04%,GB0031348658,,, ZIMMER BIOMET HOLDINGS INC SR UNSEC,0.04%,US98956PAF99,,, REGENERON PHARMACEUTICALS,0.04%,US75886F1075,,, SUNRI 2015-2 A 1MEUR + 85P,0.04%,IT0005119562,,, DAI ICHI LIFE INSURANCE,0.04%,JP3476480003,,, ASB 20/12/17 4.476%,0.04%,NZABBDT025C8,,, BANK OF AMERICA CORP NT MTN,0.04%,US59018YN641,,, FHLMC GOLD 30YR GNT #G0-8666,0.04%,US3128MJW480,,, PEMEX CO GTD REGS SR UNSEC,0.04%,XS1057659838,,, SLOVENIA GOVT BOND,0.04%,XS0927637818,,, France OAT      RgSS 2.5000% 05-25-30,0.04%,FR0011883966,,, AFP Habitat SA,0.04%,CLP009331040,,, CITIGROUP INC SR UNSEC,0.03%,US172967HT16,,, President Chain Store Corp,0.03%,TW0002912003,,, ALTICE SA SECURED REGS,0.03%,XS1061642317,,, FRANCE (GOVT OF),0.03%,FR0010949651,,, Denmark Kingdom 4.0000% 11-15-17,0.03%,DK0009921942,,, Freddie Mac GoldPool 3.5 01-DEC-45 N,0.03%,Freddie Mac GoldPool 3.5 01-DEC-45 N,,, Akl Cnc 03/17 FRN,0.03%,NZAKCDT315C1,,, WELLS FARGO & COMPANY SR UNSEC,0.03%,US94974BGP94,,, TRINI 2015-1X A 1MLIB+115BP REGS,0.03%,XS1327103336,,, FNMA PASS THRU 30YR #AR6051,0.03%,US3138W3WM17,,, PARGN 13X A1 3MGBP + 24BP,0.03%,XS0272533935,,, Cia Cervecerias,0.03%,CLP249051044,,, NEW S WALES TREASURY I/L,0.03%,AU3TI0000569,,, BUY NZD:SELL STG NZD 23/06/2016,0.03%,BUY NZD:SELL STG NZD 23/06/2016,,, MANSD 2007-2X A1 3MGBP+65,0.03%,XS0333305299,,, FNMA PASS THRU 30YR #AR1192,0.03%,US3138NXKE62,,, LLOYDS BANK PLC COVERED EMTN,0.03%,XS0737747211,,, ROYAL DUTCH SHELL PLC B SHS,0.03%,GB00B03MM408,,, Lukoil PJSC,0.03%,US69343P1057,,, SLOVENIA GOVT BOND,0.03%,XS0927637495,,, Credit Suisse /NY 3.0000% 10-29-21,0.03%,US22546QAR83,,, BUY NZD:SELL EUR NZD 23/06/2016,0.03%,BUY NZD:SELL EUR NZD 23/06/2016,,, DKFLD 1 A 3MLIB+100BP,0.03%,XS1277627086,,, Italy BTPS 0.7000% 05-01-20,0.03%,IT0005107708,,, UBS AG JR SUB COCO,0.03%,CH0244100266,,, SAGB R203 8.2500% 09-15-17,0.03%,ZAG000021833,,, JL #145 1.7000% 06-20-33,0.03%,JP1201451D66,,, Deutsche Bundes RgSS 4.0000% 01-04-37,0.03%,DE0001135275,,, REALKREDIT DANMARK**PARTIAL CALL**,0.03%,DK0009292393,,, VIRGIN MEDIA SECURED FIN SR SEC REGS,0.03%,XS1207459725,,, UBS AG JERSEY BRANCH SUB REGS EMTN,0.03%,XS0747231362,,, TESORO LOGISTICS LP/CORP GLBL SR UNSEC,0.03%,US88160QAD51,,, Bank of Ireland RgSS 1.7500% 03-19-19,0.03%,XS1046173958,,, IRS USD REC 5 Fixed 2.1350% 06-16-26,0.03%,IRS USD REC 5 Fixed 2.1350% 06-16-26,,, Nordea Bank Fin RgSS 1.3750% 01-15-20,0.03%,XS0874351728,,, IRS HKD REC Float 0.0000% 06-16-26,0.03%,IRS HKD REC Float 0.0000% 06-16-26,,, CREDIT SUISSE AG UNSEC REGS,0.03%,XS0957135212,,, ALBA 2015-1 A 1MGBP + 125BP,0.03%,XS1192474978,,, AMP/Bayfair Cash,0.03%,AMP/Bayfair Cash,,, Fannie Mae Pool 3.5 01-JAN-46 N,0.03%,Fannie Mae Pool 3.5 01-JAN-46 N,,, Telekomunikasi Indonesia,0.03%,ID1000129000,,, Fannie Mae Pool 3 01-JAN-44 MS,0.03%,Fannie Mae Pool 3 01-JAN-44 MS,,, KFW GOV GTD MTN,0.03%,AU0000KFWHR2,,, Spain Kingdom SRg144 5.8500% 01-31-22,0.03%,ES00000123K0,,, Elec de France  144A 6.5000% 01-26-19,0.03%,US268317AB08,,, France OAT      RgSS 1.0000% 05-25-19,0.03%,FR0011708080,,, China Mobile,0.03%,HK0941009539,,, AMERN MUN PWR-A-COMB,0.03%,US02765UEH32,,, BALL 2010-UB5 A4A WM17 WC5.647 144A VAR,0.03%,US05956MAA27,,, Can Govt Bond 1.7500% 09-01-19,0.03%,CA135087C855,,, KOMMUNALBANKEN AS,0.03%,AU3CB0173748,,, TESCO PLC SR UNSUB EMTN,0.03%,XS0295018070,,, CREDIT AGRICOLE SA COCO JR SUB,0.03%,USF22797QT87,,, Freddie Mac GoldPool 4 15-APR-46 SS,0.03%,Freddie Mac GoldPool 4 15-APR-46 SS,,, NCSOFT Corporation,0.03%,KR7036570000,,, MOL Hungarian Oil and Gas PLC,0.03%,HU0000068952,,, UK Gilt         RgSS 4.5000% 12-07-42,0.02%,GB00B1VWPJ53,,, Philippine Long Distance Tel,0.02%,PH7182521093,,, IRS USD REC Float 0.63955% 03-16-26,0.02%,IRS USD REC Float 0.63955% 03-16-26,,, Prologis LP 1.3750% 05-13-21,0.02%,XS1232266665,,, WESTPAC BANKING CORP SEC 144A,0.02%,US96122WAD20,,, BANK OF AMERICA CORP SR UNSEC FRN,0.02%,US06051GFK04,,, CRESO 2 A 3MEUR+70BP,0.02%,IT0004842529,,, Fannie Mae Pool 4 15-APR-46 SS,0.02%,Fannie Mae Pool 4 15-APR-46 SS,,, UK Gilt         RgSS 3.7500% 07-22-52,0.02%,GB00B6RNH572,,, REALKREDIT DANMARK***PARTIAL CALL***,0.02%,DK0009292120,,, SPRINT COMMUNICATIONS SR UNSEC,0.02%,US852061AF78,,, Aguas Andinas SA-A,0.02%,CL0000000035,,, U S TREASURY BOND,0.02%,US912810QY73,,, ITALIAN BTP BOND,0.02%,IT0005162828,,, Italy BTPS 3.5000% 06-01-18,0.02%,IT0004907843,,, Ginnie Mae II Pool 3.5 20-DEC-45 N,0.02%,Ginnie Mae II Pool 3.5 20-DEC-45 N,,, UK Gilt         RgSS 4.2500% 03-07-36,0.02%,GB0032452392,,, PROVINCE OF ALBERTA,0.02%,CA013051DQ75,,, PNC Bank NA 2.7000% 11-01-22,0.02%,US69349LAG32,,, France OAT      RgSS 0.5000% 05-25-25,0.02%,FR0012517027,,, Spain Kingdom 0.2500% 04-30-18,0.02%,ES00000127D6,,, AIRCRAFT FINANCE CO LTD,0.02%,XS1109951563,,, PROVINCE OF ALBERTA,0.02%,CA013051DR58,,, Ford Motor Credit Co 8.0000% 12-15-16,0.02%,US345397VC43,,, MET LIFE GLOB FUNDING I SEC 144A,0.02%,US59217GBP37,,, U S TREASURY INFLATE PROT BD,0.02%,US912810PS15,,, BNP PARIBAS FRN SUB SERIES 1,0.02%,FR0010821132,,, FNMA P-T DUS #466507,0.02%,US31381PGQ54,,, Cie Financement 2.3750% 11-21-22,0.02%,FR0011356997,,, ALTRIA GROUP INC GLBL CO GTD,0.02%,US02209SAL79,,, NORDEA KREDIT REALKREDIT *PARTIAL CALL*,0.02%,DK0002030337,,, RABOBANK NEDERLAND JR SUB EMTN,0.02%,XS0703303262,,, BELLSOUTH CORP SR UNSEC 144A,0.02%,US079860AA01,,, LANDWIRTSCH. RENTENBANK GOV GTD MTN,0.02%,AU3CB0204543,,, GENERALITAT DE CATALUNYA SR UNSEC,0.02%,ES0000095929,,, Spain Kingdom SRg144 4.7000% 07-30-41,0.02%,ES00000121S7,,, Power Grid Corp,0.02%,INE752E01010,,, Fannie Mae Pool 3.5 01-DEC-45 N,0.02%,Fannie Mae Pool 3.5 01-DEC-45 N,,, UK Gilt         RgSS 3.5000% 01-22-45,0.02%,GB00BN65R313,,, PETROBRAS GLOBAL FINANCE SR UNSEC,0.02%,US71647NAM11,,, Ontario Province 3.4500% 06-02-45,0.02%,CA68323ACC68,,, FADE - Fondo de RgSS 1.8750% 09-17-17,0.02%,ES0378641197,,, CANADA GOVT REAL RETURN,0.02%,CA135087ZH04,,, Fannie Mae Pool 4.5 01-APR-41 MS,0.02%,Fannie Mae Pool 4.5 01-APR-41 MS,,, CF 2014-1A *A*  144A 0.8605% 03-07-26,0.02%,US165182BM79,,, CARMX 2015-1 A2 0.8800% 03-15-18,0.02%,US14313WAB81,,, Imperial Tobacc RgSS 5.0000% 12-02-19,0.02%,XS0715437140,,, Spain Kingdom SRg144 1.6000% 04-30-25,0.02%,ES00000126Z1,,, BMW Finance NV  RgSS 1.7500% 11-20-17,0.02%,XS0994746617,,, TEL TACT A/C,0.02%,TEL TACT A/C,,, AXA 6.2110% 10-29-49,0.02%,XS0323922376,,, Philip Morris Intern 2.9000% 11-15-21,0.02%,US718172AL38,,, ROYAL BANK OF CANADA COVERED SEC,0.02%,US780082AE36,,, Switzerland Gov RgSS 2.0000% 05-25-22,0.02%,CH0127181011,,, Thailand Government 3.6500% 12-17-21,0.02%,TH0623031C01,,, ITALY (REP OF) GOVT EMTN,0.02%,XS0089572316,,, MF LTA - A      144A 3.6300% 06-01-29,0.02%,CA628153AA60,,, Morgan Stanley 3.9500% 04-23-27,0.02%,US61761JZN26,,, U S TREASURY NOTE,0.02%,US912828P469,,, NGATE 2007-3X A3 3MGBP+100,0.02%,XS0332288058,,, Dominion Res Inc 2.7500% 09-15-22,0.02%,US25746UBP30,,, COMUNIDAD DE MADRID,0.02%,ES0000101396,,, Malaysia Government 3.5800% 09-28-18,0.02%,MYBMK1100058,,, MALIN 2007-1A A1 3MEUR + 19.5BP 144A,0.02%,XS0296068975,,, Switzerland Gov RgSS 3.0000% 01-08-18,0.02%,CH0015221663,,, IRS PLN REC Float 0.0000% 06-15-26,0.02%,IRS PLN REC Float 0.0000% 06-15-26,,, Spain Kingdom 4.5000% 01-31-18,0.02%,ES00000123Q7,,, JS #109 0.1000% 03-20-18,0.02%,JP1051091D38,,, France BTAN     