Annual disclosure statement data file,,,,,Notes Name of KiwiSaver scheme,Fisher Funds TWO KiwiSaver Scheme,,,, Name of KiwiSaver fund,Fisher Funds TWO KiwiSaver Scheme Conservative Fund,,,, Period to which disclosure statement relates,31/03/2016,,,, Description of the fund and its investment objectives,"A diversified fund that invests primarily in income assets (cash and fixed interest), with a limited exposure to growth assets (property and trans Tasman and international shares), and, at our discretion, alternative assets and/or derivatives. The investment objective is predominantly to provide capital protection, while also generating a modest level of capital growth over the long term.",,,, Total value of the fund,"112,431,000",,,, Number of members in the fund,7426,,,, 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) ,5.12%,3.88%,,, Annual return (after fund fees and tax at 0% PIR),6.39%,4.57%,,, ,,,,, 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,,4.21%,,, Return for latest complete disclosure year,31/03/2016,3.88%,,, Return for next latest complete disclosure year,31/03/2015,7.32%,,, Return for next latest complete disclosure year,31/03/2014,4.30%,,, Return for next latest complete disclosure year,31/03/2013,7.24%,,, Return for next latest complete disclosure year,31/03/2012,3.09%,,, Return for next latest complete disclosure year,31/03/2011,4.14%,,, Return for next latest complete disclosure year,31/03/2010,13.46%,,, Return for next latest complete disclosure year,31/03/2009,-5.94%,,, 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,1.01%,,,,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,0.85%,,,, Performance-based fees,0.00%,,,, Other fees and costs,0.16%,,,, ,,,,, Membership fees,28.32,,,, ,,,,, Synthetic total expense ratio,1.16%,,,, ,,,,, Actual investment mix [refer r29],,,,, ,% of pie graph,,,, Cash and cash equivalents,12.61%,,,, New Zealand fixed interest,39.48%,,,, International fixed interest,20.82%,,,, Australasian equities,7.94%,,,, International equities,9.86%,,,, Listed property,0.00%,,,, Unlisted property,9.29%,,,, Unknown,0.00%,,,, Other,0.00%,,,, ,,,,, Target investment mix [refer r29],,,,, Cash and cash equivalents,28.00%,,,, New Zealand fixed interest,17.00%,,,, International fixed interest,25.00%,,,, Australasian equities,8.00%,,,, International equities,12.00%,,,, 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,6.54%,Unlisted property,New Zealand,, Cash Deposit (ANZ Bank),4.21%,Cash and cash equivalents,New Zealand,, NZGS 15/03/19 5.00%,3.16%,New Zealand fixed interest,New Zealand,AA+, NZGS 15/04/23 5.50%,2.96%,New Zealand fixed interest,New Zealand,AA+, NZGS 15/04/20 3.00%,2.95%,New Zealand fixed interest,New Zealand,AA+, NZGS 15/05/21 6.00%,2.71%,New Zealand fixed interest,New Zealand,AA+, ASB 03/18 FRN,2.09%,New Zealand fixed interest,New Zealand,AA-, Westpac 03/18/FRN,1.89%,New Zealand fixed interest,New Zealand,AA-, Akl Int Air 4/17 FRN,1.66%,New Zealand fixed interest,New Zealand,A-, Rabobank 05/16 FRN,1.64%,Cash and cash equivalents,New Zealand,A, Total value of 10 highest value assets as a percentage of fund net assets,29.81%,,,, ,,,,, "Liquidity and debt ratios [refer r32,33]",,,,, Liquidity ratio,85.21%,,,, Debt ratio,0.78%,,,, ,,,,, 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,6.54%,Bayfair Mall,,, Cash Deposit (ANZ Bank),4.21%,ANZ 10 A/C - Current Accounts,,, NZGS 15/03/19 5.00%,3.16%,NZGOVDT319C0,,, NZGS 15/04/23 5.50%,2.96%,NZGOVDT423C0,,, NZGS 15/04/20 3.00%,2.95%,NZGOVDT420C6,,, NZGS 15/05/21 6.00%,2.71%,NZGOVD0521C2,,, ASB 03/18 FRN,2.09%,NZABBDT033C2,,, Westpac 03/18/FRN,1.89%,NZWNZD0318L4,,, Akl Int Air 4/17 FRN,1.66%,NZAIADT317L4,,, Rabobank 05/16 FRN,1.64%,NZRABDT013C6,,, NZGS 15/04/27 4.50%,1.63%,NZGOVDT427C1,,, Westpac 10/17 FRN,1.59%,NZWNZD1017L1,,, Fonterra FRN 24/X/17,1.55%,NZFCGDT286C5,,, Westpac 07/17 FRN,1.29%,NZWNZD0717L7,,, Rabobank 05/17 5.38%,1.20%,NZRABDT012C8,,, JAPAN TREASURY DISC BILL #587,1.19%,JP1745871G20,,, ASB 08/18 FRN,1.17%,NZABBDT027C4,,, Kiwibank 11/17 FRN,1.07%,NZKIWD1117L1,,, Kiwibank 04/17 FRN,0.96%,NZKIWD0417L6,,, ANZ Bank 03/19 FRN,0.93%,NZANBDT015C5,,, ANZ 08/03/17 FRN,0.88%,NZANBDG022C6,,, Westpac Banking Corporation Current Account,0.80%,Westpac Banking Corporation Current Account,,, Kiwibank Deposit A/C - Deposit Accounts 26/07/2016,0.79%,Kiwibank Deposit A/C - Deposit Accounts 26/07/2016,,, ASB Bank 03/19 FRN,0.74%,NZABBDT035C7,,, BNZ Bank Deposit A/C - Deposit Accounts 27/05/2016,0.73%,BNZ Bank Deposit A/C - Deposit Accounts 27/05/2016,,, BNZ Bank Deposit A/C - Deposit Accounts 27/07/2016,0.72%,BNZ Bank Deposit A/C - Deposit Accounts 27/07/2016,,, Akl Int A 10/18 FRN,0.71%,NZAIAD1018L8,,, Merivale Mall,0.70%,Merivale Mall,,, BNZ 15/07/16 5.73%,0.68%,NZBNZDT335C8,,, JAPAN TREASURY DISC BILL #593,0.61%,JP1745931G36,,, BNZ 28/03/2018 FRN,0.60%,NZBNZDT365C5,,, F & P Healthcare Crp ,0.57%,NZFAPE0001S2,,, NZGS 14/04/33 3.50%,0.54%,NZGOVDT433C9,,, ANZ 01/12/17 FRN,0.51%,NZANBDG026C7,,, Trnpwr 11/18 5.14%,0.51%,NZ519D1118L9,,, Auck Int Airport Ltd ,0.50%,NZAIAE0002S6,,, TOWER Centre,0.49%,TOWER Centre,,, ANZ Bank Deposit A/C - Deposit Accounts 26/05/2016,0.48%,ANZ Bank Deposit A/C - Deposit Accounts 26/05/2016,,, Spark NZ Limited ,0.48%,NZTELE0001S4,,, ASB 08/06/17 6.06%,0.46%,NZABBDT024C1,,, Port Tau 02/21 4.792,0.44%,NZPOTD0121L7,,, Akl CC 29/09/17 6.52,0.44%,NZMCC050D5L1,,, DANISH KRONER,0.43%,,,, Goodman Fielder,0.43%,Goodman Fielder,,, "State Street Bank and Trust Co., N.A., New York (USD)",0.42%,"State Street Bank and Trust Co., N.A., New York (USD)",,, Ryman Healthcare ,0.42%,NZRYME0001S4,,, Fletcher Building ,0.41%,NZFBUE0001S0,,, URS Centre,0.39%,URS Centre,,, Kiwibank Deposit A/C - Deposit Accounts 24/06/2016,0.39%,Kiwibank Deposit A/C - Deposit Accounts 24/06/2016,,, ANZ Bank Deposit A/C - Deposit Accounts 24/05/2016,0.36%,ANZ Bank Deposit A/C - Deposit Accounts 24/05/2016,,, FED HOME LN BK DISC NT,0.35%,US313384WM76,,, U S TREASURY NOTE,0.35%,US912828VS66,,, BNZ Bank Deposit A/C - Deposit Accounts 13/04/2016,0.34%,BNZ Bank Deposit A/C - Deposit Accounts 13/04/2016,,, WBC 20/09/18 5.545%,0.34%,NZWNZD0918L1,,, Trnpwr 06/22 4.30%,0.34%,NZTRPD0030L3,,, ASB 18/07/18 5.06%,0.33%,NZABBDT026C6,,, Timaru DC 04/20 4.76,0.33%,NZTDCDT016C3,,, Toyota 11/18 4.405%,0.33%,NZTFSDT498C3,,, Meridian Energy Ltd ,0.32%,NZMELE0002S7,,, U S TREASURY INFLATE PROT BD,0.32%,US912828H458,,, MTF Valnt Cl A 07/22,0.31%,NZVTMTFAT019,,, Port Tau 10/19 5.865,0.30%,NZPOTD1019L2,,, Contact Energy Ltd ,0.30%,NZCENE0001S6,,, Infratil Limited ,0.29%,NZIFTE0003S3,,, Transpower House,0.28%,Transpower House,,, U S TREASURY INFLATE PROT BD,0.28%,US912810FR42,,, GMT Bond 06/22 5.00%,0.27%,NZGMBDT003C6,,, Mainfreight Limited ,0.26%,NZMFTE0001S9,,, Spark 03/22 4.50%,0.26%,NZSPFD0322L1,,, Kiwibk 05/20 4.6475%,0.25%,NZKIWD0520L7,,, US Dollar Curr Fwd (USD) 29-APR-16,0.23%,US Dollar Curr Fwd (USD) 29-APR-16,,, Westfield Place,0.21%,Westfield Place,,, ANZ 18/04/18 5.28%,0.21%,NZANBD0006S7,,, EBOS Group Ltd ,0.21%,NZEBOE0001S6,,, JB #330 0.8000% 09-20-23,0.21%,JP1103301D90,,, Freightways Ltd ,0.20%,NZFREE0001S0,,, Summerset Group Ltd ,0.20%,NZSUME0001S0,,, Port of Tauranga ,0.20%,NZPOTE0001S4,,, BNZ 17/12/25 5.314%,0.20%,NZBNZDT383C8,,, APPLE INC,0.20%,US0378331005,,, Rabobank 06/20 4.592,0.20%,NZRABDT014C4,,, JS # 114 0.3000% 09-20-18,0.18%,JP1051141D95,,, Sky City Entertainmt ,0.18%,NZSKCE0001S2,,, IRS USD REC Float 0.63955% 03-16-23,0.18%,IRS USD REC Float 0.63955% 03-16-23,,, Trade Me Group ,0.17%,NZTMEE0003S8,,, JL # 106 2.2000% 09-20-28,0.17%,JP12010618A8,,, Akl IA 09/11/22 4.28,0.17%,NZAIADT200L2,,, U S TREASURY BILLS,0.16%,US912796GH66,,, Mighty River Power ,0.16%,NZMRPE0001S2,,, IRS ZAR REC Float 0.0000% 03-15-18,0.15%,IRS ZAR REC Float 0.0000% 03-15-18,,, Ramsay Health Care ,0.15%,AU000000RHC8,,, Kiwi Property Group ,0.15%,NZKPGE0001S9,,, JX #30 2.3000% 03-20-39,0.15%,JP1300301940,,, Contact 05/18 4.80%,0.15%,NZCEND0518L6,,, ANZ Bank Deposit A/C - Deposit Accounts 22/04/2016,0.15%,ANZ Bank Deposit A/C - Deposit Accounts 22/04/2016,,, US Treasury N/B 0.7500% 12-31-17,0.14%,US912828UE89,,, Trnpwr 02/17 6.595%,0.14%,NZ519D0217L0,,, CASH ACCOUNT (GBP),0.14%,CASH ACCOUNT (GBP),,, US Dollar On-Hand,0.14%,US Dollar On-Hand,,, Allied Pickfords,0.14%,Allied Pickfords,,, Spain Kingdom SRg144 1.9500% 04-30-26,0.13%,ES00000127Z9,,, MICROSOFT CORP,0.13%,US5949181045,,, Italy BTPS    SRg144 4.7500% 09-01-44,0.13%,IT0004923998,,, ANZ 11/05/20 4.48%,0.12%,NZANBDG027C5,,, JX #38 1.8000% 03-20-43,0.12%,JP1300381D38,,, Rabobank 