Home Forums SQL Server 2005 SQL Server 2005 Integration Services Removing certain text from a column RE: Removing certain text from a column

  • August 5, 2014 at 11:09 am

    #1735326

    ronan.healy (8/5/2014)

    CREATE TABLE [dbo].[BNYPortValInbound](

    [PK_ID] [int] IDENTITY(1,1) NOT NULL,

    [Country] [nvarchar](128) NULL,

    [InvestmentType] [nvarchar](128) NULL,

    [AssetType] [nvarchar](128) NULL,

    [SecurityName] [nvarchar](128) NULL,

    [CouponRate] [nvarchar](128) NULL,

    [SecurityID] [nvarchar](128) NULL,

    [MaturityDate] [datetime] NULL,

    [HoldID] [nvarchar](128) NULL,

    [CounterPartyRef] [nvarchar](128) NULL,

    [Custodian] [nvarchar](128) NULL,

    [MarketPrice] [decimal](15, 4) NULL,

    [Currency] [nvarchar](128) NULL,

    [CurrencyFXRate] [decimal](15, 4) NULL,

    [PriorDayMarketPrice] [decimal](15, 4) NULL,

    [Quantity] [decimal](15, 4) NULL,

    [PriorDayFXRate] [decimal](19, 6) NULL,

    [CostLocal] [decimal](15, 4) NULL,

    [MarketValueLocal] [decimal](15, 4) NULL,

    [CostBook] [decimal](15, 4) NULL,

    [MarketValueBook] [decimal](15, 4) NULL,

    [Blank] [nvarchar](128) NULL,

    [UnrealisedPriceGainLoss] [decimal](15, 4) NULL,

    [UnrealisedFXGainLoss] [decimal](15, 4) NULL,

    [CurrencyFull] [nvarchar](128) NULL,

    [InvestmentType1] [nvarchar](128) NULL,

    [CountryOfIssue] [nvarchar](128) NULL,

    [CountryFullName] [nvarchar](128) NULL,

    [IndustrySector] [nvarchar](128) NULL,

    [IndustryGroup] [nvarchar](128) NULL,

    [IndustrySubGroup] [nvarchar](128) NULL,

    [LongCompanyName] [nvarchar](128) NULL,

    [ISIN] [nvarchar](128) NULL,

    [Ticker] [nvarchar](128) NULL,

    [FundLegalEntity] [nvarchar](128) NULL,

    [FundStructureCode] [nvarchar](128) NULL,

    [PeriodEndDate] [datetime] NULL

    ) ON [PRIMARY]

    Sample data:

    PK_IDCountryInvestmentTypeAssetTypeSecurityNameCouponRateSecurityIDMaturityDateHoldIDCounterPartyRefCustodianMarketPriceCurrencyCurrencyFXRatePriorDayMarketPriceQuantityPriorDayFXRateCostLocalMarketValueLocalCostBookMarketValueBookBlankUnrealisedPriceGainLossUnrealisedFXGainLossCurrencyFullInvestmentType1CountryOfIssueCountryFullNameIndustrySectorIndustryGroupIndustrySubGroupLongCompanyNameISINTickerFundLegalEntityFundStructureCodePeriodEndDate

    1AustraliaCashCashAustralian dollar-BNY Mellon-OnHand0.00AUDJun 30 2014 1-1NULL1BNY Mellon1.0000AUD0.55201.000031266690.03000.55340031266690.030031266690.030017432864.860017259446.960000.0000-173417.9000Australian dollarCash and EquivalentsAUAustraliaIL30IL302014-06-30 00:00:00.000

    2AustraliaCashCashAustralian dollar-BNY Mellon-Receivable0.00AUDJun 30 2014 1-2NULL1BNY Mellon1.0000AUD0.55201.0000155.86000.553400155.8600155.860086.040086.040000.00000.0000Australian dollarCash and EquivalentsAUAustraliaIL30IL302014-06-30 00:00:00.000

    3AustraliaCashCashAustralian dollar-Merrill Lynch-OnHand0.00AUDJun 30 2014 1-3NULL1Merrill Lynch1.0000AUD0.55201.000027.25000.55340027.250027.2500-805350.380015.040000.0000805365.4200Australian dollarCash and EquivalentsAUAustraliaIL30IL302014-06-30 00:00:00.000

    4AustraliaIRSSwap140876-IRS: Fix/Flo: P233350000AUD QuarterlySpd 0% R233350000AUD 4.15%4.15IGNIS 122840AUDNULLLTAA1276692793BNY Mellon100.6765AUD0.5520100.6061-245600000.00000.553400-245600000.0000-247261385.8000-135359698.5000-136276795.90000-917097.38000.0000Australian dollarInterest Rate SwapAUAustralia140876-IRS: Fix/Flo: P233350000AUD QuarterlySpd 0% R233350000AUD 4.15%IL30IL302014-06-30 00:00:00.000

    5AustraliaIRSSwap142296-IRS: Fix/Flo: P466800000AUD ACT/365 BBILLS 3M 4.14%4.14IGNIS 123434AUDNULLLTAA1129532780BNY Mellon100.6674AUD0.5520100.5971-491200000.00000.553400-491200000.0000-494478268.8000-273619906.1000-275429535.00000-1809628.91000.0000Australian dollarInterest Rate SwapAUAustralia142296-IRS: Fix/Flo: P466800000AUD ACT/365 BBILLS 3M 4.14%IL30IL302014-06-30 00:00:00.000

    6AustraliaSwaption - Interest RateOptionSWAPTION AUDIRS 3M3M 3Y1Y 21MAR17 21MAR18 4.150.00IGNIS SWPTSWAPTION_122855AUDNULLLTAA1276692781BNY Mellon-0.3747AUD0.5520-0.3545-491200000.00000.5534000.00001840282.85000.00001015849.910001015849.91000.0000Australian dollarSwaption - Interest RateAUAustraliaSWAPTION AUDIRS 3M3M 3Y1Y 21MAR17 21MAR18 4.15IL30IL302014-06-30 00:00:00.000

    7AustraliaSwaption - Interest RateOptionSWAPTION AUDIRS 3M3M 3Y1Y 28MAR17 28MAR18 4.140.00IGNIS SWPTSWAPTION_123432AUDNULLLTAA1129532739BNY Mellon-0.3687AUD0.5520-0.3480-982400000.00000.5534000.00003622392.10000.00001999587.560001999587.55000.0100Australian dollarSwaption - Interest RateAUAustraliaSWAPTION AUDIRS 3M3M 3Y1Y 28MAR17 28MAR18 4.14IL30IL302014-06-30 00:00:00.000

    8CanadaCashCashCanadian dollar-BNY Mellon-OnHand0.00CADJun 30 2014 1-4NULL1BNY Mellon1.0000CAD0.54911.000098.45000.55030098.450098.4500-169778.210054.060000.0000169832.2700Canadian dollarCash and EquivalentsCACanadacadIL30IL302014-06-30 00:00:00.000

    9European UnionCashCashEuro-BNY Mellon-CapitalPayable0.00EURJun 30 2014 1-5NULL1BNY Mellon1.0000EUR0.80071.0000-8842356.95000.801600-8842356.9500-8842356.9500-7080169.1000-7080453.260000.0000-284.1600EuroCash and EquivalentsEUEuropean UnionIL30IL30 I EUR Hedged (New)2014-06-30 00:00:00.000

    10European UnionCashCashEuro-BNY Mellon-CapitalReceivable0.00EURJun 30 2014 1-6NULL1BNY Mellon1.0000EUR0.80071.000029664858.07000.80160029664858.070029664858.070023768347.360023753920.190000.0000-14427.1700EuroCash and EquivalentsEUEuropean UnionIL30IL30 A EUR DIST HEDGED2014-06-30 00:00:00.000

    11European UnionCashCashEuro-BNY Mellon-OnHand0.00EURJun 30 2014 1-7NULL1BNY Mellon1.0000EUR0.80071.000020985774.80000.80160020985774.800020985774.800064609574.040016804207.140000.0000-47805366.9000EuroCash and EquivalentsEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    12European UnionCashCashEuro-BNY Mellon-Receivable0.00EURJun 30 2014 1-8NULL1BNY Mellon1.0000EUR0.80071.000050400205.00000.80160050400205.000050400205.000040399198.030040357599.010000.0000-41599.0200EuroCash and EquivalentsEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    13European UnionCashCashEuro-Merrill Lynch-OnHand0.00EURJun 30 2014 1-9NULL1Merrill Lynch1.0000EUR0.80071.000015452344.62000.80160015452344.620015452344.620012901761.480012373353.030000.0000-528408.4500EuroCash and EquivalentsEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    14European UnionCorporate BondDebt InstrumentsIGNIS EUR COLLATERAL Credit Suisse0CS COLLATERAL EURNULLBNY Mellon100.0000EUR0.8007100.000012720000.00000.80160012720000.000012720000.000010192597.150010185447.840000.0000-7149.3100EuroCorporate BondEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    15European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 5y 5y 2.67% ANNUAL VS French CPIxt ACT/365 16Oct22086295IL01IRSEURNULLD020589216726BNY Mellon102.9735EUR0.8007102.934365000000.00000.80160065000000.000066932744.130052449812.970053997443.830001547630.86000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 5y 5y 2.67% ANNUAL VS French CPIxt ACT/365 16Oct22IL30IL302014-06-30 00:00:00.000

    16European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 1.995% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC17090846IL01IRSEURNULLLTAA1126419256BNY Mellon105.8656EUR0.8007105.7797-50000000.00000.801600-50000000.0000-52932821.8200-40702930.4100-43051366.24000-2348435.83000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 1.995% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC17IL30IL302014-06-30 00:00:00.000

    17European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 2.2795% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC22090847IL01IRSEURNULLLTAA1126419291BNY Mellon108.4333EUR0.8007108.401750000000.00000.80160050000000.000054216633.480040702930.410044079369.120003376438.71000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 2.2795% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC22IL30IL302014-06-30 00:00:00.000

    18European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 2.59% 30/360 VS FLOATING FRCPI Index ACT/360 17Jan23092131IL01IRSEURNULLD030590401976BNY Mellon102.5619EUR0.8007102.5324100000000.00000.801600100000000.0000102561929.600082958359.230085009805.820002051446.59000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 2.59% 30/360 VS FLOATING FRCPI Index ACT/360 17Jan23IL30IL302014-06-30 00:00:00.000

    19European UnionIFSSwap127869-IRS: Flo/Fix: P140000000EUR IrregularSpd 0% R140000000IGNIS 113817NULLLTAA1128470144BNY Mellon101.8765EUR0.8007101.8511140000000.00000.801600140000000.0000142627116.8000117366396.7000119470041.500002103644.77000.0000EuroInflation SwapEUEuropean Union127869-IRS: Flo/Fix: P140000000EUR IrregularSpd 0% R140000000EUR Irregular@1.8525% (15/11/13-15/11/2IL30IL302014-06-30 00:00:00.000

    20European UnionIFSSwapIFS: INF: EUR Fixed 1.955% VS FRCPXTOB Index ACT/365 15Nov230IGNIS 113831NULLD130594477751BNY Mellon103.1409EUR0.8007103.113746000000.00000.80160046000000.000047444824.290038563244.630039720177.210001156932.59000.0000EuroInflation SwapEUEuropean UnionIFS: INF: EUR Fixed 1.955% VS FRCPXTOB Index ACT/365 15Nov23IL30IL302014-06-30 00:00:00.000

    21European UnionIFSSwapINF SWAP: Flo/Fix EUR Fixed 1.8475% 30/360 VS CPTFEMU ACT/360 21Nov250IGNIS 114230EURNULLLTAA1128510149BNY Mellon101.8141EUR0.8007101.7886120000000.00000.801600120000000.0000122176929.2000100788672.9000102531833.200001743160.29000.0000EuroInflation SwapEUEuropean UnionINF SWAP: Flo/Fix EUR Fixed 1.8475% 30/360 VS CPTFEMU ACT/360 21Nov25IL30IL302014-06-30 00:00:00.000

    22European UnionIFSSwap138761-IRS: Flo/Fix: P107000000EUR IrregularSpd 0% R107000000EUR0IGNIS 121222EURNULLLTAA1129421803BNY Mellon100.4573EUR0.8007100.4290107000000.00000.801600107000000.0000107489339.900088156991.180088548826.58000391835.40000.0000EuroInflation SwapEUEuropean Union138761-IRS: Flo/Fix: P107000000EUR IrregularSpd 0% R107000000EUR Irregular@1.78375% (05/03/14-05/03/26)IL30IL302014-06-30 00:00:00.000

    23European UnionIFSSwap139863-IRS: Fix/Flo: EUR Irregular@1.04% EUR IrregularSpd 0% (13/03/14-13/03/17)0IGNIS 122116EURNULLLTAA1276613411BNY Mellon100.5435EUR0.8007100.5049-440400000.00000.801600-440400000.0000-442793753.8000-367271484.0000-369188265.00000-1916780.97000.0000EuroInflation SwapEUEuropean Union139867-IRS: Fix/Flo: EUR Irregular@1.04% EUR IrregularSpd 0% (13/03/14-13/03/17)IL30IL302014-06-30 00:00:00.000

    24European UnionIFSSwap140384-IRS: Flo/Fix: P138639000EUR IrregularSpd 0% R138639000EUR Irregular@1.745% (18/03/14-18/03/26)0IGNIS 122589EURNULLLTAA1276651715BNY Mellon99.9879EUR0.800799.9581138639000.00000.801600138639000.0000138622206.6000116102241.7000116088794.50000-13447.19000.0000EuroInflation SwapEUEuropean Union140384-IRS: Flo/Fix: P138639000EUR IrregularSpd 0% R138639000EUR Irregular@1.745% (18/03/14-18/03/26)IL30IL302014-06-30 00:00:00.000

    25European UnionIFSSwap142500-Infl Swap: Flo/Fix: P10000000EUR IrregularSpd 0% R10000000EUR Irregular@1.8775% (01/04/14-03/04/29)0IGNIS 123576EURNULLLTAA1129551916BNY Mellon99.5952EUR0.800799.5521280000000.00000.801600280000000.0000278866500.6000231447032.3000230539390.80000-907641.47000.0000EuroInflation SwapEUEuropean Union142500-Infl Swap: Flo/Fix: P10000000EUR IrregularSpd 0% R10000000EUR Irregular@1.8775% (01/04/14-03/04/29)IL30IL302014-06-30 00:00:00.000