RgSS 1.0000% 07-25-17,0.02%,FR0120746609,,, Time Warner Cable In 8.2500% 04-01-19,0.02%,US88732JAS78,,, Ginnie Mae II Pool 4 15-APR-46 SS,0.02%,Ginnie Mae II Pool 4 15-APR-46 SS,,, SOCIETE GENERALE SUB,0.02%,XS0867614595,,, Freddie Mac GoldPool 3 01-MAR-46 N,0.02%,Freddie Mac GoldPool 3 01-MAR-46 N,,, Caja de Ahorros 4.0000% 02-03-25,0.02%,ES0414950628,,, ZIMMER BIOMET HOLDINGS INC SR UNSEC,0.02%,US98956PAL67,,, EATON 2007-10X A2 3MLIB + 24BP,0.02%,USG2918QAA07,,, BOSTON SCIENTIFIC CORP SR UNSEC,0.02%,US101137AP29,,, Hutchison Whamp RgSS 3.6250% 10-31-24,0.02%,USG46747AB00,,, Australia Govt  RgSS 5.5000% 04-21-23,0.02%,AU3TB0000101,,, Belgium Govt    RgSS 1.2500% 06-22-18,0.02%,BE0000329384,,, LGATE 2007-1 A2B 3MEUR+16BP,0.02%,XS0304504003,,, CHARTER COMM / CCO SEC 144A,0.02%,US161175AN44,,, WIND ACQUISITION FIN SA,0.02%,XS1055940206,,, LLOYDS BANK PLC SR UNSEC,0.02%,US53944VAK52,,, Bank of America Corp 5.8750% 01-05-21,0.02%,US06051GEE52,,, MLCFC 2007-8 A3 WM16 WC5.9865,0.02%,US60688BAD01,,, SANTANDER UK GROUP HLDGS SR UNSEC,0.02%,US80281LAC90,,, ABBEY NATL TREASURY SERV SR UNSEC,0.02%,US002799AY01,,, ROCHE HOLDING INC SR UNSEC 144A,0.02%,US771196BK70,,, CNP ASSURANCES,0.02%,FR0013066388,,, Netherlands G SRg144 1.2500% 01-15-19,0.02%,NL0010514246,,, NGATE 2007-2X A2 3MGBP + 13BP,0.02%,XS0304279630,,, FGA Capital Ire RgSS 2.8750% 01-26-18,0.02%,XS1021817355,,, Nampak Ltd,0.02%,ZAE000071676,,, ONTARIO (PROVINCE OF) BD,0.02%,CA68323AAD69,,, ABBEY NATL TREASURY SERV SR UNSEC,0.02%,US002799AN46,,, OHIO BUCKEYE TOB ASSET-A-4,0.02%,US118217AU29,,, TREAS CORP VICTORIA LOC GOV GTD,0.02%,AU0000XVGZZ0,,, STEP 3 AB B 3MSTIB+150BP,0.02%,XS1225175600,,, NAVSL 2014-CTA A 1MLIB+70BP 144A,0.02%,US63938HAA59,,, AUBN 9 A 3MGBP + 100BP,0.02%,XS1255066406,,, T-MOBILE USA INC SR UNSEC,0.02%,US87264AAN54,,, Hero Motocorp,0.02%,INE158A01026,,, Republic Services 4.7500% 05-15-23,0.02%,US760759AM22,,, GE Cap Intl Fdg RgSS 2.3420% 11-15-20,0.02%,US36164PFF27,,, U S TREASURY INFLATE PROT BD,0.02%,US912810PV44,,, FNMA PASS THRU 30YR #AB7059,0.02%,US31417DZZ94,,, JS # 122 0.1000% 12-20-19,0.02%,JP1051221EC4,,, INTER-AMERICAN DEVEL BK SR UNSEC,0.02%,US4581X0CS57,,, Danske Bank A/S RgSS 2.7500% 05-19-26,0.02%,XS1068866950,,, Fannie Mae Pool 3.5 01-MAR-46 N,0.02%,Fannie Mae Pool 3.5 01-MAR-46 N,,, FINLAND (REP OF) 144A,0.02%,US31788DAC83,,, JEFFERIES FIN LLC / JFIN SR UNSEC 144A,0.02%,US47232MAA09,,, Altria Group Inc 4.5000% 05-02-43,0.02%,US02209SAQ66,,, BURLINGTN NORTH SANTA FE SR UNSECURED,0.02%,US12189TBA16,,, FORD MOTOR CREDIT CO LLC SR UNSEC,0.02%,US345397WM16,,, Ireland Govt 4.5000% 10-18-18,0.02%,IE00B28HXX02,,, ZIGGO SECURED FINANCE BV,0.02%,XS1175813655,,, France OAT      RgSS 0.0000% 05-25-20,0.02%,FR0012557957,,, Korea Treasury Bond 2.0000% 03-10-20,0.02%,KR103501G539,,, Fannie Mae Pool 2.5 01-APR-31 SS,0.02%,Fannie Mae Pool 2.5 01-APR-31 SS,,, Univ CA Taxable 4.6010% 05-15-31,0.02%,US91412GTG00,,, Belgium Govt    RgSS 3.0000% 09-28-19,0.02%,BE0000327362,,, BAB MEAG TXB-PLT VOGTLE,0.02%,US626207YM09,,, U S TREASURY BOND,0.02%,US912810FB99,,, LEEK 18A A2D 3MLIB+13BP 144A,0.02%,US52426KAC62,,, SWEDISH GOVERNMENT BD SER 1052,0.02%,SE0002241083,,, Can Govt Bond 0.7500% 09-01-20,0.02%,CA135087E596,,, Inversiones Aguas Metropol,0.02%,CL0000001256,,, Wells Fargo & Co 3.3000% 09-09-24,0.02%,US94974BGA26,,, JB #314 1.1000% 03-20-21,0.01%,JP1103141B54,,, GFUND 2014-1 A1 3MBP + 37BP,0.01%,XS1107298710,,, Austria Repub SRg144 3.6500% 04-20-22,0.01%,AT0000A0N9A0,,, Mexican Bonos 10.0000% 12-05-24,0.01%,MX0MGO000078,,, Formosa International Hotels,0.01%,TW0002707007,,, France OAT      RgSS 0.2500% 11-25-20,0.01%,FR0012968337,,, U S TREASURY INFLATE PROT BD,0.01%,US912828UH11,,, HJ HEINZ CO UNSEC 144A,0.01%,US423074AZ61,,, Verizon Communctns 3.6500% 09-14-18,0.01%,US92343VBP85,,, Royal Bk of Scotland 6.9340% 04-09-18,0.01%,XS0356705219,,, ING Bank NV     144A 3.7500% 03-07-17,0.01%,US449786AQ58,,, DECO 2015-CHRX A 3MEUR +145BP,0.01%,XS1268588099,,, Yen Trade Receivable,0.01%,Yen Trade Receivable,,, Can Govt Bond 4.0000% 06-01-41,0.01%,CA135087YQ12,,, DEXIA CREDIT LOCAL SR UNSEC 144A,0.01%,US25214BAM63,,, ANSTOCK II REGS SR UNSEC,0.01%,XS1087757263,,, GOLDMAN SACHS GROUP INC SR UNSEC,0.01%,US38148LAB27,,, WPP Group PLC   RgSS 6.6250% 05-12-16,0.01%,XS0362329517,,, BAB CA ST,0.01%,US13063BJC72,,, NORDIC INVESTMENT BANK SR UNSEC MTN,0.01%,AU0000NIBHF9,,, HSBC HOLDINGS PLC SR UNSEC,0.01%,US404280AK50,,, FIAOT 15-1A A2 144A 1.2100% 04-15-19,0.01%,US32058LAB36,,, RLOC 2007-1X A3B 3MGBP+16,0.01%,XS0300470365,,, MARSS 2014-1 A1 3MEUR+130BP,0.01%,IT0005023301,,, CAJA DE AHORROS Y MONTE,0.01%,ES0244251007,,, U S TREASURY BOND,0.01%,US912810QW18,,, CRED SUIS GP FUN LTD SR UNSEC,0.01%,US225433AC55,,, Caisse Francais RgSS 2.3750% 01-17-24,0.01%,FR0011686401,,, BAB CA,0.01%,US13063BJB99,,, Enterprise Prods LP 6.5000% 01-31-19,0.01%,US29379VAC72,,, FCE Bank PLC    RgSS 1.5280% 11-09-20,0.01%,XS1317725726,,, Sweden Govt #1057 1.5000% 11-13-23,0.01%,SE0004869071,,, Anadarko Pete Corp 6.3750% 09-15-17,0.01%,US032511BH96,,, Freddie Mac GoldPool 3 01-AUG-27 S,0.01%,Freddie Mac GoldPool 3 01-AUG-27 S,,, HELLENIC RAILWAY ORG,0.01%,XS0160208772,,, Daimler AG 1.7500% 11-08-17,0.01%,XS0989397921,,, Rabobank NL Utrecht 4.6250% 12-01-23,0.01%,US21684AAA43,,, Anheuser-Busch  RegS 1.5000% 03-17-25,0.01%,BE6285454482,,, HELLENIC REPUBLIC SR UNSECURED EMTN,0.01%,XS0079012166,,, ELECTRICITE DE FRANCE SA SR UNSEC 144A,0.01%,US268317AS33,,, France OAT      RgSS 4.7500% 04-25-35,0.01%,FR0010070060,,, MONTE DEI PASCHI SIENA COVERED,0.01%,IT0004702251,,, Abbey Natl Trea RgSS 4.2500% 04-12-21,0.01%,XS0250729109,,, Union National Bank/Abu Dhab,0.01%,AEU000401015,,, ABN AMRO BANK NV SUB 144A,0.01%,US00080QAF28,,, JPMCC 2008-C2 *A4FL* 1.9381% 02-12-51,0.01%,US46632MCA62,,, BUMF 7X A1 3MGBP + 100BP,0.01%,XS0330211359,,, WELLS FARGO & COMPANY SR UNSEC,0.01%,US949746RS22,,, CABMT 2014-1 *A* 0.7862% 03-16-20,0.01%,US126802CU96,,, DEXIA CREDIT LOCAL SA NY GOV GTD 144A,0.01%,US25215BAP85,,, CMLTI 2005-3 2A2A WM35 WC5.0453,0.01%,US17307GTJ75,,, Compass Bank 2.7500% 09-29-19,0.01%,US20451PKN59,,, MARCH 6 A1 3MEUR+225BP,0.01%,IT0004941271,,, Ginnie Mae II Pool 3.5 20-JAN-46 N,0.01%,Ginnie Mae II Pool 3.5 20-JAN-46 N,,, UnitedHealth Group 2.7000% 07-15-20,0.01%,US91324PCM23,,, Abbey Natl Trea RgSS 1.1250% 01-14-22,0.01%,XS1166160173,,, GE Cap Intl Fdg 144A 2.3420% 11-15-20,0.01%,US36164NFF78,,, CELF 2007-1X A2A 6MEUR + 19.5 BP,0.01%,XS0294239974,,, Bank of America Corp 5.7000% 01-24-22,0.01%,US06051GEM78,,, AIB Mortgage Ba RgSS 2.2500% 03-26-21,0.01%,XS1048644907,,, Freddie Mac GoldPool 2.5 01-APR-31 SS,0.01%,Freddie Mac GoldPool 2.5 01-APR-31 SS,,, Italy BTPS 2.0000% 12-01-25,0.01%,IT0005127086,,, SANTANDER UK GROUP JR SUB,0.01%,XS1244538523,,, EDF             144A 4.8750% 01-22-44,0.01%,US268317AK07,,, PIONEER NATURAL RESOURCE,0.01%,US723787AF41,,, Italy BTPS 3.5000% 12-01-18,0.01%,IT0004957574,,, RIO OIL FINANCE TRUST SEC REGS,0.01%,USU76673AA72,,, NEW S WALES TREASURY CRP GOV GTD,0.01%,AU3SG0000284,,, AT&T INC 3.0000% 06-30-22,0.01%,US00206RCM25,,, Turk Sise Ve Cam Fabrikalari,0.01%,TRASISEW91Q3,,, MOROCCO (KINGDOM OF) BD,0.01%,XS0546649822,,, Korea Treasury Bond 4.0000% 12-10-31,0.01%,KR10350271C8,,, Belgium Govt  SRg144 