8/10/37 FRN,0.12%,NZRBOD0001S0,,, Goodman Property Tst ,0.12%,NZCPTE0001S9,,, UK Gilt         RgSS 4.7500% 12-07-30,0.12%,GB00B24FF097,,, ITALIAN BTP BOND,0.12%,IT0004513641,,, Sky Network TV Ltd ,0.11%,NZSKTE0001S6,,, Papanui Road,0.11%,Papanui Road,,, Dominos Pizza Enterp ,0.11%,AU000000DMP0,,, CSL Limited ,0.11%,AU000000CSL8,,, Restaurant Brands NZ ,0.11%,NZRBDE0001S1,,, Flight Centre ,0.11%,AU000000FLT9,,, ONTARIO (PROVINCE OF) BD (1500MM),0.11%,CA68323AAW41,,, NYKREDIT REALKREDIT AS,0.10%,DK0009500688,,, Brambles Limited ,0.10%,AU000000BXB1,,, Meridian 03/23 4.53%,0.10%,NZMELDT016C8,,, Ontario Province 3.5000% 06-02-24,0.10%,CA68323ACG72,,, Seek Limited ,0.10%,AU000000SEK6,,, U S TREASURY BOND,0.10%,US912810QU51,,, BNZ 18/06/20 4.426%,0.10%,NZBNZDT380C4,,, Burson Group Limited ,0.10%,AU000000BAP9,,, Ansell Limited ,0.10%,AU000000ANN9,,, BUY NZD:SELL USD NZD 23/06/2016,0.10%,BUY NZD:SELL USD NZD 23/06/2016,,, BARCLAYS BANK PLC - CONTINGENT CAPITAL,0.10%,US06740L8C27,,, UK GILT 4.25 12/07/2040 BD,0.10%,GB00B6460505,,, SLOVENIA GOVT REGS,0.10%,XS0982709221,,, GE Cap Intl Fdg RgSS 0.9640% 04-15-16,0.10%,US36164PFE51,,, Sonic Healthcare Ltd ,0.10%,AU000000SHL7,,, UK Gilt         RgSS 2.0000% 07-22-20,0.10%,GB00BN65R198,,, EXXON MOBIL CORP,0.10%,US30231G1022,,, ITALIAN BTP BOND,0.10%,IT0005001547,,, Henderson Group PLC ,0.10%,AU000000HGG2,,, Resmed Inc ,0.10%,AU000000RMD6,,, Technology One Ltd ,0.10%,AU000000TNE8,,, JB #323 0.9000% 06-20-22,0.09%,JP1103231C62,,, JPMORGAN CHASE & CO UNSEC,0.09%,US46625HMN79,,, Italy BTPS    SRg144 3.5000% 03-01-30,0.09%,IT0005024234,,, Westpac Banking Corp ,0.09%,AU000000WBC1,,, UK GILT 3 1/4% 2044,0.09%,GB00B84Z9V04,,, GENERAL ELECTRIC CO W/D,0.09%,US3696041033,,, National Aust Bank ,0.09%,AU000000NAB4,,, Coca-Cola Amatil ,0.09%,AU000000CCL2,,, Italy BTPS 4.0000% 09-01-20,0.09%,IT0004594930,,, Tox Free Solutions ,0.09%,AU000000TOX6,,, UNITEDHEALTH GROUP INC SR UNSEC,0.09%,US91324PCP53,,, MYOB Limited ,0.09%,AU000000MYO9,,, "Deutsche Bank AG Global Corporate and Financial Institutions (EUR)",0.09%,"Deutsche Bank AG Global Corporate and Financial Institutions (EUR)",,, Ingenia Comm Group ,0.09%,AU000000INA9,,, GOODMAN FUNDING PTY LTD CO GTD 144A,0.09%,US38239FAA75,,, US Treasury N/B 3.0000% 05-15-45,0.09%,US912810RM27,,, Kommunalbanken  144A 1.0000% 03-15-18,0.08%,US50048MAV28,,, Medibank Private Ltd ,0.08%,AU000000MPL3,,, Carsales.com Ltd ,0.08%,AU000000CAR3,,, Euro Stability  RgSS 2.1250% 11-20-23,0.08%,EU000A1U9803,,, NESTLE SA REG,0.08%,CH0038863350,,, CSG Limited ,0.08%,AU000000CSV7,,, ONTARIO (PROVINCE OF),0.08%,CA68323ADM32,,, Kiwibank Deposit A/C - Deposit Accounts 28/04/2016,0.08%,Kiwibank Deposit A/C - Deposit Accounts 28/04/2016,,, U S TREASURY INFLATE PROT BD,0.08%,US912810PZ57,,, FADE - Fondo de Amor 2.2500% 12-17-16,0.08%,ES0378641189,,, FRANCE (GOVT OF) BD,0.08%,FR0010773192,,, ALPHABET INC CL C,0.08%,US02079K1079,,, SPANISH GOVT BD (BONOS Y OBLIG),0.08%,ES00000128C6,,, JB #337 0.3000% 12-20-24,0.08%,JP1103371F10,,, DEUTSCHLAND REP,0.08%,DE0001135325,,, QUALCOMM INC SR UNSEC,0.08%,US747525AE30,,, Nanosonics Limited ,0.08%,AU000000NAN9,,, AMAZON.COM INC,0.08%,US0231351067,,, CDP Financial I 144A 4.4000% 11-25-19,0.08%,US125094AD49,,, Metro Performance Gl ,0.07%,NZMPGE0001S5,,, U S TREASURY BOND,0.07%,US912810QH41,,, "Bank of Tokyo-Mitsubishi UFJ, Ltd. (JPY)",0.07%,"Bank of Tokyo-Mitsubishi UFJ, Ltd. (JPY)",,, FRANCE (GOVT OF),0.07%,FR0010371401,,, Kiwibank Deposit A/C - Deposit Accounts 17/05/2016,0.07%,Kiwibank Deposit A/C - Deposit Accounts 17/05/2016,,, Euro Stability  RgSS 1.2500% 10-15-18,0.07%,EU000A1U98Z1,,, France OAT      RgSS 3.2500% 05-25-45,0.07%,FR0011461037,,, AUB Group Limited ,0.07%,AU000000AUB9,,, JPMORGAN CHASE + CO,0.07%,US46625H1005,,, SLOVENIA GOVT REGS,0.07%,XS0982708926,,, CitiBank AUD Fishers - Current Accounts,0.07%,CitiBank AUD Fishers - Current Accounts,,, JOHNSON + JOHNSON,0.07%,US4781601046,,, NORDEA KREDIT REALKR **PARTIAL CALL**,0.07%,DK0002030683,,, ALPHABET INC CL A,0.07%,US02079K3059,,, France OAT      RgSS 0.5000% 11-25-19,0.07%,FR0011993179,,, ROCHE HOLDING AG GENUSSCHEIN,0.07%,CH0012032048,,, WELLS FARGO + CO,0.07%,US9497461015,,, ANZ 18/09/17 4.89%,0.07%,NZANBDT011C4,,, COMMONWEALTH BANK AUST COVERED SEC EMTN,0.07%,XS0822509138,,, Trnpwr 09/19 4.65%,0.07%,NZTRPD0020L4,,, EUROFIMA AUD UNSUBORDINATED MTN,0.07%,AU300EF20045,,, NOVARTIS AG REG,0.07%,CH0012005267,,, US Treasury N/B 1.5000% 08-31-18,0.07%,US912828RE27,,, Deutsche Bundes RgSS 1.0000% 08-15-25,0.07%,DE0001102382,,, FACEBOOK INC A,0.07%,US30303M1027,,, U S TREASURY INFLATE PROT BD,0.07%,US912828XL95,,, DEXIA CREDIT LOCAL GOV GTD,0.06%,XS1348774644,,, HOME DEPOT INC,0.06%,US4370761029,,, U S TREASURY INFLATE PROT BD,0.06%,US912828WU04,,, MEIJI YASUDA LIFE INSURANCE SUB REGS,0.06%,USJ41838AA14,,, American Honda FRN 1.1171% 10-07-16,0.06%,US02665WAA99,,, Vista Group Intl Ltd ,0.06%,NZVGLE0001S5,,, ING BANK NV COVERED SEC REGS,0.06%,US44986NAA37,,, RABOBANK NEDERLAND SRUNSEC COCO EMTN,0.06%,XS0496281618,,, ROYAL BK SCOTLND GRP PLC,0.06%,XS1382368113,,, COUNCIL OF EUROPE EMTN NT (1MMM),0.06%,XS0671138377,,, Anheu-Busch InbevFin 3.3000% 02-01-23,0.06%,US035242AL09,,, ASB 20/12/17 4.476%,0.06%,NZABBDT025C8,,, Goldman Sachs Gp Inc 3.7500% 05-22-25,0.06%,US38148LAE65,,, SLOVENIA GOVT BOND,0.06%,XS0847086237,,, France OAT      RgSS 2.5000% 05-25-30,0.06%,FR0011883966,,, ZIMMER BIOMET HOLDINGS INC SR UNSEC,0.06%,US98956PAF99,,, SUNRI 2015-2 A 1MEUR + 85P,0.06%,IT0005119562,,, CHEVRON CORP,0.06%,US1667641005,,, BANK OF AMERICA CORP NT MTN,0.06%,US59018YN641,,, FHLMC GOLD 30YR GNT #G0-8666,0.06%,US3128MJW480,,, PFIZER INC,0.06%,US7170811035,,, PEMEX CO GTD REGS SR UNSEC,0.06%,XS1057659838,,, SLOVENIA GOVT BOND,0.06%,XS0927637818,,, CITIGROUP INC SR UNSEC,0.06%,US172967HT16,,, WALT DISNEY CO/THE,0.06%,US2546871060,,, Denmark Kingdom 4.0000% 11-15-17,0.06%,DK0009921942,,, Credit Corp Group ,0.06%,AU000000CCP3,,, PROCTER + GAMBLE CO/THE,0.06%,US7427181091,,, Stride Property Ltd ,0.06%,NZDNZE0001S9,,, Freddie Mac GoldPool 3.5 01-DEC-45 N,0.06%,Freddie Mac GoldPool 3.5 01-DEC-45 N,,, Akl Cnc 03/17 FRN,0.06%,NZAKCDT315C1,,, AT+T INC,0.06%,US00206R1023,,, ALTICE SA SECURED REGS,0.06%,XS1061642317,,, FRANCE (GOVT OF),0.06%,FR0010949651,,, Otp Bank Plc,0.06%,HU0000061726,,, WELLS FARGO & COMPANY SR UNSEC,0.06%,US94974BGP94,,, TRINI 2015-1X A 1MLIB+115BP REGS,0.05%,XS1327103336,,, FNMA PASS THRU 30YR #AR6051,0.05%,US3138W3WM17,,, "State Street Bank and Trust Company, London Branch (GBP)",0.05%,"State Street Bank and Trust Company, London Branch (GBP)",,, BANK OF AMERICA CORP,0.05%,US0605051046,,, COCA COLA CO/THE,0.05%,US1912161007,,, PARGN 13X A1 3MGBP + 24BP,0.05%,XS0272533935,,, Link Administration ,0.05%,AU000000LNK2,,, Regis Healthcare Ltd ,0.05%,AU000000REG6,,, NEW S WALES TREASURY I/L,0.05%,AU3TI0000569,,, TOYOTA MOTOR CORP,0.05%,JP3633400001,,, VISA INC CLASS A SHARES,0.05%,US92826C8394,,, INTEL CORP,0.05%,US4581401001,,, CISCO SYSTEMS INC,0.05%,US17275R1023,,, MANSD 2007-2X A1 3MGBP+65,0.05%,XS0333305299,,, FNMA PASS THRU 30YR #AR1192,0.05%,US3138NXKE62,,, Italy BTPS 0.7000% 05-01-20,0.05%,IT0005107708,,, LLOYDS BANK PLC COVERED EMTN,0.05%,XS0737747211,,, VERIZON COMMUNICATIONS INC,0.05%,US92343V1044,,, Credit Suisse /NY 3.0000% 10-29-21,0.05%,US22546QAR83,,, JL #145 1.7000% 06-20-33,0.05%,JP1201451D66,,, Deutsche Bundes RgSS 4.0000% 01-04-37,0.05%,DE0001135275,,, GILEAD SCIENCES INC,0.05%,US3755581036,,, SLOVENIA GOVT BOND,0.05%,XS0927637495,,, DKFLD 1 A 3MLIB+100BP,0.05%,XS1277627086,,, SAGB R203 8.2500% 09-15-17,0.05%,ZAG000021833,,, MERCK + CO. INC.,0.05%,US58933Y1055,,, UBS AG JR SUB COCO,0.05%,CH0244100266,,, Bank of Ireland RgSS 1.7500% 03-19-19,0.05%,XS1046173958,,, IRS USD REC 5 Fixed 2.1350% 06-16-26,0.05%,IRS USD REC 5 Fixed 2.1350% 06-16-26,,, Nordea Bank Fin RgSS 1.3750% 01-15-20,0.05%,XS0874351728,,, IRS HKD REC Float 0.0000% 06-16-26,0.05%,IRS HKD REC Float 0.0000% 06-16-26,,, HENRY SCHEIN INC,0.05%,US8064071025,,, REALKREDIT DANMARK**PARTIAL CALL**,0.05%,DK0009292393,,, VIRGIN MEDIA SECURED FIN SR SEC REGS,0.05%,XS1207459725,,, UBS AG JERSEY BRANCH SUB REGS EMTN,0.05%,XS0747231362,,, TESORO LOGISTICS LP/CORP GLBL SR UNSEC,0.05%,US88160QAD51,,, Fannie Mae Pool 3.5 01-JAN-46 N,0.05%,Fannie Mae Pool 3.5 01-JAN-46 N,,, CREDIT SUISSE AG UNSEC REGS,0.05%,XS0957135212,,, BAYER AG REG,0.05%,DE000BAY0017,,, COMCAST CORP CLASS A,0.05%,US20030N1019,,, CITIGROUP INC,0.05%,US1729674242,,, ALBA 2015-1 A 1MGBP + 125BP,0.05%,XS1192474978,,, Fannie Mae Pool 3 01-JAN-44 