Annual disclosure statement data file,,,,,Notes Name of KiwiSaver scheme,Fisher Funds TWO KiwiSaver Scheme,,,, Name of KiwiSaver fund,Fisher Funds TWO KiwiSaver Scheme Growth Fund,,,, Period to which disclosure statement relates,31/03/2016,,,, Description of the fund and its investment objectives,A diversified fund that provides an exposure to a range of growth assets (property and trans Tasman and international shares) and limited exposure to income assets (fixed interest and cash). At our discretion the Growth Fund may also invest in alternative assets and/or derivatives. The objective of the fund is to focus predominantly on capital growth over the long term.,,,, Total value of the fund,"197,030,000",,,, Number of members in the fund,"13,221",,,, 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) ,7.10%,4.00%,,, Annual return (after fund fees and tax at 0% PIR),7.95%,3.85%,,, ,,,,, 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,,3.86%,,, Return for latest complete disclosure year,31/03/2016,4.00%,,, Return for next latest complete disclosure year,31/03/2015,10.57%,,, Return for next latest complete disclosure year,31/03/2014,10.14%,,, Return for next latest complete disclosure year,31/03/2013,12.95%,,, Return for next latest complete disclosure year,31/03/2012,-1.36%,,, Return for next latest complete disclosure year,31/03/2011,4.59%,,, Return for next latest complete disclosure year,31/03/2010,27.88%,,, Return for next latest complete disclosure year,31/03/2009,-18.96%,,, 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,1.20%,,,,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,1.02%,,,,"The weighted average management fee for the Fisher Funds TWO KiwiSaver Growth Fund as at 31 March 2016 was 1.02% p.a. based on a tiered management calculation where the management fee charged on first $100,000,000 of funds under management is 1.05% and the fee on funds under management between $100,000,000 and $200,000,000 is 1.00%. This fee is calculated daily. " Performance-based fees,0.00%,,,, Other fees and costs,0.18%,,,, ,,,,, Membership fees,28.32,,,, ,,,,, Synthetic total expense ratio,1.35%,,,, ,,,,, Actual investment mix [refer r29],,,,, ,% of pie graph,,,, Cash and cash equivalents,11.64%,,,, New Zealand fixed interest,15.14%,,,, International fixed interest,3.87%,,,, Australasian equities,26.43%,,,, International equities,33.77%,,,, Listed property,0.00%,,,, Unlisted property,9.15%,,,, Unknown,0.00%,,,, Other,0.00%,,,, ,,,,, Target investment mix [refer r29],,,,, Cash and cash equivalents,10.00%,,,, New Zealand fixed interest,6.00%,,,, International fixed interest,9.00%,,,, Australasian equities,27.00%,,,, International equities,40.00%,,,, Listed property,0.00%,,,, Unlisted property,8.00%,,,, 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,6.45%,Unlisted property,New Zealand,, Cash Deposit (ANZ Bank),4.33%,Cash and cash equivalents,New Zealand,, F & P Healthcare Crp ,1.90%,Australasian equities,New Zealand,, Auck Int Airport Ltd ,1.68%,Australasian equities,New Zealand,, Spark NZ Limited ,1.59%,Australasian equities,New Zealand,, "State Street Bank and Trust Co., N.A., New York (USD)",1.45%,Cash and cash equivalents,United States,AA-, Ryman Healthcare ,1.39%,Australasian equities,New Zealand,, Fletcher Building ,1.36%,Australasian equities,New Zealand,, NZGS 15/03/19 5.00%,1.08%,New Zealand fixed interest,New Zealand,AA+, Meridian Energy Ltd ,1.07%,Australasian equities,New Zealand,, Total value of 10 highest value assets as a percentage of fund net assets,22.30%,,,, ,,,,, "Liquidity and debt ratios [refer r32,33]",,,,, Liquidity ratio,79.16%,,,, Debt ratio,0.13%,,,, ,,,,, 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,6.45%,Bayfair Mall,,, Cash Deposit (ANZ Bank),4.33%,ANZ 10 A/C - Current Accounts,,, F & P Healthcare Crp ,1.90%,NZFAPE0001S2,,, Auck Int Airport Ltd ,1.68%,NZAIAE0002S6,,, Spark NZ Limited ,1.59%,NZTELE0001S4,,, "State Street Bank and Trust Co., N.A., New York (USD)",1.45%,"State Street Bank and Trust Co., N.A., New York (USD)",,, Ryman Healthcare ,1.39%,NZRYME0001S4,,, Fletcher Building ,1.36%,NZFBUE0001S0,,, NZGS 15/03/19 5.00%,1.08%,NZGOVDT319C0,,, Meridian Energy Ltd ,1.07%,NZMELE0002S7,,, NZGS 15/04/23 5.50%,1.01%,NZGOVDT423C0,,, NZGS 15/04/20 3.00%,1.01%,NZGOVDT420C6,,, Contact Energy Ltd ,0.99%,NZCENE0001S6,,, Infratil Limited ,0.97%,NZIFTE0003S3,,, NZGS 15/05/21 6.00%,0.92%,NZGOVD0521C2,,, ASB 03/18 FRN,0.89%,NZABBDT033C2,,, Mainfreight Limited ,0.87%,NZMFTE0001S9,,, Westpac 03/18/FRN,0.80%,NZWNZD0318L4,,, Akl Int Air 4/17 FRN,0.71%,NZAIADT317L4,,, EBOS Group Ltd ,0.70%,NZEBOE0001S6,,, Rabobank 05/16 FRN,0.70%,NZRABDT013C6,,, Merivale Mall,0.68%,Merivale Mall,,, Westpac 10/17 FRN,0.68%,NZWNZD1017L1,,, Freightways Ltd ,0.68%,NZFREE0001S0,,, Summerset Group Ltd ,0.68%,NZSUME0001S0,,, APPLE INC,0.67%,US0378331005,,, Port of Tauranga ,0.66%,NZPOTE0001S4,,, Westpac Banking Corporation Current Account,0.66%,Westpac Banking Corporation Current Account,,, Fonterra FRN 24/X/17,0.66%,NZFCGDT286C5,,, Sky City Entertainmt ,0.61%,NZSKCE0001S2,,, Trade Me Group ,0.58%,NZTMEE0003S8,,, NZGS 15/04/27 4.50%,0.56%,NZGOVDT427C1,,, Westpac 07/17 FRN,0.55%,NZWNZD0717L7,,, Mighty River Power ,0.52%,NZMRPE0001S2,,, Ramsay Health Care ,0.51%,AU000000RHC8,,, Kiwi Property Group ,0.51%,NZKPGE0001S9,,, ASB 08/18 FRN,0.50%,NZABBDT027C4,,, CASH ACCOUNT (GBP),0.49%,CASH ACCOUNT (GBP),,, TOWER Centre,0.48%,TOWER Centre,,, Kiwibank 11/17 FRN,0.46%,NZKIWD1117L1,,, Rabobank 05/17 5.38%,0.45%,NZRABDT012C8,,, MICROSOFT CORP,0.44%,US5949181045,,, Goodman Fielder,0.42%,Goodman Fielder,,, Kiwibank 04/17 FRN,0.41%,NZKIWD0417L6,,, ANZ Bank 03/19 FRN,0.40%,NZANBDT015C5,,, Goodman Property Tst ,0.39%,NZCPTE0001S9,,, URS Centre,0.38%,URS Centre,,, Sky Network TV Ltd ,0.38%,NZSKTE0001S6,,, ANZ 08/03/17 FRN,0.37%,NZANBDG022C6,,, Dominos Pizza Enterp ,0.37%,AU000000DMP0,,, CSL Limited ,0.37%,AU000000CSL8,,, Restaurant Brands NZ ,0.36%,NZRBDE0001S1,,, Flight Centre ,0.36%,AU000000FLT9,,, Brambles Limited ,0.34%,AU000000BXB1,,, Kiwibank Deposit A/C - Deposit Accounts 26/07/2016,0.34%,Kiwibank Deposit A/C - Deposit Accounts 26/07/2016,,, Seek Limited ,0.34%,AU000000SEK6,,, BUY NZD:SELL USD NZD 23/06/2016,0.33%,BUY NZD:SELL USD NZD 23/06/2016,,, Burson Group Limited ,0.33%,AU000000BAP9,,, EXXON MOBIL CORP,0.33%,US30231G1022,,, Ansell Limited ,0.33%,AU000000ANN9,,, Sonic Healthcare Ltd ,0.32%,AU000000SHL7,,, Henderson Group PLC ,0.32%,AU000000HGG2,,, Resmed Inc ,0.32%,AU000000RMD6,,, Technology One Ltd ,0.32%,AU000000TNE8,,, ASB Bank 03/19 FRN,0.32%,NZABBDT035C7,,, GENERAL ELECTRIC CO W/D,0.31%,US3696041033,,, BNZ Bank Deposit A/C - Deposit Accounts 27/05/2016,0.31%,BNZ Bank Deposit A/C - Deposit Accounts 27/05/2016,,, BNZ Bank Deposit A/C - Deposit Accounts 27/07/2016,0.31%,BNZ Bank Deposit A/C - Deposit Accounts 27/07/2016,,, Westpac Banking Corp ,0.31%,AU000000WBC1,,, Akl Int A 10/18 FRN,0.30%,NZAIAD1018L8,,, National Aust Bank ,0.30%,AU000000NAB4,,, Coca-Cola Amatil ,0.30%,AU000000CCL2,,, "Deutsche Bank AG Global Corporate and Financial Institutions (EUR)",0.30%,"Deutsche Bank AG Global Corporate and Financial Institutions (EUR)",,, Tox Free Solutions ,0.30%,AU000000TOX6,,, MYOB Limited ,0.29%,AU000000MYO9,,, NESTLE SA REG,0.29%,CH0038863350,,, BNZ 15/07/16 5.73%,0.29%,NZBNZDT335C8,,, Ingenia Comm Group ,0.29%,AU000000INA9,,, Medibank Private Ltd ,0.28%,AU000000MPL3,,, Carsales.com Ltd ,0.28%,AU000000CAR3,,, CSG Limited ,0.28%,AU000000CSV7,,, ALPHABET INC CL C,0.28%,US02079K1079,,, Transpower House,0.28%,Transpower House,,, AMAZON.COM INC,0.26%,US0231351067,,, Nanosonics Limited ,0.25%,AU000000NAN9,,, BNZ 28/03/2018 FRN,0.25%,NZBNZDT365C5,,, "Bank of Tokyo-Mitsubishi UFJ, Ltd. (JPY)",0.25%,"Bank of Tokyo-Mitsubishi