5.0000% 03-28-35,0.01%,BE0000304130,,, Norway Govern SRg144 4.5000% 05-22-19,0.01%,NO0010429913,,, U S TREASURY INFLATE PROT BD,0.01%,US912828TE09,,, Deutsche Bundes RgSS 2.5000% 07-04-44,0.01%,DE0001135481,,, Singapore Govt 3.1250% 09-01-22,0.01%,SG7J28931946,,, JP Morgan & Co Inc 4.4000% 07-22-20,0.01%,US46625HHS22,,, Australia Govt  RgSS 2.7500% 04-21-24,0.01%,AU3TB0000143,,, Nationwide Bldg Soc 4.3750% 02-28-22,0.01%,XS0289011198,,, BNZ IRS 18/12/2017,0.01%,BNZ1073S,,, Reynolds American In 4.4500% 06-12-25,0.01%,US761713BG06,,, BPCE SA 144A,0.01%,US05578QAD51,,, PIZZAEXPRESS FINANCING 2,0.01%,XS1028948120,,, Morgan Stanley 5.6250% 09-23-19,0.01%,US61747YCJ29,,, REALKREDIT DANMARK***PARTIAL CALL***,0.01%,DK0009292559,,, IRELAND GOVT,0.01%,IE00BV8C9418,,, British Telecom RegS 1.1250% 03-10-23,0.01%,XS1377681272,,, Reynolds American In 4.8500% 09-15-23,0.01%,US761713AY21,,, CVS Health Corp 2.8000% 07-20-20,0.01%,US126650CJ78,,, BRITISH COLUMBIA PROV OF BD,0.01%,CA1107098Y17,,, Aviva Plc       RgSS 3.8750% 07-03-44,0.01%,XS1083986718,,, NY MTA DTF Taxable 7.3360% 11-15-39,0.01%,US59259NZH96,,, FNR 2007-114 A6 1MLIB+20,0.01%,US31396X3Q54,,, Principal Finl Grp 1.8500% 11-15-17,0.01%,US74251VAG77,,, 21st Century Fox Amr 4.5000% 02-15-21,0.01%,US90131HAQ83,,, PNC Funding Corp 3.3000% 03-08-22,0.01%,US693476BN25,,, BERAB 2011-1 A1 3MEUR + 30BP,0.01%,IT0004782568,,, CNA Financial Corp 7.2500% 11-15-23,0.01%,US126117AE07,,, FGA Capital Ire RgSS 2.6250% 04-17-19,0.01%,XS1057487875,,, SABMILLER HOLDINGS INC NT 144A,0.01%,US78573AAC45,,, Finland Rep   SRg144 1.5000% 04-15-23,0.01%,FI4000062625,,, U S TREASURY BOND,0.01%,US912810QE10,,, Netherlands G SRg144 2.0000% 07-15-24,0.01%,NL0010733424,,, Korea Treasury Bond 3.0000% 09-10-24,0.01%,KR103502G495,,, Freddie Mac GoldPool 4.5 01-JUN-41 MS,0.01%,Freddie Mac GoldPool 4.5 01-JUN-41 MS,,, SUNRI 2015-1 A,0.01%,IT0005118192,,, Prudential Financial 6.1000% 06-15-17,0.01%,US74432QAY17,,, JPMorgan Chase & Co 2.5500% 03-01-21,0.01%,US46625HQJ22,,, "Hongkong & Shanghai Banking Corp, Ltd, Corporate and Institutional Banking (HKD)",0.01%,"Hongkong & Shanghai Banking Corp, Ltd, Corporate and Institutional Banking (HKD)",,, SKANDINAVISKA ENSKILDA,0.01%,SE0004925451,,, NGATE 2007-3X BA 3MGBP+125,0.01%,XS0329653934,,, Oncor Electric 7.0000% 09-01-22,0.01%,US68233DAR89,,, GNMA I Pool 3 15-JUN-43 SS,0.01%,GNMA I Pool 3 15-JUN-43 SS,,, WellPoint Inc 2.3000% 07-15-18,0.01%,US94973VBE65,,, Freddie Mac GoldPool 3 01-MAR-36 N,0.01%,Freddie Mac GoldPool 3 01-MAR-36 N,,, BAT Intl Financ 144A 2.7500% 06-15-20,0.01%,US05530QAG55,,, ITALIAN BTP BOND,0.01%,IT0004532559,,, Unibail-Rodamco RgSS 2.5000% 02-26-24,0.01%,XS1038708522,,, NYKREDIT REALKREDIT AS **PARTIAL CALL**,0.01%,DK0009795627,,, Vonovia SE      RgSS 1.6250% 12-15-20,0.01%,DE000A18V138,,, Heinz HJ Co     144A 3.5000% 07-15-22,0.01%,US423074BA02,,, SPRINT COMMUNICATIONS SR UNSEC,0.01%,US852061AD21,,, CDEST 1 A2 3MEUR+35BP,0.01%,IT0003747794,,, BILK 6 A 1MEUR + 37BP,0.01%,XS1101828561,,, Mexican Bonos 8.0000% 06-11-20,0.01%,MX0MGO0000L1,,, MSBAM 2013-C8 XA IO WM22 WC4.196791,0.01%,US61761QAF00,,, WELLS FARGO & COMPANY SR UNSEC,0.01%,US94974BGH78,,, Poland Government 5.5000% 10-25-19,0.01%,PL0000105441,,, PETROBRAS GLOBAL FINANCE SR UNSEC,0.01%,US71647NAH26,,, APULM 2008-1 A 6MEUR+70BP,0.01%,IT0004395833,,, GNMA I Pool 4.5 15-NOV-40 MS,0.01%,GNMA I Pool 4.5 15-NOV-40 MS,,, ALLY FINANCIAL INC SR UNSEC,0.01%,US02005NAS99,,, Ace INA Hldgs Inc 2.8750% 11-03-22,0.01%,US00440EAU10,,, FMS WERTMANAGEMENT GOV GTD EMTN,0.01%,XS0690541296,,, Achmea BV       RgSS 2.5000% 11-19-20,0.01%,XS0995111761,,, GNMA PASS THRU SGL 30YR #782253X,0.01%,US36241KQE19,,, POLAND GOVERNMENT BOND,0.01%,PL0000108197,,, REALKREDIT DANMARK**PARTIAL CALL**,0.01%,DK0009292633,,, CMLTI 2005-11 A2A 1YRT+240,0.01%,US17307GW795,,, Anheu-Busch InbevFin 3.6500% 02-01-26,0.01%,US035242AP13,,, Israel Government Bo 4.2500% 03-31-23,0.01%,IL0011267478,,, Philip Morris Intern 1.8750% 02-25-21,0.01%,US718172BS71,,, WLAKE 16-1A A2B 144A 1.4862% 01-15-19,0.01%,US96042TAE47,,, WLAKE 16-1A A2A 144A 1.8200% 01-15-19,0.01%,US96042TAC80,,, Futures Collateral,0.01%,Futures Collateral,,, British Telecom RegS 1.7500% 03-10-26,0.01%,XS1377679961,,, BUY NZD:SELL CAD NZD 23/06/2016,0.01%,BUY NZD:SELL CAD NZD 23/06/2016,,, NOVO BANCO SA,0.01%,XS0782220007,,, AMCAR 2015-1 *A2B* 0.8580% 04-09-18,0.01%,US03065KAC53,,, GENERALITAT DE CATALUNYA,0.01%,ES0000095895,,, Korea Treasury Bond 2.7500% 03-10-18,0.01%,KR1035017337,,, BSKYB Finance U RgSS 1.5000% 09-15-21,0.01%,XS1109741246,,, Pemex Project Fdg 5.7500% 03-01-18,0.01%,US706451BS94,,, Samart Corp PCL (F),0.01%,TH0374010Z17,,, EFF 2013-2 A2   144A 1.0600% 03-20-19,0.01%,US29372EAY41,,, HEC 2007-3X A 3MEUR+22.85BP,0.01%,XS0293694880,,, LEOFR 2012-1 A 3MGBP + 170BP,0.01%,XS0773366488,,, GCCFC 2007-GG11 A4 5.7360% 12-10-49,0.01%,US20173VAE02,,, Fannie Mae Pool 3 01-APR-46 SS,0.01%,Fannie Mae Pool 3 01-APR-46 SS,,, Freddie Mac GoldPool 5 01-SEP-39 S,0.01%,Freddie Mac GoldPool 5 01-SEP-39 S,,, KBC BANK NV SR SUB,0.01%,BE6248510610,,, Merrill Lynch & Co 4.6250% 09-14-18,0.01%,XS0267828308,,, BPCE SA SUB 144A,0.01%,US05578QAA13,,, FHRR R006 ZA Z SEQ WM35 WC6.4347,0.01%,US31396JT212,,, SBIC 2008-P10A 1,0.01%,US831641EK70,,, GNMA I Pool 3 15-MAY-43 SS,0.01%,GNMA I Pool 3 15-MAY-43 SS,,, Turkey Republic 5.7500% 03-22-24,0.01%,US900123CF53,,, Berkshire Hathaway 0.7500% 03-16-23,0.01%,XS1200670955,,, GNMA I Pool 4 15-APR-46 SS,0.01%,GNMA I Pool 4 15-APR-46 SS,,, Goldman Sachs Gp Inc 4.7500% 10-21-45,0.01%,US38141GVS01,,, Belgium Govt  SRg144 0.8000% 06-22-25,0.01%,BE0000334434,,, BSARM 2005-2 A1 1YRCMT+245,0.01%,US07384M7C06,,, BUY NZD:SELL CHF NZD 23/06/2016,0.01%,BUY NZD:SELL CHF NZD 23/06/2016,,, QUEBEC PROVINCE BD,0.01%,CA74814ZEF68,,, CMLT 2008-LS1 A4B 6.0951% 12-10-49,0.01%,US20173WAE84,,, Ginnie Mae II Pool 3 20-MAR-46 N,0.01%,Ginnie Mae II Pool 3 20-MAR-46 N,,, MARCH 4 A 6MEUR+30BP,0.01%,IT0004515794,,, CBS Corp 3.3750% 03-01-22,0.01%,US124857AG87,,, Ford Motor Cred LLC 3.2000% 01-15-21,0.01%,US345397XQ11,,, JPMORGAN CHASE & CO SR UNSEC,0.01%,US46625HNX43,,, RCI Banque SA   RgSS 1.3750% 11-17-20,0.01%,FR0013053055,,, 21st Century Fox Amr 3.0000% 09-15-22,0.01%,US90131HAR66,,, Wells Fargo & Co 3.5000% 03-08-22,0.01%,US94974BFC90,,, MSC 2007-IQ14 A4 5.6920% 04-15-49,0.01%,US61754KAF21,,, Virgin Media Se RgSS 5.1250% 01-15-25,0.01%,XS1169843007,,, BSCMS 2007-PW17 A4 5.6940% 06-11-50,0.01%,US07388QAE98,,, LBUBS 2007-C6 A4 5.8580% 07-15-40,0.01%,US52109PAE51,,, VERIZON COMMUNICATIONS SR UNSEC,0.01%,US92343VBL71,,, SWEDISH COVERED BOND SEC,0.01%,SE0003172535,,, Ford Motor Cred LLC 3.0000% 06-12-17,0.01%,US345397WD17,,, American Express Co 7.0000% 03-19-18,0.01%,US025816AY50,,, Australia Govt  RgSS 3.2500% 04-21-25,0.01%,AU3TB0000168,,, RCI Banque SA   RgSS 3.0000% 05-09-19,0.01%,XS1064797126,,, UROPA 2007-1 A2B 3MEUR+15,0.01%,XS0311807167,,, GE Cap Intl Fdg RgSS 3.3730% 11-15-25,0.01%,US36164PFG00,,, MSRR10-GG10 A4A 144A 5.7936% 08-15-45,0.01%,US61759LAA61,,, FOURC 2006-2A A 3MLIB+27BP 144A,0.01%,US35084EAA29,,, Freddie Mac GoldPool 3.5 01-JUL-32 S,0.01%,Freddie Mac GoldPool 3.5 01-JUL-32 S,,, CREDIT AGRICOLE SA JR SUB,0.01%,XS1055037920,,, BNP Paribas SA  RegS 2.8750% 10-01-26,0.01%,XS1378880253,,, ISS