MS,0.05%,Fannie Mae Pool 3 01-JAN-44 MS,,, Samsung Fire and Marine INS,0.05%,"KR7000810002 ",,, Spain Kingdom SRg144 5.8500% 01-31-22,0.05%,ES00000123K0,,, Elec de France  144A 6.5000% 01-26-19,0.05%,US268317AB08,,, France OAT      RgSS 1.0000% 05-25-19,0.05%,FR0011708080,,, INTL BUSINESS MACHINES CORP,0.05%,US4592001014,,, Ooh!Media Limited ,0.05%,AU000000OML6,,, ORACLE CORP,0.05%,US68389X1054,,, KFW GOV GTD MTN,0.05%,AU0000KFWHR2,,, ALLERGAN PLC,0.04%,IE00BY9D5467,,, Can Govt Bond 1.7500% 09-01-19,0.04%,CA135087C855,,, AMERN MUN PWR-A-COMB,0.04%,US02765UEH32,,, Freddie Mac GoldPool 4 15-APR-46 SS,0.04%,Freddie Mac GoldPool 4 15-APR-46 SS,,, BALL 2010-UB5 A4A WM17 WC5.647 144A VAR,0.04%,US05956MAA27,,, AMGEN INC,0.04%,US0311621009,,, MCDONALD S CORP,0.04%,US5801351017,,, KOMMUNALBANKEN AS,0.04%,AU3CB0173748,,, TESCO PLC SR UNSUB EMTN,0.04%,XS0295018070,,, NOVO NORDISK A/S B,0.04%,DK0060534915,,, CREDIT AGRICOLE SA COCO JR SUB,0.04%,USF22797QT87,,, UK Gilt         RgSS 4.5000% 12-07-42,0.04%,GB00B1VWPJ53,,, BANK OF NOVA SCOTIA,0.04%,CA0641491075,,, UNITEDHEALTH GROUP INC,0.04%,US91324P1021,,, AMERICAN WATER WORKS CO INC,0.04%,US0304201033,,, IRS USD REC Float 0.63955% 03-16-26,0.04%,IRS USD REC Float 0.63955% 03-16-26,,, Prologis LP 1.3750% 05-13-21,0.04%,XS1232266665,,, MEDTRONIC PLC,0.04%,IE00BTN1Y115,,, Fannie Mae Pool 4 15-APR-46 SS,0.04%,Fannie Mae Pool 4 15-APR-46 SS,,, TOTAL SA,0.04%,FR0000120271,,, Turk Telekom,0.04%,TRETTLK00013,,, ANHEUSER BUSCH INBEV SA/NV,0.04%,BE0003793107,,, TORONTO DOMINION BANK,0.04%,CA8911605092,,, UK Gilt         RgSS 3.7500% 07-22-52,0.04%,GB00B6RNH572,,, WESTPAC BANKING CORP SEC 144A,0.04%,US96122WAD20,,, BANK OF AMERICA CORP SR UNSEC FRN,0.04%,US06051GFK04,,, APN Outdoor Grp Ltd ,0.04%,AU000000APO2,,, PEPSICO INC,0.04%,US7134481081,,, CRESO 2 A 3MEUR+70BP,0.04%,IT0004842529,,, Italy BTPS 3.5000% 06-01-18,0.04%,IT0004907843,,, Ginnie Mae II Pool 3.5 20-DEC-45 N,0.04%,Ginnie Mae II Pool 3.5 20-DEC-45 N,,, UK Gilt         RgSS 4.2500% 03-07-36,0.04%,GB0032452392,,, PNC Bank NA 2.7000% 11-01-22,0.04%,US69349LAG32,,, France OAT      RgSS 0.5000% 05-25-25,0.04%,FR0012517027,,, Spain Kingdom 0.2500% 04-30-18,0.04%,ES00000127D6,,, REALKREDIT DANMARK***PARTIAL CALL***,0.04%,DK0009292120,,, SPRINT COMMUNICATIONS SR UNSEC,0.04%,US852061AF78,,, STARBUCKS CORP,0.04%,US8552441094,,, MASTERCARD INC CLASS A,0.04%,US57636Q1040,,, U S TREASURY BOND,0.04%,US912810QY73,,, Ford Motor Credit Co 8.0000% 12-15-16,0.04%,US345397VC43,,, PAYPAL HOLDINGS INC,0.04%,US70450Y1038,,, Sanlam Ltd,0.04%,ZAE000070660,,, ITALIAN BTP BOND,0.04%,IT0005162828,,, GLAXOSMITHKLINE PLC,0.04%,GB0009252882,,, PROVINCE OF ALBERTA,0.04%,CA013051DQ75,,, Samsung Electronics Co.,0.04%,KR7005930003,,, BRISTOL MYERS SQUIBB CO,0.04%,US1101221083,,, AIRCRAFT FINANCE CO LTD,0.04%,XS1109951563,,, UNILEVER NV CVA,0.04%,NL0000009355,,, PROVINCE OF ALBERTA,0.04%,CA013051DR58,,, Cie Financement 2.3750% 11-21-22,0.04%,FR0011356997,,, MET LIFE GLOB FUNDING I SEC 144A,0.04%,US59217GBP37,,, U S TREASURY INFLATE PROT BD,0.04%,US912810PS15,,, CVS HEALTH CORP,0.04%,US1266501006,,, CONOCOPHILLIPS,0.04%,US20825C1045,,, BNP PARIBAS FRN SUB SERIES 1,0.04%,FR0010821132,,, FNMA P-T DUS #466507,0.04%,US31381PGQ54,,, ALTRIA GROUP INC GLBL CO GTD,0.04%,US02209SAL79,,, EVERSOURCE ENERGY,0.04%,US30040W1080,,, Fannie Mae Pool 3.5 01-DEC-45 N,0.04%,Fannie Mae Pool 3.5 01-DEC-45 N,,, Spain Kingdom SRg144 4.7000% 07-30-41,0.04%,ES00000121S7,,, NORDEA KREDIT REALKREDIT *PARTIAL CALL*,0.04%,DK0002030337,,, RABOBANK NEDERLAND JR SUB EMTN,0.04%,XS0703303262,,, HSBC HOLDINGS PLC,0.04%,GB0005405286,,, QUALCOMM INC,0.04%,US7475251036,,, BELLSOUTH CORP SR UNSEC 144A,0.04%,US079860AA01,,, UK Gilt         RgSS 3.5000% 01-22-45,0.04%,GB00BN65R313,,, LANDWIRTSCH. RENTENBANK GOV GTD MTN,0.04%,AU3CB0204543,,, BANCO SANTANDER SA,0.04%,ES0113900J37,,, TOTAL FFX Other,0.04%,TOTAL FFX Other,,, CELGENE CORP,0.04%,US1510201049,,, GENERALITAT DE CATALUNYA SR UNSEC,0.04%,ES0000095929,,, FADE - Fondo de RgSS 1.8750% 09-17-17,0.04%,ES0378641197,,, BERKSHIRE HATHAWAY INC CL B,0.04%,US0846707026,,, Fannie Mae Pool 4.5 01-APR-41 MS,0.04%,Fannie Mae Pool 4.5 01-APR-41 MS,,, BHP BILLITON PLC,0.04%,GB0000566504,,, COMMONWEALTH BANK OF AUSTRAL,0.04%,AU000000CBA7,,, HCL Technologies,0.04%,INE860A01027,,, ROYAL BANK OF CANADA,0.04%,CA7800871021,,, Ontario Province 3.4500% 06-02-45,0.04%,CA68323ACC68,,, CF 2014-1A *A*  144A 0.8605% 03-07-26,0.04%,US165182BM79,,, PETROBRAS GLOBAL FINANCE SR UNSEC,0.04%,US71647NAM11,,, CARMX 2015-1 A2 0.8800% 03-15-18,0.04%,US14313WAB81,,, NIKE INC CL B,0.04%,US6541061031,,, Imperial Tobacc RgSS 5.0000% 12-02-19,0.04%,XS0715437140,,, ABBVIE INC,0.04%,US00287Y1091,,, CANADA GOVT REAL RETURN,0.03%,CA135087ZH04,,, BP PLC,0.03%,GB0007980591,,, Spain Kingdom SRg144 1.6000% 04-30-25,0.03%,ES00000126Z1,,, SANOFI,0.03%,FR0000120578,,, VODAFONE GROUP PLC,0.03%,GB00BH4HKS39,,, DAIMLER AG REGISTERED SHARES,0.03%,DE0007100000,,, Metro Bank,0.03%,PHY6028G1361,,, LOWE S COS INC,0.03%,US5486611073,,, BMW Finance NV  RgSS 1.7500% 11-20-17,0.03%,XS0994746617,,, MITSUBISHI CORP,0.03%,JP3898400001,,, AXA 6.2110% 10-29-49,0.03%,XS0323922376,,, ELI LILLY + CO,0.03%,US5324571083,,, PRICELINE GROUP INC/THE,0.03%,US7415034039,,, Philip Morris Intern 2.9000% 11-15-21,0.03%,US718172AL38,,, CATERPILLAR INC,0.03%,US1491231015,,, Switzerland Gov RgSS 2.0000% 05-25-22,0.03%,CH0127181011,,, Thailand Government 3.6500% 12-17-21,0.03%,TH0623031C01,,, MF LTA - A      144A 3.6300% 06-01-29,0.03%,CA628153AA60,,, SK Hynix Inc,0.03%,KR7000660001,,, MARSH + MCLENNAN COS,0.03%,US5717481023,,, Morgan Stanley 3.9500% 04-23-27,0.03%,US61761JZN26,,, MITSUBISHI UFJ FINANCIAL GRO,0.03%,JP3902900004,,, CAN IMPERIAL BK OF COMMERCE,0.03%,CA1360691010,,, ROYAL BANK OF CANADA COVERED SEC,0.03%,US780082AE36,,, BASF SE,0.03%,DE000BASF111,,, THERMO FISHER SCIENTIFIC INC,0.03%,US8835561023,,, Dominion Res Inc 2.7500% 09-15-22,0.03%,US25746UBP30,,, ALLIANZ SE REG,0.03%,DE0008404005,,, ITALY (REP OF) GOVT EMTN,0.03%,XS0089572316,,, Malaysia Government 3.5800% 09-28-18,0.03%,MYBMK1100058,,, SCHLUMBERGER LTD,0.03%,AN8068571086,,, DANAHER CORP W/D,0.03%,US2358511028,,, Switzerland Gov RgSS 3.0000% 01-08-18,0.03%,CH0015221663,,, AIA GROUP LTD,0.03%,HK0000069689,,, IRS PLN REC Float 0.0000% 06-15-26,0.03%,IRS PLN REC Float 0.0000% 06-15-26,,, U S TREASURY NOTE,0.03%,US912828P469,,, TEXAS INSTRUMENTS INC,0.03%,US8825081040,,, NGATE 2007-3X A3 3MGBP+100,0.03%,XS0332288058,,, Spain Kingdom 4.5000% 01-31-18,0.03%,ES00000123Q7,,, JS #109 0.1000% 03-20-18,0.03%,JP1051091D38,,, France BTAN     RgSS 1.0000% 07-25-17,0.03%,FR0120746609,,, CMS ENERGY CORP,0.03%,US1258961002,,, Time Warner Cable In 8.2500% 04-01-19,0.03%,US88732JAS78,,, Powszechny Zaklad ubezpiecze,0.03%,PLPZU0000011,,, Ginnie Mae II Pool 4 15-APR-46 SS,0.03%,Ginnie Mae II Pool 4 15-APR-46 SS,,, EMC CORP/MA,0.03%,US2686481027,,, Freddie Mac GoldPool 3 01-MAR-46 N,0.03%,Freddie Mac GoldPool 3 01-MAR-46 N,,, Caja de Ahorros 4.0000% 02-03-25,0.03%,ES0414950628,,, XCEL ENERGY INC,0.03%,US98389B1008,,, UNILEVER PLC,0.03%,GB00B10RZP78,,, Porto Seguro Sa,0.03%,BRPSSAACNOR7,,, COMUNIDAD DE MADRID,0.03%,ES0000101396,,, MALIN 2007-1A A1 3MEUR + 19.5BP 144A,0.03%,XS0296068975,,, Hutchison Whamp RgSS 3.6250% 10-31-24,0.03%,USG46747AB00,,, Australia Govt  RgSS 5.5000% 04-21-23,0.03%,AU3TB0000101,,, Belgium Govt    RgSS 1.2500% 06-22-18,0.03%,BE0000329384,,, BOEING CO/THE,0.03%,US0970231058,,, AMERICAN INTERNATIONAL GROUP,0.03%,US0268747849,,, AUST AND NZ BANKING GROUP,0.03%,AU000000ANZ3,,, SOCIETE GENERALE SUB,0.03%,XS0867614595,,, Bank of America Corp 5.8750% 01-05-21,0.03%,US06051GEE52,,, ZIMMER BIOMET HOLDINGS INC SR UNSEC,0.03%,US98956PAL67,,, EATON 2007-10X A2 3MLIB + 24BP,0.03%,USG2918QAA07,,, ABBOTT LABORATORIES,0.03%,US0028241000,,, BOSTON SCIENTIFIC CORP SR UNSEC,0.03%,US101137AP29,,, CANADIAN NATL RAILWAY CO,0.03%,CA1363751027,,, SIEMENS AG REG,0.03%,DE0007236101,,, HONDA MOTOR CO LTD,0.03%,JP3854600008,,, Netherlands G SRg144 1.2500% 01-15-19,0.03%,NL0010514246,,, BHP BILLITON LIMITED,0.03%,AU000000BHP4,,, FORTIS INC,0.03%,CA3495531079,,, KYUSHU FINANCIAL GROUP INC,0.03%,JP3246500007,,, LGATE 2007-1 A2B 3MEUR+16BP,0.03%,XS0304504003,,, ROYAL DUTCH SHELL PLC A SHS,0.03%,GB00B03MLX29,,, CHARTER COMM / CCO SEC 144A,0.03%,US161175AN44,,, WIND ACQUISITION FIN SA,0.03%,XS1055940206,,, LLOYDS BANK PLC SR UNSEC,0.03%,US53944VAK52,,, MLCFC 2007-8 A3 WM16 WC5.9865,0.03%,US60688BAD01,,, HONEYWELL INTERNATIONAL INC,0.03%,US4385161066,,, SANTANDER UK GROUP HLDGS SR