UFJ, Ltd. (JPY)",,, Metro Performance Gl ,0.25%,NZMPGE0001S5,,, JPMORGAN CHASE + CO,0.24%,US46625H1005,,, JOHNSON + JOHNSON,0.24%,US4781601046,,, ALPHABET INC CL A,0.24%,US02079K3059,,, AUB Group Limited ,0.24%,AU000000AUB9,,, CitiBank AUD Fishers - Current Accounts,0.24%,CitiBank AUD Fishers - Current Accounts,,, ROCHE HOLDING AG GENUSSCHEIN,0.23%,CH0012032048,,, WELLS FARGO + CO,0.23%,US9497461015,,, NOVARTIS AG REG,0.23%,CH0012005267,,, FACEBOOK INC A,0.22%,US30303M1027,,, JAPAN TREASURY DISC BILL #587,0.22%,JP1745871G20,,, HOME DEPOT INC,0.22%,US4370761029,,, ANZ 01/12/17 FRN,0.22%,NZANBDG026C7,,, Vista Group Intl Ltd ,0.21%,NZVGLE0001S5,,, Westfield Place,0.21%,Westfield Place,,, CHEVRON CORP,0.21%,US1667641005,,, ANZ Bank Deposit A/C - Deposit Accounts 26/05/2016,0.20%,ANZ Bank Deposit A/C - Deposit Accounts 26/05/2016,,, PFIZER INC,0.20%,US7170811035,,, WALT DISNEY CO/THE,0.20%,US2546871060,,, PROCTER + GAMBLE CO/THE,0.20%,US7427181091,,, Trnpwr 11/18 5.14%,0.20%,NZ519D1118L9,,, AT+T INC,0.20%,US00206R1023,,, ASB 08/06/17 6.06%,0.19%,NZABBDT024C1,,, Otp Bank Plc,0.19%,HU0000061726,,, Credit Corp Group ,0.19%,AU000000CCP3,,, Stride Property Ltd ,0.19%,NZDNZE0001S9,,, NZGS 14/04/33 3.50%,0.19%,NZGOVDT433C9,,, "State Street Bank and Trust Company, London Branch (GBP)",0.19%,"State Street Bank and Trust Company, London Branch (GBP)",,, Akl CC 29/09/17 6.52,0.19%,NZMCC050D5L1,,, BANK OF AMERICA CORP,0.19%,US0605051046,,, COCA COLA CO/THE,0.18%,US1912161007,,, TOYOTA MOTOR CORP,0.18%,JP3633400001,,, VISA INC CLASS A SHARES,0.18%,US92826C8394,,, INTEL CORP,0.18%,US4581401001,,, CISCO SYSTEMS INC,0.18%,US17275R1023,,, Link Administration ,0.18%,AU000000LNK2,,, Regis Healthcare Ltd ,0.18%,AU000000REG6,,, VERIZON COMMUNICATIONS INC,0.18%,US92343V1044,,, GILEAD SCIENCES INC,0.17%,US3755581036,,, MERCK + CO. INC.,0.17%,US58933Y1055,,, HENRY SCHEIN INC,0.17%,US8064071025,,, Kiwibank Deposit A/C - Deposit Accounts 24/06/2016,0.16%,Kiwibank Deposit A/C - Deposit Accounts 24/06/2016,,, BAYER AG REG,0.16%,DE000BAY0017,,, COMCAST CORP CLASS A,0.16%,US20030N1019,,, CITIGROUP INC,0.16%,US1729674242,,, Samsung Fire and Marine INS,0.16%,"KR7000810002 ",,, INTL BUSINESS MACHINES CORP,0.16%,US4592001014,,, ORACLE CORP,0.16%,US68389X1054,,, Ooh!Media Limited ,0.15%,AU000000OML6,,, ALLERGAN PLC,0.15%,IE00BY9D5467,,, ANZ Bank Deposit A/C - Deposit Accounts 24/05/2016,0.15%,ANZ Bank Deposit A/C - Deposit Accounts 24/05/2016,,, Port Tau 02/21 4.792,0.15%,NZPOTD0121L7,,, AMGEN INC,0.15%,US0311621009,,, MCDONALD S CORP,0.15%,US5801351017,,, NOVO NORDISK A/S B,0.15%,DK0060534915,,, BANK OF NOVA SCOTIA,0.15%,CA0641491075,,, UNITEDHEALTH GROUP INC,0.15%,US91324P1021,,, AMERICAN WATER WORKS CO INC,0.15%,US0304201033,,, BNZ Bank Deposit A/C - Deposit Accounts 13/04/2016,0.15%,BNZ Bank Deposit A/C - Deposit Accounts 13/04/2016,,, MEDTRONIC PLC,0.14%,IE00BTN1Y115,,, TOTAL SA,0.14%,FR0000120271,,, Turk Telekom,0.14%,TRETTLK00013,,, ANHEUSER BUSCH INBEV SA/NV,0.14%,BE0003793107,,, TORONTO DOMINION BANK,0.14%,CA8911605092,,, PEPSICO INC,0.14%,US7134481081,,, STARBUCKS CORP,0.14%,US8552441094,,, MASTERCARD INC CLASS A,0.14%,US57636Q1040,,, APN Outdoor Grp Ltd ,0.13%,AU000000APO2,,, PAYPAL HOLDINGS INC,0.13%,US70450Y1038,,, Sanlam Ltd,0.13%,ZAE000070660,,, Allied Pickfords,0.13%,Allied Pickfords,,, GLAXOSMITHKLINE PLC,0.13%,GB0009252882,,, Samsung Electronics Co.,0.13%,KR7005930003,,, BRISTOL MYERS SQUIBB CO,0.13%,US1101221083,,, UNILEVER NV CVA,0.13%,NL0000009355,,, CVS HEALTH CORP,0.13%,US1266501006,,, CONOCOPHILLIPS,0.13%,US20825C1045,,, EVERSOURCE ENERGY,0.13%,US30040W1080,,, HSBC HOLDINGS PLC,0.13%,GB0005405286,,, QUALCOMM INC,0.13%,US7475251036,,, BANCO SANTANDER SA,0.12%,ES0113900J37,,, CELGENE CORP,0.12%,US1510201049,,, BERKSHIRE HATHAWAY INC CL B,0.12%,US0846707026,,, Toyota 11/18 4.405%,0.12%,NZTFSDT498C3,,, BHP BILLITON PLC,0.12%,GB0000566504,,, COMMONWEALTH BANK OF AUSTRAL,0.12%,AU000000CBA7,,, TOTAL FFX Other,0.12%,TOTAL FFX Other,,, HCL Technologies,0.12%,INE860A01027,,, ROYAL BANK OF CANADA,0.12%,CA7800871021,,, NIKE INC CL B,0.12%,US6541061031,,, ABBVIE INC,0.12%,US00287Y1091,,, BP PLC,0.12%,GB0007980591,,, SANOFI,0.12%,FR0000120578,,, VODAFONE GROUP PLC,0.12%,GB00BH4HKS39,,, DAIMLER AG REGISTERED SHARES,0.12%,DE0007100000,,, Metro Bank,0.12%,PHY6028G1361,,, LOWE S COS INC,0.12%,US5486611073,,, MITSUBISHI CORP,0.12%,JP3898400001,,, ELI LILLY + CO,0.12%,US5324571083,,, WBC 20/09/18 5.545%,0.12%,NZWNZD0918L1,,, PRICELINE GROUP INC/THE,0.12%,US7415034039,,, CATERPILLAR INC,0.11%,US1491231015,,, Trnpwr 06/22 4.30%,0.11%,NZTRPD0030L3,,, ASB 18/07/18 5.06%,0.11%,NZABBDT026C6,,, Timaru DC 04/20 4.76,0.11%,NZTDCDT016C3,,, JAPAN TREASURY DISC BILL #593,0.11%,JP1745931G36,,, SK Hynix Inc,0.11%,KR7000660001,,, MARSH + MCLENNAN COS,0.11%,US5717481023,,, MITSUBISHI UFJ FINANCIAL GRO,0.11%,JP3902900004,,, Papanui Road,0.11%,Papanui Road,,, CAN IMPERIAL BK OF COMMERCE,0.11%,CA1360691010,,, BASF SE,0.11%,DE000BASF111,,, THERMO FISHER SCIENTIFIC INC,0.11%,US8835561023,,, ALLIANZ SE REG,0.11%,DE0008404005,,, SCHLUMBERGER LTD,0.11%,AN8068571086,,, DANAHER CORP W/D,0.11%,US2358511028,,, AIA GROUP LTD,0.11%,HK0000069689,,, TEXAS INSTRUMENTS INC,0.11%,US8825081040,,, CMS ENERGY CORP,0.11%,US1258961002,,, Powszechny Zaklad ubezpiecze,0.11%,PLPZU0000011,,, EMC CORP/MA,0.11%,US2686481027,,, XCEL ENERGY INC,0.11%,US98389B1008,,, MTF Valnt Cl A 07/22,0.11%,NZVTMTFAT019,,, UNILEVER PLC,0.11%,GB00B10RZP78,,, Porto Seguro Sa,0.11%,BRPSSAACNOR7,,, BOEING CO/THE,0.11%,US0970231058,,, AMERICAN INTERNATIONAL GROUP,0.10%,US0268747849,,, AUST AND NZ BANKING GROUP,0.10%,AU000000ANZ3,,, ABBOTT LABORATORIES,0.10%,US0028241000,,, CANADIAN NATL RAILWAY CO,0.10%,CA1363751027,,, SIEMENS AG REG,0.10%,DE0007236101,,, HONDA MOTOR CO LTD,0.10%,JP3854600008,,, BHP BILLITON LIMITED,0.10%,AU000000BHP4,,, FORTIS INC,0.10%,CA3495531079,,, KYUSHU FINANCIAL GROUP INC,0.10%,JP3246500007,,, ROYAL DUTCH SHELL PLC A SHS,0.10%,GB00B03MLX29,,, Port Tau 10/19 5.865,0.10%,NZPOTD1019L2,,, HONEYWELL INTERNATIONAL INC,0.10%,US4385161066,,, DIAGEO PLC,0.10%,GB0002374006,,, SABMILLER PLC,0.10%,GB0004835483,,, UNION PACIFIC CORP,0.10%,US9078181081,,, CHURCH + DWIGHT CO INC,0.10%,US1713401024,,, DOW CHEMICAL CO W/D,0.10%,US2605431038,,, BNP PARIBAS,0.10%,FR0000131104,,, SAP SE,0.10%,DE0007164600,,, COLGATE PALMOLIVE CO,0.10%,US1941621039,,, GOLDMAN SACHS GROUP INC,0.10%,US38141G1040,,, Wipro Ltd,0.10%,INE075A01022,,, WESTFIELD CORP,0.10%,AU000000WFD0,,, PRUDENTIAL FINANCIAL INC,0.10%,US7443201022,,, DEUTSCHE TELEKOM AG REG,0.10%,DE0005557508,,, AMETEK INC,0.09%,US0311001004,,, Aboitiz Power Corp,0.09%,PHY0005M1090,,, COSTCO WHOLESALE CORP,0.09%,US22160K1051,,, WALGREENS BOOTS ALLIANCE INC,0.09%,US9314271084,,, Pou Chen,0.09%,TW0009904003,,, Axis Bank Ltd,0.09%,INE238A01026,,, UBS GROUP AG REG,0.09%,CH0244767585,,, GMT Bond 06/22 5.00%,0.09%,NZGMBDT003C6,,, OCCIDENTAL PETROLEUM CORP,0.09%,US6745991058,,, COLUMBIA PIPELINE GROUP,0.09%,US1982801094,,, RECKITT BENCKISER GROUP PLC,0.09%,GB00B24CGK77,,, WAL MART STORES INC,0.09%,US9311421039,,, WPP PLC,0.09%,JE00B8KF9B49,,, BIOGEN INC,0.09%,US09062X1037,,, ING GROEP NV CVA,0.09%,NL0000303600,,, MONDELEZ INTERNATIONAL INC A,0.09%,US6092071058,,, State Street Bank and Trust Company International Deposit Services (CAD),0.09%,State Street Bank and Trust Company International Deposit Services (CAD),,, Spark 03/22 4.50%,0.09%,NZSPFD0322L1,,, MARATHON OIL CORP,0.09%,US5658491064,,, EXPRESS SCRIPTS HOLDING CO,0.09%,US30219G1085,,, BROADCOM LTD,0.09%,SG9999014823,,, ASTRAZENECA PLC,0.09%,GB0009895292,,, NATIONAL GRID PLC,0.09%,GB00B08SNH34,,, AMPHENOL CORP CL A,0.09%,US0320951017,,, LVMH MOET HENNESSY LOUIS VUI,0.09%,FR0000121014,,, RIO TINTO PLC,0.09%,GB0007188757,,, 3M CO,0.09%,US88579Y1010,,, AMERICAN