Global A/S  RgSS 1.1250% 01-09-20,0.01%,XS1145526585,,, Netherlands G SRg144 3.7500% 01-15-42,0.01%,NL0009446418,,, FMS WERTMANAGEMENT GOV GTD EMTN,0.01%,DE000A1MLVD8,,, Philippines Republic 4.2000% 01-21-24,0.01%,US718286BY27,,, Ginnie Mae II Pool 3 20-AUG-45 N,0.01%,Ginnie Mae II Pool 3 20-AUG-45 N,,, KINGDOM OF DENMARK,0.01%,DK0009922676,,, SAGB R208 6.7500% 03-31-21,0.01%,ZAG000030396,,, BAT Intl Financ RgSS 4.0000% 09-04-26,0.01%,XS0969309847,,, British Telecomm 2.3500% 02-14-19,0.01%,US111021AK71,,, Wells Fargo & Co 4.1000% 06-03-26,0.01%,US94974BFY11,,, BAFC 2005-7 4A3 WM35 WC5.743900,0.01%,US05946XU926,,, Spain Kingdom 6.0000% 01-31-29,0.01%,ES0000011868,,, UnitedHealth Group 3.3500% 07-15-22,0.01%,US91324PCN06,,, OCT12 2012-1AR AR 3MLIB+127BP 144A,0.01%,US67572NAU00,,, Slovakia Govt B RgSS 3.3750% 11-15-24,0.01%,SK4120008871,,, FINNVERA PLC GOV GTD EMTN,0.01%,XS1294518318,,, SPAIN (KINGDOM OF) EMTN UNSUB,0.01%,XS0096272355,,, Fannie Mae Pool 3 01-AUG-43 SS,0.01%,Fannie Mae Pool 3 01-AUG-43 SS,,, VERIZON COMMUNICATIONS SR UNSEC,0.01%,US92343VBR42,,, Goldman Sachs Gp Inc 5.3750% 03-15-20,0.01%,US38141EA588,,, Ginnie Mae II Pool 3.5 20-MAR-46 N,0.01%,Ginnie Mae II Pool 3.5 20-MAR-46 N,,, Goldman Sachs Gp Inc 3.5000% 01-23-25,0.01%,US38148LAC00,,, Telefonica Emis RgSS 1.4770% 09-14-21,0.01%,XS1290729208,,, Prudential Financial 5.6250% 06-15-43,0.01%,US744320AM42,,, GNMA I Pool 3.5 15-APR-46 SS,0.01%,GNMA I Pool 3.5 15-APR-46 SS,,, Freddie Mac GoldPool 5.5 01-MAR-38 S,0.01%,Freddie Mac GoldPool 5.5 01-MAR-38 S,,, Comcast Corp 2.7500% 03-01-23,0.01%,US20030NBR17,,, ESAIL 2006-4X A3A 3MEUR+16,0.01%,XS0275909934,,, GNMA I Pool 6 15-JUL-38 S,0.01%,GNMA I Pool 6 15-JUL-38 S,,, CMBX.NA.AM.4 0.0000% 02-17-51,0.01%,CMBX.NA.AM.4 0.0000% 02-17-51,,, Deutsche Tele I RegS 0.6250% 04-03-23,0.01%,XS1382792197,,, Citigroup Inc 4.4500% 09-29-27,0.01%,US172967KA87,,, GSR 2005-AR6 2A1 WM35 WC4.9,0.01%,US362341RX95,,, HBOS PLC SUB GMTN 144A,0.01%,US4041A2AH79,,, MSRR09-GG10 A4A 144A 5.7936% 08-12-45,0.01%,US61758FAA03,,, CIFC 2007-1A A1L 3MLIB+26 144A,0.01%,US125474AA42,,, Poland Government 4.2000% 04-15-20,0.01%,XS0210314299,,, CLEVELAND ELEC ILLUM SR UNSEC,0.01%,US186108CF17,,, Fannie Mae Pool 4 01-FEB-32 S,0.01%,Fannie Mae Pool 4 01-FEB-32 S,,, MSC 2007-HQ13 A3 5.5690% 12-15-44,0.01%,US61757RAD98,,, Jeronimo Martins,0.01%,PTJMT0AE0001,,, Ontario Province 3.2000% 05-16-24,0.01%,US68323ACT97,,, BSARM 2005-5 A2 1YT+215,0.01%,US07387ACK97,,, Time Warner Inc 4.7000% 01-15-21,0.01%,US887317AG00,,, JPMCC 2006-LDP9 A3 5.3360% 05-15-47,0.01%,US46629PAC23,,, CVS Caremark Corp 5.7500% 06-01-17,0.01%,US126650BH22,,, Ginnie Mae II Pool 4 01-MAY-46 SS,0.01%,Ginnie Mae II Pool 4 01-MAY-46 SS,,, Ireland Govt    RgSS 0.8000% 03-15-22,0.01%,IE00BJ38CQ36,,, U S TREASURY NOTE,0.01%,US912828VB32,,, BACM 2007-5 A4 5.4920% 02-10-51,0.01%,US05952CAE03,,, Colombia Republic 4.3750% 07-12-21,0.01%,US195325BN40,,, EFF 2014-1 A2   144A 0.8700% 09-20-19,0.01%,US29372EBB39,,, TRFRD 2014 A4   RgSS 2.8750% 04-28-19,0.01%,XS1031620849,,, NORWEGIAN GOVERNMENT BD 474,0.01%,NO0010572878,,, JPMORGAN CHASE & CO SR UNSEC,0.01%,US46623EJY68,,, DEXIA CREDIT LOCAL,0.01%,XS1351942633,,, KOREA HYDRO & NUCLEAR PO SR UNSEC GMTN,0.01%,XS1072134148,,, Korea Treasury Bond 3.7500% 06-10-22,0.01%,KR1035027260,,, Freddie Mac GoldPool 6 01-DEC-37 S,0.01%,Freddie Mac GoldPool 6 01-DEC-37 S,,, Poland Government 5.7500% 09-23-22,0.01%,PL0000102646,,, PETROBRAS GLOBAL FINANCE CO GTD,0.01%,US71645WAU53,,, Skandinaviska Enskilda Banken (DKK),0.01%,Skandinaviska Enskilda Banken (DKK),,, Fannie Mae Pool 3 01-FEB-46 N,0.01%,Fannie Mae Pool 3 01-FEB-46 N,,, Visa Inc 3.1500% 12-14-25,0.01%,US92826CAD48,,, Wells Fargo & Co 4.3000% 07-22-27,0.01%,US94974BGL80,,, Freddie Mac GoldPool 5 01-DEC-36 VS,0.01%,Freddie Mac GoldPool 5 01-DEC-36 VS,,, Freddie Mac GoldPool 3.5 01-JUL-35 N,0.01%,Freddie Mac GoldPool 3.5 01-JUL-35 N,,, Bank of America Corp 3.9500% 04-21-25,0.01%,US06051GFP90,,, JPMorgan Chase & Co 3.3000% 04-01-26,0.01%,US46625HQW33,,, GNMA I Pool 5 15-JUN-39 S,0.01%,GNMA I Pool 5 15-JUN-39 S,,, UBS Group AG    144A 4.1250% 09-24-25,0.01%,US90351DAB38,,, SBAP 2005-20E 1 PASS THRU,0.00%,US83162CPN73,,, Quebec Province 3.5000% 12-01-45,0.00%,CA74814ZER07,,, AXA SA          RegS 3.3750% 07-06-47,0.00%,XS1346228577,,, Austria Repub SRg144 1.6500% 10-21-24,0.00%,AT0000A185T1,,, CALIFORNIA RESOURCES CRP 144A,0.00%,US13057QAG29,,, BAT Intl Financ RgSS 1.0000% 05-23-22,0.00%,XS1324928750,,, U S TREASURY BOND,0.00%,US912810FG86,,, Fannie Mae Pool 4.5 01-SEP-39 S,0.00%,Fannie Mae Pool 4.5 01-SEP-39 S,,, Daimler AG      RegS 1.5000% 03-09-26,0.00%,DE000A2AAL31,,, UK Gilt         RgSS 2.0000% 09-07-25,0.00%,GB00BTHH2R79,,, Cooperatieve Ra RegS 1.2500% 03-23-26,0.00%,XS1382784509,,, CSAIL 2015-C4 A4 3.8079% 11-15-48,0.00%,US12635RAX61,,, United Mexican Sts 4.0000% 10-02-23,0.00%,US91086QBC15,,, BP Capital Markets 3.5610% 11-01-21,0.00%,US05565QBU13,,, Freddie Mac GoldPool 3.5 01-SEP-26 S,0.00%,Freddie Mac GoldPool 3.5 01-SEP-26 S,,, GSMS 2012-GCJ9 XA IO WM21 WC4.885294,0.00%,US36192PAQ90,,, Visa Inc 2.8000% 12-14-22,0.00%,US92826CAC64,,, Freddie Mac GoldPool 3.5 01-FEB-46 N,0.00%,Freddie Mac GoldPool 3.5 01-FEB-46 N,,, Freshwater Finance 6.5760% 05-29-49,0.00%,XS0300298287,,, CFCRE 2011-C2 A4 3.8343% 12-15-47,0.00%,US12527DAR17,,, STADSHYPOTEK AB,0.00%,SE0004807733,,, U S TREASURY BILLS,0.00%,US912796HK86,,, Penske Truck Le 144A 2.5000% 06-15-19,0.00%,US709599AQ78,,, EUROFIMA SRUNSEC MTN,0.00%,AU300EF20086,,, TESCO PROPERTY FIN 4 PLC MTGE BACKED,0.00%,XS0588909878,,, BAT Intl Financ 144A 3.5000% 06-15-22,0.00%,US05530QAL41,,, BUY NZD:SELL AUD NZD 23/06/2016,0.00%,BUY NZD:SELL AUD NZD 23/06/2016,,, Italy BTPS 5.5000% 11-01-22,0.00%,IT0004848831,,, MLCC 2005-2 1A ARM 6MLIB+125,0.00%,US59020UZZ10,,, Shell Int Finance BV 3.2500% 05-11-25,0.00%,US822582BD31,,, CORNR 2007-1A A1S 3MLIB+22BP 144A,0.00%,US219239AA80,,, Austria Repub SRg144 3.1500% 06-20-44,0.00%,AT0000A0VRQ6,,, Goldman Sachs Gp Inc 5.7500% 01-24-22,0.00%,US38141GGS75,,, Berkshire Hathaway 2.7500% 03-15-23,0.00%,US084670BR84,,, Netherlands G SRg144 4.0000% 01-15-37,0.00%,NL0000102234,,, Aetna Inc 2.7500% 11-15-22,0.00%,US008117AP87,,, Malaysia Government 3.9550% 09-15-25,0.00%,MYBMO1500010,,, SWAN 2010-1 A,0.00%,AU3FN0010435,,, Switzerland Gov RgSS 1.5000% 04-30-42,0.00%,CH0127181169,,, Verizon Communctns 3.5000% 11-01-21,0.00%,US92343VBC72,,, GMG 2012-1 A1 3ML + 295BP,0.00%,XS0769019026,,, Charter Comm    144A 4.4640% 07-23-22,0.00%,US161175AL87,,, First Gulf Bank PJSC,0.00%,AEF000201010,,, Actavis Funding SCS 3.4500% 03-15-22,0.00%,US00507UAR23,,, Freddie Mac GoldPool 3 01-SEP-27 S,0.00%,Freddie Mac GoldPool 3 01-SEP-27 S,,, COMM 2012-CR4 A3 2.8530% 10-15-45,0.00%,US12624QAR48,,, Fannie Mae Pool 3 01-MAR-46 N,0.00%,Fannie Mae Pool 3 01-MAR-46 N,,, UBSBB 2013-C5 A4 3.1847% 03-10-46,0.00%,US90270YBF51,,, PROVINCE OF QUEBEC DEB SER OS,0.00%,CA748148QJ59,,, EATON 2007-10X A1 3MEUR+24BP,0.00%,XS0290036705,,, GSMS 14-GC20 D  144A 4.8671% 04-10-47,0.00%,US36252WAE84,,, Morgan Stanley 4.3500% 09-08-26,0.00%,US6174467Y92,,, INSTITUT CREDITO OFICIAL GOV GTD EMTN,0.00%,XS0274980431,,, Comcast Corporation 5.7000% 07-01-19,0.00%,US20030NAZ42,,, BP Capital Mark RegS 