UNSEC,0.03%,US80281LAC90,,, FGA Capital Ire RgSS 2.8750% 01-26-18,0.03%,XS1021817355,,, DIAGEO PLC,0.03%,GB0002374006,,, ABBEY NATL TREASURY SERV SR UNSEC,0.03%,US002799AY01,,, ROCHE HOLDING INC SR UNSEC 144A,0.03%,US771196BK70,,, CNP ASSURANCES,0.03%,FR0013066388,,, SABMILLER PLC,0.03%,GB0004835483,,, UNION PACIFIC CORP,0.03%,US9078181081,,, CHURCH + DWIGHT CO INC,0.03%,US1713401024,,, DOW CHEMICAL CO W/D,0.03%,US2605431038,,, BNP PARIBAS,0.03%,FR0000131104,,, SAP SE,0.03%,DE0007164600,,, COLGATE PALMOLIVE CO,0.03%,US1941621039,,, NGATE 2007-2X A2 3MGBP + 13BP,0.03%,XS0304279630,,, GOLDMAN SACHS GROUP INC,0.03%,US38141G1040,,, ONTARIO (PROVINCE OF) BD,0.03%,CA68323AAD69,,, Wipro Ltd,0.03%,INE075A01022,,, WESTFIELD CORP,0.03%,AU000000WFD0,,, ABBEY NATL TREASURY SERV SR UNSEC,0.03%,US002799AN46,,, OHIO BUCKEYE TOB ASSET-A-4,0.03%,US118217AU29,,, PRUDENTIAL FINANCIAL INC,0.03%,US7443201022,,, TREAS CORP VICTORIA LOC GOV GTD,0.03%,AU0000XVGZZ0,,, DEUTSCHE TELEKOM AG REG,0.03%,DE0005557508,,, Republic Services 4.7500% 05-15-23,0.03%,US760759AM22,,, GE Cap Intl Fdg RgSS 2.3420% 11-15-20,0.03%,US36164PFF27,,, AMETEK INC,0.03%,US0311001004,,, Aboitiz Power Corp,0.03%,PHY0005M1090,,, STEP 3 AB B 3MSTIB+150BP,0.03%,XS1225175600,,, JS # 122 0.1000% 12-20-19,0.03%,JP1051221EC4,,, NAVSL 2014-CTA A 1MLIB+70BP 144A,0.03%,US63938HAA59,,, Danske Bank A/S RgSS 2.7500% 05-19-26,0.03%,XS1068866950,,, AUBN 9 A 3MGBP + 100BP,0.03%,XS1255066406,,, COSTCO WHOLESALE CORP,0.03%,US22160K1051,,, WALGREENS BOOTS ALLIANCE INC,0.03%,US9314271084,,, Fannie Mae Pool 3.5 01-MAR-46 N,0.03%,Fannie Mae Pool 3.5 01-MAR-46 N,,, Altria Group Inc 4.5000% 05-02-43,0.03%,US02209SAQ66,,, Pou Chen,0.03%,TW0009904003,,, Axis Bank Ltd,0.03%,INE238A01026,,, Ireland Govt 4.5000% 10-18-18,0.03%,IE00B28HXX02,,, T-MOBILE USA INC SR UNSEC,0.03%,US87264AAN54,,, France OAT      RgSS 0.0000% 05-25-20,0.03%,FR0012557957,,, Korea Treasury Bond 2.0000% 03-10-20,0.03%,KR103501G539,,, UBS GROUP AG REG,0.03%,CH0244767585,,, U S TREASURY INFLATE PROT BD,0.03%,US912810PV44,,, FNMA PASS THRU 30YR #AB7059,0.03%,US31417DZZ94,,, Fannie Mae Pool 2.5 01-APR-31 SS,0.03%,Fannie Mae Pool 2.5 01-APR-31 SS,,, AMP/Bayfair Cash,0.03%,AMP/Bayfair Cash,,, Univ CA Taxable 4.6010% 05-15-31,0.03%,US91412GTG00,,, INTER-AMERICAN DEVEL BK SR UNSEC,0.03%,US4581X0CS57,,, Belgium Govt    RgSS 3.0000% 09-28-19,0.03%,BE0000327362,,, OCCIDENTAL PETROLEUM CORP,0.03%,US6745991058,,, COLUMBIA PIPELINE GROUP,0.03%,US1982801094,,, FINLAND (REP OF) 144A,0.03%,US31788DAC83,,, JEFFERIES FIN LLC / JFIN SR UNSEC 144A,0.03%,US47232MAA09,,, RECKITT BENCKISER GROUP PLC,0.03%,GB00B24CGK77,,, BURLINGTN NORTH SANTA FE SR UNSECURED,0.03%,US12189TBA16,,, WAL MART STORES INC,0.03%,US9311421039,,, FORD MOTOR CREDIT CO LLC SR UNSEC,0.03%,US345397WM16,,, WPP PLC,0.03%,JE00B8KF9B49,,, BIOGEN INC,0.03%,US09062X1037,,, ING GROEP NV CVA,0.03%,NL0000303600,,, MONDELEZ INTERNATIONAL INC A,0.03%,US6092071058,,, ZIGGO SECURED FINANCE BV,0.03%,XS1175813655,,, State Street Bank and Trust Company International Deposit Services (CAD),0.03%,State Street Bank and Trust Company International Deposit Services (CAD),,, Can Govt Bond 0.7500% 09-01-20,0.03%,CA135087E596,,, MARATHON OIL CORP,0.03%,US5658491064,,, EXPRESS SCRIPTS HOLDING CO,0.03%,US30219G1085,,, BROADCOM LTD,0.03%,SG9999014823,,, ASTRAZENECA PLC,0.03%,GB0009895292,,, Wells Fargo & Co 3.3000% 09-09-24,0.03%,US94974BGA26,,, NATIONAL GRID PLC,0.03%,GB00B08SNH34,,, AMPHENOL CORP CL A,0.03%,US0320951017,,, JB #314 1.1000% 03-20-21,0.03%,JP1103141B54,,, LVMH MOET HENNESSY LOUIS VUI,0.03%,FR0000121014,,, BAB MEAG TXB-PLT VOGTLE,0.03%,US626207YM09,,, U S TREASURY BOND,0.03%,US912810FB99,,, Austria Repub SRg144 3.6500% 04-20-22,0.03%,AT0000A0N9A0,,, LEEK 18A A2D 3MLIB+13BP 144A,0.03%,US52426KAC62,,, RIO TINTO PLC,0.03%,GB0007188757,,, Mexican Bonos 10.0000% 12-05-24,0.03%,MX0MGO000078,,, 3M CO,0.03%,US88579Y1010,,, SWEDISH GOVERNMENT BD SER 1052,0.03%,SE0002241083,,, AMERICAN EXPRESS CO,0.03%,US0258161092,,, US BANCORP,0.03%,US9029733048,,, SIMON PROPERTY GROUP INC,0.03%,US8288061091,,, Aksa Akrilik Kimya Sanayii,0.03%,TRAAKSAW91E1,,, France OAT      RgSS 0.2500% 11-25-20,0.03%,FR0012968337,,, Skandinaviska Enskilda Banken (SEK),0.03%,Skandinaviska Enskilda Banken (SEK),,, DU PONT (E.I.) DE NEMOURS,0.03%,US2635341090,,, ACCENTURE PLC CL A,0.03%,IE00B4BNMY34,,, DOVER CORP,0.03%,US2600031080,,, COMPAGNIE DE SAINT GOBAIN,0.03%,FR0000125007,,, TJX COMPANIES INC,0.02%,US8725401090,,, SALESFORCE.COM INC,0.02%,US79466L3024,,, GFUND 2014-1 A1 3MBP + 37BP,0.02%,XS1107298710,,, SUNCOR ENERGY INC,0.02%,CA8672241079,,, NTT DOCOMO INC,0.02%,JP3165650007,,, ATLAS COPCO AB A SHS,0.02%,SE0006886750,,, ANALOG DEVICES INC,0.02%,US0326541051,,, Verizon Communctns 3.6500% 09-14-18,0.02%,US92343VBP85,,, ADOBE SYSTEMS INC,0.02%,US00724F1012,,, DELPHI AUTOMOTIVE PLC,0.02%,JE00B783TY65,,, NEXTERA ENERGY INC,0.02%,US65339F1012,,, EATON CORP PLC,0.02%,IE00B8KQN827,,, Royal Bk of Scotland 6.9340% 04-09-18,0.02%,XS0356705219,,, ING Bank NV     144A 3.7500% 03-07-17,0.02%,US449786AQ58,,, BROOKFIELD ASSET MANAGE CL A,0.02%,CA1125851040,,, Yen Trade Receivable,0.02%,Yen Trade Receivable,,, Can Govt Bond 4.0000% 06-01-41,0.02%,CA135087YQ12,,, PARKER HANNIFIN CORP,0.02%,US7010941042,,, U S TREASURY INFLATE PROT BD,0.02%,US912828UH11,,, HJ HEINZ CO UNSEC 144A,0.02%,US423074AZ61,,, COCA COLA ENTERPRISES,0.02%,US19122T1097,,, UNIBAIL RODAMCO SE,0.02%,FR0000124711,,, MIZUHO FINANCIAL GROUP INC,0.02%,JP3885780001,,, WPP Group PLC   RgSS 6.6250% 05-12-16,0.02%,XS0362329517,,, CHUBB LTD,0.02%,CH0044328745,,, INTESA SANPAOLO,0.02%,IT0000072618,,, STARWOOD HOTELS + RESORTS,0.02%,US85590A4013,,, PPL CORP,0.02%,US69351T1060,,, DECO 2015-CHRX A 3MEUR +145BP,0.02%,XS1268588099,,, L OREAL,0.02%,FR0000120321,,, HEINEKEN NV,0.02%,NL0000009165,,, SANDVIK AB,0.02%,SE0000667891,,, BT GROUP PLC,0.02%,GB0030913577,,, TIME WARNER CABLE,0.02%,US88732J2078,,, CLOROX COMPANY,0.02%,US1890541097,,, SCHWAB (CHARLES) CORP,0.02%,US8085131055,,, BANK OF MONTREAL,0.02%,CA0636711016,,, TOKIO MARINE HOLDINGS INC,0.02%,JP3910660004,,, Nongshim Co Ltd,0.02%,KR7072710007,,, TELEFONICA SA,0.02%,ES0178430E18,,, DEXIA CREDIT LOCAL SR UNSEC 144A,0.02%,US25214BAM63,,, ANSTOCK II REGS SR UNSEC,0.02%,XS1087757263,,, TOYOTA INDUSTRIES CORP,0.02%,JP3634600005,,, T ROWE PRICE GROUP INC,0.02%,US74144T1088,,, FIAOT 15-1A A2 144A 1.2100% 04-15-19,0.02%,US32058LAB36,,, GOLDMAN SACHS GROUP INC SR UNSEC,0.02%,US38148LAB27,,, POWER CORP OF CANADA,0.02%,CA7392391016,,, FRESENIUS SE + CO KGAA,0.02%,DE0005785604,,, UNITED PARCEL SERVICE CL B,0.02%,US9113121068,,, BAB CA ST,0.02%,US13063BJC72,,, NORDIC INVESTMENT BANK SR UNSEC MTN,0.02%,AU0000NIBHF9,,, CIE FINANCIERE RICHEMONT REG,0.02%,CH0210483332,,, HSBC HOLDINGS PLC SR UNSEC,0.02%,US404280AK50,,, Caisse Francais RgSS 2.3750% 01-17-24,0.02%,FR0011686401,,, AXA SA,0.02%,FR0000120628,,, KEYENCE CORP,0.02%,JP3236200006,,, Enterprise Prods LP 6.5000% 01-31-19,0.02%,US29379VAC72,,, FCE Bank PLC    RgSS 1.5280% 11-09-20,0.02%,XS1317725726,,, AIR LIQUIDE SA,0.02%,FR0000120073,,, Sweden Govt #1057 1.5000% 11-13-23,0.02%,SE0004869071,,, PUBLIC SERVICE ENTERPRISE GP,0.02%,US7445731067,,, STRYKER CORP,0.02%,US8636671013,,, KRAFT HEINZ CO/THE,0.02%,US5007541064,,, RLOC 2007-1X A3B 3MGBP+16,0.02%,XS0300470365,,, YUM BRANDS INC,0.02%,US9884981013,,, MARSS 2014-1 A1 3MEUR+130BP,0.02%,IT0005023301,,, CAJA DE AHORROS Y MONTE,0.02%,ES0244251007,,, SL GREEN REALTY CORP,0.02%,US78440X1019,,, GENERAL MILLS INC,0.02%,US3703341046,,, U S TREASURY BOND,0.02%,US912810QW18,,, ENEL SPA,0.02%,IT0003128367,,, TRANSURBAN GROUP,0.02%,AU000000TCL6,,, FORD MOTOR CO,0.02%,US3453708600,,, Anadarko Pete Corp 6.3750% 09-15-17,0.02%,US032511BH96,,, SCENTRE GROUP,0.02%,AU000000SCG8,,, CRED SUIS GP FUN LTD SR UNSEC,0.02%,US225433AC55,,, MARRIOTT INTERNATIONAL CL A,0.02%,US5719032022,,, Freddie Mac GoldPool 3 01-AUG-27 S,0.02%,Freddie Mac GoldPool 3 01-AUG-27 S,,, KIMBERLY CLARK CORP,0.02%,US4943681035,,, TIME WARNER INC,0.02%,US8873173038,,, MITSUI + CO LTD,0.02%,JP3893600001,,, INDUSTRIA DE DISENO TEXTIL,0.02%,ES0148396007,,, SCHNEIDER ELECTRIC SE,0.02%,FR0000121972,,, PACCAR INC,0.02%,US6937181088,,, MAGNA INTERNATIONAL INC,0.02%,CA5592224011,,, AIRBUS GROUP SE,0.02%,NL0000235190,,, NATIONAL BANK OF CANADA,0.02%,CA6330671034,,, BAB CA,0.02%,US13063BJB99,,, TEVA PHARMACEUTICAL IND LTD,0.02%,IL0006290147,,, Daimler AG 1.7500% 11-08-17,0.02%,XS0989397921,,, Rabobank NL Utrecht 4.6250% 12-01-23,0.02%,US21684AAA43,,, Anheuser-Busch  RegS 1.5000% 