EXPRESS CO,0.09%,US0258161092,,, US BANCORP,0.09%,US9029733048,,, SIMON PROPERTY GROUP INC,0.09%,US8288061091,,, Aksa Akrilik Kimya Sanayii,0.09%,TRAAKSAW91E1,,, Skandinaviska Enskilda Banken (SEK),0.09%,Skandinaviska Enskilda Banken (SEK),,, DU PONT (E.I.) DE NEMOURS,0.09%,US2635341090,,, ACCENTURE PLC CL A,0.09%,IE00B4BNMY34,,, DOVER CORP,0.09%,US2600031080,,, COMPAGNIE DE SAINT GOBAIN,0.09%,FR0000125007,,, TJX COMPANIES INC,0.09%,US8725401090,,, SALESFORCE.COM INC,0.09%,US79466L3024,,, SUNCOR ENERGY INC,0.09%,CA8672241079,,, NTT DOCOMO INC,0.09%,JP3165650007,,, ATLAS COPCO AB A SHS,0.09%,SE0006886750,,, ANALOG DEVICES INC,0.08%,US0326541051,,, ADOBE SYSTEMS INC,0.08%,US00724F1012,,, DELPHI AUTOMOTIVE PLC,0.08%,JE00B783TY65,,, NEXTERA ENERGY INC,0.08%,US65339F1012,,, Kiwibk 05/20 4.6475%,0.08%,NZKIWD0520L7,,, EATON CORP PLC,0.08%,IE00B8KQN827,,, BROOKFIELD ASSET MANAGE CL A,0.08%,CA1125851040,,, PARKER HANNIFIN CORP,0.08%,US7010941042,,, COCA COLA ENTERPRISES,0.08%,US19122T1097,,, UNIBAIL RODAMCO SE,0.08%,FR0000124711,,, MIZUHO FINANCIAL GROUP INC,0.08%,JP3885780001,,, CHUBB LTD,0.08%,CH0044328745,,, INTESA SANPAOLO,0.08%,IT0000072618,,, STARWOOD HOTELS + RESORTS,0.08%,US85590A4013,,, PPL CORP,0.08%,US69351T1060,,, L OREAL,0.08%,FR0000120321,,, HEINEKEN NV,0.08%,NL0000009165,,, SANDVIK AB,0.08%,SE0000667891,,, BT GROUP PLC,0.08%,GB0030913577,,, TIME WARNER CABLE,0.08%,US88732J2078,,, CLOROX COMPANY,0.08%,US1890541097,,, DANISH KRONER,0.08%,,,, SCHWAB (CHARLES) CORP,0.08%,US8085131055,,, BANK OF MONTREAL,0.08%,CA0636711016,,, TOKIO MARINE HOLDINGS INC,0.08%,JP3910660004,,, Nongshim Co Ltd,0.08%,KR7072710007,,, TELEFONICA SA,0.08%,ES0178430E18,,, TOYOTA INDUSTRIES CORP,0.08%,JP3634600005,,, T ROWE PRICE GROUP INC,0.08%,US74144T1088,,, POWER CORP OF CANADA,0.08%,CA7392391016,,, FRESENIUS SE + CO KGAA,0.08%,DE0005785604,,, UNITED PARCEL SERVICE CL B,0.08%,US9113121068,,, CIE FINANCIERE RICHEMONT REG,0.08%,CH0210483332,,, AXA SA,0.08%,FR0000120628,,, KEYENCE CORP,0.08%,JP3236200006,,, AIR LIQUIDE SA,0.08%,FR0000120073,,, PUBLIC SERVICE ENTERPRISE GP,0.08%,US7445731067,,, STRYKER CORP,0.08%,US8636671013,,, KRAFT HEINZ CO/THE,0.08%,US5007541064,,, YUM BRANDS INC,0.08%,US9884981013,,, SL GREEN REALTY CORP,0.08%,US78440X1019,,, GENERAL MILLS INC,0.08%,US3703341046,,, ENEL SPA,0.08%,IT0003128367,,, TRANSURBAN GROUP,0.08%,AU000000TCL6,,, FORD MOTOR CO,0.08%,US3453708600,,, SCENTRE GROUP,0.08%,AU000000SCG8,,, MARRIOTT INTERNATIONAL CL A,0.08%,US5719032022,,, KIMBERLY CLARK CORP,0.08%,US4943681035,,, TIME WARNER INC,0.08%,US8873173038,,, MITSUI + CO LTD,0.08%,JP3893600001,,, INDUSTRIA DE DISENO TEXTIL,0.08%,ES0148396007,,, SCHNEIDER ELECTRIC SE,0.08%,FR0000121972,,, PACCAR INC,0.08%,US6937181088,,, MAGNA INTERNATIONAL INC,0.08%,CA5592224011,,, AIRBUS GROUP SE,0.08%,NL0000235190,,, NATIONAL BANK OF CANADA,0.08%,CA6330671034,,, TEVA PHARMACEUTICAL IND LTD,0.08%,IL0006290147,,, MARUBENI CORP,0.08%,JP3877600001,,, KDDI CORP,0.08%,JP3496400007,,, ROCKWELL AUTOMATION INC,0.08%,US7739031091,,, INTUIT INC,0.08%,US4612021034,,, ABB LTD REG,0.08%,CH0012221716,,, GREAT WEST LIFECO INC,0.07%,CA39138C1068,,, WABTEC CORP,0.07%,US9297401088,,, PRUDENTIAL PLC,0.07%,GB0007099541,,, PERNOD RICARD SA,0.07%,FR0000120693,,, BANK OF NEW YORK MELLON CORP,0.07%,US0640581007,,, FIFTH THIRD BANCORP,0.07%,US3167731005,,, TARGET CORP,0.07%,US87612E1064,,, AMERIPRISE FINANCIAL INC,0.07%,US03076C1062,,, WEC ENERGY GROUP INC,0.07%,US92939U1060,,, MS+AD INSURANCE GROUP HOLDIN,0.07%,JP3890310000,,, DANONE,0.07%,FR0000120644,,, UNITED TECHNOLOGIES CORP,0.07%,US9130171096,,, P G + E CORP,0.07%,US69331C1080,,, ANZ 18/04/18 5.28%,0.07%,NZANBD0006S7,,, LIBERTY GLOBAL PLC SERIES C,0.07%,GB00B8W67B19,,, BEIERSDORF AG,0.07%,DE0005200000,,, FANUC CORP,0.07%,JP3802400006,,, STATE STREET CORP,0.07%,US8574771031,,, AETNA INC,0.07%,US00817Y1082,,, KELLOGG CO,0.07%,US4878361082,,, VORNADO REALTY TRUST,0.07%,US9290421091,,, BAYERISCHE MOTOREN WERKE AG,0.07%,DE0005190003,,, SUMITOMO MITSUI FINANCIAL GR,0.07%,JP3890350006,,, ENI SPA,0.07%,IT0003132476,,, CAPITAL ONE FINANCIAL CORP,0.07%,US14040H1059,,, SUMITOMO ELECTRIC INDUSTRIES,0.07%,JP3407400005,,, MORGAN STANLEY,0.07%,US6174464486,,, TAKEDA PHARMACEUTICAL CO LTD,0.07%,JP3463000004,,, ERICSSON LM B SHS,0.07%,SE0000108656,,, ASTELLAS PHARMA INC,0.07%,JP3942400007,,, Nexen Tire Corp,0.07%,KR7002350007,,, ITOCHU CORP,0.07%,JP3143600009,,, LLOYDS BANKING GROUP PLC,0.07%,GB0008706128,,, ASSA ABLOY AB B,0.07%,SE0007100581,,, CANADIAN PACIFIC RAILWAY LTD,0.07%,CA13645T1003,,, GOODMAN GROUP,0.07%,AU000000GMG2,,, BNZ 17/12/25 5.314%,0.07%,NZBNZDT383C8,,, National Bank of Abu Dhabi,0.07%,AEN000101016,,, BECTON DICKINSON AND CO,0.07%,US0758871091,,, NIPPON STEEL + SUMITOMO META,0.07%,JP3381000003,,, Shoprite Holdings Ltd,0.07%,ZAE000012084,,, KAO CORP,0.07%,JP3205800000,,, TWENTY FIRST CENTURY FOX A,0.07%,US90130A1016,,, DAIWA HOUSE INDUSTRY CO LTD,0.07%,JP3505000004,,, IBERDROLA SA,0.07%,ES0144580Y14,,, DR PEPPER SNAPPLE GROUP INC,0.07%,US26138E1091,,, RIO TINTO LTD,0.07%,AU000000RIO1,,, EQUINIX INC,0.07%,US29444U7000,,, GENERAL MOTORS CO,0.07%,US37045V1008,,, MANULIFE FINANCIAL CORP,0.07%,CA56501R1064,,, EOG RESOURCES INC,0.07%,US26875P1012,,, HENNES + MAURITZ AB B SHS,0.07%,SE0000106270,,, PNC FINANCIAL SERVICES GROUP,0.07%,US6934751057,,, Rabobank 06/20 4.592,0.07%,NZRABDT014C4,,, METLIFE INC,0.07%,US59156R1086,,, PRINCIPAL FINANCIAL GROUP,0.07%,US74251V1026,,, HENKEL AG + CO KGAA VORZUG,0.07%,DE0006048432,,, FED HOME LN BK DISC NT,0.07%,US313384WM76,,, U S TREASURY NOTE,0.07%,US912828VS66,,, SYNGENTA AG REG,0.07%,CH0011037469,,, LYONDELLBASELL INDU CL A,0.07%,NL0009434992,,, BANCO BILBAO VIZCAYA ARGENTA,0.07%,ES0113211835,,, ESSILOR INTERNATIONAL,0.07%,FR0000121667,,, EAST JAPAN RAILWAY CO,0.06%,JP3783600004,,, AURIZON HOLDINGS LTD,0.06%,AU000000AZJ1,,, NIPPON TELEGRAPH + TELEPHONE,0.06%,JP3735400008,,, CONTINENTAL AG,0.06%,DE0005439004,,, PHILLIPS 66,0.06%,US7185461040,,, SHIRE PLC,0.06%,JE00B2QKY057,,, ZOETIS INC,0.06%,US98978V1035,,, CIGNA CORP,0.06%,US1255091092,,, AMERICAN TOWER CORP,0.06%,US03027X1000,,, MCKESSON CORP,0.06%,US58155Q1031,,, STANDARD CHARTERED PLC,0.06%,GB0004082847,,, ANZ Bank Deposit A/C - Deposit Accounts 22/04/2016,0.06%,ANZ Bank Deposit A/C - Deposit Accounts 22/04/2016,,, SEVEN + I HOLDINGS CO LTD,0.06%,JP3422950000,,, Trnpwr 02/17 6.595%,0.06%,NZ519D0217L0,,, NISSAN MOTOR CO LTD,0.06%,JP3672400003,,, CK HUTCHISON HOLDINGS LTD,0.06%,KYG217651051,,, ALEXION PHARMACEUTICALS INC,0.06%,US0153511094,,, DEUTSCHE BANK AG REGISTERED,0.06%,DE0005140008,,, EQUITY RESIDENTIAL,0.06%,US29476L1070,,, UNITED UTILITIES GROUP PLC,0.06%,GB00B39J2M42,,, SUMITOMO CORP,0.06%,JP3404600003,,, SMITH + NEPHEW PLC,0.06%,GB0009223206,,, CREDIT SUISSE GROUP AG REG,0.06%,CH0012138530,,, MURATA MANUFACTURING CO LTD,0.06%,JP3914400001,,, ALFA LAVAL AB,0.06%,SE0000695876,,, NORDEA BANK AB,0.06%,SE0000427361,,, RAYTHEON COMPANY,0.06%,US7551115071,,, U S TREASURY INFLATE PROT BD,0.06%,US912828H458,,, BB+T CORP,0.06%,US0549371070,,, SOCIETE GENERALE SA,0.06%,FR0000130809,,, DENSO CORP,0.06%,JP3551500006,,, CENTRAL JAPAN RAILWAY CO,0.06%,JP3566800003,,, Akl IA 09/11/22 4.28,0.06%,NZAIADT200L2,,, MONSANTO CO,0.06%,US61166W1018,,, KROGER CO,0.06%,US5010441013,,, SUNTRUST BANKS INC,0.06%,US8679141031,,, KT&G Corporation,0.06%,KR7033780008,,, State Street Bank and Trust Company (AUD),0.06%,State Street Bank and Trust Company (AUD),,, eMemory Technology Inc,0.05%,TW0003529004,,, Anadolu Hayat Emeklilik,0.05%,TRAANHYT91O3,,, BUY NZD:SELL JPY NZD 23/06/2016,0.05%,BUY NZD:SELL JPY NZD 23/06/2016,,, BARCLAYS PLC,0.05%,GB0031348658,,, REGENERON PHARMACEUTICALS,0.05%,US75886F1075,,, U S TREASURY INFLATE PROT BD,0.05%,US912810FR42,,, DAI ICHI LIFE