    26European UnionIFSSwap144065-Infl Swap: Flo/Fix: P104400000EUR IrregularSpd 0% R104400000EUR Irregular@1.9175% (10/04/14-10/04/29)0IGNIS 124074EURNULLLTAA1129654997BNY Mellon100.1828EUR0.8007100.1481104400000.00000.801600104400000.0000104590795.700085981420.340086134198.60000152778.26000.0000EuroInflation SwapEUEuropean Union144065-Infl Swap: Flo/Fix: P104400000EUR IrregularSpd 0% R104400000EUR Irregular@1.9175% (10/04/14-10/04/29)IL30IL302014-06-30 00:00:00.000

    27European UnionIFSSwap152172-Infl Swap: Flo/Fix: P207300000EUR IrregularSpd 0% R207300000EUR Irregular@1.65% (05/06/14-05/06/24)0IGNIS 127438EURNULLLTAA1130061707BNY Mellon99.7450EUR0.800799.7197207300000.00000.801600207300000.0000206771453.3000168679709.1000168256479.20000-423229.91000.0000EuroInflation SwapEUEuropean Union152172-Infl Swap: Flo/Fix: P207300000EUR IrregularSpd 0% R207300000EUR Irregular@1.65% (05/06/14-05/06/24)IL30IL302014-06-30 00:00:00.000

    28European UnionIFSSwap152157-Infl Swap: Flo/Fix: P138600000EUR IrregularSpd 0% R138600000EUR Irregular@1.65% (05/06/14-05/06/29)0IGNIS 127439EURNULLLTAA1130061724BNY Mellon99.6704EUR0.800799.6285138600000.00000.801600138600000.0000138143243.6000112778618.8000112412874.40000-365744.36000.0000EuroInflation SwapEUEuropean Union152157-Infl Swap: Flo/Fix: P138600000EUR IrregularSpd 0% R138600000EUR Irregular@1.65% (05/06/14-05/06/29)IL30IL302014-06-30 00:00:00.000

    29European UnionIRSSwap130994-IRS: Fix/Flo: P170000000EUR Annual@2.067% R170000000E2.07IGNIS 116266EURNULLBNY Mellon106.3097EUR0.8007106.1657-170000000.00000.801600-170000000.0000-180726538.0000-143395073.1000-151984270.70000-8589197.60000.0000EuroInterest Rate SwapEUEuropean Union130994-IRS: Fix/Flo: P170000000EUR Annual@2.067% R170000000EUR Semi-annualSpd 0% (17/12/13-18/12/23)IL30IL302014-06-30 00:00:00.000

    30European UnionIRSSwap158177-IRS: Fix/Flo: P2770000EUR Annual@1.496% R2770000EUR Semi-annualSpd 0% (27/06/14-27/06/24) IRS1.5IGNIS 128813EURNULL6.80E+12BNY Mellon100.5793EUR0.8007100.4310-80230000.00000.801600-80230000.0000-80694774.8000-64412195.9200-64784360.97000-372165.05000.0000EuroInterest Rate SwapEUEuropean Union158177-IRS: Fix/Flo: P2770000EUR Annual@1.496% R2770000EUR Semi-annualSpd 0% (27/06/14-27/06/24) IRSIL30IL302014-06-30 00:00:00.000

    31European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.22IGNIS 126840 REPONULLBNY Mellon100.0000EUR0.8007100.0000-24815815.50000.801600-24815815.5000-24815815.5000-20085906.1800-19871084.4800-4128.770.0000214821.7000EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    32European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.23IGNIS 127126 REPONULLBNY Mellon100.0000EUR0.8007100.0000-21744113.58000.801600-21744113.5800-21744113.5800-17689170.5300-17411441.4200-3114.710.0000277729.1100EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    33European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.16IGNIS 127458 REPONULLBNY Mellon100.0000EUR0.8007100.0000-230164275.20000.801600-230164275.2000-230164275.2000-187135982.0000-184302375.9000-20478.040.00002833606.1300EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    34European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.09IGNIS 127638 REPONULLBNY Mellon100.0000EUR0.8007100.0000-120500000.00000.801600-120500000.0000-120500000.0000-97894362.2100-96489502.0000-5065.70.00001404860.2100EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    35European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.09IGNIS 127639 REPONULLBNY Mellon100.0000EUR0.8007100.0000-122374980.00000.801600-122374980.0000-122374980.0000-99417598.4900-97990878.6500-5144.520.00001426719.8400EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    36European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.1IGNIS 127834 REPONULLBNY Mellon100.0000EUR0.8007100.0000-190672000.00000.801600-190672000.0000-190672000.0000-154088093.3000-152679222.6000-8058.070.00001408870.6900EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    37European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.02IGNIS 128716 REPONULLBNY Mellon100.0000EUR0.8007100.0000-3873506.60000.801600-3873506.6000-3873506.6000-3095639.6100-3101682.3500-8.620.0000-6042.7400EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    38European UnionRepoMoneyMarketREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE00011350440.02IGNIS 128717 REPONULLBNY Mellon100.0000EUR0.8007100.0000-300802420.00000.801600-300802420.0000-300802420.0000-240396101.5000-240865358.6000-669.070.0000-469257.1000EuroRepurchase AgreementsEUEuropean UnionREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE0001135044IL30IL302014-06-30 00:00:00.000

    39European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.03IGNIS 128948 REPONULLBNY Mellon100.0000EUR0.8007100.0000-46997925.00000.801600-46997925.0000-46997925.0000-37674846.9700-37633247.950000.000041599.0200EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    40European UnionRepoMoneyMarketREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE00011350440.03IGNIS 128950 REPONULLBNY Mellon100.0000EUR0.8007100.0000-19831900.00000.801600-19831900.0000-19831900.0000-15897803.9500-15880250.2500-13.230.000017553.7000EuroRepurchase AgreementsEUEuropean UnionREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE0001135044IL30IL302014-06-30 00:00:00.000

    41European UnionSwaption - Interest RateOptionEURSWN 3Y5Y RECEIVER FEB15-FEB20 2.620.0068796NULLLTAA1124315022BNY Mellon8.8831EUR0.80078.7803-63000000.00000.801600-1726200.0000-5596355.0000-1436612.5300-4481240.72000-3098998.580054370.3900EuroSwaption - Interest RateEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    42European UnionSwaption - Interest RateOptionSWAPTION Swaption: European 1121700000 EUR 1.1275% 14-NOV-20 PAYER0.00IGNIS SWPT126240EURNULLLTAA1129892246BNY Mellon0.0370EUR0.80070.04571173200000.00000.8016002064209.5500434553.28001686039.1100347965.39000-1304935.4600-33138.2600EuroSwaption - Interest RateEUEuropean UnionSWAPTION Swaption: European 1121700000 EUR 1.1275% 14-NOV-2014 EURIBOR 3MONTH 0bps GOLDMAN SACHS LONIL30IL302014-06-30 00:00:00.000

    43European UnionSwaption - Interest RateOptionSWAPTION Swaption: European 359500000 EUR 2.587% 20-NOV-20140.00IGNIS SWPT126592EURNULLEM3G4BNY Mellon0.5381EUR0.80070.5750375800000.00000.8016003218725.00002022217.38002614360.45001619275.91000-958094.8100-36989.7300EuroSwaption - Interest RateEUEuropean UnionSWAPTION Swaption: European 359500000 EUR 2.587% 20-NOV-2014 EURIBOR 6MONTH 0bps MORGAN STANLEY LONDIL30IL302014-06-30 00:00:00.000

    44European UnionSwaption - Interest RateOptionSWAPTION Swaption: European 359750000 EUR 2.597% 20-NOV-20140.00IGNIS SWPT126849EURNULLEM3RPBNY Mellon0.5393EUR0.80070.5759375980000.00000.8016003234850.00002027810.53002616811.74001623754.59000-966528.1100-26529.0400EuroSwaption - Interest RateEUEuropean UnionSWAPTION Swaption: European 359750000 EUR 2.597% 20-NOV-2014 EURIBOR 6MONTH 0bps MORGAN STANLEY LONDIL30IL302014-06-30 00:00:00.000

    45FinlandCorporate BondDebt InstrumentsMunicipality Finance PLC 1.5 15/12/20141.5B79NW02NULLBNY Mellon100.4021GBP1.0000100.406210000000.00001.0000009990000.000010040210.00009990000.000010040210.000081369.8641814.23000.0000U.K. poundCorporate BondFIFinlandGovernmentSovereign AgencySovereign_siXS0742251019IL30IL302014-06-30 00:00:00.000

    46GermanyFuture-BondFuturesEuro-BTP Future Sep140.00IKU4NULLMerrill Lynch126.1800EUR0.8007126.3400-1341.00000.8016000.0000-2874639.96000.0000-2301847.12000-2301847.12000.0000EuroFuture-BondDEGermanyIL30IL302014-06-30 00:00:00.000

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    48GermanyGovernment Debt IssueDebt InstrumentsBundesrepublik Deutschland 6.5 07/04/276.55286601NULLBNY Mellon157.8500EUR0.8007157.7040196800000.00000.801600307294969.0000310648800.0000248720542.2000248749776.000010158911.443013663.1500-2656322.0800EuroGovernment Debt IssueDEGermanyGovernmentSovereignSovereign_siDE0001135044IL30IL302014-06-30 00:00:00.000

    49GermanyGovernment Debt IssueDebt InstrumentsDeutsche Bundesrepublik Inflation Linked Bond 1.5 15/04/20161.5B10S9K3NULLBNY Mellon102.9345EUR0.8007102.8995461187262.50000.801600477172380.2000474720572.2000394511902.2000380129058.90001168582.67-2085359.2900-12419575.8700EuroGovernment Debt IssueDEGermanyGovernmentSovereignSovereign_siDE0001030500IL30IL302014-06-30 00:00:00.000

    50GermanyGovernment Debt IssueDebt InstrumentsBundesrepublik Deutschland Bundesobligation Inflation Linked Bond 0.75 15/04/20180.75B4JQ9S7NULLBNY Mellon105.3305EUR0.8007105.2685225831518.50000.801600235930195.9000237869467.6000196365236.6000190472252.9000286112.411497130.7700-7445841.5000EuroGovernment Debt IssueDEGermanyGovernmentSovereignSovereign_siDE0001030534IL30IL302014-06-30 00:00:00.000

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    109United KingdomIFSSwapINF SWAP: Flo/Fix: GBP FIXED 3.68% ACT/365 VS UKRPI Index ACT/365 10Oct330110400IL01IRSGBPNULLLTAA1128194123BNY Mellon103.1841GBP1.0000103.4459125000000.00001.000000125000000.0000128980098.0000125000000.0000128980098.000003980097.98000.0000U.K. poundInflation SwapGBUnited KingdomINF SWAP: Flo/Fix: GBP FIXED 3.68% ACT/365 VS UKRPI Index ACT/365 10Oct33IL30IL302014-06-30 00:00:00.000

    110United KingdomIFSSwapINF SWAP: Flo/Fix: GBP FIXED 3.56% ACT/365 VS UKRPI Index ACT/365 19Dec280116800IL01IRSGBPNULLEKX5EBNY Mellon102.2712GBP1.0000102.370870000000.00001.00000070000000.000071589870.670070000000.000071589870.670001589870.67000.0000U.K. poundInflation SwapGBUnited KingdomINF SWAP: Flo/Fix: GBP FIXED 3.56% ACT/365 VS UKRPI Index ACT/365 19Dec28IL30IL302014-06-30 00:00:00.000

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    112United KingdomIFSSwapIFS: Flo/Fix: GBP Fixed 3.535% ACT/365 VS UKRPI ACT/365 10Nov280IGNIS 113590NULLLTAA1128434697BNY Mellon102.1109GBP1.0000102.2119105000000.00001.000000105000000.0000107216452.2000105000000.0000107216452.200002216452.15000.0000U.K. poundInflation SwapGBUnited KingdomIFS: Flo/Fix: GBP Fixed 3.535% ACT/365 VS UKRPI ACT/365 10Nov28IL30IL302014-06-30 00:00:00.000

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    122United KingdomIFSSwap142448-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6625% (28/03/14-28/03/40IGNIS 123577GBPNULLLTAA1129551732BNY Mellon101.2157GBP1.0000101.625041150000.00001.00000041150000.000041650270.900041150000.000041650270.90000500270.90000.0000U.K. poundInflation SwapGBUnited Kingdom142448-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6625% (28/03/14-28/03/4IL30IL302014-06-30 00:00:00.000

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    148United KingdomIRSSwap141634-IRS: Flo/Fix: P2340000GBP Semi-annualSpd 0% R2340000GBP Semi-annual@2.7965% (24/03/14-24/03/24)2.8IGNIS 123280GBPNULLD140596229000.2BNY Mellon100.4049GBP1.0000100.6789123480000.00001.000000123480000.0000123980019.9000123480000.0000123980019.90000500019.91000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141634-IRS: Flo/Fix: P2340000GBP Semi-annualSpd 0% R2340000GBP Semi-annual@2.7965% (24/03/14-24/03/24)IL30IL302014-06-30 00:00:00.000

    149United KingdomIRSSwap141765-IRS: Fix/Flo: P164700000GBP Semi-annual@3.5625% R164700000GBP Semi-annualSpd 0% (26/03/29-26/03/44)3.56IGNIS 123320GBPNULLLTAA1129498837BNY Mellon99.9126GBP1.0000100.0859-247050000.00001.000000-247050000.0000-246833954.8000-247050000.0000-246833954.80000216045.22000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141765-IRS: Fix/Flo: P164700000GBP Semi-annual@3.5625% R164700000GBP Semi-annualSpd 0% (26/03/29-26/03/44)IL30IL302014-06-30 00:00:00.000

    150United KingdomIRSSwap142381-IRS: Flo/Fix: P28000000GBP 10Y @2.79% Semi Annual Act/365 vs 6M GBP2.79IGNIS 123571GBPNULLD140596324044BNY Mellon100.3421GBP1.0000100.616428000000.00001.00000028000000.000028095799.200028000000.000028095799.2000095799.20000.0000U.K. poundInterest Rate SwapGBUnited Kingdom142381-IRS: Flo/Fix: P28000000GBP 10Y @2.79% Semi Annual Act/365 vs 6M GBPIL30IL302014-06-30 00:00:00.000