1.9530% 03-03-25,0.00%,XS1375957294,,, COMM 2012-LC4 A4 3.2880% 12-10-44,0.00%,US126192AD55,,, MSC 2012-C4 A4 3.2440% 03-15-45,0.00%,US61760VAP85,,, ANZ IRS 30/03/2020,0.00%,ANZ5167S,,, GNMA I Pool 5 15-APR-40 S,0.00%,GNMA I Pool 5 15-APR-40 S,,, GSMS 2015-GC30 A4 3.3820% 05-10-50,0.00%,US36250GAP00,,, WellPoint Inc 4.6500% 01-15-43,0.00%,US94973VBB27,,, WFRBS 2012-C6 D 144A 5.5609% 04-15-45,0.00%,US92936QAS75,,, Ace INA Hldgs Inc 2.3000% 11-03-20,0.00%,US00440EAT47,,, COMM 2014-CR21 A3 3.5280% 12-10-47,0.00%,US12592RBF55,,, Belgium Govt    RgSS 3.7500% 06-22-45,0.00%,BE0000331406,,, Berkshire Hathaway 1.1250% 03-16-27,0.00%,XS1200679071,,, CMLTI 2005-6 A2 1YCMT+215,0.00%,US17307GXQ62,,, Ginnie Mae II Pool 4.5 01-APR-46 SS,0.00%,Ginnie Mae II Pool 4.5 01-APR-46 SS,,, PETROBRAS GLOBAL FINANCE BD,0.00%,US71645WAM38,,, COMM 2014-UBS4 A5 3.6940% 08-10-47,0.00%,US12591QAR39,,, COMM 2013-CR9 A3 4.0220% 07-10-45,0.00%,US12625UBB89,,, Petroleos Mexicanos 3.5000% 01-30-23,0.00%,US71654QBG64,,, Freddie Mac GoldPool 4.5 01-MAR-41 MS,0.00%,Freddie Mac GoldPool 4.5 01-MAR-41 MS,,, SAGB 2030 8.0000% 01-31-30,0.00%,ZAG000106998,,, Fannie Mae Pool 4.5 01-MAR-30 VS,0.00%,Fannie Mae Pool 4.5 01-MAR-30 VS,,, Gen Motors Financial 3.7000% 11-24-20,0.00%,US37045XBD75,,, Quebec Province 2.6250% 02-13-23,0.00%,US748149AG65,,, Credit Agricole RgSS 2.3750% 05-20-24,0.00%,XS1069521083,,, COMM 2013-CR10 A4 4.2100% 08-10-46,0.00%,US12626BAD64,,, Fannie Mae Pool 6.5 01-OCT-39 S,0.00%,Fannie Mae Pool 6.5 01-OCT-39 S,,, Fannie Mae Pool 6.5 01-SEP-36 VS,0.00%,Fannie Mae Pool 6.5 01-SEP-36 VS,,, Deutsche Tele I RegS 1.5000% 04-03-28,0.00%,XS1382791975,,, CGCMT 2007-C6 A4 5.7047% 12-10-49,0.00%,US17311QBK58,,, FNA 2014-M5 FA 1MLIB+35BP,0.00%,US3136AJ2A36,,, LBUBS 2008-C1 A2 6.0841% 04-15-41,0.00%,US50180LAC46,,, Anheu-Busch InbevFin 4.7000% 02-01-36,0.00%,US035242AM81,,, Goldman Sachs Gp Inc 5.2500% 07-27-21,0.00%,US38141GGQ10,,, Freddie Mac GoldPool 4 01-JUL-26 VS,0.00%,Freddie Mac GoldPool 4 01-JUL-26 VS,,, INWD 2006-1A A1A 3MLIB+22.5BP 144A,0.00%,US46186GAA13,,, Fannie Mae Pool 2 01-MAY-28 MS,0.00%,Fannie Mae Pool 2 01-MAY-28 MS,,, PANTH V-A A1 6MEUR+28.6BP 144A,0.00%,XS0308597748,,, Freddie Mac GoldPool 5 01-AUG-37 VS,0.00%,Freddie Mac GoldPool 5 01-AUG-37 VS,,, Valeo           RegS 1.6250% 03-18-26,0.00%,FR0013139482,,, ROMANI          RgSS 4.6250% 09-18-20,0.00%,XS0972758741,,, CWHL 2005-2 2A1 1MLIB+32,0.00%,US12669GPR64,,, WFRBS 2013-C15 A3 3.8810% 08-15-46,0.00%,US92938CAC10,,, Poland Government 5.1250% 04-21-21,0.00%,US857524AA08,,, SAMI 2005-AR5 A2 1MLIB+25,0.00%,US86359LPE38,,, CADOG 3X A 6MEUR + 23BP,0.00%,XS0277185400,,, BRITISH TELECOM PLC GLBL SR UNSECURED,0.00%,US111021AE12,,, ONTARIO (PROVINCE OF),0.00%,CA68323ABR47,,, UBSBB 2012-C3 A4 3.0910% 08-10-49,0.00%,US90349DAD49,,, Fannie Mae Pool 4.5 01-AUG-26 S,0.00%,Fannie Mae Pool 4.5 01-AUG-26 S,,, GSMS 12-ALOH A 144A 3.5510% 04-10-34,0.00%,US36192HAA23,,, Denmark Kingdom 1.7500% 11-15-25,0.00%,DK0009923138,,, US Treasury N/B 2.2500% 11-15-25,0.00%,US912828M565,,, SILVERSTONE MASTER ISS A3 REGS,0.00%,XS0462896688,,, Denmark Kingdom 4.5000% 11-15-39,0.00%,DK0009922320,,, GOLDK 2007-2A A 144A 3MLIB+24BP,0.00%,US381096AA49,,, COMM 2015-3BP A 144A 3.1780% 02-10-35,0.00%,US12592TAA34,,, WFRBS 2012-C10 A3 2.8750% 12-15-45,0.00%,US92890NAU37,,, Quebec Province 3.5000% 07-29-20,0.00%,US748148RU93,,, Charter Comm    144A 3.5790% 07-23-20,0.00%,US161175AK05,,, SLKRD 2012-1 A 3MGBP + 135BP,0.00%,XS0811595130,,, DRYD 2006-11A A2A 3MLIB+24BP,0.00%,US26249WAB19,,, CGCMT 2015-GC31 A4 3.7620% 06-10-48,0.00%,US17323YAD13,,, WAMU 2004-AR9 A1 ARM WM34 WC4.7072,0.00%,US92922FWE41,,, MLCFC 2007-5 AM 5.4190% 08-12-48,0.00%,US55312YAG70,,, CSMC 2007-C3 A4 5.6994% 06-15-39,0.00%,US22544QAE98,,, Fannie Mae Pool 5.5 01-JUN-37 VS,0.00%,Fannie Mae Pool 5.5 01-JUN-37 VS,,, Fannie Mae Pool 4.5 01-JAN-25 VS,0.00%,Fannie Mae Pool 4.5 01-JAN-25 VS,,, SFAVE 2015-5AV  144A 4.1440% 01-05-43,0.00%,US78413MAE84,,, SEMT 2003-4 2A1 AFC 1MLI+35,0.00%,US81743PBW59,,, General Electric Cap 4.6250% 01-07-21,0.00%,US36962G4Y78,,, GNMA I Pool 5.5 15-SEP-35 VS,0.00%,GNMA I Pool 5.5 15-SEP-35 VS,,, BANCO ESPIRITO SANTO SA SR UNSEC *DEF*,0.00%,PTBENKOM0012,,, COMM 2015-CR23 A4 3.4970% 05-10-48,0.00%,US12593ABA25,,, JPMMT 2006-A3 7A1 WM35 WC4.8302 ARM,0.00%,US46628KAV26,,, SMHL 2009-2 A,0.00%,AU3FN0009189,,, COMM 2015-DC1 A5 3.3500% 02-10-48,0.00%,US12629NAF24,,, WFMBS 2005-AR1 *1A1* 2.7646% 02-25-35,0.00%,WFMBS 2005-AR1 *1A1* 2.7646% 02-25-35,,, GSMS 2014-GC18 A4 4.0740% 01-10-47,0.00%,US36252RAM16,,, CSAIL 2015-C3 A4 3.7182% 08-15-48,0.00%,US12635FAT12,,, CYBG PLC CDI,0.00%,AU000000CYB7,,, HIL 13HLF *DFL* 144A 3.1910% 11-05-30,0.00%,US43289UAJ43,,, WFRBS 11-C4 A4 144A 4.9020% 06-15-44,0.00%,US92936CAJ80,,, Petroleos Mexicanos 4.8750% 01-18-24,0.00%,US71654QBH48,,, FSPC T-63 1A1 12MTA+120,0.00%,US31395M2F53,,, COMM 2012-CR3 A3 2.8220% 10-15-45,0.00%,US12624PAE51,,, United Overseas Bank Limited (SGD),0.00%,United Overseas Bank Limited (SGD),,, Petroleos Mexic RgSS 6.8750% 08-04-26,0.00%,US71656MBK45,,, Peru Republic 7.1250% 03-30-19,0.00%,US715638AW21,,, Avivasa Emeklili,0.00%,TRECUHE00018,,, Korea Treasury Bond 2.7500% 12-10-44,0.00%,KR103502G4C9,,, JPMBB 2014-C23 XA 0.8719% 09-15-47,0.00%,US46643ABG76,,, WFMBS 2006-AR8 1A1 ARM,0.00%,US94983VAA35,,, JPMBB 2015-C27 A4 3.1794% 02-15-48,0.00%,US46644ABF84,,, SARM 2004-4 3A2 ARM WM34 WC5.38,0.00%,US86359BNU16,,, Goldman Sachs Gp Inc 2.7500% 09-15-20,0.00%,US38141GVP61,,, Freddie Mac GoldPool 3.5 01-AUG-26 S,0.00%,Freddie Mac GoldPool 3.5 01-AUG-26 S,,, COMM 2015-CR27 A4 3.6120% 10-10-48,0.00%,US12635QBG47,,, MSBAM 2014-C19 A4 3.5260% 12-15-47,0.00%,US61764PBU57,,, WAMU 2004-AR1 A ARM,0.00%,US92922FLD86,,, Access Bank Plc,0.00%,US00433P1012,,, Ginnie Mae II Pool 3 01-APR-46 SS,0.00%,Ginnie Mae II Pool 3 01-APR-46 SS,,, BANCO ESPIRITO SANTO SA **DEF**,0.00%,PTBENJOM0015,,, Freddie Mac GoldPool 3 01-FEB-46 N,0.00%,Freddie Mac GoldPool 3 01-FEB-46 N,,, JPMMT 2007-A1 5A5 ARM,0.00%,US46630GAV77,,, Quebec Province 3.0000% 09-01-23,0.00%,CA74814ZEP41,,, WAMU 2006-AR5A 1A2A 12MTA+98,0.00%,US93362YAB83,,, WFCM 2015-NXS1 D 4.1047% 05-15-48,0.00%,US94989HBM16,,, Bank Pekao,0.00%,PLPEKAO00016,,, CSAIL 2015-C3 D 3.3614% 08-15-48,0.00%,US12635FBA12,,, HSAME 2006-IIX A1 6MEUR + 24BP,0.00%,XS0280863423,,, Bank Hapoalim B.M.,0.00%,Bank Hapoalim B.M.,,, BSCMS 2007-PW16 A4 5.7209% 06-11-40,0.00%,US07388YAE23,,, BSARM 2005-2 A2 1MLIB+195,0.00%,US07384M7D88,,, MRFC 2000-TBC3 A1 AS 1MLIB+44,0.00%,US585525EN47,,, Switzerland Gov RgSS 3.5000% 04-08-33,0.00%,CH0015803239,,, Anheu-Busch InbevFin 4.9000% 02-01-46,0.00%,US035242AN64,,, WFRBS 2014-LC14 XA 1.4160% 03-15-47,0.00%,US96221TAH05,,, CSFB 2005-C2 AMFX 4.8770% 04-15-37,0.00%,US225458RW03,,, FN ARM 652259 H15T1Y+235 11.6,0.00%,US31390PTQ09,,, JPMCC 2007-C1 A4 5.7160% 02-15-51,0.00%,US46630DAD49,,, Canary Wharf Fi RgSS 6.4550% 04-22-30,0.00%,XS0112279616,,, WFMBS 2006-AR6 7A1 WM35 WC5.3725 ARM,0.00%,US94983TAN00,,, FNA 2012-M8 X1 IO WM19 WC4.801051,0.00%,US3136A7ML32,,, GECMC 2007-C1 AM 5.6060% 12-10-49,0.00%,US36159XAH35,,, CGCMT 2015-GC35 A4 3.8180% 11-10-48,0.00%,US17324KAP30,,, FN ARM 920773 US0012M+238 10.005,0.00%,US31412B6J69,,, GNMA I Pool 6 15-AUG-38 S,0.00%,GNMA I Pool 6 15-AUG-38 