INSURANCE,0.05%,JP3476480003,,, Contact 05/18 4.80%,0.05%,NZCEND0518L6,,, AFP Habitat SA,0.05%,CLP009331040,,, President Chain Store Corp,0.05%,TW0002912003,,, Cia Cervecerias,0.05%,CLP249051044,,, ROYAL DUTCH SHELL PLC B SHS,0.04%,GB00B03MM408,,, BUY NZD:SELL STG NZD 23/06/2016,0.04%,BUY NZD:SELL STG NZD 23/06/2016,,, Lukoil PJSC,0.04%,US69343P1057,,, US Dollar Curr Fwd (USD) 29-APR-16,0.04%,US Dollar Curr Fwd (USD) 29-APR-16,,, BUY NZD:SELL EUR NZD 23/06/2016,0.04%,BUY NZD:SELL EUR NZD 23/06/2016,,, ANZ 11/05/20 4.48%,0.04%,NZANBDG027C5,,, Rabobank 8/10/37 FRN,0.04%,NZRBOD0001S0,,, Telekomunikasi Indonesia,0.04%,ID1000129000,,, JB #330 0.8000% 09-20-23,0.04%,JP1103301D90,,, China Mobile,0.04%,HK0941009539,,, NCSOFT Corporation,0.04%,KR7036570000,,, MOL Hungarian Oil and Gas PLC,0.04%,HU0000068952,,, Philippine Long Distance Tel,0.04%,PH7182521093,,, Kiwibank Deposit A/C - Deposit Accounts 28/04/2016,0.03%,Kiwibank Deposit A/C - Deposit Accounts 28/04/2016,,, Meridian 03/23 4.53%,0.03%,NZMELDT016C8,,, BNZ 18/06/20 4.426%,0.03%,NZBNZDT380C4,,, JS # 114 0.3000% 09-20-18,0.03%,JP1051141D95,,, Aguas Andinas SA-A,0.03%,CL0000000035,,, IRS USD REC Float 0.63955% 03-16-23,0.03%,IRS USD REC Float 0.63955% 03-16-23,,, JL # 106 2.2000% 09-20-28,0.03%,JP12010618A8,,, Kiwibank Deposit A/C - Deposit Accounts 17/05/2016,0.03%,Kiwibank Deposit A/C - Deposit Accounts 17/05/2016,,, Power Grid Corp,0.03%,INE752E01010,,, U S TREASURY BILLS,0.03%,US912796GH66,,, IRS ZAR REC Float 0.0000% 03-15-18,0.03%,IRS ZAR REC Float 0.0000% 03-15-18,,, ANZ 18/09/17 4.89%,0.03%,NZANBDT011C4,,, JX #30 2.3000% 03-20-39,0.03%,JP1300301940,,, US Treasury N/B 0.7500% 12-31-17,0.03%,US912828UE89,,, AMP/Bayfair Cash,0.03%,AMP/Bayfair Cash,,, ASB 20/12/17 4.476%,0.03%,NZABBDT025C8,,, US Dollar On-Hand,0.03%,US Dollar On-Hand,,, Spain Kingdom SRg144 1.9500% 04-30-26,0.02%,ES00000127Z9,,, Nampak Ltd,0.02%,ZAE000071676,,, Akl Cnc 03/17 FRN,0.02%,NZAKCDT315C1,,, Italy BTPS    SRg144 4.7500% 09-01-44,0.02%,IT0004923998,,, Hero Motocorp,0.02%,INE158A01026,,, Trnpwr 09/19 4.65%,0.02%,NZTRPD0020L4,,, JX #38 1.8000% 03-20-43,0.02%,JP1300381D38,,, Inversiones Aguas Metropol,0.02%,CL0000001256,,, UK Gilt         RgSS 4.7500% 12-07-30,0.02%,GB00B24FF097,,, ITALIAN BTP BOND,0.02%,IT0004513641,,, Formosa International Hotels,0.02%,TW0002707007,,, ONTARIO (PROVINCE OF) BD (1500MM),0.02%,CA68323AAW41,,, NYKREDIT REALKREDIT AS,0.02%,DK0009500688,,, Ontario Province 3.5000% 06-02-24,0.02%,CA68323ACG72,,, U S TREASURY BOND,0.02%,US912810QU51,,, BARCLAYS BANK PLC - CONTINGENT CAPITAL,0.02%,US06740L8C27,,, TEL TACT A/C,0.02%,TEL TACT A/C,,, UK GILT 4.25 12/07/2040 BD,0.02%,GB00B6460505,,, SLOVENIA GOVT REGS,0.02%,XS0982709221,,, GE Cap Intl Fdg RgSS 0.9640% 04-15-16,0.02%,US36164PFE51,,, UK Gilt         RgSS 2.0000% 07-22-20,0.02%,GB00BN65R198,,, ITALIAN BTP BOND,0.02%,IT0005001547,,, Union National Bank/Abu Dhab,0.02%,AEU000401015,,, JB #323 0.9000% 06-20-22,0.02%,JP1103231C62,,, Italy BTPS    SRg144 3.5000% 03-01-30,0.02%,IT0005024234,,, JPMORGAN CHASE & CO UNSEC,0.02%,US46625HMN79,,, UK GILT 3 1/4% 2044,0.02%,GB00B84Z9V04,,, Italy BTPS 4.0000% 09-01-20,0.02%,IT0004594930,,, UNITEDHEALTH GROUP INC SR UNSEC,0.02%,US91324PCP53,,, Turk Sise Ve Cam Fabrikalari,0.02%,TRASISEW91Q3,,, GOODMAN FUNDING PTY LTD CO GTD 144A,0.02%,US38239FAA75,,, US Treasury N/B 3.0000% 05-15-45,0.02%,US912810RM27,,, Kommunalbanken  144A 1.0000% 03-15-18,0.02%,US50048MAV28,,, Euro Stability  RgSS 2.1250% 11-20-23,0.02%,EU000A1U9803,,, ONTARIO (PROVINCE OF),0.02%,CA68323ADM32,,, U S TREASURY INFLATE PROT BD,0.02%,US912810PZ57,,, FADE - Fondo de Amor 2.2500% 12-17-16,0.02%,ES0378641189,,, FRANCE (GOVT OF) BD,0.02%,FR0010773192,,, SPANISH GOVT BD (BONOS Y OBLIG),0.01%,ES00000128C6,,, JB #337 0.3000% 12-20-24,0.01%,JP1103371F10,,, DEUTSCHLAND REP,0.01%,DE0001135325,,, QUALCOMM INC SR UNSEC,0.01%,US747525AE30,,, CDP Financial I 144A 4.4000% 11-25-19,0.01%,US125094AD49,,, U S TREASURY BOND,0.01%,US912810QH41,,, "Hongkong & Shanghai Banking Corp, Ltd, Corporate and Institutional Banking (HKD)",0.01%,"Hongkong & Shanghai Banking Corp, Ltd, Corporate and Institutional Banking (HKD)",,, FRANCE (GOVT OF),0.01%,FR0010371401,,, Euro Stability  RgSS 1.2500% 10-15-18,0.01%,EU000A1U98Z1,,, France OAT      RgSS 3.2500% 05-25-45,0.01%,FR0011461037,,, SLOVENIA GOVT REGS,0.01%,XS0982708926,,, NORDEA KREDIT REALKR **PARTIAL CALL**,0.01%,DK0002030683,,, France OAT      RgSS 0.5000% 11-25-19,0.01%,FR0011993179,,, COMMONWEALTH BANK AUST COVERED SEC EMTN,0.01%,XS0822509138,,, EUROFIMA AUD UNSUBORDINATED MTN,0.01%,AU300EF20045,,, US Treasury N/B 1.5000% 08-31-18,0.01%,US912828RE27,,, Deutsche Bundes RgSS 1.0000% 08-15-25,0.01%,DE0001102382,,, U S TREASURY INFLATE PROT BD,0.01%,US912828XL95,,, DEXIA CREDIT LOCAL GOV GTD,0.01%,XS1348774644,,, U S TREASURY INFLATE PROT BD,0.01%,US912828WU04,,, MEIJI YASUDA LIFE INSURANCE SUB REGS,0.01%,USJ41838AA14,,, American Honda FRN 1.1171% 10-07-16,0.01%,US02665WAA99,,, ING BANK NV COVERED SEC REGS,0.01%,US44986NAA37,,, RABOBANK NEDERLAND SRUNSEC COCO EMTN,0.01%,XS0496281618,,, ROYAL BK SCOTLND GRP PLC,0.01%,XS1382368113,,, COUNCIL OF EUROPE EMTN NT (1MMM),0.01%,XS0671138377,,, Anheu-Busch InbevFin 3.3000% 02-01-23,0.01%,US035242AL09,,, Goldman Sachs Gp Inc 3.7500% 05-22-25,0.01%,US38148LAE65,,, Samart Corp PCL (F),0.01%,TH0374010Z17,,, SLOVENIA GOVT BOND,0.01%,XS0847086237,,, BUY NZD:SELL CAD NZD 23/06/2016,0.01%,BUY NZD:SELL CAD NZD 23/06/2016,,, France OAT      RgSS 2.5000% 05-25-30,0.01%,FR0011883966,,, ZIMMER BIOMET HOLDINGS INC SR UNSEC,0.01%,US98956PAF99,,, SUNRI 2015-2 A 1MEUR + 85P,0.01%,IT0005119562,,, BANK OF AMERICA CORP NT MTN,0.01%,US59018YN641,,, FHLMC GOLD 30YR GNT #G0-8666,0.01%,US3128MJW480,,, PEMEX CO GTD REGS SR UNSEC,0.01%,XS1057659838,,, SLOVENIA GOVT BOND,0.01%,XS0927637818,,, Denmark Kingdom 4.0000% 11-15-17,0.01%,DK0009921942,,, CITIGROUP INC SR UNSEC,0.01%,US172967HT16,,, Freddie Mac GoldPool 3.5 01-DEC-45 N,0.01%,Freddie Mac GoldPool 3.5 01-DEC-45 N,,, ALTICE SA SECURED REGS,0.01%,XS1061642317,,, FRANCE (GOVT OF),0.01%,FR0010949651,,, WELLS FARGO & COMPANY SR UNSEC,0.01%,US94974BGP94,,, BUY NZD:SELL CHF NZD 23/06/2016,0.01%,BUY NZD:SELL CHF NZD 23/06/2016,,, TRINI 2015-1X A 1MLIB+115BP REGS,0.01%,XS1327103336,,, FNMA PASS THRU 30YR #AR6051,0.01%,US3138W3WM17,,, PARGN 13X A1 3MGBP + 24BP,0.01%,XS0272533935,,, NEW S WALES TREASURY I/L,0.01%,AU3TI0000569,,, MANSD 2007-2X A1 3MGBP+65,0.01%,XS0333305299,,, FNMA PASS THRU 30YR #AR1192,0.01%,US3138NXKE62,,, Italy BTPS 0.7000% 05-01-20,0.01%,IT0005107708,,, LLOYDS BANK PLC COVERED EMTN,0.01%,XS0737747211,,, Credit Suisse /NY 3.0000% 10-29-21,0.01%,US22546QAR83,,, JL #145 1.7000% 06-20-33,0.01%,JP1201451D66,,, Deutsche Bundes RgSS 4.0000% 01-04-37,0.01%,DE0001135275,,, SLOVENIA GOVT BOND,0.01%,XS0927637495,,, DKFLD 1 A 3MLIB+100BP,0.01%,XS1277627086,,, SAGB R203 8.2500% 09-15-17,0.01%,ZAG000021833,,, Bank of Ireland RgSS 1.7500% 03-19-19,0.01%,XS1046173958,,, IRS USD REC 5 Fixed 2.1350% 06-16-26,0.01%,IRS USD REC 5 Fixed 2.1350% 06-16-26,,, UBS AG JR SUB COCO,0.01%,CH0244100266,,, Nordea Bank Fin RgSS 1.3750% 01-15-20,0.01%,XS0874351728,,, IRS HKD REC Float 0.0000% 06-16-26,0.01%,IRS HKD REC Float 0.0000% 06-16-26,,, REALKREDIT DANMARK**PARTIAL CALL**,0.01%,DK0009292393,,, VIRGIN MEDIA SECURED FIN SR SEC REGS,0.01%,XS1207459725,,, UBS AG JERSEY BRANCH SUB REGS EMTN,0.01%,XS0747231362,,, TESORO LOGISTICS LP/CORP GLBL SR UNSEC,0.01%,US88160QAD51,,, Fannie Mae Pool 3.5 01-JAN-46 N,0.01%,Fannie Mae Pool 3.5 01-JAN-46 N,,, CREDIT SUISSE AG UNSEC REGS,0.01%,XS0957135212,,, ALBA 2015-1 A 1MGBP + 125BP,0.01%,XS1192474978,,, Fannie Mae Pool 3 01-JAN-44 MS,0.01%,Fannie Mae Pool 3 01-JAN-44 MS,,, Spain Kingdom SRg144 5.8500% 01-31-22,0.01%,ES00000123K0,,, Elec