    151United KingdomIRSSwap142867-IRS: Flo/Fix: P58400000GBP IrregularSpd 0% R5840000 Irregular@2.784% (01/04/14-01/04/24)2.78IGNIS 123727GBPNULLD140596368421BNY Mellon100.2828GBP1.0000100.557358400000.00001.00000058400000.000058565155.200058400000.000058565155.20000165155.20000.0000U.K. poundInterest Rate SwapGBUnited Kingdom142867-IRS: Flo/Fix: P58400000GBP IrregularSpd 0% R5840000 Irregular@2.784% (01/04/14-01/04/24)IL30IL302014-06-30 00:00:00.000

    152United KingdomIRSSwap146578-IRS: Flo/Fix: P150000000GBP Semi-annualSpd 0% R150000000GBP Semi-annual@2.7575% (30/04/14-30/04/24)2.76IGNIS 125327GBPNULLSW28950253BNY Mellon99.9987GBP1.0000100.2754150000000.00001.000000150000000.0000149998110.0000150000000.0000149998110.00000-1890.00000.0000U.K. poundInterest Rate SwapGBUnited Kingdom146578-IRS: Flo/Fix: P150000000GBP Semi-annualSpd 0% R150000000GBP Semi-annual@2.7575% (30/04/14-30/04/24)IL30IL302014-06-30 00:00:00.000

    153United KingdomIRSSwap147352-IRS: Fix/Flo: P2300000GBP Semi-annual@3.56% R2300000GBP Semi-annualSpd 0% (08/05/29-08/05/44)3.56IGNIS 125816GBPNULL6.80E+12BNY Mellon99.9267GBP1.0000100.1008-44800000.00001.000000-44800000.0000-44767143.6800-44800000.0000-44767143.6800032856.32000.0000U.K. poundInterest Rate SwapGBUnited Kingdom147352-IRS: Fix/Flo: P2300000GBP Semi-annual@3.56% R2300000GBP Semi-annualSpd 0% (08/05/29-08/05/44)IL30IL302014-06-30 00:00:00.000

    154United KingdomIRSSwap151090-IRS: Fix/Flo: P12800000GBP Semi-annual@3.1925% R12800000GBP Semi-annualSpd 0% (28/05/14-28/05/64)3.19IGNIS 127034GBPNULLYM01ABNY Mellon99.3417GBP1.0000100.0391-12800000.00001.000000-12800000.0000-12715733.7600-12800000.0000-12715733.7600084266.24000.0000U.K. poundInterest Rate SwapGBUnited Kingdom151090-IRS: Fix/Flo: P12800000GBP Semi-annual@3.1925% R12800000GBP Semi-annualSpd 0% (28/05/14-28/05/64)IL30IL302014-06-30 00:00:00.000

    155United KingdomIRSSwap152612-IRS: Fix/Flo: P73000000GBP Semi-annual@3.594% R73000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)3.59IGNIS 127591GBPNULL6584048LSBNY Mellon100.1921GBP1.0000100.3683-73000000.00001.000000-73000000.0000-73140247.6000-73000000.0000-73140247.60000-140247.60000.0000U.K. poundInterest Rate SwapGBUnited Kingdom152612-IRS: Fix/Flo: P73000000GBP Semi-annual@3.594% R73000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)IL30IL302014-06-30 00:00:00.000

    156United KingdomIRSSwap152621-IRS: Fix/Flo: P46000000GBP Semi-annual@3.59875% R46000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)3.6IGNIS 127592GBPNULLD140597243647.1BNY Mellon100.2263GBP1.0000100.4027-46000000.00001.000000-46000000.0000-46104084.2000-46000000.0000-46104084.20000-104084.20000.0000U.K. poundInterest Rate SwapGBUnited Kingdom152621-IRS: Fix/Flo: P46000000GBP Semi-annual@3.59875% R46000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)IL30IL302014-06-30 00:00:00.000

    157United KingdomIRSSwap152705-IRS: Fix/Flo: P54000000GBP Semi-annual@3.6% R54000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)3.6IGNIS 127604GBPNULL6.80E+12BNY Mellon100.2353GBP1.0000100.4117-54000000.00001.000000-54000000.0000-54127040.4000-54000000.0000-54127040.40000-127040.40000.0000U.K. poundInterest Rate SwapGBUnited Kingdom152705-IRS: Fix/Flo: P54000000GBP Semi-annual@3.6% R54000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)IL30IL302014-06-30 00:00:00.000

    158United KingdomIRSSwap154739-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)3.6IGNIS 128011GBPNULL20657556BBNY Mellon100.2403GBP1.0000100.4169-53300000.00001.000000-53300000.0000-53428085.2300-53300000.0000-53428085.23000-128085.23000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154739-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)IL30IL302014-06-30 00:00:00.000

    159United KingdomIRSSwap154764-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)3.6IGNIS 128011RBSGBPNULLIRS1124666_B001BNY Mellon100.2403GBP1.0000100.4169-53300000.00001.000000-53300000.0000-53428085.2300-53300000.0000-53428085.23000-128085.23000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154764-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)IL30IL302014-06-30 00:00:00.000

    160United KingdomIRSSwap154778-IRS: Fix/Flo: P50900000GBP Semi-annual@3.59% R50900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)3.59IGNIS 128114GBPNULL20657909BBNY Mellon100.1692GBP1.0000100.3454-50900000.00001.000000-50900000.0000-50986102.4400-50900000.0000-50986102.44000-86102.44000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154778-IRS: Fix/Flo: P50900000GBP Semi-annual@3.59% R50900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)IL30IL302014-06-30 00:00:00.000

    161United KingdomIRSSwap154787-IRS: Fix/Flo: P31900000GBP Semi-annual@3.5925% R31900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)3.59IGNIS 128139GBPNULL20658615BBNY Mellon100.1871GBP1.0000100.3634-31900000.00001.000000-31900000.0000-31959691.2800-31900000.0000-31959691.28000-59691.28000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154787-IRS: Fix/Flo: P31900000GBP Semi-annual@3.5925% R31900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)IL30IL302014-06-30 00:00:00.000

    162United KingdomIRSSwap155417-IRS: Fix/Flo: P64900000GBP Semi-annual@3.546% R64900000GBP Semi-annualSpd 0% (16/06/29-16/06/44)3.55IGNIS 128283GBPNULL6628554LSBNY Mellon99.8553GBP1.0000100.0297-64900000.00001.000000-64900000.0000-64806102.6800-64900000.0000-64806102.6800093897.32000.0000U.K. poundInterest Rate SwapGBUnited Kingdom155417-IRS: Fix/Flo: P64900000GBP Semi-annual@3.546% R64900000GBP Semi-annualSpd 0% (16/06/29-16/06/44)IL30IL302014-06-30 00:00:00.000

    163United KingdomIRSSwap157598-IRS: Fix/Flo: P186700000GBP Semi-annual@3.543% R186700000GBP Semi-annualSpd 0% (25/06/29-25/06/44)3.54IGNIS 128790GBPNULLD140596324044BNY Mellon99.8406GBP1.0000100.0150-196500000.00001.000000-196500000.0000-196186700.4000-196500000.0000-196186700.40000313299.60000.0000U.K. poundInterest Rate SwapGBUnited Kingdom157598-IRS: Fix/Flo: P186700000GBP Semi-annual@3.543% R186700000GBP Semi-annualSpd 0% (25/06/29-25/06/44)IL30IL302014-06-30 00:00:00.000

    164United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 2.359% VS SONIO/N O/N /365 06Nov232.36IGNIS IRS113372NULL5482289LSBNY Mellon99.9544GBP1.0000100.2383-70000000.00001.000000-70000000.0000-69968101.0000-70000000.0000-69968101.0000031899.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 2.359% VS SONIO/N O/N /365 06Nov23IL30IL302014-06-30 00:00:00.000

    165United KingdomOTC FX OptionsOptionFXOPTION GBP CALL JPY PUT 175 10OCT140.00FXOPT_126866NULL41305579BNY Mellon0.8929GBP1.00000.7792189609000.00001.0000002063350.99001693018.76002063350.99001693018.76000-370332.23000.0000U.K. poundOTC FX OptionsGBUnited KingdomFXOPTION GBP CALL JPY PUT 175 10OCT14IL30IL302014-06-30 00:00:00.000

    166United KingdomRepoMoneyMarketREPO UKT 1 3/4 07/22/19 (LN*) GB00BDV0F1500.49IGNIS 128320 REPONULLBNY Mellon100.0000GBP1.0000100.0000-11886000.00001.000000-11886000.0000-11886000.0000-11886000.0000-11886000.0000-2233.920.00000.0000U.K. poundRepurchase AgreementsGBUnited KingdomREPO UKT 1 3/4 07/22/19 (LN*) GB00BDV0F150IL30IL302014-06-30 00:00:00.000

    167United KingdomRepoMoneyMarketREPO UKTI 1 1/4 11/22/17 3MO (LN*) GB00B0V3WQ750.48IGNIS 128372 REPONULLBNY Mellon100.0000GBP1.0000100.0000-205576800.00001.000000-205576800.0000-205576800.0000-205576800.0000-205576800.0000-35145.180.00000.0000U.K. poundRepurchase AgreementsGBUnited KingdomREPO UKTI 1 1/4 11/22/17 3MO (LN*) GB00B0V3WQ75IL30IL302014-06-30 00:00:00.000

    168United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R37070.4IGNIS 126831 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000120000000.00001.000000120000000.0000120000000.0000120000000.0000120000000.000046027.40.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R3707IL30IL302014-06-30 00:00:00.000

    169United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R37070.4IGNIS 126832 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000120000000.00001.000000120000000.0000120000000.0000120000000.0000120000000.000046027.40.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R3707IL30IL302014-06-30 00:00:00.000

    170United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 4 1/4 12/07/40 GB00B64605050.42IGNIS 127357 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.000052999999.86001.00000052999999.860052999999.860052999999.860052999999.860017686.030.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 4 1/4 12/07/40 GB00B6460505IL30IL302014-06-30 00:00:00.000

    171United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 1 1/4 07/22/18 GB00B8KP6M440.42IGNIS 127378 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000110000000.00001.000000110000000.0000110000000.0000110000000.0000110000000.000035441.10.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 1 1/4 07/22/18 GB00B8KP6M44IL30IL302014-06-30 00:00:00.000

    172United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 3 1/2 07/22/68 GB00BBJNQY210.27IGNIS 129219 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000136999999.50001.000000136999999.5000136999999.5000136999999.5000136999999.50001013.420.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 3 1/2 07/22/68 GB00BBJNQY21IL30IL302014-06-30 00:00:00.000

    173United KingdomSwaption - Interest RateOptionGBPSWN 3Y30Y 9MAY16-9MAY46 3.3950.00100648NULLLTAA1127242261BNY Mellon5.1416GBP1.00005.3997-75000000.00001.000000-6390000.0000-3856169.0000-6390000.0000-3856169.000002533831.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 3Y30Y 9MAY16-9MAY46 3.395IL30IL302014-06-30 00:00:00.000

    174United KingdomSwaption - Interest RateOptionGBPSWN 1Y30Y 29Aug44 30y 3.493750.00107818NULLLTAA1127929207BNY Mellon0.1005GBP1.00000.0732200000000.00001.00000010040000.0000201057.000010040000.0000201057.00000-9838943.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 1Y30Y 29Aug44 30y 3.49375IL30IL302014-06-30 00:00:00.000

    175United KingdomSwaption - Interest RateOptionGBPSWN 3Y30Y 5SEP16-5SEP46 3.7320.00108103NULLLTAA1127952808BNY Mellon8.8130GBP1.00009.180075000000.00001.0000006350000.00006609737.00006350000.00006609737.00000259737.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomFundsIndex FundEquity Fund_siFIA AntaresIL30IL302014-06-30 00:00:00.000

    176United KingdomSwaption - Interest RateOptionGBPSWN 2Y3Y 5OCT15-5OCT18 2.480.00110185aNULLLTAA1128166975BNY Mellon1.0118GBP1.00001.0543-500000000.00001.000000-7650000.0000-5059227.0000-7650000.0000-5059227.000002590773.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 2Y3Y 5OCT15-5OCT18 2.48IL30IL302014-06-30 00:00:00.000

    177United KingdomSwaption - Interest RateOptionGBPSWN 2Y3Y 5OCT15-5OCT18 2.480.00110185bNULLLTAA1128166980BNY Mellon1.0118GBP1.00001.0543-500000000.00001.000000-7650000.0000-5059227.0000-7650000.0000-5059227.000002590773.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 2Y3Y 5OCT15-5OCT18 2.48IL30IL302014-06-30 00:00:00.000

    178United KingdomSwaption - Interest RateOptionGBPSWN 2Y3Y 5OCT15-5OCT18 2.480.00110185cNULLLTAA1128166982BNY Mellon1.0118GBP1.00001.0543-500000000.00001.000000-7650000.0000-5059227.0000-7650000.0000-5059227.000002590773.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 2Y3Y 5OCT15-5OCT18 2.48IL30IL302014-06-30 00:00:00.000

    179United KingdomSwaption - Interest RateOptionGBPSWN 10Y20Y 4.9 15Mar20420.0071848NULLSPN1079856BNY Mellon3.3000GBP1.00003.3146-50000000.00001.000000-2450000.0000-1650000.0000-2450000.0000-1650000.00000800000.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    180United KingdomSwaption - Interest RateOptionGPBSWN 10Y20Y 3.68 5JUL2022 20220705 Payer0.0072560NULLLTAA1125571424BNY Mellon8.0576GBP1.00008.093040000000.00001.0000003160000.00003223030.00003160000.00003223030.0000063030.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGPBSWN 10Y20Y 3.68 5JUL2022 20220705 PayerIL30IL302014-06-30 00:00:00.000

    181United KingdomSwaption - Interest RateOptionGBPSWN 2Y2Y3Y PAYER 19JAN17-19JAN20 2.2830.0092463NULLLTAA1126553492BNY Mellon1.9019GBP1.00001.8147800000000.00001.00000010840000.000015215367.000010840000.000015215367.000004375367.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    182United KingdomSwaption - Interest RateOptionGBPSWN 3Y20Y 22FEB16-22FEB36 3.6090.0094989NULLLTAA1126763163BNY Mellon5.7722GBP1.00006.0340-75000000.00001.000000-5550000.0000-4329178.0000-5550000.0000-4329178.000001220822.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 3Y20Y 22FEB16-22FEB36 3.609IL30IL302014-06-30 00:00:00.000