S,,, Ginnie Mae II Pool 2.5 20-NOV-42 MS,0.00%,Ginnie Mae II Pool 2.5 20-NOV-42 MS,,, JPMBB 2015-C32 A5 3.5982% 11-15-48,0.00%,US46590JAW71,,, MSC 2008-T29 D  144A 6.2682% 01-11-43,0.00%,US61757LAN01,,, MSBAM 2012-C5 A4 3.1760% 08-15-45,0.00%,US61761AAZ12,,, MSBAM 2013-C8 A4 3.1340% 12-15-48,0.00%,US61761QAE35,,, COMM 2015-LC19 A4 3.1830% 02-10-48,0.00%,US200474BC73,,, MARCH 5 A 3MEUR+40BP,0.00%,IT0004825417,,, Freddie Mac GoldPool 3.5 01-SEP-28 MS,0.00%,Freddie Mac GoldPool 3.5 01-SEP-28 MS,,, FNR 2007-39 *GI* 6.3070% 05-25-37,0.00%,US31396VSV17,,, Canary Wharf Fi RgSS 5.9520% 01-22-35,0.00%,XS0130681512,,, COMM 2015-PC1 A5 3.9020% 07-10-50,0.00%,US12593GAF90,,, WFRBS 2011-C5 A4 3.6670% 11-15-44,0.00%,US92936JBB98,,, FNR 2004-11 A 1MLIBOR+12,0.00%,US31393T7H31,,, JLL BNZ Operating A/C,0.00%,JLL BNZ Operating A/C,,, Ginnie Mae II Pool 3.5 20-FEB-46 N,0.00%,Ginnie Mae II Pool 3.5 20-FEB-46 N,,, CSAIL 2015-C2 XA 0.8983% 06-15-57,0.00%,US12634NAV01,,, Fannie Mae Pool 3 01-MAR-36 N,0.00%,Fannie Mae Pool 3 01-MAR-36 N,,, WAMU 2002-AR2 A D11COF+125BP,0.00%,US929227LE40,,, AT&T INC 3.4000% 05-15-25,0.00%,US00206RCN08,,, Freddie Mac GoldPool 3 01-OCT-45 N,0.00%,Freddie Mac GoldPool 3 01-OCT-45 N,,, FSPC T-62 1A1 12MTA+120,0.00%,US31395HHV50,,, SEMT 5-A 1MOLIB+35,0.00%,US81743WAA99,,, WAMU 2005-AR13 A1A 1MLIB+29,0.00%,US92922F4M79,,, COMM 2014-CR14 XA 0.8619% 02-10-47,0.00%,US12630DAZ78,,, Fannie Mae Pool 5.5 01-APR-37 VS,0.00%,Fannie Mae Pool 5.5 01-APR-37 VS,,, HVMLT 2003-1 A ARM WM33 WC5.1757,0.00%,US41161PBM41,,, FRBPT 2001 FRBI-A 1MOLIB+35,0.00%,US336161AZ77,,, FN ARM 795297 12MTA+120 8.496,0.00%,US31405PRS10,,, SBAP 2005-20J 1,0.00%,US83162CPV99,,, WAMMS 2003-AR3 2A2 ARM WM33 WC5.41,0.00%,US939336G495,,, ROMANI          RgSS 3.6250% 04-24-24,0.00%,XS1060842975,,, AHM 2004-3 5A 12MLIBOR+150,0.00%,US02660TBP75,,, BNZ IRS 01/04/2018,0.00%,BNZ1244S,,, CALIFORNIA RESOURCES CRP SR UNSEC,0.00%,US13057QAF46,,, WFCM 2015-LC22 A4 3.8390% 09-15-58,0.00%,US94989TAZ75,,, FN ARM 735632 US0012M+157.2 9.994,0.00%,US31402RHH57,,, FH ARM 781047 H15T1Y+222.4 9.267,0.00%,US31349SEU33,,, COMM 2013-CR6 A4 3.1010% 03-10-46,0.00%,US12624XAD03,,, FN ARM 722981 H15T1Y+215.2 9,0.00%,US31402AFW18,,, FN ARM 635156 H15T1Y+200 10.284,0.00%,US31389TTM44,,, Fannie Mae Pool 4 01-JAN-41 S,0.00%,Fannie Mae Pool 4 01-JAN-41 S,,, SARM 2004-1 4A1 WM34 WC5.5718 ARM,0.00%,US86359BGF22,,, MEFA 2008-1 A1 3MLIB+95,0.00%,US57563NAA63,,, WFRBS 2012-C6 A4 3.4400% 04-15-45,0.00%,US92936QAG38,,, JPMBB 2015-C29 A4 3.6108% 05-15-48,0.00%,US46644RAZ82,,, US Dollar Curr Fwd (USD) 21-OCT-16,0.00%,US Dollar Curr Fwd (USD) 21-OCT-16,,, CGCMT 2015-GC29 A4 3.1920% 04-10-48,0.00%,US17323VAZ85,,, MLMI 2003-A2 1A1 ARM WM32 WC 5.263,0.00%,US589929M704,,, FN ARM 693320 H15T1Y+216.6 9.507,0.00%,US31400PG588,,, ANZ IRS 30/03/2019,0.00%,ANZ5192S,,, MSC 2006-T21 D  144A 5.3321% 10-12-52,0.00%,US617451CX53,,, FNR 2006-5 3A2 WM32 WC5.9547,0.00%,US31394VL730,,, NYKREDIT REALKREDIT AS,0.00%,DK0009506107,,, COMM 2015-PC1 A4 3.6200% 07-10-50,0.00%,US12593GAE26,,, Fannie Mae Pool 6 01-MAY-21 VS,0.00%,Fannie Mae Pool 6 01-MAY-21 VS,,, GNMA I Pool 4.5 15-APR-35 VS,0.00%,GNMA I Pool 4.5 15-APR-35 VS,,, CWCI 2006-C1 AM 5.2540% 08-15-48,0.00%,US190749AH48,,, BSARM 2004-2 23A ARM WM34 WC4.9227,0.00%,US07384MN579,,, CMLTI 2005-6 A1 1YCMT+210,0.00%,US17307GXP89,,, BSARM 2003-7 6A WM33 WC4.979 ARM,0.00%,US07384MYW62,,, JPMMT 2003-A2 3A1 WM33 WC4.7754 ARM,0.00%,US466247AZ62,,, SBAP 2000-20K 1 PASS THRU,0.00%,US83162CLC54,,, Fannie Mae Pool 6.5 01-AUG-37 VS,0.00%,Fannie Mae Pool 6.5 01-AUG-37 VS,,, WAMU 2005-AR2 2A1A 1MLIB+31,0.00%,US92922FD213,,, GSMS 2013-GC13 XA 0.2713% 07-10-46,0.00%,US36198EAG08,,, Fannie Mae Pool 3.5 01-MAR-32 S,0.00%,Fannie Mae Pool 3.5 01-MAR-32 S,,, Fannie Mae Pool 4.5 01-APR-25 VS,0.00%,Fannie Mae Pool 4.5 01-APR-25 VS,,, COMM 2014-CR14 A4 4.2360% 02-10-47,0.00%,US12630DAY04,,, Fannie Mae Pool 3 01-JUN-27 S,0.00%,Fannie Mae Pool 3 01-JUN-27 S,,, GSMS 11-GC5 XA 144A 1.6157% 08-10-44,0.00%,US36191YAA64,,, WFMBS 2005-AR11 1A1 WM33 WC4.8745 ARM,0.00%,US94982RAA32,,, AT&T INC 3.6000% 02-17-23,0.00%,US00206RCS94,,, WFRBS 2013-C11 A5 3.0710% 03-15-45,0.00%,US92937EAZ79,,, Ginnie Mae II Pool 3 20-FEB-46 N,0.00%,Ginnie Mae II Pool 3 20-FEB-46 N,,, JPMMT 2007-A1 3A3 ARM WM35 WC5.26,0.00%,US46630GAJ40,,, Fannie Mae Pool 2.5 01-MAY-45 N,0.00%,Fannie Mae Pool 2.5 01-MAY-45 N,,, WAMU 2003-AR1 A5 ARM WM33 WC5.22,0.00%,US939336PB38,,, SELL JPY:BUY NZD JPY 23/06/2016,0.00%,SELL JPY:BUY NZD JPY 23/06/2016,,, MSC 2006-T21 E  144A 5.3321% 10-12-52,0.00%,US617451CY37,,, Fannie Mae Pool 6.5 01-SEP-26 VS,0.00%,Fannie Mae Pool 6.5 01-SEP-26 VS,,, FH ARM 780431 H15T1Y+222.3 9.68,0.00%,US31342APQ66,,, CWHL 2004-22 A3 ARM WM34 WC5.34,0.00%,US12669F6Z19,,, GSMS 2014-GC20 A5 3.9980% 04-10-47,0.00%,US36252WAX65,,, COMM 2014-CR19 A5 3.7960% 08-10-47,0.00%,US12592GBD43,,, JPMBB 2014-C21 A5 3.7748% 08-15-47,0.00%,US46642EAY23,,, BACM 2015-UBS7 A4 3.7050% 09-15-48,0.00%,US06054AAX72,,, GSR 2003-1 A2 1YRCMT+175,0.00%,US36229RJJ95,,, Freddie Mac GoldPool 3.5 01-JUN-33 MS,0.00%,Freddie Mac GoldPool 3.5 01-JUN-33 MS,,, Freddie Mac GoldPool 3.5 01-JAN-29 MS,0.00%,Freddie Mac GoldPool 3.5 01-JAN-29 MS,,, SAMI 2004-AR3 1A2 AFC 1MLIB+29,0.00%,US86359LBY48,,, CGCMT 2015-GC29 A3 2.9350% 04-10-48,0.00%,US17323VAY11,,, SAMI 2003-AR1-A3 1MOLIB+42,0.00%,US86358HRX97,,, Fannie Mae Pool 4.5 01-JUL-20 VS,0.00%,Fannie Mae Pool 4.5 01-JUL-20 VS,,, Fannie Mae Pool 3 01-AUG-27 S,0.00%,Fannie Mae Pool 3 01-AUG-27 S,,, Fannie Mae Pool 5.5 01-SEP-34 VS,0.00%,Fannie Mae Pool 5.5 01-SEP-34 VS,,, GNMA I Pool 5 15-JUL-40 S,0.00%,GNMA I Pool 5 15-JUL-40 S,,, Freddie Mac GoldPool 6.5 01-SEP-26 VS,0.00%,Freddie Mac GoldPool 6.5 01-SEP-26 VS,,, SARM 2004-12 7A1 WM34 WC5.4668 ARM,0.00%,US863579AV05,,, WFRBS 2014-C19 A5 4.1010% 03-15-47,0.00%,US92938VAQ86,,, GNMA I Pool 5 15-NOV-39 S,0.00%,GNMA I Pool 5 15-NOV-39 S,,, WODST I A 6MEUR + 25BP,0.00%,XS0229677546,,, WFRBS 2014-C21 A5 3.6780% 08-15-47,0.00%,US92939FAU30,,, COMM 2012-CR1 A3 3.3910% 05-15-45,0.00%,US12624BAC00,,, Freddie Mac GoldPool 6.5 01-OCT-26 VS,0.00%,Freddie Mac GoldPool 6.5 01-OCT-26 VS,,, FNMA TBA 3.5% JUN 30YR,0.00%,US01F0326664,,, FN ARM 800171 US0012M+138 9.956,0.00%,US31405U6G90,,, Fannie Mae Pool 5.5 01-MAY-34 VS,0.00%,Fannie Mae Pool 5.5 01-MAY-34 VS,,, CWHL 2005-R2 1AF1 VA 1ML+34 144A,0.00%,US12669GN644,,, BSCMS 2006-T22 AJ 5.7278% 04-12-38,0.00%,US07387BFV09,,, Fannie Mae Pool 5 01-JAN-19 VS,0.00%,Fannie Mae Pool 5 01-JAN-19 VS,,, Fannie Mae Pool 5.5 01-APR-34 VS,0.00%,Fannie Mae Pool 5.5 01-APR-34 VS,,, FN ARM 915531 H15T1Y+224.6 10.641,0.00%,US31411VEC90,,, FN ARM 545953 H15T1Y+226.4 10.504,0.00%,US31385JQE19,,, GNMA I Pool 4.5 15-SEP-33 VS,0.00%,GNMA I Pool 4.5 15-SEP-33 VS,,, Fannie Mae Pool 5 01-DEC-18 VS,0.00%,Fannie Mae Pool 5 01-DEC-18 VS,,, Fannie Mae Pool 5.5 01-MAR-34 VS,0.00%,Fannie Mae Pool 5.5 01-MAR-34 VS,,, Fannie Mae Pool 5 01-NOV-18 VS,0.00%,Fannie Mae Pool 5 01-NOV-18 VS,,, FN ARM 800158 US0012M+160.1 9.581,0.00%,US31405U5T21,,, GNMA I Pool 5 15-JUN-33 VS,0.00%,GNMA I Pool 5 15-JUN-33 VS,,, GNMA I Pool 5.5 15-JUN-35 VS,0.00%,GNMA I Pool 5.5 15-JUN-35 VS,,, BSARM 2004-2 22A ARM WM34 WC4.917,0.00%,US07384MN322,,, FH ARM 1G0867 US0012M+173.1 10.453,0.00%,US3128NC6C35,,, FNS 