de France  144A 6.5000% 01-26-19,0.01%,US268317AB08,,, France OAT      RgSS 1.0000% 05-25-19,0.01%,FR0011708080,,, KFW GOV GTD MTN,0.01%,AU0000KFWHR2,,, Can Govt Bond 1.7500% 09-01-19,0.01%,CA135087C855,,, AMERN MUN PWR-A-COMB,0.01%,US02765UEH32,,, Freddie Mac GoldPool 4 15-APR-46 SS,0.01%,Freddie Mac GoldPool 4 15-APR-46 SS,,, BALL 2010-UB5 A4A WM17 WC5.647 144A VAR,0.01%,US05956MAA27,,, KOMMUNALBANKEN AS,0.01%,AU3CB0173748,,, UK Gilt         RgSS 4.5000% 12-07-42,0.01%,GB00B1VWPJ53,,, TESCO PLC SR UNSUB EMTN,0.01%,XS0295018070,,, CREDIT AGRICOLE SA COCO JR SUB,0.01%,USF22797QT87,,, IRS USD REC Float 0.63955% 03-16-26,0.01%,IRS USD REC Float 0.63955% 03-16-26,,, Jeronimo Martins,0.01%,PTJMT0AE0001,,, Prologis LP 1.3750% 05-13-21,0.01%,XS1232266665,,, BNZ IRS 18/12/2017,0.01%,BNZ1073S,,, Fannie Mae Pool 4 15-APR-46 SS,0.01%,Fannie Mae Pool 4 15-APR-46 SS,,, UK Gilt         RgSS 3.7500% 07-22-52,0.01%,GB00B6RNH572,,, WESTPAC BANKING CORP SEC 144A,0.01%,US96122WAD20,,, BANK OF AMERICA CORP SR UNSEC FRN,0.01%,US06051GFK04,,, Italy BTPS 3.5000% 06-01-18,0.01%,IT0004907843,,, CRESO 2 A 3MEUR+70BP,0.01%,IT0004842529,,, Ginnie Mae II Pool 3.5 20-DEC-45 N,0.01%,Ginnie Mae II Pool 3.5 20-DEC-45 N,,, UK Gilt         RgSS 4.2500% 03-07-36,0.01%,GB0032452392,,, PNC Bank NA 2.7000% 11-01-22,0.01%,US69349LAG32,,, France OAT      RgSS 0.5000% 05-25-25,0.01%,FR0012517027,,, Spain Kingdom 0.2500% 04-30-18,0.01%,ES00000127D6,,, Skandinaviska Enskilda Banken (DKK),0.01%,Skandinaviska Enskilda Banken (DKK),,, REALKREDIT DANMARK***PARTIAL CALL***,0.01%,DK0009292120,,, SPRINT COMMUNICATIONS SR UNSEC,0.01%,US852061AF78,,, Ford Motor Credit Co 8.0000% 12-15-16,0.01%,US345397VC43,,, U S TREASURY BOND,0.01%,US912810QY73,,, ITALIAN BTP BOND,0.01%,IT0005162828,,, PROVINCE OF ALBERTA,0.01%,CA013051DQ75,,, AIRCRAFT FINANCE CO LTD,0.01%,XS1109951563,,, PROVINCE OF ALBERTA,0.01%,CA013051DR58,,, Cie Financement 2.3750% 11-21-22,0.01%,FR0011356997,,, MET LIFE GLOB FUNDING I SEC 144A,0.01%,US59217GBP37,,, U S TREASURY INFLATE PROT BD,0.01%,US912810PS15,,, BNP PARIBAS FRN SUB SERIES 1,0.01%,FR0010821132,,, FNMA P-T DUS #466507,0.01%,US31381PGQ54,,, ALTRIA GROUP INC GLBL CO GTD,0.01%,US02209SAL79,,, Fannie Mae Pool 3.5 01-DEC-45 N,0.01%,Fannie Mae Pool 3.5 01-DEC-45 N,,, Spain Kingdom SRg144 4.7000% 07-30-41,0.01%,ES00000121S7,,, NORDEA KREDIT REALKREDIT *PARTIAL CALL*,0.01%,DK0002030337,,, RABOBANK NEDERLAND JR SUB EMTN,0.01%,XS0703303262,,, UK Gilt         RgSS 3.5000% 01-22-45,0.01%,GB00BN65R313,,, BELLSOUTH CORP SR UNSEC 144A,0.01%,US079860AA01,,, LANDWIRTSCH. RENTENBANK GOV GTD MTN,0.01%,AU3CB0204543,,, GENERALITAT DE CATALUNYA SR UNSEC,0.01%,ES0000095929,,, FADE - Fondo de RgSS 1.8750% 09-17-17,0.01%,ES0378641197,,, Fannie Mae Pool 4.5 01-APR-41 MS,0.01%,Fannie Mae Pool 4.5 01-APR-41 MS,,, Ontario Province 3.4500% 06-02-45,0.01%,CA68323ACC68,,, CF 2014-1A *A*  144A 0.8605% 03-07-26,0.01%,US165182BM79,,, CARMX 2015-1 A2 0.8800% 03-15-18,0.01%,US14313WAB81,,, Imperial Tobacc RgSS 5.0000% 12-02-19,0.01%,XS0715437140,,, PETROBRAS GLOBAL FINANCE SR UNSEC,0.01%,US71647NAM11,,, CANADA GOVT REAL RETURN,0.01%,CA135087ZH04,,, Spain Kingdom SRg144 1.6000% 04-30-25,0.01%,ES00000126Z1,,, BMW Finance NV  RgSS 1.7500% 11-20-17,0.01%,XS0994746617,,, AXA 6.2110% 10-29-49,0.01%,XS0323922376,,, Philip Morris Intern 2.9000% 11-15-21,0.01%,US718172AL38,,, Switzerland Gov RgSS 2.0000% 05-25-22,0.01%,CH0127181011,,, Thailand Government 3.6500% 12-17-21,0.01%,TH0623031C01,,, MF LTA - A      144A 3.6300% 06-01-29,0.01%,CA628153AA60,,, BUY NZD:SELL AUD NZD 23/06/2016,0.01%,BUY NZD:SELL AUD NZD 23/06/2016,,, Morgan Stanley 3.9500% 04-23-27,0.01%,US61761JZN26,,, ROYAL BANK OF CANADA COVERED SEC,0.01%,US780082AE36,,, Dominion Res Inc 2.7500% 09-15-22,0.01%,US25746UBP30,,, ITALY (REP OF) GOVT EMTN,0.01%,XS0089572316,,, Malaysia Government 3.5800% 09-28-18,0.01%,MYBMK1100058,,, Switzerland Gov RgSS 3.0000% 01-08-18,0.01%,CH0015221663,,, IRS PLN REC Float 0.0000% 06-15-26,0.01%,IRS PLN REC Float 0.0000% 06-15-26,,, U S TREASURY NOTE,0.01%,US912828P469,,, Spain Kingdom 4.5000% 01-31-18,0.01%,ES00000123Q7,,, JS #109 0.1000% 03-20-18,0.01%,JP1051091D38,,, NGATE 2007-3X A3 3MGBP+100,0.01%,XS0332288058,,, France BTAN     RgSS 1.0000% 07-25-17,0.01%,FR0120746609,,, Time Warner Cable In 8.2500% 04-01-19,0.01%,US88732JAS78,,, Ginnie Mae II Pool 4 15-APR-46 SS,0.01%,Ginnie Mae II Pool 4 15-APR-46 SS,,, Freddie Mac GoldPool 3 01-MAR-46 N,0.01%,Freddie Mac GoldPool 3 01-MAR-46 N,,, Caja de Ahorros 4.0000% 02-03-25,0.01%,ES0414950628,,, Hutchison Whamp RgSS 3.6250% 10-31-24,0.01%,USG46747AB00,,, Australia Govt  RgSS 5.5000% 04-21-23,0.01%,AU3TB0000101,,, COMUNIDAD DE MADRID,0.01%,ES0000101396,,, MALIN 2007-1A A1 3MEUR + 19.5BP 144A,0.01%,XS0296068975,,, Belgium Govt    RgSS 1.2500% 06-22-18,0.01%,BE0000329384,,, First Gulf Bank PJSC,0.01%,AEF000201010,,, SOCIETE GENERALE SUB,0.01%,XS0867614595,,, Bank of America Corp 5.8750% 01-05-21,0.01%,US06051GEE52,,, ZIMMER BIOMET HOLDINGS INC SR UNSEC,0.01%,US98956PAL67,,, EATON 2007-10X A2 3MLIB + 24BP,0.01%,USG2918QAA07,,, Netherlands G SRg144 1.2500% 01-15-19,0.01%,NL0010514246,,, BOSTON SCIENTIFIC CORP SR UNSEC,0.01%,US101137AP29,,, LGATE 2007-1 A2B 3MEUR+16BP,0.01%,XS0304504003,,, CHARTER COMM / CCO SEC 144A,0.01%,US161175AN44,,, WIND ACQUISITION FIN SA,0.01%,XS1055940206,,, LLOYDS BANK PLC SR UNSEC,0.01%,US53944VAK52,,, MLCFC 2007-8 A3 WM16 WC5.9865,0.01%,US60688BAD01,,, FGA Capital Ire RgSS 2.8750% 01-26-18,0.01%,XS1021817355,,, SANTANDER UK GROUP HLDGS SR UNSEC,0.01%,US80281LAC90,,, ABBEY NATL TREASURY SERV SR UNSEC,0.01%,US002799AY01,,, ROCHE HOLDING INC SR UNSEC 144A,0.01%,US771196BK70,,, CNP ASSURANCES,0.01%,FR0013066388,,, NGATE 2007-2X A2 3MGBP + 13BP,0.01%,XS0304279630,,, ONTARIO (PROVINCE OF) BD,0.01%,CA68323AAD69,,, ABBEY NATL TREASURY SERV SR UNSEC,0.01%,US002799AN46,,, OHIO BUCKEYE TOB ASSET-A-4,0.01%,US118217AU29,,, Republic Services 4.7500% 05-15-23,0.01%,US760759AM22,,, TREAS CORP VICTORIA LOC GOV GTD,0.01%,AU0000XVGZZ0,,, GE Cap Intl Fdg RgSS 2.3420% 11-15-20,0.01%,US36164PFF27,,, JS # 122 0.1000% 12-20-19,0.01%,JP1051221EC4,,, STEP 3 AB B 3MSTIB+150BP,0.01%,XS1225175600,,, Danske Bank A/S RgSS 2.7500% 05-19-26,0.01%,XS1068866950,,, NAVSL 2014-CTA A 1MLIB+70BP 144A,0.01%,US63938HAA59,,, AUBN 9 A 3MGBP + 100BP,0.01%,XS1255066406,,, Fannie Mae Pool 3.5 01-MAR-46 N,0.01%,Fannie Mae Pool 3.5 01-MAR-46 N,,, Altria Group Inc 4.5000% 05-02-43,0.01%,US02209SAQ66,,, Ireland Govt 4.5000% 10-18-18,0.01%,IE00B28HXX02,,, T-MOBILE USA INC SR UNSEC,0.01%,US87264AAN54,,, France OAT      RgSS 0.0000% 05-25-20,0.01%,FR0012557957,,, Korea Treasury Bond 2.0000% 03-10-20,0.01%,KR103501G539,,, U S TREASURY INFLATE PROT BD,0.00%,US912810PV44,,, FNMA PASS THRU 30YR #AB7059,0.00%,US31417DZZ94,,, Fannie Mae Pool 2.5 01-APR-31 SS,0.00%,Fannie Mae Pool 2.5 01-APR-31 SS,,, Univ CA Taxable 4.6010% 05-15-31,0.00%,US91412GTG00,,, INTER-AMERICAN DEVEL BK SR UNSEC,0.00%,US4581X0CS57,,, Belgium Govt    RgSS 3.0000% 09-28-19,0.00%,BE0000327362,,, FINLAND (REP OF) 144A,0.00%,US31788DAC83,,, JEFFERIES FIN LLC / JFIN SR UNSEC 144A,0.00%,US47232MAA09,,, BURLINGTN NORTH SANTA FE SR UNSECURED,0.00%,US12189TBA16,,, FORD MOTOR CREDIT CO LLC SR UNSEC,0.00%,US345397WM16,,, ZIGGO SECURED FINANCE BV,0.00%,XS1175813655,,, Can Govt Bond 0.7500% 09-01-20,0.00%,CA135087E596,,, Wells Fargo & Co 3.3000% 09-09-24,0.00%,US94974BGA26,,, JB #314 1.1000% 03-20-21,0.00%,JP1103141B54,,, Austria Repub SRg144 3.6500% 04-20-22,0.00%,AT0000A0N9A0,,, BAB MEAG TXB-PLT VOGTLE,0.00%,US626207YM09,,, U S TREASURY BOND,0.00%,US912810FB99,,, Mexican Bonos 10.0000% 12-05-24,0.00%,MX0MGO000078,,, LEEK 18A A2D 3MLIB+13BP 144A,0.00%,US52426KAC62,,, SWEDISH GOVERNMENT BD SER 1052,0.00%,SE0002241083,,, France OAT      