    183United KingdomSwaption - Interest RateOptionGBPSWN 4Y2Y 21FEB17-21FEB19 2.2150.0094992NULLLTAA1126766944BNY Mellon0.5203GBP1.00000.5266-430000000.00001.000000-5126923.1100-2237076.0000-5126923.1100-2237076.000002889847.11000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 4Y2Y 21FEB17-21FEB19 2.215IL30IL302014-06-30 00:00:00.000

    184United KingdomSwaption - Interest RateOptionGBPSWN 3Y20Y 29FEB16-29FEB36 3.45750.0095528NULLLTAA1126822282BNY Mellon4.5725GBP1.00004.7934-50000000.00001.000000-3765000.0000-2286252.0000-3765000.0000-2286252.000001478748.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 3Y20Y 29FEB16-29FEB36 3.4575IL30IL302014-06-30 00:00:00.000

    185United KingdomSwaption - Interest RateOptionSwaption: European GBP 4% 11-APR-2016 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDON0.00IGNIS SWPT124373GBPNULLLTAA1129666957BNY Mellon1.7489GBP1.00001.6246245000000.00001.0000006294117.52004284682.50006294117.52004284682.50000-2009435.02000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSwaption: European GBP 4% 11-APR-2016 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    186United KingdomSwaption - Interest RateOptionSWAPTION Swaption: European 179600000 GBP 3.25625% 15-MAY-200.00IGNIS SWPT126271GBPNULLLTAA1129906466BNY Mellon6.3456GBP1.00006.6324187800000.00001.00000012164101.920011917074.360012164101.920011917074.36000-247027.56000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION Swaption: European 179600000 GBP 3.25625% 15-MAY-2034 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDOIL30IL302014-06-30 00:00:00.000

    187United KingdomSwaption - Interest RateOptionSWAPTION Swaption: European 449700000 GBP 1.4% 28-MAY-2015 L0.00IGNIS SWPT127037GBPNULL1.80E+12BNY Mellon0.3554GBP1.00000.3440470000000.00001.0000001207480.00001670380.00001207480.00001670380.00000462900.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION Swaption: European 449700000 GBP 1.4% 28-MAY-2015 LIBOR 3MONTH 0bps JPM SECURITIES PLCIL30IL302014-06-30 00:00:00.000

    188United KingdomSwaption - Interest RateOptionSWAPTION GBP/PIRS/LIBO/PD/151030/30Y/2.500.00IGNIS SWPTSWAPTION_112960GBPNULLSPN1111827BNY Mellon-1.2504GBP1.0000-1.2309-150000000.00001.0000000.00001875541.42000.00001875541.420001875541.42000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBP/PIRS/LIBO/PD/151030/30Y/2.50IL30IL302014-06-30 00:00:00.000

    189United KingdomSwaption - Interest RateOptionSWAPTION GBP/PIRS/LIBO/PD/160205/1Y/1.4750.00IGNIS SWPTSWAPTION_119823GBPNULLLTAA1129200897BNY Mellon0.1175GBP1.00000.1152-5873000000.00001.000000-13491213.0100-6899600.4000-13491213.0100-6899600.400006591612.61000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBP/PIRS/LIBO/PD/160205/1Y/1.475IL30IL302014-06-30 00:00:00.000

    190United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 10Y30Y 3.60250.00IGNIS SWPTSWAPTION_120322GBPNULLLTAA1129266691BNY Mellon-0.8360GBP1.0000-0.721698040000.00001.0000000.0000-819597.35000.0000-819597.35000-819597.35000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 10Y30Y 3.6025IL30IL302014-06-30 00:00:00.000

    191United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 20Y20Y 13FEB34-54 3.33250.00IGNIS SWPTSWAPTION_120328GBPNULLSPN1117903BNY Mellon0.0596GBP1.00000.316898040000.00001.0000000.000058413.39000.000058413.3900058413.39000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 20Y20Y 13FEB34-54 3.3325IL30IL302014-06-30 00:00:00.000

    192United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 15Y15Y 21MAR29-44 3.59250.00IGNIS SWPTSWAPTION_123063GBPNULL1.80E+12BNY Mellon0.0296GBP1.00000.2361127500000.00001.0000000.000037752.65000.000037752.6500037752.65000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 15Y15Y 21MAR29-44 3.5925IL30IL302014-06-30 00:00:00.000

    193United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 2Y30Y 01APR16-01APR46 4.000.00IGNIS SWPTSWAPTION_123726GBPNULLLTAA1129579118BNY Mellon1.7022GBP1.00001.5794245600000.00001.0000007133538.00004180701.44007133538.00004180701.44000-2952836.56000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 2Y30Y 01APR16-01APR46 4.00IL30IL302014-06-30 00:00:00.000

    194United KingdomSwaption - Interest RateOptionOTC Swaption: European 197300000 GBP 2.13% 21-MAY-2015 LIBO0.00IGNIS-SWAPTION-128380NULLLTAA1130183802BNY Mellon0.4381GBP1.00000.41704229500000.00001.00000024414553.590018529016.550024414553.590018529016.55000-5885537.04000.0000U.K. poundSwaption - Interest RateGBUnited KingdomOTC Swaption: European 197300000 GBP 2.13% 21-MAY-2015 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    195United States of AmericaCaps/FloorsOptionCAPFLOOR USDICAP 3% 5X10 CAP 14APR19-240.00IL CAP_124379 14-Apr-24NULLD140596523576.CAPABNY Mellon2.9899USD0.58483.0061-196.00000.587700-6290750.0100-5860298.5600-3748046.5500-3427375.83000251748.080068922.6400U.S. DollarsCaps and FloorsUSUnited States of AmericaCAPFLOOR USDICAP 3% 5X10 CAP 14APR19-24IL30IL302014-06-30 00:00:00.000

    196United States of AmericaCashCashU.S. Dollars-BNY Mellon-CapitalPayable0.00USDJun 30 2014 1-31NULL1BNY Mellon1.0000USD0.58481.0000-1569764.43000.587700-1569764.4300-1569764.4300-922155.9900-918071.440000.00004084.5500U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL30AAAAUSD Hedged2014-06-30 00:00:00.000

    197United States of AmericaCashCashU.S. Dollars-BNY Mellon-CapitalReceivable0.00USDJun 30 2014 1-32NULL1BNY Mellon1.0000USD0.58481.00003230933.05000.5877003230933.05003230933.05001895787.94001889600.290000.0000-6187.6500U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL30 SI USD Hedged (New)2014-06-30 00:00:00.000

    198United States of AmericaCashCashU.S. Dollars-BNY Mellon-OnHand0.00USDJun 30 2014 1-33NULL1BNY Mellon1.0000USD0.58481.000029698823.57000.58770029698823.570029698823.570014846942.230017369256.700000.00002522314.4700U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL302014-06-30 00:00:00.000

    199United States of AmericaCashCashU.S. Dollars-Merrill Lynch-OnHand0.00USDJun 30 2014 1-34NULL1Merrill Lynch1.0000USD0.58481.000012979339.43000.58770012979339.430012979339.43008878398.23007590922.830000.0000-1287475.4000U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL302014-06-30 00:00:00.000

    200United States of AmericaFuture-BondFuturesUS 5YR NOTE (CBT) Sep140.00FVU4NULLMerrill Lynch119.4609USD0.5848119.3906-4508.00000.5877000.0000-1357641.93000.0000-794012.31000-794012.31000.0000U.S. DollarsFuture-BondUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    201United States of AmericaFuture-BondFuturesUS 2YR NOTE (CBT) Sep140.00TUU4NULLMerrill Lynch109.7969USD0.5848109.7813-6691.00000.5877000.0000627281.25000.0000366863.32000366863.32000.0000U.S. DollarsFuture-BondUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    202United States of AmericaFuture-BondFuturesUS 10YR NOTE (CBT)Sep140.00TYU4NULLMerrill Lynch125.1719USD0.5848125.0938-5630.00000.5877000.00001687.48000.0000986.92000986.92000.0000U.S. DollarsFuture-BondUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    203United States of AmericaIFSSwap142750-Infl Swap: Flo/Fix: P41200000USD IrregularSpd 0% R41200000USD Irregular@2.455% (02/04/14-02/04/24)0IGNIS 123659USDNULL1.80E+12BNY Mellon98.6263USD0.584898.615941200000.00000.58770041200000.000040634041.870024712833.280024381834.58000-330998.70000.0000U.S. DollarsInflation SwapUSUnited States of America142750-Infl Swap: Flo/Fix: P41200000USD IrregularSpd 0% R41200000USD Irregular@2.455% (02/04/14-02/04/24)IL30IL302014-06-30 00:00:00.000

    204United States of AmericaIFSSwap143262-Infl Swap: Flo/Fix: P68300000USD Irregular@0% R68300000USD Irregular 2.455% (03/04/14-07/04/24)0IGNIS 123851USDNULL1.80E+12BNY Mellon98.6036USD0.584898.592568300000.00000.58770068300000.000067346243.980041176825.220040619024.23000-557800.99000.0000U.S. DollarsInflation SwapUSUnited States of America143262-Infl Swap: Flo/Fix: P68300000USD Irregular@0% R68300000USD Irregular 2.455% (03/04/14-07/04/24)IL30IL302014-06-30 00:00:00.000

    205United States of AmericaIFSSwap145276-Infl Swap: Fix/Flo: P4000000USD Irregular@2.1025% R4000000USD IrregularSpd 0% (23/04/14-23/04/19)0IGNIS 124719USDNULL1.80E+12BNY Mellon98.6963USD0.584898.7262-82000000.00000.587700-82000000.0000-80930942.2200-48783389.8500-48158155.01000625234.83000.0000U.S. DollarsInflation SwapUSUnited States of America145276-Infl Swap: Fix/Flo: P4000000USD Irregular@2.1025% R4000000USD IrregularSpd 0% (23/04/14-23/04/19)IL30IL302014-06-30 00:00:00.000

    206United States of AmericaIFSSwap145637-Infl Swap: Flo/Fix: P84390000USD IrregularSpd 0% R84390000USD Irregular@2.8025% (25/04/19-25/04/24)0IGNIS 124914USDNULLLD141693583519BNY Mellon99.8283USD0.584899.790684390000.00000.58770084390000.000084245115.210050298009.300050213273.92000-84735.38000.0000U.S. DollarsInflation SwapUSUnited States of America145637-Infl Swap: Flo/Fix: P84390000USD IrregularSpd 0% R84390000USD Irregular@2.8025% (25/04/19-25/04/24)IL30IL302014-06-30 00:00:00.000

    207United States of AmericaIFSSwap148470-Infl Swap: Flo/Fix: P179800000USD IrregularSpd 0% R179800000USD Irregular@2.4825% (20/05/14-20/05/24)0IGNIS 126438USDNULLER56KBNY Mellon98.8865USD0.584898.8703179800000.00000.587700179800000.0000177798005.0000106836210.2000105665350.20000-1170859.99000.0000U.S. DollarsInflation SwapUSUnited States of America148470-Infl Swap: Flo/Fix: P179800000USD IrregularSpd 0% R179800000USD Irregular@2.4825% (20/05/14-20/05/24)IL30IL302014-06-30 00:00:00.000

    208United States of AmericaIFSSwap149774-Infl Swap: Flo/Fix: P80200000USD IrregularSpd 0% R80200000USD Irregular@2.445% (22/05/14-22/05/24)0IGNIS 126629USDNULLLTAA1129958013BNY Mellon98.5329USD0.584898.516880200000.00000.58770080200000.000079023353.520047600676.620046912518.90000-688157.73000.0000U.S. DollarsInflation SwapUSUnited States of America149774-Infl Swap: Flo/Fix: P80200000USD IrregularSpd 0% R80200000USD Irregular@2.445% (22/05/14-22/05/24)IL30IL302014-06-30 00:00:00.000

    209United States of AmericaIFSSwap149927-Infl Swap: Flo/Fix: P160440000USD IrregularSpd 0% R160440000USD Irregular@2.46% (23/05/14-23/05/24)0IGNIS 126703USDNULLLTAA1129968502BNY Mellon98.6786USD0.584898.6623160400000.00000.587700160400000.0000158280550.100095034956.750093795403.64000-1239553.10000.0000U.S. DollarsInflation SwapUSUnited States of America149927-Infl Swap: Flo/Fix: P160440000USD IrregularSpd 0% R160440000USD Irregular@2.46% (23/05/14-23/05/24)IL30IL302014-06-30 00:00:00.000

    210United States of AmericaIFSSwap150313-Infl Swap: Flo/Fix: P89900000USD IrregularSpd 0% R89900000USD Irregular@2.465% (27/05/14-27/05/24)0IGNIS 126782USDMasterNULLER58UBNY Mellon98.7184USD0.584898.701489900000.00000.58770089900000.000088747803.460053319889.680052646031.42000-673858.26000.0000U.S. DollarsInflation SwapUSUnited States of America150313-Infl Swap: Flo/Fix: P89900000USD IrregularSpd 0% R89900000USD Irregular@2.465% (27/05/14-27/05/24)IL30IL302014-06-30 00:00:00.000

    211United States of AmericaIFSSwap152717-Infl Swap: Fix/Flo: P121000000USD Irregular@2.195% R121000000USD IrregularSpd 0% (09/06/14-09/06/19)0IGNIS 127602USDNULLLTAA1130084362BNY Mellon99.2263USD0.584899.2549-121000000.00000.587700-121000000.0000-120063865.0000-72062414.3900-71514918.98000547495.42000.0000U.S. DollarsInflation SwapUSUnited States of America152717-Infl Swap: Fix/Flo: P121000000USD Irregular@2.195% R121000000USD IrregularSpd 0% (09/06/14-09/06/19)IL30IL302014-06-30 00:00:00.000

    212United States of AmericaIFSSwap152739-Infl Swap: Flo/Fix: P121000000USD IrregularSpd 0% R121000000USD Irregular@2.48% (09/06/14-09/06/24)0IGNIS 127603USDNULLLTAA1130084313BNY Mellon98.8533USD0.584898.8348121000000.00000.587700121000000.0000119612539.800072062414.390071250962.95000-811451.44000.0000U.S. DollarsInflation SwapUSUnited States of America152739-Infl Swap: Flo/Fix: P121000000USD IrregularSpd 0% R121000000USD Irregular@2.48% (09/06/14-09/06/24)IL30IL302014-06-30 00:00:00.000