03-17-25,0.02%,BE6285454482,,, MARUBENI CORP,0.02%,JP3877600001,,, KDDI CORP,0.02%,JP3496400007,,, ROCKWELL AUTOMATION INC,0.02%,US7739031091,,, INTUIT INC,0.02%,US4612021034,,, ABB LTD REG,0.02%,CH0012221716,,, GREAT WEST LIFECO INC,0.02%,CA39138C1068,,, WABTEC CORP,0.02%,US9297401088,,, PRUDENTIAL PLC,0.02%,GB0007099541,,, PERNOD RICARD SA,0.02%,FR0000120693,,, BANK OF NEW YORK MELLON CORP,0.02%,US0640581007,,, Abbey Natl Trea RgSS 4.2500% 04-12-21,0.02%,XS0250729109,,, France OAT      RgSS 4.7500% 04-25-35,0.02%,FR0010070060,,, JPMCC 2008-C2 *A4FL* 1.9381% 02-12-51,0.02%,US46632MCA62,,, HELLENIC RAILWAY ORG,0.02%,XS0160208772,,, FIFTH THIRD BANCORP,0.02%,US3167731005,,, TARGET CORP,0.02%,US87612E1064,,, HELLENIC REPUBLIC SR UNSECURED EMTN,0.02%,XS0079012166,,, AMERIPRISE FINANCIAL INC,0.02%,US03076C1062,,, CABMT 2014-1 *A* 0.7862% 03-16-20,0.02%,US126802CU96,,, WEC ENERGY GROUP INC,0.02%,US92939U1060,,, ELECTRICITE DE FRANCE SA SR UNSEC 144A,0.02%,US268317AS33,,, MS+AD INSURANCE GROUP HOLDIN,0.02%,JP3890310000,,, DANONE,0.02%,FR0000120644,,, UNITED TECHNOLOGIES CORP,0.02%,US9130171096,,, P G + E CORP,0.02%,US69331C1080,,, LIBERTY GLOBAL PLC SERIES C,0.02%,GB00B8W67B19,,, BEIERSDORF AG,0.02%,DE0005200000,,, FANUC CORP,0.02%,JP3802400006,,, MONTE DEI PASCHI SIENA COVERED,0.02%,IT0004702251,,, ABN AMRO BANK NV SUB 144A,0.02%,US00080QAF28,,, STATE STREET CORP,0.02%,US8574771031,,, Compass Bank 2.7500% 09-29-19,0.02%,US20451PKN59,,, AETNA INC,0.02%,US00817Y1082,,, BUMF 7X A1 3MGBP + 100BP,0.02%,XS0330211359,,, WELLS FARGO & COMPANY SR UNSEC,0.02%,US949746RS22,,, KELLOGG CO,0.02%,US4878361082,,, Ginnie Mae II Pool 3.5 20-JAN-46 N,0.02%,Ginnie Mae II Pool 3.5 20-JAN-46 N,,, VORNADO REALTY TRUST,0.02%,US9290421091,,, BAYERISCHE MOTOREN WERKE AG,0.02%,DE0005190003,,, SUMITOMO MITSUI FINANCIAL GR,0.02%,JP3890350006,,, ENI SPA,0.02%,IT0003132476,,, DEXIA CREDIT LOCAL SA NY GOV GTD 144A,0.02%,US25215BAP85,,, UnitedHealth Group 2.7000% 07-15-20,0.02%,US91324PCM23,,, CAPITAL ONE FINANCIAL CORP,0.02%,US14040H1059,,, SUMITOMO ELECTRIC INDUSTRIES,0.02%,JP3407400005,,, MORGAN STANLEY,0.02%,US6174464486,,, CMLTI 2005-3 2A2A WM35 WC5.0453,0.02%,US17307GTJ75,,, TAKEDA PHARMACEUTICAL CO LTD,0.02%,JP3463000004,,, ERICSSON LM B SHS,0.02%,SE0000108656,,, Abbey Natl Trea RgSS 1.1250% 01-14-22,0.02%,XS1166160173,,, GE Cap Intl Fdg 144A 2.3420% 11-15-20,0.02%,US36164NFF78,,, ASTELLAS PHARMA INC,0.02%,JP3942400007,,, Bank of America Corp 5.7000% 01-24-22,0.02%,US06051GEM78,,, AIB Mortgage Ba RgSS 2.2500% 03-26-21,0.02%,XS1048644907,,, Nexen Tire Corp,0.02%,KR7002350007,,, Freddie Mac GoldPool 2.5 01-APR-31 SS,0.02%,Freddie Mac GoldPool 2.5 01-APR-31 SS,,, ITOCHU CORP,0.02%,JP3143600009,,, MARCH 6 A1 3MEUR+225BP,0.02%,IT0004941271,,, LLOYDS BANKING GROUP PLC,0.02%,GB0008706128,,, ASSA ABLOY AB B,0.02%,SE0007100581,,, Italy BTPS 2.0000% 12-01-25,0.02%,IT0005127086,,, CANADIAN PACIFIC RAILWAY LTD,0.02%,CA13645T1003,,, GOODMAN GROUP,0.02%,AU000000GMG2,,, EDF             144A 4.8750% 01-22-44,0.02%,US268317AK07,,, National Bank of Abu Dhabi,0.02%,AEN000101016,,, BECTON DICKINSON AND CO,0.02%,US0758871091,,, NIPPON STEEL + SUMITOMO META,0.02%,JP3381000003,,, Shoprite Holdings Ltd,0.02%,ZAE000012084,,, KAO CORP,0.02%,JP3205800000,,, TWENTY FIRST CENTURY FOX A,0.02%,US90130A1016,,, DAIWA HOUSE INDUSTRY CO LTD,0.02%,JP3505000004,,, Italy BTPS 3.5000% 12-01-18,0.02%,IT0004957574,,, IBERDROLA SA,0.02%,ES0144580Y14,,, DR PEPPER SNAPPLE GROUP INC,0.02%,US26138E1091,,, RIO TINTO LTD,0.02%,AU000000RIO1,,, EQUINIX INC,0.02%,US29444U7000,,, GENERAL MOTORS CO,0.02%,US37045V1008,,, AT&T INC 3.0000% 06-30-22,0.02%,US00206RCM25,,, MANULIFE FINANCIAL CORP,0.02%,CA56501R1064,,, CELF 2007-1X A2A 6MEUR + 19.5 BP,0.02%,XS0294239974,,, EOG RESOURCES INC,0.02%,US26875P1012,,, HENNES + MAURITZ AB B SHS,0.02%,SE0000106270,,, PNC FINANCIAL SERVICES GROUP,0.02%,US6934751057,,, METLIFE INC,0.02%,US59156R1086,,, SANTANDER UK GROUP JR SUB,0.02%,XS1244538523,,, PRINCIPAL FINANCIAL GROUP,0.02%,US74251V1026,,, PIONEER NATURAL RESOURCE,0.02%,US723787AF41,,, HENKEL AG + CO KGAA VORZUG,0.02%,DE0006048432,,, Korea Treasury Bond 4.0000% 12-10-31,0.02%,KR10350271C8,,, SYNGENTA AG REG,0.02%,CH0011037469,,, LYONDELLBASELL INDU CL A,0.02%,NL0009434992,,, Belgium Govt  SRg144 5.0000% 03-28-35,0.02%,BE0000304130,,, Norway Govern SRg144 4.5000% 05-22-19,0.02%,NO0010429913,,, BANCO BILBAO VIZCAYA ARGENTA,0.02%,ES0113211835,,, RIO OIL FINANCE TRUST SEC REGS,0.02%,USU76673AA72,,, ESSILOR INTERNATIONAL,0.02%,FR0000121667,,, EAST JAPAN RAILWAY CO,0.02%,JP3783600004,,, NEW S WALES TREASURY CRP GOV GTD,0.02%,AU3SG0000284,,, Deutsche Bundes RgSS 2.5000% 07-04-44,0.02%,DE0001135481,,, AURIZON HOLDINGS LTD,0.02%,AU000000AZJ1,,, NIPPON TELEGRAPH + TELEPHONE,0.02%,JP3735400008,,, TEL TACT A/C,0.02%,TEL TACT A/C,,, Singapore Govt 3.1250% 09-01-22,0.02%,SG7J28931946,,, CONTINENTAL AG,0.02%,DE0005439004,,, JP Morgan & Co Inc 4.4000% 07-22-20,0.02%,US46625HHS22,,, MOROCCO (KINGDOM OF) BD,0.02%,XS0546649822,,, PHILLIPS 66,0.02%,US7185461040,,, SHIRE PLC,0.02%,JE00B2QKY057,,, ZOETIS INC,0.02%,US98978V1035,,, CIGNA CORP,0.02%,US1255091092,,, Australia Govt  RgSS 2.7500% 04-21-24,0.02%,AU3TB0000143,,, Nationwide Bldg Soc 4.3750% 02-28-22,0.02%,XS0289011198,,, AMERICAN TOWER CORP,0.02%,US03027X1000,,, U S TREASURY INFLATE PROT BD,0.02%,US912828TE09,,, MCKESSON CORP,0.02%,US58155Q1031,,, BNZ IRS 18/12/2017,0.02%,BNZ1073S,,, STANDARD CHARTERED PLC,0.02%,GB0004082847,,, Reynolds American In 4.4500% 06-12-25,0.02%,US761713BG06,,, SEVEN + I HOLDINGS CO LTD,0.02%,JP3422950000,,, Morgan Stanley 5.6250% 09-23-19,0.02%,US61747YCJ29,,, NISSAN MOTOR CO LTD,0.02%,JP3672400003,,, CK HUTCHISON HOLDINGS LTD,0.02%,KYG217651051,,, ALEXION PHARMACEUTICALS INC,0.02%,US0153511094,,, DEUTSCHE BANK AG REGISTERED,0.02%,DE0005140008,,, EQUITY RESIDENTIAL,0.02%,US29476L1070,,, UNITED UTILITIES GROUP PLC,0.02%,GB00B39J2M42,,, SUMITOMO CORP,0.02%,JP3404600003,,, SMITH + NEPHEW PLC,0.02%,GB0009223206,,, British Telecom RegS 1.1250% 03-10-23,0.02%,XS1377681272,,, CREDIT SUISSE GROUP AG REG,0.02%,CH0012138530,,, MURATA MANUFACTURING CO LTD,0.02%,JP3914400001,,, Reynolds American In 4.8500% 09-15-23,0.02%,US761713AY21,,, CVS Health Corp 2.8000% 07-20-20,0.02%,US126650CJ78,,, BPCE SA 144A,0.02%,US05578QAD51,,, PIZZAEXPRESS FINANCING 2,0.02%,XS1028948120,,, ALFA LAVAL AB,0.02%,SE0000695876,,, NORDEA BANK AB,0.02%,SE0000427361,,, RAYTHEON COMPANY,0.02%,US7551115071,,, Aviva Plc       RgSS 3.8750% 07-03-44,0.02%,XS1083986718,,, NY MTA DTF Taxable 7.3360% 11-15-39,0.02%,US59259NZH96,,, REALKREDIT DANMARK***PARTIAL CALL***,0.02%,DK0009292559,,, BB+T CORP,0.02%,US0549371070,,, Principal Finl Grp 1.8500% 11-15-17,0.02%,US74251VAG77,,, 21st Century Fox Amr 4.5000% 02-15-21,0.02%,US90131HAQ83,,, PNC Funding Corp 3.3000% 03-08-22,0.02%,US693476BN25,,, IRELAND GOVT,0.02%,IE00BV8C9418,,, SOCIETE GENERALE SA,0.02%,FR0000130809,,, CNA Financial Corp 7.2500% 11-15-23,0.02%,US126117AE07,,, FGA Capital Ire RgSS 2.6250% 04-17-19,0.02%,XS1057487875,,, DENSO CORP,0.02%,JP3551500006,,, CENTRAL JAPAN RAILWAY CO,0.02%,JP3566800003,,, BRITISH COLUMBIA PROV OF BD,0.02%,CA1107098Y17,,, Finland Rep   SRg144 1.5000% 04-15-23,0.02%,FI4000062625,,, Netherlands G SRg144 2.0000% 07-15-24,0.02%,NL0010733424,,, MONSANTO CO,0.02%,US61166W1018,,, FNR 2007-114 A6 1MLIB+20,0.02%,US31396X3Q54,,, KROGER CO,0.02%,US5010441013,,, Korea Treasury Bond 3.0000% 09-10-24,0.02%,KR103502G495,,, Freddie Mac GoldPool 4.5 01-JUN-41 MS,0.02%,Freddie Mac GoldPool 4.5 01-JUN-41 MS,,, BERAB 2011-1 A1 3MEUR + 30BP,0.02%,IT0004782568,,, Prudential Financial 6.1000% 06-15-17,0.02%,US74432QAY17,,, JPMorgan Chase & Co 2.5500% 03-01-21,0.02%,US46625HQJ22,,, SUNTRUST BANKS INC,0.02%,US8679141031,,, SABMILLER HOLDINGS INC NT 144A,0.02%,US78573AAC45,,, KT&G Corporation,0.02%,KR7033780008,,, State Street Bank and Trust Company (AUD),0.02%,State Street Bank and Trust Company (AUD),,, U S TREASURY BOND,0.02%,US912810QE10,,, Oncor Electric 7.0000% 09-01-22,0.02%,US68233DAR89,,, GNMA I Pool 3 15-JUN-43 SS,0.02%,GNMA I Pool 3 15-JUN-43 SS,,, SUNRI 2015-1 A,0.02%,IT0005118192,,, WellPoint Inc 2.3000% 07-15-18,0.02%,US94973VBE65,,, Freddie Mac GoldPool 3 01-MAR-36 N,0.02%,Freddie Mac GoldPool 3 01-MAR-36 N,,, BAT Intl Financ 144A 2.7500% 06-15-20,0.02%,US05530QAG55,,, SKANDINAVISKA ENSKILDA,0.02%,SE0004925451,,, NGATE 2007-3X BA 3MGBP+125,0.02%,XS0329653934,,, BUY NZD:SELL JPY NZD 23/06/2016,0.02%,BUY NZD:SELL JPY NZD 23/06/2016,,, eMemory Technology Inc,0.02%,TW0003529004,,, Unibail-Rodamco RgSS 