RgSS 0.2500% 11-25-20,0.00%,FR0012968337,,, GFUND 2014-1 A1 3MBP + 37BP,0.00%,XS1107298710,,, Verizon Communctns 3.6500% 09-14-18,0.00%,US92343VBP85,,, Royal Bk of Scotland 6.9340% 04-09-18,0.00%,XS0356705219,,, ING Bank NV     144A 3.7500% 03-07-17,0.00%,US449786AQ58,,, Yen Trade Receivable,0.00%,Yen Trade Receivable,,, Can Govt Bond 4.0000% 06-01-41,0.00%,CA135087YQ12,,, U S TREASURY INFLATE PROT BD,0.00%,US912828UH11,,, HJ HEINZ CO UNSEC 144A,0.00%,US423074AZ61,,, WPP Group PLC   RgSS 6.6250% 05-12-16,0.00%,XS0362329517,,, DECO 2015-CHRX A 3MEUR +145BP,0.00%,XS1268588099,,, FIAOT 15-1A A2 144A 1.2100% 04-15-19,0.00%,US32058LAB36,,, DEXIA CREDIT LOCAL SR UNSEC 144A,0.00%,US25214BAM63,,, ANSTOCK II REGS SR UNSEC,0.00%,XS1087757263,,, GOLDMAN SACHS GROUP INC SR UNSEC,0.00%,US38148LAB27,,, BAB CA ST,0.00%,US13063BJC72,,, NORDIC INVESTMENT BANK SR UNSEC MTN,0.00%,AU0000NIBHF9,,, Caisse Francais RgSS 2.3750% 01-17-24,0.00%,FR0011686401,,, HSBC HOLDINGS PLC SR UNSEC,0.00%,US404280AK50,,, Enterprise Prods LP 6.5000% 01-31-19,0.00%,US29379VAC72,,, FCE Bank PLC    RgSS 1.5280% 11-09-20,0.00%,XS1317725726,,, Sweden Govt #1057 1.5000% 11-13-23,0.00%,SE0004869071,,, RLOC 2007-1X A3B 3MGBP+16,0.00%,XS0300470365,,, MARSS 2014-1 A1 3MEUR+130BP,0.00%,IT0005023301,,, CAJA DE AHORROS Y MONTE,0.00%,ES0244251007,,, Anadarko Pete Corp 6.3750% 09-15-17,0.00%,US032511BH96,,, U S TREASURY BOND,0.00%,US912810QW18,,, Freddie Mac GoldPool 3 01-AUG-27 S,0.00%,Freddie Mac GoldPool 3 01-AUG-27 S,,, CRED SUIS GP FUN LTD SR UNSEC,0.00%,US225433AC55,,, Daimler AG 1.7500% 11-08-17,0.00%,XS0989397921,,, Rabobank NL Utrecht 4.6250% 12-01-23,0.00%,US21684AAA43,,, Anheuser-Busch  RegS 1.5000% 03-17-25,0.00%,BE6285454482,,, BAB CA,0.00%,US13063BJB99,,, Abbey Natl Trea RgSS 4.2500% 04-12-21,0.00%,XS0250729109,,, France OAT      RgSS 4.7500% 04-25-35,0.00%,FR0010070060,,, JPMCC 2008-C2 *A4FL* 1.9381% 02-12-51,0.00%,US46632MCA62,,, HELLENIC RAILWAY ORG,0.00%,XS0160208772,,, CABMT 2014-1 *A* 0.7862% 03-16-20,0.00%,US126802CU96,,, HELLENIC REPUBLIC SR UNSECURED EMTN,0.00%,XS0079012166,,, ELECTRICITE DE FRANCE SA SR UNSEC 144A,0.00%,US268317AS33,,, MONTE DEI PASCHI SIENA COVERED,0.00%,IT0004702251,,, Compass Bank 2.7500% 09-29-19,0.00%,US20451PKN59,,, ABN AMRO BANK NV SUB 144A,0.00%,US00080QAF28,,, BUMF 7X A1 3MGBP + 100BP,0.00%,XS0330211359,,, WELLS FARGO & COMPANY SR UNSEC,0.00%,US949746RS22,,, Ginnie Mae II Pool 3.5 20-JAN-46 N,0.00%,Ginnie Mae II Pool 3.5 20-JAN-46 N,,, UnitedHealth Group 2.7000% 07-15-20,0.00%,US91324PCM23,,, DEXIA CREDIT LOCAL SA NY GOV GTD 144A,0.00%,US25215BAP85,,, CMLTI 2005-3 2A2A WM35 WC5.0453,0.00%,US17307GTJ75,,, Abbey Natl Trea RgSS 1.1250% 01-14-22,0.00%,XS1166160173,,, GE Cap Intl Fdg 144A 2.3420% 11-15-20,0.00%,US36164NFF78,,, Bank of America Corp 5.7000% 01-24-22,0.00%,US06051GEM78,,, AIB Mortgage Ba RgSS 2.2500% 03-26-21,0.00%,XS1048644907,,, Freddie Mac GoldPool 2.5 01-APR-31 SS,0.00%,Freddie Mac GoldPool 2.5 01-APR-31 SS,,, Italy BTPS 2.0000% 12-01-25,0.00%,IT0005127086,,, MARCH 6 A1 3MEUR+225BP,0.00%,IT0004941271,,, EDF             144A 4.8750% 01-22-44,0.00%,US268317AK07,,, Italy BTPS 3.5000% 12-01-18,0.00%,IT0004957574,,, AT&T INC 3.0000% 06-30-22,0.00%,US00206RCM25,,, CELF 2007-1X A2A 6MEUR + 19.5 BP,0.00%,XS0294239974,,, SANTANDER UK GROUP JR SUB,0.00%,XS1244538523,,, PIONEER NATURAL RESOURCE,0.00%,US723787AF41,,, Korea Treasury Bond 4.0000% 12-10-31,0.00%,KR10350271C8,,, Belgium Govt  SRg144 5.0000% 03-28-35,0.00%,BE0000304130,,, Norway Govern SRg144 4.5000% 05-22-19,0.00%,NO0010429913,,, RIO OIL FINANCE TRUST SEC REGS,0.00%,USU76673AA72,,, Deutsche Bundes RgSS 2.5000% 07-04-44,0.00%,DE0001135481,,, NEW S WALES TREASURY CRP GOV GTD,0.00%,AU3SG0000284,,, Singapore Govt 3.1250% 09-01-22,0.00%,SG7J28931946,,, JP Morgan & Co Inc 4.4000% 07-22-20,0.00%,US46625HHS22,,, MOROCCO (KINGDOM OF) BD,0.00%,XS0546649822,,, Australia Govt  RgSS 2.7500% 04-21-24,0.00%,AU3TB0000143,,, Nationwide Bldg Soc 4.3750% 02-28-22,0.00%,XS0289011198,,, U S TREASURY INFLATE PROT BD,0.00%,US912828TE09,,, Reynolds American In 4.4500% 06-12-25,0.00%,US761713BG06,,, Morgan Stanley 5.6250% 09-23-19,0.00%,US61747YCJ29,,, CYBG PLC CDI,0.00%,AU000000CYB7,,, British Telecom RegS 1.1250% 03-10-23,0.00%,XS1377681272,,, Reynolds American In 4.8500% 09-15-23,0.00%,US761713AY21,,, CVS Health Corp 2.8000% 07-20-20,0.00%,US126650CJ78,,, BPCE SA 144A,0.00%,US05578QAD51,,, PIZZAEXPRESS FINANCING 2,0.00%,XS1028948120,,, Aviva Plc       RgSS 3.8750% 07-03-44,0.00%,XS1083986718,,, NY MTA DTF Taxable 7.3360% 11-15-39,0.00%,US59259NZH96,,, REALKREDIT DANMARK***PARTIAL CALL***,0.00%,DK0009292559,,, Principal Finl Grp 1.8500% 11-15-17,0.00%,US74251VAG77,,, 21st Century Fox Amr 4.5000% 02-15-21,0.00%,US90131HAQ83,,, PNC Funding Corp 3.3000% 03-08-22,0.00%,US693476BN25,,, CNA Financial Corp 7.2500% 11-15-23,0.00%,US126117AE07,,, IRELAND GOVT,0.00%,IE00BV8C9418,,, FGA Capital Ire RgSS 2.6250% 04-17-19,0.00%,XS1057487875,,, United Overseas Bank Limited (SGD),0.00%,United Overseas Bank Limited (SGD),,, Finland Rep   SRg144 1.5000% 04-15-23,0.00%,FI4000062625,,, BRITISH COLUMBIA PROV OF BD,0.00%,CA1107098Y17,,, Netherlands G SRg144 2.0000% 07-15-24,0.00%,NL0010733424,,, Avivasa Emeklili,0.00%,TRECUHE00018,,, FNR 2007-114 A6 1MLIB+20,0.00%,US31396X3Q54,,, Korea Treasury Bond 3.0000% 09-10-24,0.00%,KR103502G495,,, Freddie Mac GoldPool 4.5 01-JUN-41 MS,0.00%,Freddie Mac GoldPool 4.5 01-JUN-41 MS,,, Prudential Financial 6.1000% 06-15-17,0.00%,US74432QAY17,,, BERAB 2011-1 A1 3MEUR + 30BP,0.00%,IT0004782568,,, JPMorgan Chase & Co 2.5500% 03-01-21,0.00%,US46625HQJ22,,, SABMILLER HOLDINGS INC NT 144A,0.00%,US78573AAC45,,, U S TREASURY BOND,0.00%,US912810QE10,,, Oncor Electric 7.0000% 09-01-22,0.00%,US68233DAR89,,, GNMA I Pool 3 15-JUN-43 SS,0.00%,GNMA I Pool 3 15-JUN-43 SS,,, SUNRI 2015-1 A,0.00%,IT0005118192,,, WellPoint Inc 2.3000% 07-15-18,0.00%,US94973VBE65,,, Freddie Mac GoldPool 3 01-MAR-36 N,0.00%,Freddie Mac GoldPool 3 01-MAR-36 N,,, BAT Intl Financ 144A 2.7500% 06-15-20,0.00%,US05530QAG55,,, SKANDINAVISKA ENSKILDA,0.00%,SE0004925451,,, NGATE 2007-3X BA 3MGBP+125,0.00%,XS0329653934,,, Unibail-Rodamco RgSS 2.5000% 02-26-24,0.00%,XS1038708522,,, Vonovia SE      RgSS 1.6250% 12-15-20,0.00%,DE000A18V138,,, Heinz HJ Co     144A 3.5000% 07-15-22,0.00%,US423074BA02,,, Mexican Bonos 8.0000% 06-11-20,0.00%,MX0MGO0000L1,,, Poland Government 5.5000% 10-25-19,0.00%,PL0000105441,,, GNMA I Pool 4.5 15-NOV-40 MS,0.00%,GNMA I Pool 4.5 15-NOV-40 MS,,, Access Bank Plc,0.00%,US00433P1012,,, ITALIAN BTP BOND,0.00%,IT0004532559,,, Ace INA Hldgs Inc 2.8750% 11-03-22,0.00%,US00440EAU10,,, NYKREDIT REALKREDIT AS **PARTIAL CALL**,0.00%,DK0009795627,,, SPRINT COMMUNICATIONS SR UNSEC,0.00%,US852061AD21,,, CDEST 1 A2 3MEUR+35BP,0.00%,IT0003747794,,, BILK 6 A 1MEUR + 37BP,0.00%,XS1101828561,,, MSBAM 2013-C8 XA IO WM22 WC4.196791,0.00%,US61761QAF00,,, WELLS FARGO & COMPANY SR UNSEC,0.00%,US94974BGH78,,, Achmea BV       RgSS 2.5000% 11-19-20,0.00%,XS0995111761,,, PETROBRAS GLOBAL FINANCE SR UNSEC,0.00%,US71647NAH26,,, APULM 2008-1 A 6MEUR+70BP,0.00%,IT0004395833,,, ALLY FINANCIAL INC SR UNSEC,0.00%,US02005NAS99,,, FMS WERTMANAGEMENT GOV GTD EMTN,0.00%,XS0690541296,,, Bank Pekao,0.00%,PLPEKAO00016,,, Anheu-Busch InbevFin 3.6500% 02-01-26,0.00%,US035242AP13,,, Israel Government Bo 4.2500% 03-31-23,0.00%,IL0011267478,,, Philip Morris Intern 1.8750% 02-25-21,0.00%,US718172BS71,,, GNMA PASS THRU SGL 30YR #782253X,0.00%,US36241KQE19,,, Bank Hapoalim B.M.,0.00%,Bank Hapoalim B.M.,,, POLAND GOVERNMENT BOND,0.00%,PL0000108197,,, WLAKE 16-1A A2B 144A 1.4862% 01-15-19,0.00%,US96042TAE47,,, REALKREDIT DANMARK**PARTIAL CALL**,0.00%,DK0009292633,,, WLAKE 16-1A A2A 144A 1.8200% 01-15-19,0.00%,US96042TAC80,,, CMLTI 2005-11 A2A 