    213United States of AmericaIFSSwap153033-Infl Swap: Flo/Fix: P160970000USD IrregularSpd 0% R160970000USD Irregular@2.505% (10/06/14-10/06/24)0IGNIS 127705USDNULLLTAA1130108411BNY Mellon99.1034USD0.584899.0846160970000.00000.587700160970000.0000159526779.600095881109.090095037046.54000-844062.56000.0000U.S. DollarsInflation SwapUSUnited States of America153033-Infl Swap: Flo/Fix: P160970000USD IrregularSpd 0% R160970000USD Irregular@2.505% (10/06/14-10/06/24)IL30IL302014-06-30 00:00:00.000

    214United States of AmericaIFSSwapIRS: Fix/Flo: USD FIXED 2.895% VS USCPI ACT/365 03/16/22070507IL01IRSUSDNULLD021600092615BNY Mellon101.3742USD0.5848101.323570000000.00000.58770070000000.000070961973.010043862385.000044424991.67000562606.67000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD FIXED 2.895% VS USCPI ACT/365 03/16/22IL30IL302014-06-30 00:00:00.000

    215United States of AmericaIFSSwapIRS: Fix/Flo: USD FIXED 2.92% VS USCPI ACT/365 03/16/222.9271688IL01IRSUSDNULLD021600120525BNY Mellon101.4876USD0.5848101.434975000000.00000.58770075000000.000076115724.220047816362.500048468890.04000652527.54000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD FIXED 2.92% VS USCPI ACT/365 03/16/22IL30IL302014-06-30 00:00:00.000

    216United States of AmericaIFSSwapIRS: Fix/Flo: USD FIXED 3.0175% VS 3MONTH CPURNSA INDEX ACT/365 03/23/22072183IL01IRSUSDNULLD021600133190BNY Mellon101.7049USD0.5848101.644950000000.00000.58770050000000.000050852473.670031551675.000032050241.35000498566.34000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD FIXED 3.0175% VS 3MONTH CPURNSA INDEX ACT/365 03/23/22IL30IL302014-06-30 00:00:00.000

    217United States of AmericaIRSSwapIRS: Flo/Fix: USD FIXED 4.676% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 20Aug334.68107171IL01IRSUSDNULLLD031692973807BNY Mellon104.1815USD0.5848103.9800250000000.00000.587700250000000.0000260453845.0000160117846.7000166231742.700006113895.96000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD FIXED 4.676% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 20Aug33IL30IL302014-06-30 00:00:00.000

    218United States of AmericaIRSSwapIRS: Flo/Fix: USD FIXED 4.595% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 30Aug334.6107741IL01IRSUSDNULL6.80E+12BNY Mellon103.6719USD0.5848103.4705160000000.00000.587700160000000.0000165875044.0000102986611.7000106422611.400003435999.65000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD FIXED 4.595% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 30Aug33IL30IL302014-06-30 00:00:00.000

    219United States of AmericaIRSSwapIRS: Fix/Flo: USD FIXED 2.4525% SEMI-ANNUAL VS 3MONTH BBILLS ACT/365 03/22/222.4572114IL01IRSUSDNULL174017914BNY Mellon101.0984USD0.5848101.0406-47000000.00000.587700-47000000.0000-47516239.0000-29731777.0000-30033697.63000-301920.64000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD FIXED 2.4525% SEMI-ANNUAL VS 3MONTH BBILLS ACT/365 03/22/22IL30IL302014-06-30 00:00:00.000

    220United States of AmericaIRSSwapIRS: Fix/Flo: USD FIXED 3.70875% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 21Mar433.7197031IL01IRSUSDNULLLTAA1126896228BNY Mellon98.8131USD0.584898.574075000000.00000.58770075000000.000074109799.000049614659.480049094028.43000-520631.05000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD FIXED 3.70875% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 21Mar43IL30IL302014-06-30 00:00:00.000

    221United States of AmericaIRSSwapIRS: Flo/Fix: USD FIXED 3.7325% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 22Mar433.7397125IL01IRSUSDNULLLTAA1126905289BNY Mellon98.9859USD0.584898.746150000000.00000.58770050000000.000049492965.000033041467.040032744929.33000-296537.70000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD FIXED 3.7325% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 22Mar43IL30IL302014-06-30 00:00:00.000

    222United States of AmericaIRSSwapIRS: Flo/Fix: USD Fixed 2.76% 30/360 VS 3M US LIBOR ACT/360 12Nov232.76IGNIS 113482NULLLD131693152077BNY Mellon101.8589USD0.5848101.7868-300000000.00000.587700-300000000.0000-305576760.0000-186968308.9000-190229858.10000-3261549.26000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD Fixed 2.76% 30/360 VS 3M US LIBOR ACT/360 12Nov23IL30IL302014-06-30 00:00:00.000

    223United States of AmericaIRSSwapIRS: Flo/Fix: USD Fixed 2.7375% 30/360 VS 3M US LIBOR ACT/360 12Nov232.74IGNIS 113483NULLLD131693152213BNY Mellon101.6671USD0.5848101.5949-300000000.00000.587700-300000000.0000-305001360.0000-186968308.9000-189893337.40000-2925028.51000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD Fixed 2.7375% 30/360 VS 3M US LIBOR ACT/360 12Nov23IL30IL302014-06-30 00:00:00.000

    224United States of AmericaIRSSwapIRS: Fix/Flo: USD Fixed 2.0559% 30/360 VS LIBOR 3MONTH ACT/360 31Aug202.06IGNIS 114206USDNULLLD131693167129BNY Mellon100.3634USD0.5848100.3174-557150000.00000.587700-557150000.0000-559174460.2000-345991430.2000-347175428.90000-1183998.74000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD Fixed 2.0559% 30/360 VS LIBOR 3MONTH ACT/360 31Aug20IL30IL302014-06-30 00:00:00.000

    225United States of AmericaIRSSwap148209-IRS: Fix/Flo: P160100000USD Semi-annual@1.65625% R160100000USD QuarterlySpd 0% (19/05/14-19/05/19)1.66IGNIS 126272USDNULL6.80E+12BNY Mellon99.9997USD0.584899.9396-160100000.00000.587700-160100000.0000-160099471.7000-95320314.3600-95320005.37000308.99000.0000U.S. DollarsInterest Rate SwapUSUnited States of America148209-IRS: Fix/Flo: P160100000USD Semi-annual@1.65625% R160100000USD QuarterlySpd 0% (19/05/14-19/05/19)IL30IL302014-06-30 00:00:00.000

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    235United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127764 REPONULLBNY Mellon100.0000USD0.5848100.0000-52560822.06000.587700-52560822.0600-52560822.0600-31297381.2400-30740019.3400-3944.970.0000557361.9000U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/17 (~~) US912828SQ48IL30IL302014-06-30 00:00:00.000

    236United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127765 REPONULLBNY Mellon100.0000USD0.5848100.0000-52560822.06000.587700-52560822.0600-52560822.0600-31297381.2400-30740019.3400-3944.970.0000557361.9000U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/17 (~~) US912828SQ48IL30IL302014-06-30 00:00:00.000

    237United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127766 REPONULLBNY Mellon100.0000USD0.5848100.0000-52560822.06000.587700-52560822.0600-52560822.0600-31297381.2400-30740019.3400-3944.970.0000557361.9000U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/17 (~~) US912828SQ48IL30IL302014-06-30 00:00:00.000

    238United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127767 REPONULLBNY Mellon100.0000USD0.5848100.0000-52560822.06000.587700-52560822.0600-52560822.0600-31297381.2400-30740019.3400-3944.970.0000557361.9000U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/17 (~~) US912828SQ48IL30IL302014-06-30 00:00:00.000

    239United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127768 REPONULLBNY Mellon100.0000USD0.5848100.0000-27331627.47000.587700-27331627.4700-27331627.4700-16274638.2500-15984810.0500-2051.380.0000289828.2000U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/17 (~~) US912828SQ48IL30IL302014-06-30 00:00:00.000

    240United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/18 (~~) US912828UX600.22IGNIS 127770 REPONULLBNY Mellon100.0000USD0.5848100.0000-51527183.82000.587700-51527183.8200-51527183.8200-30681900.5700-30135499.5000-3867.390.0000546401.0700U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/18 (~~) US912828UX60IL30IL302014-06-30 00:00:00.000

    241United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/18 (~~) US912828UX600.22IGNIS 127771 REPONULLBNY Mellon100.0000USD0.5848100.0000-35038485.00000.587700-35038485.0000-35038485.0000-20863692.3900-20492139.6600-2629.820.0000371552.7300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/18 (~~) US912828UX60IL30IL302014-06-30 00:00:00.000

    242United States of AmericaRepoMoneyMarketREPO TII 1 3/8 07/15/18 (GB*) US912828JE190.22IGNIS 127772 REPONULLBNY Mellon100.0000USD0.5848100.0000-58711680.39000.587700-58711680.3900-58711680.3900-34959914.4900-34337328.0600-4406.620.0000622586.4300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 1 3/8 07/15/18 (GB*) US912828JE19IL30IL302014-06-30 00:00:00.000

    243United States of AmericaRepoMoneyMarketREPO TII 1 3/8 07/15/18 (GB*) US912828JE190.22IGNIS 127773 REPONULLBNY Mellon100.0000USD0.5848100.0000-39923942.67000.587700-39923942.6700-39923942.6700-23772741.8500-23349383.0900-2996.50.0000423358.7600U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 1 3/8 07/15/18 (GB*) US912828JE19IL30IL302014-06-30 00:00:00.000

    244United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.15IGNIS 127802 REPONULLBNY Mellon100.0000USD0.5848100.0000-54915000.00000.587700-54915000.0000-54915000.0000-32699178.2800-32116852.3600-2810.220.0000582325.9200U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    245United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.15IGNIS 127803 REPONULLBNY Mellon100.0000USD0.5848100.0000-8786400.00000.587700-8786400.0000-8786400.0000-5231868.5200-5138696.3800-449.640.000093172.1400U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    246United States of AmericaRepoMoneyMarketREPO TII 1 3/8 07/15/18 (GB*) US912828JE190.15IGNIS 127835 REPONULLBNY Mellon100.0000USD0.5848100.0000-10546800.00000.587700-10546800.0000-10546800.0000-6292276.9400-6168260.3700-488.320.0000124016.5700U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 1 3/8 07/15/18 (GB*) US912828JE19IL30IL302014-06-30 00:00:00.000

    247United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/18 (~~) US912828UX600.15IGNIS 127836 REPONULLBNY Mellon100.0000USD0.5848100.0000-9254080.00000.587700-9254080.0000-9254080.0000-5521033.3200-5412217.4500-428.470.0000108815.8700U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/18 (~~) US912828UX60IL30IL302014-06-30 00:00:00.000

    248United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.22IGNIS 128069 REPONULLBNY Mellon100.0000USD0.5848100.0000-54376960.78000.587700-54376960.7800-54376960.7800-32285563.7700-31802181.9300-2915.20.0000483381.8400U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    249United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.22IGNIS 128070 REPONULLBNY Mellon100.0000USD0.5848100.0000-54376960.78000.587700-54376960.7800-54376960.7800-32285563.7700-31802181.9300-2915.20.0000483381.8400U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    250United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.22IGNIS 128071 REPONULLBNY Mellon100.0000USD0.5848100.0000-5437696.08000.587700-5437696.0800-5437696.0800-3228556.3800-3180218.1900-291.520.000048338.1900U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    251United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128072 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    252United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128073 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    253United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128074 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    254United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128075 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    255United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128076 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    256United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128077 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    257United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128078 REPONULLBNY Mellon100.0000USD0.5848100.0000-39784898.82000.587700-39784898.8200-39784898.8200-23621730.0400-23268063.7600-2132.910.0000353666.2800U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    258United States of AmericaSwaption - Interest RateOptionUSDSWN 1Y5Y5Y 9SEP19-9SEP24 4.6650.00108158NULLSWOPT031693018655BNY Mellon0.0002USD0.58480.0001-500000000.00000.587700-9025000.0000-1096.0000-5789152.9600-640.990005277599.7900510912.1800U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 1Y5Y5Y 9SEP19-9SEP24 4.665IL30IL302014-06-30 00:00:00.000

    259United States of AmericaSwaption - Interest RateOptionUSDSWN 1Y5Y5Y 10SEP19-10SEP24 4.6430.00108237NULLLTAA1127973878BNY Mellon0.0002USD0.58480.0001-750000000.00000.587700-13350000.0000-1865.0000-8541813.3000-1090.740007806611.6900734110.8700U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 1Y5Y5Y 10SEP19-10SEP24 4.643IL30IL302014-06-30 00:00:00.000

    260United States of AmericaSwaption - Interest RateOptionUSDSWN 1Y5Y5Y 17SEP19-17SEP24 4.6150.00108720NULLLTAA1128022942BNY Mellon0.0006USD0.58480.0005-250000000.00000.587700-4500000.0000-1606.0000-2836253.6200-939.260002630870.5400204443.8200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    261United States of AmericaSwaption - Interest RateOptionUSDSWN 18M5Y5Y 26MAR20-26MAR25 4.490.00109453NULLLTAA1128095736BNY Mellon0.2072USD0.58480.2192-750000000.00000.587700-16162500.0000-1553734.0000-10111357.8800-908696.080008543887.4800658774.3200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 18M5Y5Y 26MAR20-26MAR25 4.49IL30IL302014-06-30 00:00:00.000

    262United States of AmericaSwaption - Interest RateOptionUSDSWN 2Y3Y 07OCT15-7OCT18 2.25750.00110105NULLSWOPT031693081560BNY Mellon1.5758USD0.58481.5577-750000000.00000.587700-11737500.0000-11818492.0000-7258588.1700-6912005.15000-47367.9000393950.9200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 2Y3Y 07OCT15-7OCT18 2.2575IL30IL302014-06-30 00:00:00.000

    263United States of AmericaSwaption - Interest RateOptionUSDSWN 2Y3Y 07OCT15-7OCT18 2.2575 20.00110106NULLSWOPT031693081564BNY Mellon1.5758USD0.58481.5577-750000000.00000.587700-11737500.0000-11818492.0000-7258588.1700-6912005.15000-47367.9000393950.9200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 2Y3Y 07OCT15-7OCT18 2.2575 2IL30IL302014-06-30 00:00:00.000