347 2 5.0000% 01-25-34,0.00%,US3136FCDE35,,, CSFB 2003-8 5A1 SEQ WM31 WC7.750,0.00%,US22541NX200,,, FNMA TBA 3.0% MAY 30YR,0.00%,US01F0306526,,, Fannie Mae Pool 5 01-JUN-19 VS,0.00%,Fannie Mae Pool 5 01-JUN-19 VS,,, SAMI 2002-AR3-A1 1MOLIB+33,0.00%,US86358HNX34,,, GNMA II TBA 4.0% APR 30YR JMBO,0.00%,US21H0406403,,, ECAR 2013-1 A REGS,0.00%,XS0885855691,,, IMM 2003-9F-A1 AFC 1MLIBOR+40,0.00%,US45254NFL64,,, COMM 2013-CR8 A5 3.6120% 06-10-46,0.00%,US12625KAE55,,, CSFB 2002-P1A A 1MLIB+63 AMBAC,0.00%,US22540VK434,,, Fannie Mae Pool 5 01-AUG-24 VS,0.00%,Fannie Mae Pool 5 01-AUG-24 VS,,, MLMI 2005-A8 A3A2 1MLIB+25,0.00%,US59020UQ408,,, CSFB 2003-AR20 2A1 ARM WM33 WC5.0408,0.00%,US22541QKX96,,, BALTA 2005-4 23A2 AS WM35 WC5.8,0.00%,US07386HSZ54,,, Fannie Mae Pool 5 01-APR-19 VS,0.00%,Fannie Mae Pool 5 01-APR-19 VS,,, Futures SCM USD 0.0000% 05-01-50,0.00%,Futures SCM USD 0.0000% 05-01-50,,, GNMA II TBA 3.5% APR 30YR JMBO,0.00%,US21H0326478,,, WAMU 2003-AR5 A7 ARM WM33 WC 4.9155,0.00%,US929227R651,,, FHLMC TBA GOLD 3.5% MAY 30YR,0.00%,US02R0326535,,, NCHET 2005-1 *A1MZ* 1.0130% 03-25-35,0.00%,US64352VJV45,,, "Skandinaviska Enskilda Banken Securities Services (NOK)",0.00%,"Skandinaviska Enskilda Banken Securities Services (NOK)",,, FNS 340 2 5.0000% 09-25-33,0.00%,US3136FA3A66,,, Freddie Mac GoldPool 4.5 01-FEB-40 S,0.00%,Freddie Mac GoldPool 4.5 01-FEB-40 S,,, WAMU 2002-AR6 A 12MTA+140,0.00%,US929227QB55,,, GNMA I Pool 7 15-MAY-33 VS,0.00%,GNMA I Pool 7 15-MAY-33 VS,,, Fannie Mae Pool 5.5 01-DEC-18 VS,0.00%,Fannie Mae Pool 5.5 01-DEC-18 VS,,, GMACM 2004-AR1 22A ARM WM34 WC4.6971,0.00%,US36185NX705,,, GNMA I Pool 5.5 15-OCT-39 S,0.00%,GNMA I Pool 5.5 15-OCT-39 S,,, FNMA PRE-PAY PENALTY #925162,0.00%,US31412GZ384,,, Fannie Mae Pool 5.5 01-JUL-19 VS,0.00%,Fannie Mae Pool 5.5 01-JUL-19 VS,,, GNMA I Pool 7 15-OCT-28 VS,0.00%,GNMA I Pool 7 15-OCT-28 VS,,, GNMA I Pool 5 15-JUL-33 VS,0.00%,GNMA I Pool 5 15-JUL-33 VS,,, GN II ARM 80187M 07/16 11,0.00%,US36225CF501,,, Futures SCM CAD 0.0000% 05-01-50,0.00%,Futures SCM CAD 0.0000% 05-01-50,,, Fannie Mae Pool 6 01-OCT-26 VS,0.00%,Fannie Mae Pool 6 01-OCT-26 VS,,, Fannie Mae Pool 5 01-MAR-19 VS,0.00%,Fannie Mae Pool 5 01-MAR-19 VS,,, FN ARM 594243 H15T1Y+250.8 12.68,0.00%,US31387UEQ04,,, FNMA TBA 4.0% APR 30YR,0.00%,US01F0406441,,, GMSI 2003-1 A1 ARM WM33 WC4.6479,0.00%,US395387AA13,,, GNMA I Pool 6.5 15-JUN-28 VS,0.00%,GNMA I Pool 6.5 15-JUN-28 VS,,, Fannie Mae Pool 6 01-JAN-33 VS,0.00%,Fannie Mae Pool 6 01-JAN-33 VS,,, Fannie Mae Pool 6.5 01-FEB-26 VS,0.00%,Fannie Mae Pool 6.5 01-FEB-26 VS,,, GNMA I Pool 8 15-NOV-31 VS,0.00%,GNMA I Pool 8 15-NOV-31 VS,,, FH ARM 781867 H15T1Y+199.5 10.602,0.00%,US31349TCC36,,, FNR 2007-40 *SE* 6.0070% 05-25-37,0.00%,US31396VYS14,,, Futures SCM GBP 0.0000% 05-01-50,0.00%,Futures SCM GBP 0.0000% 05-01-50,,, GNMA I Pool 7 15-AUG-28 VS,0.00%,GNMA I Pool 7 15-AUG-28 VS,,, FNMA TBA 4.0% JUN 30YR,0.00%,US01F0406698,,, Fannie Mae Pool 5 01-FEB-18 VS,0.00%,Fannie Mae Pool 5 01-FEB-18 VS,,, GNMA I Pool 6.5 15-DEC-28 VS,0.00%,GNMA I Pool 6.5 15-DEC-28 VS,,, Fannie Mae Pool 5 01-JUN-18 VS,0.00%,Fannie Mae Pool 5 01-JUN-18 VS,,, 6M10YPAY2.50USD0916 EP 2.5000 09-19-16,0.00%,6M10YPAY2.50USD0916 EP 2.5000 09-19-16,,, US Dollar Curr Fwd (USD) 04-APR-16,0.00%,US Dollar Curr Fwd (USD) 04-APR-16,,, RFMSI 2003-S9-A1 SEQ WM31 WC6.96,0.00%,US76111JZ721,,, FN ARM 594245 H15T1Y+238.3 10.651,0.00%,US31387UES69,,, GNMA I Pool 6.5 15-OCT-28 VS,0.00%,GNMA I Pool 6.5 15-OCT-28 VS,,, CALIFORNIA RESOURCES CORP,0.00%,US13057Q1076,,, BSARM 2003-9 2A1 ARM WM33 WC5.1137,0.00%,US07384MB681,,, FNW 2002-W8-F 1MOLIB+40,0.00%,US31392DQ707,,, CSFB 2003-AR18 2A3 WM33 WC5.2935 ARM,0.00%,US22541QFC15,,, Fannie Mae Pool 5 01-AUG-18 VS,0.00%,Fannie Mae Pool 5 01-AUG-18 VS,,, FNMA TBA 3.0% APR 30YR,0.00%,US01F0306450,,, Fannie Mae Pool 5.5 01-FEB-34 VS,0.00%,Fannie Mae Pool 5.5 01-FEB-34 VS,,, BSARM 2003-5 1A2 WM33 WC4.7969 ARM,0.00%,US07384MWG31,,, Fannie Mae Pool 5 01-MAY-19 VS,0.00%,Fannie Mae Pool 5 01-MAY-19 VS,,, GNMA II TBA 4.0% MAY 30YR JMBO,0.00%,US21H0406577,,, Fannie Mae Pool 5.5 01-OCT-32 VS,0.00%,Fannie Mae Pool 5.5 01-OCT-32 VS,,, Fannie Mae Pool 6 01-AUG-21 VS,0.00%,Fannie Mae Pool 6 01-AUG-21 VS,,, JB #342 FWD 04-25-16 0.1000% 03-20-26,0.00%,JB #342 FWD 04-25-16 0.1000% 03-20-26,,, Fannie Mae Pool 5.5 01-JAN-17 VS,0.00%,Fannie Mae Pool 5.5 01-JAN-17 VS,,, Fannie Mae Pool 5 01-FEB-19 VS,0.00%,Fannie Mae Pool 5 01-FEB-19 VS,,, Freddie Mac GoldPool 5.5 01-DEC-18 VS,0.00%,Freddie Mac GoldPool 5.5 01-DEC-18 VS,,, 5M10YPAY0.46JPY0716 EP 0.4613 07-28-16,0.00%,5M10YPAY0.46JPY0716 EP 0.4613 07-28-16,,, Fannie Mae Pool 6 01-SEP-31 VS,0.00%,Fannie Mae Pool 6 01-SEP-31 VS,,, Fannie Mae Pool 6.5 01-DEC-18 VS,0.00%,Fannie Mae Pool 6.5 01-DEC-18 VS,,, GNMA I Pool 8 15-OCT-31 VS,0.00%,GNMA I Pool 8 15-OCT-31 VS,,, Freddie Mac GoldPool 5.5 01-JAN-18 VS,0.00%,Freddie Mac GoldPool 5.5 01-JAN-18 VS,,, FHMS K501 X1A 1.5462% 08-25-16,0.00%,US3137ANLQ65,,, GSR 2003-2F 3A1 WM31 WC7.1,0.00%,US36228FNB84,,, SASC 2002-8A-7A1 WM32 WC4.8711,0.00%,US86358RE294,,, Freddie Mac GoldPool 5.5 01-NOV-18 VS,0.00%,Freddie Mac GoldPool 5.5 01-NOV-18 VS,,, GN II ARM 80393M 07/16 11,0.00%,US36225CNK89,,, Freddie Mac GoldPool 5.5 01-JUL-19 VS,0.00%,Freddie Mac GoldPool 5.5 01-JUL-19 VS,,, Freddie Mac GoldPool 6 01-AUG-17 VS,0.00%,Freddie Mac GoldPool 6 01-AUG-17 VS,,, GN II ARM 80364M 04/16 11,0.00%,US36225CMN38,,, GNMA I Pool 6 15-DEC-28 VS,0.00%,GNMA I Pool 6 15-DEC-28 VS,,, Fannie Mae Pool 5 01-JUL-18 VS,0.00%,Fannie Mae Pool 5 01-JUL-18 VS,,, Fannie Mae Pool 6 01-JUL-21 VS,0.00%,Fannie Mae Pool 6 01-JUL-21 VS,,, GNMA I Pool 6.5 15-SEP-28 VS,0.00%,GNMA I Pool 6.5 15-SEP-28 VS,,, Futures SCM AUD 0.0000% 05-01-50,0.00%,Futures SCM AUD 0.0000% 05-01-50,,, 5M20YPAY1.01JPY0716 EP 1.0100 07-20-16,0.00%,5M20YPAY1.01JPY0716 EP 1.0100 07-20-16,,, Fannie Mae Pool 5 01-DEC-17 VS,0.00%,Fannie Mae Pool 5 01-DEC-17 VS,,, HVMLT 2003-3 2A2 AS 1MLIBOR+37,0.00%,US41161PCM32,,, FNMA TBA 4.0% MAY 30YR,0.00%,US01F0406516,,, GNMA I Pool 8 15-NOV-29 VS,0.00%,GNMA I Pool 8 15-NOV-29 VS,,, Fannie Mae Pool 5.5 01-NOV-32 VS,0.00%,Fannie Mae Pool 5.5 01-NOV-32 VS,,, Freddie Mac GoldPool 6 01-OCT-17 VS,0.00%,Freddie Mac GoldPool 6 01-OCT-17 VS,,, GENERALITAT DE CATALUNYA,0.00%,ES00000950E9,,, Freddie Mac GoldPool 6 01-DEC-27 VS,0.00%,Freddie Mac GoldPool 6 01-DEC-27 VS,,, Fannie Mae Pool 6.5 01-DEC-17 VS,0.00%,Fannie Mae Pool 6.5 01-DEC-17 VS,,, Euro Currency On-Hand,0.00%,Euro Currency On-Hand,,, Fannie Mae Pool 5.5 01-JUN-17 VS,0.00%,Fannie Mae Pool 5.5 01-JUN-17 VS,,, Forint On-Hand,0.00%,Forint On-Hand,,, Zloty On-Hand,0.00%,Zloty On-Hand,,, BANCO ESPIRITO SANTO REG,0.00%,PTBES0AM0007,,, Yen On-Hand,0.00%,Yen On-Hand,,, Deutsche Bundes RgSS 5.5000% 01-04-31,0.00%,DE0001135176,,, Canadian Dollar On-Hand,0.00%,Canadian Dollar On-Hand,,, Pike River Coal Ltd ,0.00%,NZPRCE0001S3,,, FTSE 100 IDX FUT JUN16,0.00%,FTSE 100 IDX FUT JUN16,,, TOPIX INDX FUTR JUN16,0.00%,TOPIX INDX FUTR JUN16,,, SWISS MKT IX FUTR JUN16,0.00%,SWISS MKT IX FUTR JUN16,,, S+P/TSX 60 IX FUT JUN16,0.00%,S+P/TSX 60 IX FUT JUN16,,, TOTAL SA,0.00%,FR0013129921,,, S+P500 EMINI FUT JUN16,0.00%,S+P500 EMINI FUT JUN16,,, SPI 200 FUTURES JUN16,0.00%,SPI 200 FUTURES JUN16,,, EURO STOXX 50 JUN16,0.00%,EURO STOXX 