1YRT+240,0.00%,US17307GW795,,, Futures Collateral,0.00%,Futures Collateral,,, British Telecom RegS 1.7500% 03-10-26,0.00%,XS1377679961,,, AMCAR 2015-1 *A2B* 0.8580% 04-09-18,0.00%,US03065KAC53,,, Korea Treasury Bond 2.7500% 03-10-18,0.00%,KR1035017337,,, BSKYB Finance U RgSS 1.5000% 09-15-21,0.00%,XS1109741246,,, Pemex Project Fdg 5.7500% 03-01-18,0.00%,US706451BS94,,, EFF 2013-2 A2   144A 1.0600% 03-20-19,0.00%,US29372EAY41,,, NOVO BANCO SA,0.00%,XS0782220007,,, GENERALITAT DE CATALUNYA,0.00%,ES0000095895,,, GCCFC 2007-GG11 A4 5.7360% 12-10-49,0.00%,US20173VAE02,,, Fannie Mae Pool 3 01-APR-46 SS,0.00%,Fannie Mae Pool 3 01-APR-46 SS,,, Freddie Mac GoldPool 5 01-SEP-39 S,0.00%,Freddie Mac GoldPool 5 01-SEP-39 S,,, Merrill Lynch & Co 4.6250% 09-14-18,0.00%,XS0267828308,,, GNMA I Pool 3 15-MAY-43 SS,0.00%,GNMA I Pool 3 15-MAY-43 SS,,, HEC 2007-3X A 3MEUR+22.85BP,0.00%,XS0293694880,,, LEOFR 2012-1 A 3MGBP + 170BP,0.00%,XS0773366488,,, Turkey Republic 5.7500% 03-22-24,0.00%,US900123CF53,,, Berkshire Hathaway 0.7500% 03-16-23,0.00%,XS1200670955,,, GNMA I Pool 4 15-APR-46 SS,0.00%,GNMA I Pool 4 15-APR-46 SS,,, KBC BANK NV SR SUB,0.00%,BE6248510610,,, Goldman Sachs Gp Inc 4.7500% 10-21-45,0.00%,US38141GVS01,,, Belgium Govt  SRg144 0.8000% 06-22-25,0.00%,BE0000334434,,, BPCE SA SUB 144A,0.00%,US05578QAA13,,, FHRR R006 ZA Z SEQ WM35 WC6.4347,0.00%,US31396JT212,,, SBIC 2008-P10A 1,0.00%,US831641EK70,,, CMLT 2008-LS1 A4B 6.0951% 12-10-49,0.00%,US20173WAE84,,, Ginnie Mae II Pool 3 20-MAR-46 N,0.00%,Ginnie Mae II Pool 3 20-MAR-46 N,,, CBS Corp 3.3750% 03-01-22,0.00%,US124857AG87,,, Ford Motor Cred LLC 3.2000% 01-15-21,0.00%,US345397XQ11,,, RCI Banque SA   RgSS 1.3750% 11-17-20,0.00%,FR0013053055,,, 21st Century Fox Amr 3.0000% 09-15-22,0.00%,US90131HAR66,,, Wells Fargo & Co 3.5000% 03-08-22,0.00%,US94974BFC90,,, MSC 2007-IQ14 A4 5.6920% 04-15-49,0.00%,US61754KAF21,,, Virgin Media Se RgSS 5.1250% 01-15-25,0.00%,XS1169843007,,, BSARM 2005-2 A1 1YRCMT+245,0.00%,US07384M7C06,,, BSCMS 2007-PW17 A4 5.6940% 06-11-50,0.00%,US07388QAE98,,, LBUBS 2007-C6 A4 5.8580% 07-15-40,0.00%,US52109PAE51,,, QUEBEC PROVINCE BD,0.00%,CA74814ZEF68,,, Ford Motor Cred LLC 3.0000% 06-12-17,0.00%,US345397WD17,,, MARCH 4 A 6MEUR+30BP,0.00%,IT0004515794,,, American Express Co 7.0000% 03-19-18,0.00%,US025816AY50,,, JPMORGAN CHASE & CO SR UNSEC,0.00%,US46625HNX43,,, Australia Govt  RgSS 3.2500% 04-21-25,0.00%,AU3TB0000168,,, RCI Banque SA   RgSS 3.0000% 05-09-19,0.00%,XS1064797126,,, GE Cap Intl Fdg RgSS 3.3730% 11-15-25,0.00%,US36164PFG00,,, VERIZON COMMUNICATIONS SR UNSEC,0.00%,US92343VBL71,,, MSRR10-GG10 A4A 144A 5.7936% 08-15-45,0.00%,US61759LAA61,,, SWEDISH COVERED BOND SEC,0.00%,SE0003172535,,, Freddie Mac GoldPool 3.5 01-JUL-32 S,0.00%,Freddie Mac GoldPool 3.5 01-JUL-32 S,,, BNP Paribas SA  RegS 2.8750% 10-01-26,0.00%,XS1378880253,,, UROPA 2007-1 A2B 3MEUR+15,0.00%,XS0311807167,,, ISS Global A/S  RgSS 1.1250% 01-09-20,0.00%,XS1145526585,,, Netherlands G SRg144 3.7500% 01-15-42,0.00%,NL0009446418,,, FOURC 2006-2A A 3MLIB+27BP 144A,0.00%,US35084EAA29,,, Philippines Republic 4.2000% 01-21-24,0.00%,US718286BY27,,, CREDIT AGRICOLE SA JR SUB,0.00%,XS1055037920,,, Ginnie Mae II Pool 3 20-AUG-45 N,0.00%,Ginnie Mae II Pool 3 20-AUG-45 N,,, SAGB R208 6.7500% 03-31-21,0.00%,ZAG000030396,,, BAT Intl Financ RgSS 4.0000% 09-04-26,0.00%,XS0969309847,,, British Telecomm 2.3500% 02-14-19,0.00%,US111021AK71,,, Wells Fargo & Co 4.1000% 06-03-26,0.00%,US94974BFY11,,, FMS WERTMANAGEMENT GOV GTD EMTN,0.00%,DE000A1MLVD8,,, Spain Kingdom 6.0000% 01-31-29,0.00%,ES0000011868,,, UnitedHealth Group 3.3500% 07-15-22,0.00%,US91324PCN06,,, Slovakia Govt B RgSS 3.3750% 11-15-24,0.00%,SK4120008871,,, KINGDOM OF DENMARK,0.00%,DK0009922676,,, Fannie Mae Pool 3 01-AUG-43 SS,0.00%,Fannie Mae Pool 3 01-AUG-43 SS,,, BAFC 2005-7 4A3 WM35 WC5.743900,0.00%,US05946XU926,,, Goldman Sachs Gp Inc 5.3750% 03-15-20,0.00%,US38141EA588,,, Ginnie Mae II Pool 3.5 20-MAR-46 N,0.00%,Ginnie Mae II Pool 3.5 20-MAR-46 N,,, Goldman Sachs Gp Inc 3.5000% 01-23-25,0.00%,US38148LAC00,,, Telefonica Emis RgSS 1.4770% 09-14-21,0.00%,XS1290729208,,, Prudential Financial 5.6250% 06-15-43,0.00%,US744320AM42,,, GNMA I Pool 3.5 15-APR-46 SS,0.00%,GNMA I Pool 3.5 15-APR-46 SS,,, OCT12 2012-1AR AR 3MLIB+127BP 144A,0.00%,US67572NAU00,,, FINNVERA PLC GOV GTD EMTN,0.00%,XS1294518318,,, Freddie Mac GoldPool 5.5 01-MAR-38 S,0.00%,Freddie Mac GoldPool 5.5 01-MAR-38 S,,, ANZ IRS 30/03/2020,0.00%,ANZ5167S,,, SPAIN (KINGDOM OF) EMTN UNSUB,0.00%,XS0096272355,,, Comcast Corp 2.7500% 03-01-23,0.00%,US20030NBR17,,, VERIZON COMMUNICATIONS SR UNSEC,0.00%,US92343VBR42,,, GNMA I Pool 6 15-JUL-38 S,0.00%,GNMA I Pool 6 15-JUL-38 S,,, CMBX.NA.AM.4 0.0000% 02-17-51,0.00%,CMBX.NA.AM.4 0.0000% 02-17-51,,, Deutsche Tele I RegS 0.6250% 04-03-23,0.00%,XS1382792197,,, Citigroup Inc 4.4500% 09-29-27,0.00%,US172967KA87,,, ESAIL 2006-4X A3A 3MEUR+16,0.00%,XS0275909934,,, Poland Government 4.2000% 04-15-20,0.00%,XS0210314299,,, Fannie Mae Pool 4 01-FEB-32 S,0.00%,Fannie Mae Pool 4 01-FEB-32 S,,, MSC 2007-HQ13 A3 5.5690% 12-15-44,0.00%,US61757RAD98,,, MSRR09-GG10 A4A 144A 5.7936% 08-12-45,0.00%,US61758FAA03,,, Ontario Province 3.2000% 05-16-24,0.00%,US68323ACT97,,, Time Warner Inc 4.7000% 01-15-21,0.00%,US887317AG00,,, JPMCC 2006-LDP9 A3 5.3360% 05-15-47,0.00%,US46629PAC23,,, GSR 2005-AR6 2A1 WM35 WC4.9,0.00%,US362341RX95,,, HBOS PLC SUB GMTN 144A,0.00%,US4041A2AH79,,, CVS Caremark Corp 5.7500% 06-01-17,0.00%,US126650BH22,,, Ginnie Mae II Pool 4 01-MAY-46 SS,0.00%,Ginnie Mae II Pool 4 01-MAY-46 SS,,, CIFC 2007-1A A1L 3MLIB+26 144A,0.00%,US125474AA42,,, Ireland Govt    RgSS 0.8000% 03-15-22,0.00%,IE00BJ38CQ36,,, CLEVELAND ELEC ILLUM SR UNSEC,0.00%,US186108CF17,,, BACM 2007-5 A4 5.4920% 02-10-51,0.00%,US05952CAE03,,, Colombia Republic 4.3750% 07-12-21,0.00%,US195325BN40,,, EFF 2014-1 A2   144A 0.8700% 09-20-19,0.00%,US29372EBB39,,, TRFRD 2014 A4   RgSS 2.8750% 04-28-19,0.00%,XS1031620849,,, BSARM 2005-5 A2 1YT+215,0.00%,US07387ACK97,,, Korea Treasury Bond 3.7500% 06-10-22,0.00%,KR1035027260,,, Freddie Mac GoldPool 6 01-DEC-37 S,0.00%,Freddie Mac GoldPool 6 01-DEC-37 S,,, Poland Government 5.7500% 09-23-22,0.00%,PL0000102646,,, Fannie Mae Pool 3 01-FEB-46 N,0.00%,Fannie Mae Pool 3 01-FEB-46 N,,, Visa Inc 3.1500% 12-14-25,0.00%,US92826CAD48,,, U S TREASURY NOTE,0.00%,US912828VB32,,, Wells Fargo & Co 4.3000% 07-22-27,0.00%,US94974BGL80,,, Freddie Mac GoldPool 5 01-DEC-36 VS,0.00%,Freddie Mac GoldPool 5 01-DEC-36 VS,,, Freddie Mac GoldPool 3.5 01-JUL-35 N,0.00%,Freddie Mac GoldPool 3.5 01-JUL-35 N,,, Bank of America Corp 3.9500% 04-21-25,0.00%,US06051GFP90,,, JPMorgan Chase & Co 3.3000% 04-01-26,0.00%,US46625HQW33,,, NORWEGIAN GOVERNMENT BD 474,0.00%,NO0010572878,,, JPMORGAN CHASE & CO SR UNSEC,0.00%,US46623EJY68,,, DEXIA CREDIT LOCAL,0.00%,XS1351942633,,, KOREA HYDRO & NUCLEAR PO SR UNSEC GMTN,0.00%,XS1072134148,,, GNMA I Pool 5 15-JUN-39 S,0.00%,GNMA I Pool 5 15-JUN-39 S,,, UBS Group AG    144A 4.1250% 09-24-25,0.00%,US90351DAB38,,, PETROBRAS GLOBAL FINANCE CO GTD,0.00%,US71645WAU53,,, 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,,, BAT Intl Financ RgSS 1.0000% 05-23-22,0.00%,XS1324928750,,, SBAP 2005-20E 1 PASS THRU,0.00%,US83162CPN73,,, 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,,, CALIFORNIA RESOURCES CRP 144A,0.00%,US13057QAG29,,, Freddie Mac GoldPool 3.5 01-SEP-26 S,0.00%,Freddie Mac GoldPool 3.5 01-SEP-26 S,,, U S TREASURY BOND,0.00%,US912810FG86,,, 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,,, Penske Truck Le 144A 2.5000% 06-15-19,0.00%,US709599AQ78,,, GSMS 2012-GCJ9 XA IO WM21 WC4.885294,0.00%,US36192PAQ90,,, BAT Intl Financ 144A 3.5000% 06-15-22,0.00%,US05530QAL41,,, STADSHYPOTEK AB,0.00%,SE0004807733,,, U S TREASURY BILLS,0.00%,US912796HK86,,, Italy