    264United States of AmericaSwaption - Interest RateOptionUSDSWN 3Y4Y PAYER 09FEB15-09FEB19 2.3920.0069255NULL469847063BNY Mellon0.2353USD0.58480.2545253500000.00000.5877005741775.0000596362.00003624265.3500348780.30000-3009277.4200-266207.6300U.S. DollarsSwaption - Interest RateUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    265United States of AmericaSwaption - Interest RateOptionSwaption: European USD .73% 10-APR-2015 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDON0.00IGNIS SWPT124371USDNULLLTAA1129666909BNY Mellon0.1391USD0.58480.14389811000000.00000.58770020508099.980013648082.100012218456.53007982034.74000-4012058.3000-224363.4900U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSwaption: European USD .73% 10-APR-2015 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    266United States of AmericaSwaption - Interest RateOptionSwaption: European USD .735% 10-APR-2015 LIBOR 3MONTH 0bps ROYAL BANK OF SCOTLAND0.00IGNIS SWPT124374USDNULLSWOPT141693563869BNY Mellon0.1374USD0.58480.14194905000000.00000.5877009996500.00006737998.50005955870.31003940695.67000-1905723.6000-109451.0400U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSwaption: European USD .735% 10-APR-2015 LIBOR 3MONTH 0bps ROYAL BANK OF SCOTLANDIL30IL302014-06-30 00:00:00.000

    267United States of AmericaSwaption - Interest RateOptionSWAPTION Swaption: European 187000000 USD .82% 23-APR-2015 L0.00IGNIS SWPT124877USDNULLLTAA1129742134BNY Mellon0.1286USD0.58480.13259813000000.00000.58770021620974.970012618536.700012880569.01007379908.58000-5265045.6300-235614.8000U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION Swaption: European 187000000 USD .82% 23-APR-2015 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    268United States of AmericaSwaption - Interest RateOptionSWAPTION Swaption: European 4689000000 USD .82875% 28-APR-200.00IGNIS SWPT125167USDNULLSA82KBNY Mellon0.1329USD0.58480.13694910000000.00000.58770010825024.99006526372.00006437963.21003816926.63000-2514052.6900-106983.8900U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION Swaption: European 4689000000 USD .82875% 28-APR-2015 LIBOR 3MONTH 0bps MORGAN STANLEY LONDIL30IL302014-06-30 00:00:00.000

    269United States of AmericaSwaption - Interest RateOptionSWAPTION Swaption: European 300000000 USD 2.613% 03-JUN-20160.00IGNIS SWPT127455USDNULLLTAA1130061659BNY Mellon0.5352USD0.58480.5446-7057000000.00000.587700-39348200.0000-37769769.7000-23493817.3300-22089522.29000923139.6300481155.4100U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION Swaption: European 300000000 USD 2.613% 03-JUN-2016 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    270United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 2Y2Y 10FEB16-10FEB18 1.440.00IGNIS SWPTSWAPTION_119994USDNULLLTAA1129224967BNY Mellon0.3747USD0.58480.3691-5877900000.00000.587700-28159462.5000-22024317.7600-17150091.5500-12880847.890003588118.6900681124.9700U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 2Y2Y 10FEB16-10FEB18 1.44IL30IL302014-06-30 00:00:00.000

    271United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 1Y2Y1Y 20FEB15 24FEB17-18 2.3250.00IGNIS SWPTSWAPTION_120731USDNULLLTAA1129338671BNY Mellon0.2810USD0.58480.2817-9812700000.00000.587700-28879537.5000-27570743.1900-17320476.2700-16124656.08000765443.9300430376.2600U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 1Y2Y1Y 20FEB15 24FEB17-18 2.325IL30IL302014-06-30 00:00:00.000

    272United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.190.00IGNIS SWPTSWAPTION_123409USDNULL7.06E+11BNY Mellon2.2256USD0.58482.2215245600000.00000.5877003328225.00005465975.36002006860.29003196757.230001250256.0900-60359.1500U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.19IL30IL302014-06-30 00:00:00.000

    273United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.19 P0.00IGNIS SWPTSWAPTION_123413USDNULL7.06E+11BNY Mellon0.4748USD0.58480.5022245600000.00000.5877003328225.00001166084.24002006860.2900681980.43000-1264520.7200-60359.1400U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.19 PIL30IL302014-06-30 00:00:00.000

    274United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 1.375 15/07/20181.38912828JE1NULLBNY Mellon109.3281USD0.5848109.3125102012256.00000.587700110819806.4000111528061.300065998410.350065226810.1100378446.88358290.3400-1185820.7300U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828JE19IL30IL302014-06-30 00:00:00.000

    275United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.5 15/04/20150.5912828MY3NULLBNY Mellon101.4961USD0.5848101.5117132134664.00000.587700133133656.4000134111530.700082417900.610078434675.970081290.23204281.8900-4555131.1600U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828MY36IL30IL302014-06-30 00:00:00.000

    276United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.125 15/04/20160.13912828QD5NULLBNY Mellon102.6836USD0.5848102.7109485272230.40000.587700493286479.1000498294996.0000302626179.9000291426146.100074635.75110484.4800-14129247.9600U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828QD52IL30IL302014-06-30 00:00:00.000

    277United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.125 15/04/20170.13912828SQ4NULLBNY Mellon103.4961USD0.5848103.4961392412400.00000.587700403669986.9000406131529.9000240408544.4000237524654.100060353.791081630.3800-4323515.4900U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828SQ48IL30IL302014-06-30 00:00:00.000

    278United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.125 15/04/20180.13912828UX6NULLBNY Mellon103.3516USD0.5848103.339895162688.00000.58770097654842.820098352113.080058158054.460057520901.290014636.2310785.4900-1044949.3100U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828UX60IL30IL302014-06-30 00:00:00.000

    279AustraliaCashCashAustralian dollar-BNY Mellon-OnHand0.00AUDJun 30 2014 1-35NULL1BNY Mellon1.0000AUD0.55201.000031266690.03000.55340031266690.030031266690.030017432864.860017259446.960000.0000-173417.9000Australian dollarCash and EquivalentsAUAustraliaIL30IL302014-06-30 00:00:00.000

    280AustraliaCashCashAustralian dollar-BNY Mellon-Receivable0.00AUDJun 30 2014 1-36NULL1BNY Mellon1.0000AUD0.55201.0000155.86000.553400155.8600155.860086.040086.040000.00000.0000Australian dollarCash and EquivalentsAUAustraliaIL30IL302014-06-30 00:00:00.000

    281AustraliaCashCashAustralian dollar-Merrill Lynch-OnHand0.00AUDJun 30 2014 1-37NULL1Merrill Lynch1.0000AUD0.55201.000027.25000.55340027.250027.2500-805350.380015.040000.0000805365.4200Australian dollarCash and EquivalentsAUAustraliaIL30IL302014-06-30 00:00:00.000

    282AustraliaIRSSwap140876-IRS: Fix/Flo: P233350000AUD QuarterlySpd 0% R233350000AUD 4.15%4.15IGNIS 122840AUDNULLLTAA1276692793BNY Mellon100.6765AUD0.5520100.6061-245600000.00000.553400-245600000.0000-247261385.8000-135359698.5000-136276795.90000-917097.38000.0000Australian dollarInterest Rate SwapAUAustralia140876-IRS: Fix/Flo: P233350000AUD QuarterlySpd 0% R233350000AUD 4.15%IL30IL302014-06-30 00:00:00.000

    283AustraliaIRSSwap142296-IRS: Fix/Flo: P466800000AUD ACT/365 BBILLS 3M 4.14%4.14IGNIS 123434AUDNULLLTAA1129532780BNY Mellon100.6674AUD0.5520100.5971-491200000.00000.553400-491200000.0000-494478268.8000-273619906.1000-275429535.00000-1809628.91000.0000Australian dollarInterest Rate SwapAUAustralia142296-IRS: Fix/Flo: P466800000AUD ACT/365 BBILLS 3M 4.14%IL30IL302014-06-30 00:00:00.000

    284AustraliaSwaption - Interest RateOptionSWAPTION AUDIRS 3M3M 3Y1Y 21MAR17 21MAR18 4.150.00IGNIS SWPTSWAPTION_122855AUDNULLLTAA1276692781BNY Mellon-0.3747AUD0.5520-0.3545-491200000.00000.5534000.00001840282.85000.00001015849.910001015849.91000.0000Australian dollarSwaption - Interest RateAUAustraliaSWAPTION AUDIRS 3M3M 3Y1Y 21MAR17 21MAR18 4.15IL30IL302014-06-30 00:00:00.000

    285AustraliaSwaption - Interest RateOptionSWAPTION AUDIRS 3M3M 3Y1Y 28MAR17 28MAR18 4.140.00IGNIS SWPTSWAPTION_123432AUDNULLLTAA1129532739BNY Mellon-0.3687AUD0.5520-0.3480-982400000.00000.5534000.00003622392.10000.00001999587.560001999587.55000.0100Australian dollarSwaption - Interest RateAUAustraliaSWAPTION AUDIRS 3M3M 3Y1Y 28MAR17 28MAR18 4.14IL30IL302014-06-30 00:00:00.000

    286CanadaCashCashCanadian dollar-BNY Mellon-OnHand0.00CADJun 30 2014 1-38NULL1BNY Mellon1.0000CAD0.54911.000098.45000.55030098.450098.4500-169778.210054.060000.0000169832.2700Canadian dollarCash and EquivalentsCACanadacadIL30IL302014-06-30 00:00:00.000

    287European UnionCashCashEuro-BNY Mellon-CapitalPayable0.00EURJun 30 2014 1-39NULL1BNY Mellon1.0000EUR0.80071.0000-8842356.95000.801600-8842356.9500-8842356.9500-7080169.1000-7080453.260000.0000-284.1600EuroCash and EquivalentsEUEuropean UnionIL30IL30 I EUR Hedged (New)2014-06-30 00:00:00.000

    288European UnionCashCashEuro-BNY Mellon-CapitalReceivable0.00EURJun 30 2014 1-40NULL1BNY Mellon1.0000EUR0.80071.000029664858.07000.80160029664858.070029664858.070023768347.360023753920.190000.0000-14427.1700EuroCash and EquivalentsEUEuropean UnionIL30IL30 A EUR DIST HEDGED2014-06-30 00:00:00.000

    289European UnionCashCashEuro-BNY Mellon-OnHand0.00EURJun 30 2014 1-41NULL1BNY Mellon1.0000EUR0.80071.000020985774.80000.80160020985774.800020985774.800064609574.040016804207.140000.0000-47805366.9000EuroCash and EquivalentsEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    290European UnionCashCashEuro-BNY Mellon-Receivable0.00EURJun 30 2014 1-42NULL1BNY Mellon1.0000EUR0.80071.000050400205.00000.80160050400205.000050400205.000040399198.030040357599.010000.0000-41599.0200EuroCash and EquivalentsEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    291European UnionCashCashEuro-Merrill Lynch-OnHand0.00EURJun 30 2014 1-43NULL1Merrill Lynch1.0000EUR0.80071.000015452344.62000.80160015452344.620015452344.620012901761.480012373353.030000.0000-528408.4500EuroCash and EquivalentsEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    292European UnionCorporate BondDebt InstrumentsIGNIS EUR COLLATERAL Credit Suisse0CS COLLATERAL EURNULLBNY Mellon100.0000EUR0.8007100.000012720000.00000.80160012720000.000012720000.000010192597.150010185447.840000.0000-7149.3100EuroCorporate BondEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    293European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 5y 5y 2.67% ANNUAL VS French CPIxt ACT/365 16Oct22086295IL01IRSEURNULLD020589216726BNY Mellon102.9735EUR0.8007102.934365000000.00000.80160065000000.000066932744.130052449812.970053997443.830001547630.86000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 5y 5y 2.67% ANNUAL VS French CPIxt ACT/365 16Oct22IL30IL302014-06-30 00:00:00.000

    294European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 1.995% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC17090846IL01IRSEURNULLLTAA1126419256BNY Mellon105.8656EUR0.8007105.7797-50000000.00000.801600-50000000.0000-52932821.8200-40702930.4100-43051366.24000-2348435.83000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 1.995% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC17IL30IL302014-06-30 00:00:00.000

    295European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 2.2795% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC22090847IL01IRSEURNULLLTAA1126419291BNY Mellon108.4333EUR0.8007108.401750000000.00000.80160050000000.000054216633.480040702930.410044079369.120003376438.71000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 2.2795% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC22IL30IL302014-06-30 00:00:00.000

    296European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 2.59% 30/360 VS FLOATING FRCPI Index ACT/360 17Jan23092131IL01IRSEURNULLD030590401976BNY Mellon102.5619EUR0.8007102.5324100000000.00000.801600100000000.0000102561929.600082958359.230085009805.820002051446.59000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 2.59% 30/360 VS FLOATING FRCPI Index ACT/360 17Jan23IL30IL302014-06-30 00:00:00.000

    297European UnionIFSSwap127869-IRS: Flo/Fix: P140000000EUR IrregularSpd 0% R140000000IGNIS 113817NULLLTAA1128470144BNY Mellon101.8765EUR0.8007101.8511140000000.00000.801600140000000.0000142627116.8000117366396.7000119470041.500002103644.77000.0000EuroInflation SwapEUEuropean Union127869-IRS: Flo/Fix: P140000000EUR IrregularSpd 0% R140000000EUR Irregular@1.8525% (15/11/13-15/11/2IL30IL302014-06-30 00:00:00.000

    298European UnionIFSSwapIFS: INF: EUR Fixed 1.955% VS FRCPXTOB Index ACT/365 15Nov230IGNIS 113831NULLD130594477751BNY Mellon103.1409EUR0.8007103.113746000000.00000.80160046000000.000047444824.290038563244.630039720177.210001156932.59000.0000EuroInflation SwapEUEuropean UnionIFS: INF: EUR Fixed 1.955% VS FRCPXTOB Index ACT/365 15Nov23IL30IL302014-06-30 00:00:00.000