2.5000% 02-26-24,0.02%,XS1038708522,,, Vonovia SE      RgSS 1.6250% 12-15-20,0.02%,DE000A18V138,,, Heinz HJ Co     144A 3.5000% 07-15-22,0.02%,US423074BA02,,, Anadolu Hayat Emeklilik,0.02%,TRAANHYT91O3,,, Mexican Bonos 8.0000% 06-11-20,0.02%,MX0MGO0000L1,,, Poland Government 5.5000% 10-25-19,0.02%,PL0000105441,,, BARCLAYS PLC,0.02%,GB0031348658,,, GNMA I Pool 4.5 15-NOV-40 MS,0.02%,GNMA I Pool 4.5 15-NOV-40 MS,,, ITALIAN BTP BOND,0.02%,IT0004532559,,, REGENERON PHARMACEUTICALS,0.02%,US75886F1075,,, Ace INA Hldgs Inc 2.8750% 11-03-22,0.01%,US00440EAU10,,, NYKREDIT REALKREDIT AS **PARTIAL CALL**,0.01%,DK0009795627,,, DAI ICHI LIFE INSURANCE,0.01%,JP3476480003,,, SPRINT COMMUNICATIONS SR UNSEC,0.01%,US852061AD21,,, CDEST 1 A2 3MEUR+35BP,0.01%,IT0003747794,,, BILK 6 A 1MEUR + 37BP,0.01%,XS1101828561,,, MSBAM 2013-C8 XA IO WM22 WC4.196791,0.01%,US61761QAF00,,, WELLS FARGO & COMPANY SR UNSEC,0.01%,US94974BGH78,,, Achmea BV       RgSS 2.5000% 11-19-20,0.01%,XS0995111761,,, AFP Habitat SA,0.01%,CLP009331040,,, PETROBRAS GLOBAL FINANCE SR UNSEC,0.01%,US71647NAH26,,, APULM 2008-1 A 6MEUR+70BP,0.01%,IT0004395833,,, ALLY FINANCIAL INC SR UNSEC,0.01%,US02005NAS99,,, FMS WERTMANAGEMENT GOV GTD EMTN,0.01%,XS0690541296,,, Anheu-Busch InbevFin 3.6500% 02-01-26,0.01%,US035242AP13,,, Israel Government Bo 4.2500% 03-31-23,0.01%,IL0011267478,,, GNMA PASS THRU SGL 30YR #782253X,0.01%,US36241KQE19,,, Philip Morris Intern 1.8750% 02-25-21,0.01%,US718172BS71,,, President Chain Store Corp,0.01%,TW0002912003,,, POLAND GOVERNMENT BOND,0.01%,PL0000108197,,, REALKREDIT DANMARK**PARTIAL CALL**,0.01%,DK0009292633,,, CMLTI 2005-11 A2A 1YRT+240,0.01%,US17307GW795,,, 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,,, AMCAR 2015-1 *A2B* 0.8580% 04-09-18,0.01%,US03065KAC53,,, 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,,, EFF 2013-2 A2   144A 1.0600% 03-20-19,0.01%,US29372EAY41,,, NOVO BANCO SA,0.01%,XS0782220007,,, GENERALITAT DE CATALUNYA,0.01%,ES0000095895,,, Cia Cervecerias,0.01%,CLP249051044,,, 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,,, Merrill Lynch & Co 4.6250% 09-14-18,0.01%,XS0267828308,,, BUY NZD:SELL STG NZD 23/06/2016,0.01%,BUY NZD:SELL STG NZD 23/06/2016,,, GNMA I Pool 3 15-MAY-43 SS,0.01%,GNMA I Pool 3 15-MAY-43 SS,,, HEC 2007-3X A 3MEUR+22.85BP,0.01%,XS0293694880,,, LEOFR 2012-1 A 3MGBP + 170BP,0.01%,XS0773366488,,, Turkey Republic 5.7500% 03-22-24,0.01%,US900123CF53,,, Berkshire Hathaway 0.7500% 03-16-23,0.01%,XS1200670955,,, KBC BANK NV SR SUB,0.01%,BE6248510610,,, ROYAL DUTCH SHELL PLC B SHS,0.01%,GB00B03MM408,,, 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,,, Lukoil PJSC,0.01%,US69343P1057,,, BPCE SA SUB 144A,0.01%,US05578QAA13,,, FHRR R006 ZA Z SEQ WM35 WC6.4347,0.01%,US31396JT212,,, Belgium Govt  SRg144 0.8000% 06-22-25,0.01%,BE0000334434,,, SBIC 2008-P10A 1,0.01%,US831641EK70,,, BUY NZD:SELL EUR NZD 23/06/2016,0.01%,BUY NZD:SELL EUR NZD 23/06/2016,,, 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,,, CBS Corp 3.3750% 03-01-22,0.01%,US124857AG87,,, Ford Motor Cred LLC 3.2000% 01-15-21,0.01%,US345397XQ11,,, 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,,, BSARM 2005-2 A1 1YRCMT+245,0.01%,US07384M7C06,,, 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,,, QUEBEC PROVINCE BD,0.01%,CA74814ZEF68,,, MARCH 4 A 6MEUR+30BP,0.01%,IT0004515794,,, Ford Motor Cred LLC 3.0000% 06-12-17,0.01%,US345397WD17,,, JPMORGAN CHASE & CO SR UNSEC,0.01%,US46625HNX43,,, 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,,, GE Cap Intl Fdg RgSS 3.3730% 11-15-25,0.01%,US36164PFG00,,, VERIZON COMMUNICATIONS SR UNSEC,0.01%,US92343VBL71,,, SWEDISH COVERED BOND SEC,0.01%,SE0003172535,,, MSRR10-GG10 A4A 144A 5.7936% 08-15-45,0.01%,US61759LAA61,,, Freddie Mac GoldPool 3.5 01-JUL-32 S,0.01%,Freddie Mac GoldPool 3.5 01-JUL-32 S,,, Telekomunikasi Indonesia,0.01%,ID1000129000,,, UROPA 2007-1 A2B 3MEUR+15,0.01%,XS0311807167,,, 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,,, China Mobile,0.01%,HK0941009539,,, Netherlands G SRg144 3.7500% 01-15-42,0.01%,NL0009446418,,, FOURC 2006-2A A 3MLIB+27BP 144A,0.01%,US35084EAA29,,, Philippines Republic 4.2000% 01-21-24,0.01%,US718286BY27,,, CREDIT AGRICOLE SA JR SUB,0.01%,XS1055037920,,, Ginnie Mae II Pool 3 20-AUG-45 N,0.01%,Ginnie Mae II Pool 3 20-AUG-45 N,,, 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,,, FMS WERTMANAGEMENT GOV GTD EMTN,0.01%,DE000A1MLVD8,,, Spain Kingdom 6.0000% 01-31-29,0.01%,ES0000011868,,, UnitedHealth Group 3.3500% 07-15-22,0.01%,US91324PCN06,,, Slovakia Govt B RgSS 3.3750% 11-15-24,0.01%,SK4120008871,,, NCSOFT Corporation,0.01%,KR7036570000,,, KINGDOM OF DENMARK,0.01%,DK0009922676,,, MOL Hungarian Oil and Gas PLC,0.01%,HU0000068952,,, Fannie Mae Pool 3 01-AUG-43 SS,0.01%,Fannie Mae Pool 3 01-AUG-43 SS,,, BAFC 2005-7 4A3 WM35 WC5.743900,0.01%,US05946XU926,,, Philippine Long Distance Tel,0.01%,PH7182521093,,, 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,,, OCT12 2012-1AR AR 3MLIB+127BP 144A,0.01%,US67572NAU00,,, 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,,, FINNVERA PLC GOV GTD EMTN,0.01%,XS1294518318,,, Freddie Mac GoldPool 5.5 01-MAR-38 S,0.01%,Freddie Mac GoldPool 5.5 01-MAR-38 S,,, SPAIN (KINGDOM OF) EMTN UNSUB,0.01%,XS0096272355,,, VERIZON COMMUNICATIONS SR UNSEC,0.01%,US92343VBR42,,, Comcast Corp 2.7500% 03-01-23,0.01%,US20030NBR17,,, 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,,, Aguas Andinas SA-A,0.01%,CL0000000035,,, Deutsche Tele I RegS 0.6250% 04-03-23,0.01%,XS1382792197,,, Citigroup Inc 4.4500% 09-29-27,0.01%,US172967KA87,,, ESAIL 2006-4X A3A 3MEUR+16,0.01%,XS0275909934,,, Poland Government 4.2000% 04-15-20,0.01%,XS0210314299,,, Fannie Mae Pool 4 01-FEB-32 S,0.01%,Fannie Mae Pool 4 01-FEB-32 S,,, MSRR09-GG10 A4A 144A 5.7936% 08-12-45,0.01%,US61758FAA03,,, MSC 2007-HQ13 A3 5.5690% 12-15-44,0.01%,US61757RAD98,,, Ontario Province 3.2000% 05-16-24,0.01%,US68323ACT97,,, Time Warner Inc 4.7000% 01-15-21,0.01%,US887317AG00,,, JPMCC 2006-LDP9 A3 5.3360% 05-15-47,0.01%,US46629PAC23,,, GSR 2005-AR6 2A1 WM35 WC4.9,0.01%,US362341RX95,,, HBOS PLC SUB GMTN 144A,0.01%,US4041A2AH79,,, CVS Caremark Corp 5.7500% 06-01-17,0.01%,US126650BH22,,, CIFC 2007-1A A1L 3MLIB+26 144A,0.01%,US125474AA42,,, 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,,, CLEVELAND ELEC ILLUM SR UNSEC,0.01%,US186108CF17,,, 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,,, BSARM 2005-5 A2 1YT+215,0.01%,US07387ACK97,,, TRFRD 2014 A4   RgSS 2.8750% 04-28-19,0.01%,XS1031620849,,, 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,,, Power Grid Corp,0.01%,INE752E01010,,, Poland Government 5.7500% 09-23-22,0.01%,PL0000102646,,, U S TREASURY NOTE,0.01%,US912828VB32,,, 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,,, NORWEGIAN GOVERNMENT BD 474,0.01%,NO0010572878,,, JPMORGAN CHASE & CO SR UNSEC,0.01%,US46623EJY68,,, DEXIA CREDIT LOCAL,0.01%,XS1351942633,,, JPMorgan Chase & Co 3.3000% 04-01-26,0.01%,US46625HQW33,,, KOREA HYDRO & NUCLEAR PO SR UNSEC GMTN,0.01%,XS1072134148,,, 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,,, PETROBRAS GLOBAL FINANCE CO GTD,0.01%,US71645WAU53,,, Quebec Province 3.5000% 12-01-45,0.01%,CA74814ZER07,,, AXA SA          RegS 3.3750% 07-06-47,0.01%,XS1346228577,,, Austria Repub SRg144 1.6500% 10-21-24,0.01%,AT0000A185T1,,, BAT Intl Financ RgSS 1.0000% 05-23-22,0.01%,XS1324928750,,, SBAP 2005-20E 1 PASS THRU,0.01%,US83162CPN73,,, Fannie Mae Pool 4.5 01-SEP-39 S,0.01%,Fannie Mae Pool 4.5 01-SEP-39 S,,, Daimler AG      RegS 1.5000% 03-09-26,0.01%,DE000A2AAL31,,, UK Gilt         RgSS 2.0000% 09-07-25,0.01%,GB00BTHH2R79,,, Cooperatieve Ra RegS 1.2500% 03-23-26,0.01%,XS1382784509,,, CSAIL 2015-C4 A4 3.8079% 11-15-48,0.01%,US12635RAX61,,, United Mexican Sts 4.0000% 10-02-23,0.01%,US91086QBC15,,, BP Capital Markets 3.5610% 11-01-21,0.01%,US05565QBU13,,, CALIFORNIA RESOURCES CRP 144A,0.01%,US13057QAG29,,, Freddie Mac GoldPool 3.5 01-SEP-26 S,0.01%,Freddie Mac GoldPool 3.5 01-SEP-26 S,,, U S TREASURY BOND,0.01%,US912810FG86,,, Visa Inc 2.8000% 12-14-22,0.01%,US92826CAC64,,, Freddie Mac GoldPool 3.5 01-FEB-46 N,0.01%,Freddie Mac GoldPool 3.5 01-FEB-46 N,,, Freshwater Finance 6.5760% 05-29-49,0.01%,XS0300298287,,, CFCRE 2011-C2 A4 3.8343% 12-15-47,0.01%,US12527DAR17,,, Penske Truck Le 144A 2.5000% 06-15-19,0.01%,US709599AQ78,,, GSMS 2012-GCJ9 XA IO WM21 WC4.885294,0.01%,US36192PAQ90,,, BAT Intl Financ 144A 3.5000% 06-15-22,0.01%,US05530QAL41,,, STADSHYPOTEK AB,0.01%,SE0004807733,,, U S TREASURY BILLS,0.01%,US912796HK86,,, Italy BTPS 5.5000% 11-01-22,0.01%,IT0004848831,,, Shell Int