BTPS 5.5000% 11-01-22,0.00%,IT0004848831,,, Shell Int Finance BV 3.2500% 05-11-25,0.00%,US822582BD31,,, EUROFIMA SRUNSEC MTN,0.00%,AU300EF20086,,, TESCO PROPERTY FIN 4 PLC MTGE BACKED,0.00%,XS0588909878,,, 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,,, MLCC 2005-2 1A ARM 6MLIB+125,0.00%,US59020UZZ10,,, Netherlands G SRg144 4.0000% 01-15-37,0.00%,NL0000102234,,, Aetna Inc 2.7500% 11-15-22,0.00%,US008117AP87,,, CORNR 2007-1A A1S 3MLIB+22BP 144A,0.00%,US219239AA80,,, Malaysia Government 3.9550% 09-15-25,0.00%,MYBMO1500010,,, Switzerland Gov RgSS 1.5000% 04-30-42,0.00%,CH0127181169,,, Verizon Communctns 3.5000% 11-01-21,0.00%,US92343VBC72,,, Charter Comm    144A 4.4640% 07-23-22,0.00%,US161175AL87,,, SWAN 2010-1 A,0.00%,AU3FN0010435,,, JLL BNZ Operating A/C,0.00%,JLL BNZ Operating A/C,,, 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,,, GMG 2012-1 A1 3ML + 295BP,0.00%,XS0769019026,,, 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,,, GSMS 14-GC20 D  144A 4.8671% 04-10-47,0.00%,US36252WAE84,,, PROVINCE OF QUEBEC DEB SER OS,0.00%,CA748148QJ59,,, EATON 2007-10X A1 3MEUR+24BP,0.00%,XS0290036705,,, Morgan Stanley 4.3500% 09-08-26,0.00%,US6174467Y92,,, 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,,, 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,,, INSTITUT CREDITO OFICIAL GOV GTD EMTN,0.00%,XS0274980431,,, 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,,, Ginnie Mae II Pool 4.5 01-APR-46 SS,0.00%,Ginnie Mae II Pool 4.5 01-APR-46 SS,,, 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,,, CMLTI 2005-6 A2 1YCMT+215,0.00%,US17307GXQ62,,, Fannie Mae Pool 4.5 01-MAR-30 VS,0.00%,Fannie Mae Pool 4.5 01-MAR-30 VS,,, PETROBRAS GLOBAL FINANCE BD,0.00%,US71645WAM38,,, 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,,, 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,,, Fannie Mae Pool 2 01-MAY-28 MS,0.00%,Fannie Mae Pool 2 01-MAY-28 MS,,, FNA 2014-M5 FA 1MLIB+35BP,0.00%,US3136AJ2A36,,, 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,,, 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,,, 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,,, GSMS 12-ALOH A 144A 3.5510% 04-10-34,0.00%,US36192HAA23,,, ONTARIO (PROVINCE OF),0.00%,CA68323ABR47,,, 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,,, SELL JPY:BUY NZD JPY 23/06/2016,0.00%,SELL JPY:BUY NZD JPY 23/06/2016,,, 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,,, 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,,, ANZ IRS 30/03/2019,0.00%,ANZ5192S,,, Freddie Mac GoldPool 3 01-FEB-46 N,0.00%,Freddie Mac GoldPool 3 01-FEB-46 N,,, WAMU 2004-AR1 A ARM,0.00%,US92922FLD86,,, Quebec Province 3.0000% 09-01-23,0.00%,CA74814ZEP41,,, WFCM 2015-NXS1 D 4.1047% 05-15-48,0.00%,US94989HBM16,,, BANCO ESPIRITO SANTO SA **DEF**,0.00%,PTBENJOM0015,,, CSAIL 2015-C3 D 3.3614% 08-15-48,0.00%,US12635FBA12,,, BNZ IRS 01/04/2018,0.00%,BNZ1244S,,, 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,,, 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,,, 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,,, FNA 2012-M8 X1 IO WM19 WC4.801051,0.00%,US3136A7ML32,,, 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,,, 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,,, FNR 2004-11 A 1MLIBOR+12,0.00%,US31393T7H31,,, 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,,, 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,,, COMM 2013-CR6 A4 3.1010% 03-10-46,0.00%,US12624XAD03,,, FN ARM 735632 US0012M+157.2 9.994,0.00%,US31402RHH57,,, Fannie Mae Pool 4 01-JAN-41 S,0.00%,Fannie Mae Pool 4 01-JAN-41 S,,, FH ARM 781047 H15T1Y+222.4 9.267,0.00%,US31349SEU33,,, 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,,, 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,,, MSC 2006-T21 D  144A 5.3321% 10-12-52,0.00%,US617451CX53,,, "Skandinaviska Enskilda Banken Securities Services (NOK)",0.00%,"Skandinaviska Enskilda Banken Securities Services (NOK)",,, 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,,, 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,,, GSMS 2013-GC13 XA 0.2713% 07-10-46,0.00%,US36198EAG08,,, BSARM 2003-7 6A WM33 WC4.979 ARM,0.00%,US07384MYW62,,, 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,,, JPMMT 2003-A2 3A1 WM33 WC4.7754 ARM,0.00%,US466247AZ62,,, 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,,, WFRBS 2013-C11 A5 3.0710% 03-15-45,0.00%,US92937EAZ79,,, WFMBS 2005-AR11 1A1 WM33 WC4.8745 ARM,0.00%,US94982RAA32,,, 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,,, Fannie Mae Pool 6.5 01-SEP-26 VS,0.00%,Fannie Mae Pool 6.5 01-SEP-26 VS,,, WAMU 2003-AR1 A5 ARM WM33 WC5.22,0.00%,US939336PB38,,, FH ARM 780431 H15T1Y+222.3 9.68,0.00%,US31342APQ66,,, GSMS 2014-GC20 A5 3.9980% 04-10-47,0.00%,US36252WAX65,,, COMM 2014-CR19 A5 3.7960% 08-10-47,0.00%,US12592GBD43,,, CWHL 2004-22 A3 ARM WM34 WC5.34,0.00%,US12669F6Z19,,, JPMBB 2014-C21 A5 3.7748% 08-15-47,0.00%,US46642EAY23,,, BACM 2015-UBS7 A4 3.7050% 09-15-48,0.00%,US06054AAX72,,, Freddie Mac GoldPool 3.5 01-JUN-33 MS,0.00%,Freddie Mac GoldPool 3.5 01-JUN-33 MS,,, GSR 2003-1 A2 1YRCMT+175,0.00%,US36229RJJ95,,, 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,,, 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,,, 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,,, CALIFORNIA RESOURCES CORP,0.00%,US13057Q1076,,, 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,,, GNMA I Pool 4.5 15-SEP-33 VS,0.00%,GNMA I Pool 4.5 15-SEP-33 VS,,, FN ARM 915531 H15T1Y+224.6 10.641,0.00%,US31411VEC90,,, FN ARM 545953 H15T1Y+226.4 10.504,0.00%,US31385JQE19,,, 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,,, Fannie Mae Pool 5 01-JUN-19 VS,0.00%,Fannie Mae Pool 5 01-JUN-19 VS,,, FH ARM 1G0867 US0012M+173.1 10.453,0.00%,US3128NC6C35,,, 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,,, COMM 2013-CR8 A5 3.6120% 06-10-46,0.00%,US12625KAE55,,, 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,,, 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,,, NCHET 2005-1 *A1MZ* 1.0130% 03-25-35,0.00%,US64352VJV45,,, FHLMC TBA GOLD 3.5% MAY 30YR,0.00%,US02R0326535,,, 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,,, 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,,, GNMA I Pool 7 15-AUG-28 VS,0.00%,GNMA I Pool 7 15-AUG-28 VS,,, FH ARM 781867 H15T1Y+199.5 10.602,0.00%,US31349TCC36,,, 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,,, 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,,, 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,,, BANCO ESPIRITO SANTO REG,0.00%,PTBES0AM0007,,, Zloty On-Hand,0.00%,Zloty On-Hand,,, 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% 06-16-26,0.00%,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% 02-17-51,0.00%,CMBX.NA.AM.4 0.5000% 02-17-51,,, Fannie Mae Pool 6 01-APR-46 SS,0.00%,Fannie Mae Pool 6 01-APR-46 SS,,, JAPANESE GOVT BOND (30Y) #44,0.00%,JP1300441E92,,, US Dollar Curr Fwd (USD) 28-APR-16,0.00%,US Dollar Curr Fwd (USD) 28-APR-16,,, IRS HKD PAY 5 Fixed 2.2400% 06-16-26,0.00%,IRS HKD PAY 5 Fixed 2.2400% 06-16-26,,, Yen,0.00%,Yen,,, IRS PLN PAY 10 Fixed 2.2900% 06-15-26,-0.01%,IRS PLN PAY 10 Fixed 2.2900% 06-15-26,,, IRS ZAR PAY 1 Fixed 8.0625% 03-15-18,-0.01%,IRS ZAR PAY 1 Fixed 8.0625% 03-15-18,,, IRS ZAR PAY 1 Fixed 8.1560% 03-15-18,-0.01%,IRS ZAR PAY 1 Fixed 8.1560% 03-15-18,,, IRS ZAR PAY 1 Fixed 8.2325% 03-15-18,-0.01%,IRS ZAR PAY 1 Fixed 8.2325% 03-15-18,,, IRS ZAR PAY 1 Fixed 8.3350% 03-15-18,-0.01%,IRS ZAR PAY 1 Fixed 8.3350% 03-15-18,,, IRS USD PAY 10 Fixed 2.1300% 03-16-26,-0.01%,IRS USD PAY 10 Fixed 2.1300% 03-16-26,,, IRS USD PAY Float 0.0000% 06-16-26,-0.01%,IRS USD PAY Float 0.0000% 06-16-26,,, IRS USD PAY 7 Fixed 1.9000% 03-16-23,-0.03%,IRS USD PAY 7 Fixed 1.9000% 03-16-23,,, US Dollar Trade Receivable,-0.06%,US Dollar Trade Receivable,,,