    299European UnionIFSSwapINF SWAP: Flo/Fix EUR Fixed 1.8475% 30/360 VS CPTFEMU ACT/360 21Nov250IGNIS 114230EURNULLLTAA1128510149BNY Mellon101.8141EUR0.8007101.7886120000000.00000.801600120000000.0000122176929.2000100788672.9000102531833.200001743160.29000.0000EuroInflation SwapEUEuropean UnionINF SWAP: Flo/Fix EUR Fixed 1.8475% 30/360 VS CPTFEMU ACT/360 21Nov25IL30IL302014-06-30 00:00:00.000

    300European UnionIFSSwap138761-IRS: Flo/Fix: P107000000EUR IrregularSpd 0% R107000000EUR0IGNIS 121222EURNULLLTAA1129421803BNY Mellon100.4573EUR0.8007100.4290107000000.00000.801600107000000.0000107489339.900088156991.180088548826.58000391835.40000.0000EuroInflation SwapEUEuropean Union138761-IRS: Flo/Fix: P107000000EUR IrregularSpd 0% R107000000EUR Irregular@1.78375% (05/03/14-05/03/26)IL30IL302014-06-30 00:00:00.000

    301European UnionIFSSwap139863-IRS: Fix/Flo: EUR Irregular@1.04% EUR IrregularSpd 0% (13/03/14-13/03/17)0IGNIS 122116EURNULLLTAA1276613411BNY Mellon100.5435EUR0.8007100.5049-440400000.00000.801600-440400000.0000-442793753.8000-367271484.0000-369188265.00000-1916780.97000.0000EuroInflation SwapEUEuropean Union139867-IRS: Fix/Flo: EUR Irregular@1.04% EUR IrregularSpd 0% (13/03/14-13/03/17)IL30IL302014-06-30 00:00:00.000

    302European UnionIFSSwap140384-IRS: Flo/Fix: P138639000EUR IrregularSpd 0% R138639000EUR Irregular@1.745% (18/03/14-18/03/26)0IGNIS 122589EURNULLLTAA1276651715BNY Mellon99.9879EUR0.800799.9581138639000.00000.801600138639000.0000138622206.6000116102241.7000116088794.50000-13447.19000.0000EuroInflation SwapEUEuropean Union140384-IRS: Flo/Fix: P138639000EUR IrregularSpd 0% R138639000EUR Irregular@1.745% (18/03/14-18/03/26)IL30IL302014-06-30 00:00:00.000

    303European UnionIFSSwap142500-Infl Swap: Flo/Fix: P10000000EUR IrregularSpd 0% R10000000EUR Irregular@1.8775% (01/04/14-03/04/29)0IGNIS 123576EURNULLLTAA1129551916BNY Mellon99.5952EUR0.800799.5521280000000.00000.801600280000000.0000278866500.6000231447032.3000230539390.80000-907641.47000.0000EuroInflation SwapEUEuropean Union142500-Infl Swap: Flo/Fix: P10000000EUR IrregularSpd 0% R10000000EUR Irregular@1.8775% (01/04/14-03/04/29)IL30IL302014-06-30 00:00:00.000

    304European UnionIFSSwap144065-Infl Swap: Flo/Fix: P104400000EUR IrregularSpd 0% R104400000EUR Irregular@1.9175% (10/04/14-10/04/29)0IGNIS 124074EURNULLLTAA1129654997BNY Mellon100.1828EUR0.8007100.1481104400000.00000.801600104400000.0000104590795.700085981420.340086134198.60000152778.26000.0000EuroInflation SwapEUEuropean Union144065-Infl Swap: Flo/Fix: P104400000EUR IrregularSpd 0% R104400000EUR Irregular@1.9175% (10/04/14-10/04/29)IL30IL302014-06-30 00:00:00.000

    305European UnionIFSSwap152172-Infl Swap: Flo/Fix: P207300000EUR IrregularSpd 0% R207300000EUR Irregular@1.65% (05/06/14-05/06/24)0IGNIS 127438EURNULLLTAA1130061707BNY Mellon99.7450EUR0.800799.7197207300000.00000.801600207300000.0000206771453.3000168679709.1000168256479.20000-423229.91000.0000EuroInflation SwapEUEuropean Union152172-Infl Swap: Flo/Fix: P207300000EUR IrregularSpd 0% R207300000EUR Irregular@1.65% (05/06/14-05/06/24)IL30IL302014-06-30 00:00:00.000

    306European UnionIFSSwap152157-Infl Swap: Flo/Fix: P138600000EUR IrregularSpd 0% R138600000EUR Irregular@1.65% (05/06/14-05/06/29)0IGNIS 127439EURNULLLTAA1130061724BNY Mellon99.6704EUR0.800799.6285138600000.00000.801600138600000.0000138143243.6000112778618.8000112412874.40000-365744.36000.0000EuroInflation SwapEUEuropean Union152157-Infl Swap: Flo/Fix: P138600000EUR IrregularSpd 0% R138600000EUR Irregular@1.65% (05/06/14-05/06/29)IL30IL302014-06-30 00:00:00.000

    307European UnionIRSSwap130994-IRS: Fix/Flo: P170000000EUR Annual@2.067% R170000000E2.07IGNIS 116266EURNULLBNY Mellon106.3097EUR0.8007106.1657-170000000.00000.801600-170000000.0000-180726538.0000-143395073.1000-151984270.70000-8589197.60000.0000EuroInterest Rate SwapEUEuropean Union130994-IRS: Fix/Flo: P170000000EUR Annual@2.067% R170000000EUR Semi-annualSpd 0% (17/12/13-18/12/23)IL30IL302014-06-30 00:00:00.000

    308European UnionIRSSwap158177-IRS: Fix/Flo: P2770000EUR Annual@1.496% R2770000EUR Semi-annualSpd 0% (27/06/14-27/06/24) IRS1.5IGNIS 128813EURNULL6.80E+12BNY Mellon100.5793EUR0.8007100.4310-80230000.00000.801600-80230000.0000-80694774.8000-64412195.9200-64784360.97000-372165.05000.0000EuroInterest Rate SwapEUEuropean Union158177-IRS: Fix/Flo: P2770000EUR Annual@1.496% R2770000EUR Semi-annualSpd 0% (27/06/14-27/06/24) IRSIL30IL302014-06-30 00:00:00.000

    309European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.22IGNIS 126840 REPONULLBNY Mellon100.0000EUR0.8007100.0000-24815815.50000.801600-24815815.5000-24815815.5000-20085906.1800-19871084.4800-4128.770.0000214821.7000EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    310European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.23IGNIS 127126 REPONULLBNY Mellon100.0000EUR0.8007100.0000-21744113.58000.801600-21744113.5800-21744113.5800-17689170.5300-17411441.4200-3114.710.0000277729.1100EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    311European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.16IGNIS 127458 REPONULLBNY Mellon100.0000EUR0.8007100.0000-230164275.20000.801600-230164275.2000-230164275.2000-187135982.0000-184302375.9000-20478.040.00002833606.1300EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    312European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.09IGNIS 127638 REPONULLBNY Mellon100.0000EUR0.8007100.0000-120500000.00000.801600-120500000.0000-120500000.0000-97894362.2100-96489502.0000-5065.70.00001404860.2100EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    313European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.09IGNIS 127639 REPONULLBNY Mellon100.0000EUR0.8007100.0000-122374980.00000.801600-122374980.0000-122374980.0000-99417598.4900-97990878.6500-5144.520.00001426719.8400EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    314European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.1IGNIS 127834 REPONULLBNY Mellon100.0000EUR0.8007100.0000-190672000.00000.801600-190672000.0000-190672000.0000-154088093.3000-152679222.6000-8058.070.00001408870.6900EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    315European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.02IGNIS 128716 REPONULLBNY Mellon100.0000EUR0.8007100.0000-3873506.60000.801600-3873506.6000-3873506.6000-3095639.6100-3101682.3500-8.620.0000-6042.7400EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    316European UnionRepoMoneyMarketREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE00011350440.02IGNIS 128717 REPONULLBNY Mellon100.0000EUR0.8007100.0000-300802420.00000.801600-300802420.0000-300802420.0000-240396101.5000-240865358.6000-669.070.0000-469257.1000EuroRepurchase AgreementsEUEuropean UnionREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE0001135044IL30IL302014-06-30 00:00:00.000

    317European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.03IGNIS 128948 REPONULLBNY Mellon100.0000EUR0.8007100.0000-46997925.00000.801600-46997925.0000-46997925.0000-37674846.9700-37633247.950000.000041599.0200EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    318European UnionRepoMoneyMarketREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE00011350440.03IGNIS 128950 REPONULLBNY Mellon100.0000EUR0.8007100.0000-19831900.00000.801600-19831900.0000-19831900.0000-15897803.9500-15880250.2500-13.230.000017553.7000EuroRepurchase AgreementsEUEuropean UnionREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE0001135044IL30IL302014-06-30 00:00:00.000

    319European UnionSwaption - Interest RateOptionEURSWN 3Y5Y RECEIVER FEB15-FEB20 2.620.0068796NULLLTAA1124315022BNY Mellon8.8831EUR0.80078.7803-63000000.00000.801600-1726200.0000-5596355.0000-1436612.5300-4481240.72000-3098998.580054370.3900EuroSwaption - Interest RateEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    320European UnionSwaption - Interest RateOptionSWAPTION Swaption: European 1121700000 EUR 1.1275% 14-NOV-20 PAYER0.00IGNIS SWPT126240EURNULLLTAA1129892246BNY Mellon0.0370EUR0.80070.04571173200000.00000.8016002064209.5500434553.28001686039.1100347965.39000-1304935.4600-33138.2600EuroSwaption - Interest RateEUEuropean UnionSWAPTION Swaption: European 1121700000 EUR 1.1275% 14-NOV-2014 EURIBOR 3MONTH 0bps GOLDMAN SACHS LONIL30IL302014-06-30 00:00:00.000

    321European UnionSwaption - Interest RateOptionSWAPTION Swaption: European 359500000 EUR 2.587% 20-NOV-20140.00IGNIS SWPT126592EURNULLEM3G4BNY Mellon0.5381EUR0.80070.5750375800000.00000.8016003218725.00002022217.38002614360.45001619275.91000-958094.8100-36989.7300EuroSwaption - Interest RateEUEuropean UnionSWAPTION Swaption: European 359500000 EUR 2.587% 20-NOV-2014 EURIBOR 6MONTH 0bps MORGAN STANLEY LONDIL30IL302014-06-30 00:00:00.000

    322European UnionSwaption - Interest RateOptionSWAPTION Swaption: European 359750000 EUR 2.597% 20-NOV-20140.00IGNIS SWPT126849EURNULLEM3RPBNY Mellon0.5393EUR0.80070.5759375980000.00000.8016003234850.00002027810.53002616811.74001623754.59000-966528.1100-26529.0400EuroSwaption - Interest RateEUEuropean UnionSWAPTION Swaption: European 359750000 EUR 2.597% 20-NOV-2014 EURIBOR 6MONTH 0bps MORGAN STANLEY LONDIL30IL302014-06-30 00:00:00.000

    323FinlandCorporate BondDebt InstrumentsMunicipality Finance PLC 1.5 15/12/20141.5B79NW02NULLBNY Mellon100.4021GBP1.0000100.406210000000.00001.0000009990000.000010040210.00009990000.000010040210.000081369.8641814.23000.0000U.K. poundCorporate BondFIFinlandGovernmentSovereign AgencySovereign_siXS0742251019IL30IL302014-06-30 00:00:00.000

    324GermanyFuture-BondFuturesEuro-BTP Future Sep140.00IKU4NULLMerrill Lynch126.1800EUR0.8007126.3400-1341.00000.8016000.0000-2874639.96000.0000-2301847.12000-2301847.12000.0000EuroFuture-BondDEGermanyIL30IL302014-06-30 00:00:00.000

    325GermanyFuture-BondFuturesEuro-OAT Future Sep140.00OATU4NULLMerrill Lynch140.5300EUR0.8007140.4500-1411.00000.8016000.0000-3047760.00000.0000-2440471.74000-2440471.74000.0000EuroFuture-BondDEGermanyIL30IL302014-06-30 00:00:00.000

    326GermanyGovernment Debt IssueDebt InstrumentsBundesrepublik Deutschland 6.5 07/04/276.55286601NULLBNY Mellon157.8500EUR0.8007157.7040196800000.00000.801600307294969.0000310648800.0000248720542.2000248749776.000010158911.443013663.1500-2656322.0800EuroGovernment Debt IssueDEGermanyGovernmentSovereignSovereign_siDE0001135044IL30IL302014-06-30 00:00:00.000

    327GermanyGovernment Debt IssueDebt InstrumentsDeutsche Bundesrepublik Inflation Linked Bond 1.5 15/04/20161.5B10S9K3NULLBNY Mellon102.9345EUR0.8007102.8995461187262.50000.801600477172380.2000474720572.2000394511902.2000380129058.90001168582.67-2085359.2900-12419575.8700EuroGovernment Debt IssueDEGermanyGovernmentSovereignSovereign_siDE0001030500IL30IL302014-06-30 00:00:00.000

    328GermanyGovernment Debt IssueDebt InstrumentsBundesrepublik Deutschland Bundesobligation Inflation Linked Bond 0.75 15/04/20180.75B4JQ9S7NULLBNY Mellon105.3305EUR0.8007105.2685225831518.50000.801600235930195.9000237869467.6000196365236.6000190472252.9000286112.411497130.7700-7445841.5000EuroGovernment Debt IssueDEGermanyGovernmentSovereignSovereign_siDE0001030534IL30IL302014-06-30 00:00:00.000

    329JapanCashCashJapanese yen-BNY Mellon-OnHand0.00JPYJun 30 2014 1-44NULL1BNY Mellon1.0000JPY0.00581.00007251153.57000.0058007251153.57007251153.5700-137824.570041861.840000.0000179686.4100Japanese yenCash and EquivalentsJPJapanIL30IL302014-06-30 00:00:00.000

    330JapanCashCashJapanese yen-BNY Mellon-Receivable0.00JPYJun 30 2014 1-45NULL1BNY Mellon1.0000JPY0.00581.0000111370633.00000.005800111370633.0000111370633.0000645627.9800642956.800000.0000-2671.1800Japanese yenCash and EquivalentsJPJapanIL30IL302014-06-30 00:00:00.000