50 JUN16,,, SELL USD:BUY NZD USD 23/06/2016,0.00%,SELL USD:BUY NZD USD 23/06/2016,,, SELL EUR:BUY NZD EUR 23/06/2016,0.00%,SELL EUR:BUY NZD EUR 23/06/2016,,, SELL STG:BUY NZD STG 23/06/2016,0.00%,SELL STG:BUY NZD STG 23/06/2016,,, SELL CHF:BUY NZD CHF 23/06/2016,0.00%,SELL CHF:BUY NZD CHF 23/06/2016,,, SELL CAD:BUY NZD CAD 23/06/2016,0.00%,SELL CAD:BUY NZD CAD 23/06/2016,,, SELL AUD:BUY NZD AUD 23/06/2016,0.00%,SELL AUD:BUY NZD AUD 23/06/2016,,, Euro Currency Curr Fwd (EUR) 28-APR-16,0.00%,Euro Currency Curr Fwd (EUR) 28-APR-16,,, Euro Currency Curr Fwd (EUR) 29-APR-16,0.00%,Euro Currency Curr Fwd (EUR) 29-APR-16,,, BUXL 30YR UBM6 06-16,0.00%,BUXL 30YR UBM6 06-16,,, EURO-BOBL OEM6 06-16,0.00%,EURO-BOBL OEM6 06-16,,, EURO-BUND RXM6 06-16,0.00%,EURO-BUND RXM6 06-16,,, SCHATZ 2Y DUM6 06-16,0.00%,SCHATZ 2Y DUM6 06-16,,, Denmark Krone Curr Fwd (DKK) 29-APR-16,0.00%,Denmark Krone Curr Fwd (DKK) 29-APR-16,,, Norwegian Krone Curr Fwd (NOK) 28-APR-16,0.00%,Norwegian Krone Curr Fwd (NOK) 28-APR-16,,, Norwegian Krone Curr Fwd (NOK) 29-APR-16,0.00%,Norwegian Krone Curr Fwd (NOK) 29-APR-16,,, Swedish Krona Curr Fwd (SEK) 28-APR-16,0.00%,Swedish Krona Curr Fwd (SEK) 28-APR-16,,, Swedish Krona Curr Fwd (SEK) 29-APR-16,0.00%,Swedish Krona Curr Fwd (SEK) 29-APR-16,,, Swiss Franc Curr Fwd (CHF) 28-APR-16,0.00%,Swiss Franc Curr Fwd (CHF) 28-APR-16,,, Swiss Franc Curr Fwd (CHF) 29-APR-16,0.00%,Swiss Franc Curr Fwd (CHF) 29-APR-16,,, Hungarian Forint Curr Fwd (HUF) 28-APR-16,0.00%,Hungarian Forint Curr Fwd (HUF) 28-APR-16,,, Israeli Shekel Curr Fwd (ILS) 27-APR-16,0.00%,Israeli Shekel Curr Fwd (ILS) 27-APR-16,,, Polish Zloty Curr Fwd (PLN) 28-APR-16,0.00%,Polish Zloty Curr Fwd (PLN) 28-APR-16,,, Polish Zloty Curr Fwd (PLN) 29-APR-16,0.00%,Polish Zloty Curr Fwd (PLN) 29-APR-16,,, Russian Ruble Curr Fwd (RUB) 29-APR-16,0.00%,Russian Ruble Curr Fwd (RUB) 29-APR-16,,, South African Rand Curr Fwd (ZAR) 29-APR-16,0.00%,South African Rand Curr Fwd (ZAR) 29-APR-16,,, Turkish Lira (New) Curr Fwd (TRY) 28-APR-16,0.00%,Turkish Lira (New) Curr Fwd (TRY) 28-APR-16,,, Turkish Lira (New) Curr Fwd (TRY) 29-APR-16,0.00%,Turkish Lira (New) Curr Fwd (TRY) 29-APR-16,,, UK Sterling Curr Fwd (GBP) 28-APR-16,0.00%,UK Sterling Curr Fwd (GBP) 28-APR-16,,, UK Sterling Curr Fwd (GBP) 29-APR-16,0.00%,UK Sterling Curr Fwd (GBP) 29-APR-16,,, Pound Sterling On-Hand,0.00%,Pound Sterling On-Hand,,, LONG GILT G M6 06-16,0.00%,LONG GILT G M6 06-16,,, Curr Fwd (CNH) 21-OCT-16,0.00%,Curr Fwd (CNH) 21-OCT-16,,, Indian Rupee Curr Fwd (INR) 28-APR-16,0.00%,Indian Rupee Curr Fwd (INR) 28-APR-16,,, Indian Rupee Curr Fwd (INR) 29-APR-16,0.00%,Indian Rupee Curr Fwd (INR) 29-APR-16,,, Malaysian Ringgit Curr Fwd (MYR) 28-APR-16,0.00%,Malaysian Ringgit Curr Fwd (MYR) 28-APR-16,,, Malaysian Ringgit Curr Fwd (MYR) 29-APR-16,0.00%,Malaysian Ringgit Curr Fwd (MYR) 29-APR-16,,, Singapore Dollar Curr Fwd (SGD) 28-APR-16,0.00%,Singapore Dollar Curr Fwd (SGD) 28-APR-16,,, Singapore Dollar Curr Fwd (SGD) 29-APR-16,0.00%,Singapore Dollar Curr Fwd (SGD) 29-APR-16,,, South Korean Won Curr Fwd (KRW) 29-APR-16,0.00%,South Korean Won Curr Fwd (KRW) 29-APR-16,,, Taiwan Dollar (New) Curr Fwd (TWD) 28-APR-16,0.00%,Taiwan Dollar (New) Curr Fwd (TWD) 28-APR-16,,, Thai Baht Curr Fwd (THB) 28-APR-16,0.00%,Thai Baht Curr Fwd (THB) 28-APR-16,,, Thai Baht Curr Fwd (THB) 29-APR-16,0.00%,Thai Baht Curr Fwd (THB) 29-APR-16,,, Japanese Yen Curr Fwd (JPY) 28-APR-16,0.00%,Japanese Yen Curr Fwd (JPY) 28-APR-16,,, 10MINI JG BJM6 06-16,0.00%,10MINI JG BJM6 06-16,,, JPN 10YR JBM6 06-16,0.00%,JPN 10YR JBM6 06-16,,, US 10YR TYM6 06-16,0.00%,US 10YR TYM6 06-16,,, US 5YR FVM6 06-16,0.00%,US 5YR FVM6 06-16,,, US LONG USM6 06-16,0.00%,US LONG USM6 06-16,,, US ULTRA WNM6 06-16,0.00%,US ULTRA WNM6 06-16,,, Australian Dollar Curr Fwd (AUD) 28-APR-16,0.00%,Australian Dollar Curr Fwd (AUD) 28-APR-16,,, Australian Dollar Curr Fwd (AUD) 29-APR-16,0.00%,Australian Dollar Curr Fwd (AUD) 29-APR-16,,, ACGB 10YR XMM6 06-16,0.00%,ACGB 10YR XMM6 06-16,,, ACGB 3YR YMM6 06-16,0.00%,ACGB 3YR YMM6 06-16,,, Canadian Dollar Curr Fwd (CAD) 28-APR-16,0.00%,Canadian Dollar Curr Fwd (CAD) 28-APR-16,,, Canadian Dollar Curr Fwd (CAD) 29-APR-16,0.00%,Canadian Dollar Curr Fwd (CAD) 29-APR-16,,, CAN 10YR CNM6 06-16,0.00%,CAN 10YR CNM6 06-16,,, New Zealand Dollar Curr Fwd (NZD) 28-APR-16,0.00%,New Zealand Dollar Curr Fwd (NZD) 28-APR-16,,, New Zealand Dollar Curr Fwd (NZD) 29-APR-16,0.00%,New Zealand Dollar Curr Fwd (NZD) 29-APR-16,,, Brazilian Real Curr Fwd (BRL) 03-MAY-16,0.00%,Brazilian Real Curr Fwd (BRL) 03-MAY-16,,, Brazilian Real Curr Fwd (BRL) 04-APR-16,0.00%,Brazilian Real Curr Fwd (BRL) 04-APR-16,,, Chilean Peso Curr Fwd (CLP) 29-APR-16,0.00%,Chilean Peso Curr Fwd (CLP) 29-APR-16,,, Colombian Peso Curr Fwd (COP) 29-APR-16,0.00%,Colombian Peso Curr Fwd (COP) 29-APR-16,,, Mexican Peso Curr Fwd (MXN) 28-APR-16,0.00%,Mexican Peso Curr Fwd (MXN) 28-APR-16,,, Mexican Peso Curr Fwd (MXN) 29-APR-16,0.00%,Mexican Peso Curr Fwd (MXN) 29-APR-16,,, Peru New Sol Curr Fwd (PEN) 29-APR-16,0.00%,Peru New Sol Curr Fwd (PEN) 29-APR-16,,, Fuji Xerox,0.00%,Fuji Xerox,,, Malaysian Ringgit On-Hand,0.00%,Malaysian Ringgit On-Hand,,, FHLMC TBA GOLD 3.5% APR 30YR,0.00%,US02R0326469,,, US Dollar Curr Fwd (USD) 03-MAY-16,0.00%,US Dollar Curr Fwd (USD) 03-MAY-16,,, US Dollar Curr Fwd (USD) 27-APR-16,0.00%,US Dollar Curr Fwd (USD) 27-APR-16,,, FNMA TBA 3.5% APR 30YR,0.00%,US01F0326417,,, Futures SCM JPY 0.0000% 05-01-50,0.00%,Futures SCM JPY 0.0000% 05-01-50,,, FNMA TBA 3.5% MAY 30YR,0.00%,US01F0326581,,, FNMA TBA 4.5% APR 30YR,0.00%,US01F0426407,,, Futures SCM EUR 0.0000% 05-01-50,0.00%,Futures SCM EUR 0.0000% 05-01-50,,, IRS PLN PAY 10 Fixed 2.2550% 06-15-26,0.00%,IRS PLN PAY 10 Fixed 2.2550% 06-15-26,,, Fannie Mae Pool 4.5 01-APR-31 SS,0.00%,Fannie Mae Pool 4.5 01-APR-31 SS,,, IRS HKD PAY 5 Fixed 2.3600% 06-16-26,0.00%,IRS HKD PAY 5 Fixed 2.3600% 06-16-26,,, IRS HKD PAY 5 Fixed 2.3650% 06-16-26,0.00%,IRS HKD PAY 5 Fixed 2.3650% 06-16-26,,, IRS HKD PAY 5 Fixed 2.3550% 06-16-26,0.00%,IRS HKD PAY 5 Fixed 2.3550% 06-16-26,,, IRS HKD PAY 5 Fixed 2.3775% 06-16-26,0.00%,IRS HKD PAY 5 Fixed 2.3775% 06-16-26,,, CMBX.NA.AM.4 0.5000% 02-17-51,-0.01%,CMBX.NA.AM.4 0.5000% 02-17-51,,, Fannie Mae Pool 6 01-APR-46 SS,-0.01%,Fannie Mae Pool 6 01-APR-46 SS,,, JAPANESE GOVT BOND (30Y) #44,-0.01%,JP1300441E92,,, US Dollar Curr Fwd (USD) 28-APR-16,-0.01%,US Dollar Curr Fwd (USD) 28-APR-16,,, IRS HKD PAY 5 Fixed 2.2400% 06-16-26,-0.01%,IRS HKD PAY 5 Fixed 2.2400% 06-16-26,,, Yen,-0.01%,Yen,,, IRS PLN PAY 10 Fixed 2.2900% 06-15-26,-0.02%,IRS PLN PAY 10 Fixed 2.2900% 06-15-26,,, IRS ZAR PAY 1 Fixed 8.0625% 03-15-18,-0.02%,IRS ZAR PAY 1 Fixed 8.0625% 03-15-18,,, IRS ZAR PAY 1 Fixed 8.1560% 03-15-18,-0.02%,IRS ZAR PAY 1 Fixed 8.1560% 03-15-18,,, IRS ZAR PAY 1 Fixed 8.2325% 03-15-18,-0.02%,IRS ZAR PAY 1 Fixed 8.2325% 03-15-18,,, IRS ZAR PAY 1 Fixed 8.3350% 03-15-18,-0.02%,IRS ZAR PAY 1 Fixed 8.3350% 03-15-18,,, IRS USD PAY 10 Fixed 2.1300% 03-16-26,-0.03%,IRS USD PAY 10 Fixed 2.1300% 03-16-26,,, IRS USD PAY Float 0.0000% 06-16-26,-0.03%,IRS USD PAY Float 0.0000% 06-16-26,,, IRS USD PAY 7 Fixed 1.9000% 03-16-23,-0.11%,IRS USD PAY 7 Fixed 1.9000% 03-16-23,,, US Dollar Trade Receivable,-0.17%,US Dollar Trade Receivable,,,