Finance BV 3.2500% 05-11-25,0.01%,US822582BD31,,, EUROFIMA SRUNSEC MTN,0.01%,AU300EF20086,,, TESCO PROPERTY FIN 4 PLC MTGE BACKED,0.01%,XS0588909878,,, Austria Repub SRg144 3.1500% 06-20-44,0.01%,AT0000A0VRQ6,,, Goldman Sachs Gp Inc 5.7500% 01-24-22,0.01%,US38141GGS75,,, MLCC 2005-2 1A ARM 6MLIB+125,0.01%,US59020UZZ10,,, Berkshire Hathaway 2.7500% 03-15-23,0.01%,US084670BR84,,, Netherlands G SRg144 4.0000% 01-15-37,0.01%,NL0000102234,,, Aetna Inc 2.7500% 11-15-22,0.01%,US008117AP87,,, CORNR 2007-1A A1S 3MLIB+22BP 144A,0.01%,US219239AA80,,, Malaysia Government 3.9550% 09-15-25,0.01%,MYBMO1500010,,, Nampak Ltd,0.01%,ZAE000071676,,, Switzerland Gov RgSS 1.5000% 04-30-42,0.01%,CH0127181169,,, Verizon Communctns 3.5000% 11-01-21,0.01%,US92343VBC72,,, Charter Comm    144A 4.4640% 07-23-22,0.01%,US161175AL87,,, SWAN 2010-1 A,0.01%,AU3FN0010435,,, Hero Motocorp,0.01%,INE158A01026,,, Actavis Funding SCS 3.4500% 03-15-22,0.01%,US00507UAR23,,, Freddie Mac GoldPool 3 01-SEP-27 S,0.01%,Freddie Mac GoldPool 3 01-SEP-27 S,,, COMM 2012-CR4 A3 2.8530% 10-15-45,0.01%,US12624QAR48,,, GMG 2012-1 A1 3ML + 295BP,0.01%,XS0769019026,,, Fannie Mae Pool 3 01-MAR-46 N,0.01%,Fannie Mae Pool 3 01-MAR-46 N,,, UBSBB 2013-C5 A4 3.1847% 03-10-46,0.01%,US90270YBF51,,, GSMS 14-GC20 D  144A 4.8671% 04-10-47,0.01%,US36252WAE84,,, PROVINCE OF QUEBEC DEB SER OS,0.01%,CA748148QJ59,,, EATON 2007-10X A1 3MEUR+24BP,0.01%,XS0290036705,,, Inversiones Aguas Metropol,0.01%,CL0000001256,,, Morgan Stanley 4.3500% 09-08-26,0.01%,US6174467Y92,,, Comcast Corporation 5.7000% 07-01-19,0.01%,US20030NAZ42,,, BP Capital Mark RegS 1.9530% 03-03-25,0.01%,XS1375957294,,, COMM 2012-LC4 A4 3.2880% 12-10-44,0.01%,US126192AD55,,, Formosa International Hotels,0.01%,TW0002707007,,, MSC 2012-C4 A4 3.2440% 03-15-45,0.01%,US61760VAP85,,, GNMA I Pool 5 15-APR-40 S,0.01%,GNMA I Pool 5 15-APR-40 S,,, GSMS 2015-GC30 A4 3.3820% 05-10-50,0.01%,US36250GAP00,,, WellPoint Inc 4.6500% 01-15-43,0.01%,US94973VBB27,,, WFRBS 2012-C6 D 144A 5.5609% 04-15-45,0.01%,US92936QAS75,,, INSTITUT CREDITO OFICIAL GOV GTD EMTN,0.01%,XS0274980431,,, Ace INA Hldgs Inc 2.3000% 11-03-20,0.01%,US00440EAT47,,, COMM 2014-CR21 A3 3.5280% 12-10-47,0.01%,US12592RBF55,,, Belgium Govt    RgSS 3.7500% 06-22-45,0.01%,BE0000331406,,, Berkshire Hathaway 1.1250% 03-16-27,0.01%,XS1200679071,,, Ginnie Mae II Pool 4.5 01-APR-46 SS,0.01%,Ginnie Mae II Pool 4.5 01-APR-46 SS,,, COMM 2014-UBS4 A5 3.6940% 08-10-47,0.01%,US12591QAR39,,, COMM 2013-CR9 A3 4.0220% 07-10-45,0.01%,US12625UBB89,,, Petroleos Mexicanos 3.5000% 01-30-23,0.01%,US71654QBG64,,, Freddie Mac GoldPool 4.5 01-MAR-41 MS,0.01%,Freddie Mac GoldPool 4.5 01-MAR-41 MS,,, SAGB 2030 8.0000% 01-31-30,0.01%,ZAG000106998,,, CMLTI 2005-6 A2 1YCMT+215,0.01%,US17307GXQ62,,, Fannie Mae Pool 4.5 01-MAR-30 VS,0.01%,Fannie Mae Pool 4.5 01-MAR-30 VS,,, PETROBRAS GLOBAL FINANCE BD,0.01%,US71645WAM38,,, Gen Motors Financial 3.7000% 11-24-20,0.01%,US37045XBD75,,, Quebec Province 2.6250% 02-13-23,0.01%,US748149AG65,,, Credit Agricole RgSS 2.3750% 05-20-24,0.01%,XS1069521083,,, COMM 2013-CR10 A4 4.2100% 08-10-46,0.01%,US12626BAD64,,, Fannie Mae Pool 6.5 01-OCT-39 S,0.01%,Fannie Mae Pool 6.5 01-OCT-39 S,,, Fannie Mae Pool 6.5 01-SEP-36 VS,0.01%,Fannie Mae Pool 6.5 01-SEP-36 VS,,, ANZ IRS 30/03/2020,0.01%,ANZ5167S,,, Deutsche Tele I RegS 1.5000% 04-03-28,0.01%,XS1382791975,,, CGCMT 2007-C6 A4 5.7047% 12-10-49,0.01%,US17311QBK58,,, LBUBS 2008-C1 A2 6.0841% 04-15-41,0.01%,US50180LAC46,,, Union National Bank/Abu Dhab,0.01%,AEU000401015,,, Anheu-Busch InbevFin 4.7000% 02-01-36,0.01%,US035242AM81,,, Goldman Sachs Gp Inc 5.2500% 07-27-21,0.01%,US38141GGQ10,,, Freddie Mac GoldPool 4 01-JUL-26 VS,0.01%,Freddie Mac GoldPool 4 01-JUL-26 VS,,, FNA 2014-M5 FA 1MLIB+35BP,0.01%,US3136AJ2A36,,, Fannie Mae Pool 2 01-MAY-28 MS,0.01%,Fannie Mae Pool 2 01-MAY-28 MS,,, Freddie Mac GoldPool 5 01-AUG-37 VS,0.01%,Freddie Mac GoldPool 5 01-AUG-37 VS,,, Valeo           RegS 1.6250% 03-18-26,0.01%,FR0013139482,,, ROMANI          RgSS 4.6250% 09-18-20,0.01%,XS0972758741,,, INWD 2006-1A A1A 3MLIB+22.5BP 144A,0.00%,US46186GAA13,,, WFRBS 2013-C15 A3 3.8810% 08-15-46,0.00%,US92938CAC10,,, Poland Government 5.1250% 04-21-21,0.00%,US857524AA08,,, PANTH V-A A1 6MEUR+28.6BP 144A,0.00%,XS0308597748,,, CWHL 2005-2 2A1 1MLIB+32,0.00%,US12669GPR64,,, SAMI 2005-AR5 A2 1MLIB+25,0.00%,US86359LPE38,,, UBSBB 2012-C3 A4 3.0910% 08-10-49,0.00%,US90349DAD49,,, CADOG 3X A 6MEUR + 23BP,0.00%,XS0277185400,,, Turk Sise Ve Cam Fabrikalari,0.00%,TRASISEW91Q3,,, Fannie Mae Pool 4.5 01-AUG-26 S,0.00%,Fannie Mae Pool 4.5 01-AUG-26 S,,, BRITISH TELECOM PLC GLBL SR UNSECURED,0.00%,US111021AE12,,, ONTARIO (PROVINCE OF),0.00%,CA68323ABR47,,, 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,,, Denmark Kingdom 4.5000% 11-15-39,0.00%,DK0009922320,,, 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,,, CGCMT 2015-GC31 A4 3.7620% 06-10-48,0.00%,US17323YAD13,,, MLCFC 2007-5 AM 5.4190% 08-12-48,0.00%,US55312YAG70,,, CSMC 2007-C3 A4 5.6994% 06-15-39,0.00%,US22544QAE98,,, SILVERSTONE MASTER ISS A3 REGS,0.00%,XS0462896688,,, GOLDK 2007-2A A 144A 3MLIB+24BP,0.00%,US381096AA49,,, 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,,, SLKRD 2012-1 A 3MGBP + 135BP,0.00%,XS0811595130,,, DRYD 2006-11A A2A 3MLIB+24BP,0.00%,US26249WAB19,,, SFAVE 2015-5AV  144A 4.1440% 01-05-43,0.00%,US78413MAE84,,, WAMU 2004-AR9 A1 ARM WM34 WC4.7072,0.00%,US92922FWE41,,, 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,,, SEMT 2003-4 2A1 AFC 1MLI+35,0.00%,US81743PBW59,,, COMM 2015-CR23 A4 3.4970% 05-10-48,0.00%,US12593ABA25,,, COMM 2015-DC1 A5 3.3500% 02-10-48,0.00%,US12629NAF24,,, BANCO ESPIRITO SANTO SA SR UNSEC *DEF*,0.00%,PTBENKOM0012,,, 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,,, JPMMT 2006-A3 7A1 WM35 WC4.8302 ARM,0.00%,US46628KAV26,,, SMHL 2009-2 A,0.00%,AU3FN0009189,,, "Hongkong & Shanghai Banking Corp, Ltd, Corporate and Institutional Banking (HKD)",0.00%,"Hongkong & Shanghai Banking Corp, Ltd, Corporate and Institutional Banking (HKD)",,, CSAIL 2015-C3 A4 3.7182% 08-15-48,0.00%,US12635FAT12,,, 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,,, COMM 2012-CR3 A3 2.8220% 10-15-45,0.00%,US12624PAE51,,, Petroleos Mexic RgSS 6.8750% 08-04-26,0.00%,US71656MBK45,,, Peru Republic 7.1250% 03-30-19,0.00%,US715638AW21,,, FSPC T-63 1A1 12MTA+120,0.00%,US31395M2F53,,, Korea Treasury Bond 2.7500% 12-10-44,0.00%,KR103502G4C9,,, JPMBB 2014-C23 XA 0.8719% 09-15-47,0.00%,US46643ABG76,,, JPMBB 2015-C27 A4 3.1794% 02-15-48,0.00%,US46644ABF84,,, 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,,, WFMBS 2006-AR8 1A1 ARM,0.00%,US94983VAA35,,, COMM 2015-CR27 A4 3.6120% 10-10-48,0.00%,US12635QBG47,,, MSBAM 2014-C19 A4 3.5260% 12-15-47,0.00%,US61764PBU57,,, SARM 2004-4 3A2 ARM WM34 WC5.38,0.00%,US86359BNU16,,, Ginnie Mae II Pool 3 01-APR-46 SS,0.00%,Ginnie Mae II Pool 3 01-APR-46 SS,,, BUY NZD:SELL CAD NZD 23/06/2016,0.00%,BUY NZD:SELL CAD NZD 23/06/2016,,, Freddie Mac GoldPool 3 01-FEB-46 N,0.00%,Freddie Mac GoldPool 3 01-FEB-46 N,,, Samart Corp PCL (F),0.00%,TH0374010Z17,,, WAMU 2004-AR1 A ARM,0.00%,US92922FLD86,,, Quebec Province 3.0000% 09-01-23,0.00%,CA74814ZEP41,,, BANCO ESPIRITO SANTO SA **DEF**,0.00%,PTBENJOM0015,,, WFCM 2015-NXS1 D 4.1047% 05-15-48,0.00%,US94989HBM16,,, CSAIL 2015-C3 D 3.3614% 08-15-48,0.00%,US12635FBA12,,, JPMMT 2007-A1 5A5 ARM,0.00%,US46630GAV77,,, BSCMS 2007-PW16 A4 5.7209% 06-11-40,0.00%,US07388YAE23,,, WAMU 2006-AR5A 1A2A 12MTA+98,0.00%,US93362YAB83,,, HSAME 2006-IIX A1 6MEUR + 24BP,0.00%,XS0280863423,,, BUY NZD:SELL CHF NZD 23/06/2016,0.00%,BUY NZD:SELL CHF NZD 23/06/2016,,, 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,,, JPMCC 2007-C1 A4 5.7160% 02-15-51,0.00%,US46630DAD49,,, Canary Wharf Fi RgSS 6.4550% 04-22-30,0.00%,XS0112279616,,, FN ARM 652259 H15T1Y+235 11.6,0.00%,US31390PTQ09,,, WFMBS 2006-AR6 7A1 WM35 WC5.3725 ARM,0.00%,US94983TAN00,,, GECMC 2007-C1 AM 5.6060% 12-10-49,0.00%,US36159XAH35,,, CGCMT 2015-GC35 A4 3.8180% 11-10-48,0.00%,US17324KAP30,,, FNA 2012-M8 X1 IO WM19 WC4.801051,0.00%,US3136A7ML32,,, 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,,, FN ARM 920773 US0012M+238 10.005,0.00%,US31412B6J69,,, MSBAM 2013-C8 A4 3.1340% 12-15-48,0.00%,US61761QAE35,,, COMM 2015-LC19 A4 3.1830% 02-10-48,0.00%,US200474BC73,,, 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,,, MARCH 5 A 3MEUR+40BP,0.00%,IT0004825417,,, COMM 2015-PC1 A5 3.9020% 07-10-50,0.00%,US12593GAF90,,, WFRBS 2011-C5 A4 3.6670% 11-15-44,0.00%,US92936JBB98,,, Ginnie Mae II Pool 3.5 20-FEB-46 N,0.00%,Ginnie Mae II Pool 3.5 20-FEB-46 N,,, Jeronimo Martins,0.00%,PTJMT0AE0001,,, CSAIL 2015-C2 XA 0.8983% 06-15-57,0.00%,US12634NAV01,,, FNR 2004-11 A 1MLIBOR+12,0.00%,US31393T7H31,,, Fannie Mae Pool 3 01-MAR-36 N,0.00%,Fannie Mae Pool 3 01-MAR-36 N,,, 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,,, Skandinaviska Enskilda Banken (DKK),0.00%,Skandinaviska Enskilda Banken (DKK),,, WAMU 2002-AR2 A D11COF+125BP,0.00%,US929227LE40,,, 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,,, 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,,, 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,,, ROMANI          RgSS 3.6250% 04-24-24,0.00%,XS1060842975,,, WAMMS 2003-AR3 2A2 ARM WM33 WC5.41,0.00%,US939336G495,,, AHM 2004-3 5A 12MLIBOR+150,0.00%,US02660TBP75,,, WFCM 2015-LC22 A4 3.8390% 09-15-58,0.00%,US94989TAZ75,,, CALIFORNIA RESOURCES CRP SR UNSEC,0.00%,US13057QAF46,,, BUY NZD:SELL AUD NZD 23/06/2016,0.00%,BUY NZD:SELL AUD NZD 23/06/2016,,, COMM 2013-CR6 A4 3.1010% 03-10-46,0.00%,US12624XAD03,,, FN ARM 735632 US0012M+157.2 9.994,0.00%,US31402RHH57,,, FH ARM 781047 H15T1Y+222.4 9.267,0.00%,US31349SEU33,,, Fannie Mae Pool 4 01-JAN-41 S,0.00%,Fannie Mae Pool 4 01-JAN-41 S,,, BNZ IRS 01/04/2018,0.00%,BNZ1244S,,, FN ARM 722981 H15T1Y+215.2 9,0.00%,US31402AFW18,,, FN ARM 635156 H15T1Y+200 10.284,0.00%,US31389TTM44,,, SARM 2004-1 4A1 WM34 WC5.5718 ARM,0.00%,US86359BGF22,,, First Gulf Bank PJSC,0.00%,AEF000201010,,, 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,,, MEFA 2008-1 A1 3MLIB+95,0.00%,US57563NAA63,,, 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,,, 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,,, FNR 2006-5 3A2 WM32 WC5.9547,0.00%,US31394VL730,,, NYKREDIT REALKREDIT AS,0.00%,DK0009506107,,, 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,,, JLL BNZ Operating A/C,0.00%,JLL BNZ Operating A/C,,, BSARM 2004-2 23A ARM WM34 WC4.9227,0.00%,US07384MN579,,, CMLTI 2005-6 A1 1YCMT+210,0.00%,US17307GXP89,,, Fannie Mae Pool 6.5 01-AUG-37 VS,0.00%,Fannie Mae Pool 6.5 01-AUG-37 VS,,, BSARM 2003-7 6A WM33 WC4.979 ARM,0.00%,US07384MYW62,,, 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,,, JPMMT 2003-A2 3A1 WM33 WC4.7754 ARM,0.00%,US466247AZ62,,, 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,,, SBAP 2000-20K 1 PASS THRU,0.00%,US83162CLC54,,, WAMU 2005-AR2 2A1A 1MLIB+31,0.00%,US92922FD213,,, GSMS 11-GC5 XA 144A 1.6157% 08-10-44,0.00%,US36191YAA64,,, AT&T INC 3.6000% 02-17-23,0.00%,US00206RCS94,,, WFMBS 2005-AR11 1A1 WM33 WC4.8745 ARM,0.00%,US94982RAA32,,, 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,,, MSC 2006-T21 E  144A 5.3321% 10-12-52,0.00%,US617451CY37,,, WAMU 2003-AR1 A5 ARM WM33 WC5.22,0.00%,US939336PB38,,, 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,,, CYBG PLC CDI,0.00%,AU000000CYB7,,, 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,,, United Overseas Bank Limited (SGD),0.00%,United Overseas Bank Limited (SGD),,, Avivasa Emeklili,0.00%,TRECUHE00018,,, 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,,, CGCMT 2015-GC29 A3 2.9350% 04-10-48,0.00%,US17323VAY11,,, SAMI 2004-AR3 1A2 AFC 1MLIB+29,0.00%,US86359LBY48,,, Fannie Mae Pool 4.5 01-JUL-20 VS,0.00%,Fannie Mae Pool 4.5 01-JUL-20 VS,,, SAMI 2003-AR1-A3 1MOLIB+42,0.00%,US86358HRX97,,, Access Bank Plc,0.00%,US00433P1012,,, Fannie Mae Pool 3 01-AUG-27 S,0.00%,Fannie Mae Pool 3 01-AUG-27 S,,, Bank Pekao,0.00%,PLPEKAO00016,,, Bank Hapoalim B.M.,0.00%,Bank Hapoalim B.M.,,, 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,,, 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,,, SARM 2004-12 7A1 WM34 WC5.4668 ARM,0.00%,US863579AV05,,, 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,,, WODST I A 6MEUR + 25BP,0.00%,XS0229677546,,, FNMA TBA 3.5% JUN 30YR,0.00%,US01F0326664,,, Fannie Mae Pool 5.5 01-MAY-34 VS,0.00%,Fannie Mae Pool 5.5 01-MAY-34 VS,,, FN ARM 800171 US0012M+138 9.956,0.00%,US31405U6G90,,, 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,,, CWHL 2005-R2 1AF1 VA 1ML+34 144A,0.00%,US12669GN644,,, 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,,, 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,,, FN ARM 800158 US0012M+160.1 9.581,0.00%,US31405U5T21,,, BSARM 2004-2 22A ARM WM34 WC4.917,0.00%,US07384MN322,,, FNS 347 2 5.0000% 01-25-34,0.00%,US3136FCDE35,,, FH ARM 1G0867 US0012M+173.1 10.453,0.00%,US3128NC6C35,,, Fannie Mae Pool 5 01-JUN-19 VS,0.00%,Fannie Mae Pool 5 01-JUN-19 VS,,, CSFB 2003-8 5A1 SEQ WM31 WC7.750,0.00%,US22541NX200,,, FNMA TBA 3.0% MAY 30YR,0.00%,US01F0306526,,, 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,,, COMM 2013-CR8 A5 3.6120% 06-10-46,0.00%,US12625KAE55,,, IMM 2003-9F-A1 AFC 1MLIBOR+40,0.00%,US45254NFL64,,, Fannie Mae Pool 5 01-AUG-24 VS,0.00%,Fannie Mae Pool 5 01-AUG-24 VS,,, CSFB 2002-P1A A 1MLIB+63 AMBAC,0.00%,US22540VK434,,, MLMI 2005-A8 A3A2 1MLIB+25,0.00%,US59020UQ408,,, CSFB 2003-AR20 2A1 ARM WM33 WC5.0408,0.00%,US22541QKX96,,, Fannie Mae Pool 5 01-APR-19 VS,0.00%,Fannie Mae Pool 5 01-APR-19 VS,,, BALTA 2005-4 23A2 AS WM35 WC5.8,0.00%,US07386HSZ54,,, 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,,, 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,,, 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,,, WAMU 2002-AR6 A 12MTA+140,0.00%,US929227QB55,,, GNMA I Pool 5.5 15-OCT-39 S,0.00%,GNMA I Pool 5.5 15-OCT-39 S,,, GMACM 2004-AR1 22A ARM WM34 WC4.6971,0.00%,US36185NX705,,, 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,,, FNMA PRE-PAY PENALTY #925162,0.00%,US31412GZ384,,, Futures SCM CAD 0.0000% 05-01-50,0.00%,Futures SCM CAD 0.0000% 05-01-50,,, GN II ARM 80187M 07/16 11,0.00%,US36225CF501,,, Fannie Mae Pool 6 01-OCT-26 VS,0.00%,Fannie Mae Pool 6 01-OCT-26 VS,,, SELL JPY:BUY NZD JPY 23/06/2016,0.00%,SELL JPY:BUY NZD JPY 23/06/2016,,, 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,,, GNMA I Pool 6.5 15-JUN-28 VS,0.00%,GNMA I Pool 6.5 15-JUN-28 VS,,, FNMA TBA 4.0% APR 30YR,0.00%,US01F0406441,,, GMSI 2003-1 A1 ARM WM33 WC4.6479,0.00%,US395387AA13,,, 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,,, 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,,, FH ARM 781867 H15T1Y+199.5 10.602,0.00%,US31349TCC36,,, 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,,, 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,,, Fannie Mae Pool 5 01-MAY-19 VS,0.00%,Fannie Mae Pool 5 01-MAY-19 VS,,, Fannie Mae Pool 5.5 01-OCT-32 VS,0.00%,Fannie Mae Pool 5.5 01-OCT-32 VS,,, BSARM 2003-5 1A2 WM33 WC4.7969 ARM,0.00%,US07384MWG31,,, Fannie Mae Pool 6 01-AUG-21 VS,0.00%,Fannie Mae Pool 6 01-AUG-21 VS,,, GNMA II TBA 4.0% MAY 30YR JMBO,0.00%,US21H0406577,,, 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,,, "Skandinaviska Enskilda Banken Securities Services (NOK)",0.00%,"Skandinaviska Enskilda Banken Securities Services (NOK)",,, 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,,, Freddie Mac GoldPool 5.5 01-JUL-19 VS,0.00%,Freddie Mac GoldPool 5.5 01-JUL-19 VS,,, GN II ARM 80393M 07/16 11,0.00%,US36225CNK89,,, 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,,, CALIFORNIA RESOURCES CORP,0.00%,US13057Q1076,,, 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,,, GNMA I Pool 8 15-NOV-29 VS,0.00%,GNMA I Pool 8 15-NOV-29 VS,,, FNMA TBA 4.0% MAY 30YR,0.00%,US01F0406516,,, 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,,, FNMA TBA 3.5% APR 30YR,0.00%,US01F0326417,,, US Dollar Curr Fwd (USD) 27-APR-16,0.00%,US Dollar Curr Fwd (USD) 27-APR-16,,, 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,-0.01%,IRS HKD PAY 5 Fixed 2.3600% 06-16-26,,, IRS HKD PAY 5 Fixed 2.3650% 06-16-26,-0.01%,IRS HKD PAY 5 Fixed 2.3650% 06-16-26,,, IRS HKD PAY 5 Fixed 2.3550% 06-16-26,-0.01%,IRS HKD PAY 5 Fixed 2.3550% 06-16-26,,, IRS HKD PAY 5 Fixed 2.3775% 06-16-26,-0.01%,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,-0.02%,IRS HKD PAY 5 Fixed 2.2400% 06-16-26,,, Yen,-0.02%,Yen,,, IRS PLN PAY 10 Fixed 2.2900% 06-15-26,-0.03%,IRS PLN PAY 10 Fixed 2.2900% 06-15-26,,, IRS ZAR PAY 1 Fixed 8.0625% 03-15-18,-0.04%,IRS ZAR PAY 1 Fixed 8.0625% 03-15-18,,, IRS ZAR PAY 1 Fixed 8.1560% 03-15-18,-0.04%,IRS ZAR PAY 1 Fixed 8.1560% 03-15-18,,, IRS ZAR PAY 1 Fixed 8.2325% 03-15-18,-0.04%,IRS ZAR PAY 1 Fixed 8.2325% 03-15-18,,, IRS ZAR PAY 1 Fixed 8.3350% 03-15-18,-0.04%,IRS ZAR PAY 1 Fixed 8.3350% 03-15-18,,, IRS USD PAY 10 Fixed 2.1300% 03-16-26,-0.04%,IRS USD PAY 10 Fixed 2.1300% 03-16-26,,, IRS USD PAY Float 0.0000% 06-16-26,-0.05%,IRS USD PAY Float 0.0000% 06-16-26,,, IRS USD PAY 7 Fixed 1.9000% 03-16-23,-0.19%,IRS USD PAY 7 Fixed 1.9000% 03-16-23,,, US Dollar Trade Receivable,-0.01%,US Dollar Trade Receivable,,, ,,,,,