    331JapanIRSSwap144528-IRS: Flo/Fix: P182000000JPY Semi-annualSpd 0% R182000000JPY Semi-annual@2.44% (15/04/24-15/04/34)2.44IGNIS 124390JPYNULL7.00E+12BNY Mellon100.6534JPY0.0058100.77159024000000.00000.0058009024000000.00009082960109.000053095681.210053436065.40000340384.19000.0000Japanese yenInterest Rate SwapJPJapan144528-IRS: Flo/Fix: P182000000JPY Semi-annualSpd 0% R182000000JPY Semi-annual@2.44% (15/04/24-15/04/34)IL30IL302014-06-30 00:00:00.000

    332JapanIRSSwap144832-IRS: Flo/Fix: P8604000000JPY Semi-annualSpd 0% R8604000000JPY Semi-annual@2.4375% (16/04/24-16/04/34)2.44IGNIS 124471JPYNULLLTAA1129686163BNY Mellon100.6300JPY0.0058100.74808604000000.00000.0058008604000000.00008658203479.000050480846.340050793769.91000312923.57000.0000Japanese yenInterest Rate SwapJPJapan144832-IRS: Flo/Fix: P8604000000JPY Semi-annualSpd 0% R8604000000JPY Semi-annual@2.4375% (16/04/24-16/04/34)IL30IL302014-06-30 00:00:00.000

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    431United KingdomIRSSwap147352-IRS: Fix/Flo: P2300000GBP Semi-annual@3.56% R2300000GBP Semi-annualSpd 0% (08/05/29-08/05/44)3.56IGNIS 125816GBPNULL6.80E+12BNY Mellon99.9267GBP1.0000100.1008-44800000.00001.000000-44800000.0000-44767143.6800-44800000.0000-44767143.6800032856.32000.0000U.K. poundInterest Rate SwapGBUnited Kingdom147352-IRS: Fix/Flo: P2300000GBP Semi-annual@3.56% R2300000GBP Semi-annualSpd 0% (08/05/29-08/05/44)IL30IL302014-06-30 00:00:00.000

    432United KingdomIRSSwap151090-IRS: Fix/Flo: P12800000GBP Semi-annual@3.1925% R12800000GBP Semi-annualSpd 0% (28/05/14-28/05/64)3.19IGNIS 127034GBPNULLYM01ABNY Mellon99.3417GBP1.0000100.0391-12800000.00001.000000-12800000.0000-12715733.7600-12800000.0000-12715733.7600084266.24000.0000U.K. poundInterest Rate SwapGBUnited Kingdom151090-IRS: Fix/Flo: P12800000GBP Semi-annual@3.1925% R12800000GBP Semi-annualSpd 0% (28/05/14-28/05/64)IL30IL302014-06-30 00:00:00.000

    433United KingdomIRSSwap152612-IRS: Fix/Flo: P73000000GBP Semi-annual@3.594% R73000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)3.59IGNIS 127591GBPNULL6584048LSBNY Mellon100.1921GBP1.0000100.3683-73000000.00001.000000-73000000.0000-73140247.6000-73000000.0000-73140247.60000-140247.60000.0000U.K. poundInterest Rate SwapGBUnited Kingdom152612-IRS: Fix/Flo: P73000000GBP Semi-annual@3.594% R73000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)IL30IL302014-06-30 00:00:00.000

    434United KingdomIRSSwap152621-IRS: Fix/Flo: P46000000GBP Semi-annual@3.59875% R46000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)3.6IGNIS 127592GBPNULLD140597243647.1BNY Mellon100.2263GBP1.0000100.4027-46000000.00001.000000-46000000.0000-46104084.2000-46000000.0000-46104084.20000-104084.20000.0000U.K. poundInterest Rate SwapGBUnited Kingdom152621-IRS: Fix/Flo: P46000000GBP Semi-annual@3.59875% R46000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)IL30IL302014-06-30 00:00:00.000

    435United KingdomIRSSwap152705-IRS: Fix/Flo: P54000000GBP Semi-annual@3.6% R54000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)3.6IGNIS 127604GBPNULL6.80E+12BNY Mellon100.2353GBP1.0000100.4117-54000000.00001.000000-54000000.0000-54127040.4000-54000000.0000-54127040.40000-127040.40000.0000U.K. poundInterest Rate SwapGBUnited Kingdom152705-IRS: Fix/Flo: P54000000GBP Semi-annual@3.6% R54000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)IL30IL302014-06-30 00:00:00.000

    436United KingdomIRSSwap154739-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)3.6IGNIS 128011GBPNULL20657556BBNY Mellon100.2403GBP1.0000100.4169-53300000.00001.000000-53300000.0000-53428085.2300-53300000.0000-53428085.23000-128085.23000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154739-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)IL30IL302014-06-30 00:00:00.000

    437United KingdomIRSSwap154764-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)3.6IGNIS 128011RBSGBPNULLIRS1124666_B001BNY Mellon100.2403GBP1.0000100.4169-53300000.00001.000000-53300000.0000-53428085.2300-53300000.0000-53428085.23000-128085.23000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154764-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)IL30IL302014-06-30 00:00:00.000

    438United KingdomIRSSwap154778-IRS: Fix/Flo: P50900000GBP Semi-annual@3.59% R50900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)3.59IGNIS 128114GBPNULL20657909BBNY Mellon100.1692GBP1.0000100.3454-50900000.00001.000000-50900000.0000-50986102.4400-50900000.0000-50986102.44000-86102.44000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154778-IRS: Fix/Flo: P50900000GBP Semi-annual@3.59% R50900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)IL30IL302014-06-30 00:00:00.000

    439United KingdomIRSSwap154787-IRS: Fix/Flo: P31900000GBP Semi-annual@3.5925% R31900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)3.59IGNIS 128139GBPNULL20658615BBNY Mellon100.1871GBP1.0000100.3634-31900000.00001.000000-31900000.0000-31959691.2800-31900000.0000-31959691.28000-59691.28000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154787-IRS: Fix/Flo: P31900000GBP Semi-annual@3.5925% R31900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)IL30IL302014-06-30 00:00:00.000

    440United KingdomIRSSwap155417-IRS: Fix/Flo: P64900000GBP Semi-annual@3.546% R64900000GBP Semi-annualSpd 0% (16/06/29-16/06/44)3.55IGNIS 128283GBPNULL6628554LSBNY Mellon99.8553GBP1.0000100.0297-64900000.00001.000000-64900000.0000-64806102.6800-64900000.0000-64806102.6800093897.32000.0000U.K. poundInterest Rate SwapGBUnited Kingdom155417-IRS: Fix/Flo: P64900000GBP Semi-annual@3.546% R64900000GBP Semi-annualSpd 0% (16/06/29-16/06/44)IL30IL302014-06-30 00:00:00.000

    441United KingdomIRSSwap157598-IRS: Fix/Flo: P186700000GBP Semi-annual@3.543% R186700000GBP Semi-annualSpd 0% (25/06/29-25/06/44)3.54IGNIS 128790GBPNULLD140596324044BNY Mellon99.8406GBP1.0000100.0150-196500000.00001.000000-196500000.0000-196186700.4000-196500000.0000-196186700.40000313299.60000.0000U.K. poundInterest Rate SwapGBUnited Kingdom157598-IRS: Fix/Flo: P186700000GBP Semi-annual@3.543% R186700000GBP Semi-annualSpd 0% (25/06/29-25/06/44)IL30IL302014-06-30 00:00:00.000

    442United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 2.359% VS SONIO/N O/N /365 06Nov232.36IGNIS IRS113372NULL5482289LSBNY Mellon99.9544GBP1.0000100.2383-70000000.00001.000000-70000000.0000-69968101.0000-70000000.0000-69968101.0000031899.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 2.359% VS SONIO/N O/N /365 06Nov23IL30IL302014-06-30 00:00:00.000

    443United KingdomOTC FX OptionsOptionFXOPTION GBP CALL JPY PUT 175 10OCT140.00FXOPT_126866NULL41305579BNY Mellon0.8929GBP1.00000.7792189609000.00001.0000002063350.99001693018.76002063350.99001693018.76000-370332.23000.0000U.K. poundOTC FX OptionsGBUnited KingdomFXOPTION GBP CALL JPY PUT 175 10OCT14IL30IL302014-06-30 00:00:00.000

    444United KingdomRepoMoneyMarketREPO UKT 1 3/4 07/22/19 (LN*) GB00BDV0F1500.49IGNIS 128320 REPONULLBNY Mellon100.0000GBP1.0000100.0000-11886000.00001.000000-11886000.0000-11886000.0000-11886000.0000-11886000.0000-2233.920.00000.0000U.K. poundRepurchase AgreementsGBUnited KingdomREPO UKT 1 3/4 07/22/19 (LN*) GB00BDV0F150IL30IL302014-06-30 00:00:00.000

    445United KingdomRepoMoneyMarketREPO UKTI 1 1/4 11/22/17 3MO (LN*) GB00B0V3WQ750.48IGNIS 128372 REPONULLBNY Mellon100.0000GBP1.0000100.0000-205576800.00001.000000-205576800.0000-205576800.0000-205576800.0000-205576800.0000-35145.180.00000.0000U.K. poundRepurchase AgreementsGBUnited KingdomREPO UKTI 1 1/4 11/22/17 3MO (LN*) GB00B0V3WQ75IL30IL302014-06-30 00:00:00.000

    446United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R37070.4IGNIS 126831 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000120000000.00001.000000120000000.0000120000000.0000120000000.0000120000000.000046027.40.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R3707IL30IL302014-06-30 00:00:00.000

    447United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R37070.4IGNIS 126832 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000120000000.00001.000000120000000.0000120000000.0000120000000.0000120000000.000046027.40.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R3707IL30IL302014-06-30 00:00:00.000

    448United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 4 1/4 12/07/40 GB00B64605050.42IGNIS 127357 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.000052999999.86001.00000052999999.860052999999.860052999999.860052999999.860017686.030.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 4 1/4 12/07/40 GB00B6460505IL30IL302014-06-30 00:00:00.000

    449United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 1 1/4 07/22/18 GB00B8KP6M440.42IGNIS 127378 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000110000000.00001.000000110000000.0000110000000.0000110000000.0000110000000.000035441.10.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 1 1/4 07/22/18 GB00B8KP6M44IL30IL302014-06-30 00:00:00.000

    450United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 3 1/2 07/22/68 GB00BBJNQY210.27IGNIS 129219 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000136999999.50001.000000136999999.5000136999999.5000136999999.5000136999999.50001013.420.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 3 1/2 07/22/68 GB00BBJNQY21IL30IL302014-06-30 00:00:00.000

    451United KingdomSwaption - Interest RateOptionGBPSWN 3Y30Y 9MAY16-9MAY46 3.3950.00100648NULLLTAA1127242261BNY Mellon5.1416GBP1.00005.3997-75000000.00001.000000-6390000.0000-3856169.0000-6390000.0000-3856169.000002533831.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 3Y30Y 9MAY16-9MAY46 3.395IL30IL302014-06-30 00:00:00.000

    452United KingdomSwaption - Interest RateOptionGBPSWN 1Y30Y 29Aug44 30y 3.493750.00107818NULLLTAA1127929207BNY Mellon0.1005GBP1.00000.0732200000000.00001.00000010040000.0000201057.000010040000.0000201057.00000-9838943.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 1Y30Y 29Aug44 30y 3.49375IL30IL302014-06-30 00:00:00.000

    453United KingdomSwaption - Interest RateOptionGBPSWN 3Y30Y 5SEP16-5SEP46 3.7320.00108103NULLLTAA1127952808BNY Mellon8.8130GBP1.00009.180075000000.00001.0000006350000.00006609737.00006350000.00006609737.00000259737.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomFundsIndex FundEquity Fund_siFIA AntaresIL30IL302014-06-30 00:00:00.000

    454United KingdomSwaption - Interest RateOptionGBPSWN 2Y3Y 5OCT15-5OCT18 2.480.00110185aNULLLTAA1128166975BNY Mellon1.0118GBP1.00001.0543-500000000.00001.000000-7650000.0000-5059227.0000-7650000.0000-5059227.000002590773.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 2Y3Y 5OCT15-5OCT18 2.48IL30IL302014-06-30 00:00:00.000

    455United KingdomSwaption - Interest RateOptionGBPSWN 2Y3Y 5OCT15-5OCT18 2.480.00110185bNULLLTAA1128166980BNY Mellon1.0118GBP1.00001.0543-500000000.00001.000000-7650000.0000-5059227.0000-7650000.0000-5059227.000002590773.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 2Y3Y 5OCT15-5OCT18 2.48IL30IL302014-06-30 00:00:00.000

    456United KingdomSwaption - Interest RateOptionGBPSWN 2Y3Y 5OCT15-5OCT18 2.480.00110185cNULLLTAA1128166982BNY Mellon1.0118GBP1.00001.0543-500000000.00001.000000-7650000.0000-5059227.0000-7650000.0000-5059227.000002590773.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 2Y3Y 5OCT15-5OCT18 2.48IL30IL302014-06-30 00:00:00.000

    457United KingdomSwaption - Interest RateOptionGBPSWN 10Y20Y 4.9 15Mar20420.0071848NULLSPN1079856BNY Mellon3.3000GBP1.00003.3146-50000000.00001.000000-2450000.0000-1650000.0000-2450000.0000-1650000.00000800000.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    458United KingdomSwaption - Interest RateOptionGPBSWN 10Y20Y 3.68 5JUL2022 20220705 Payer0.0072560NULLLTAA1125571424BNY Mellon8.0576GBP1.00008.093040000000.00001.0000003160000.00003223030.00003160000.00003223030.0000063030.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGPBSWN 10Y20Y 3.68 5JUL2022 20220705 PayerIL30IL302014-06-30 00:00:00.000

    459United KingdomSwaption - Interest RateOptionGBPSWN 2Y2Y3Y PAYER 19JAN17-19JAN20 2.2830.0092463NULLLTAA1126553492BNY Mellon1.9019GBP1.00001.8147800000000.00001.00000010840000.000015215367.000010840000.000015215367.000004375367.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    460United KingdomSwaption - Interest RateOptionGBPSWN 3Y20Y 22FEB16-22FEB36 3.6090.0094989NULLLTAA1126763163BNY Mellon5.7722GBP1.00006.0340-75000000.00001.000000-5550000.0000-4329178.0000-5550000.0000-4329178.000001220822.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 3Y20Y 22FEB16-22FEB36 3.609IL30IL302014-06-30 00:00:00.000

    461United KingdomSwaption - Interest RateOptionGBPSWN 4Y2Y 21FEB17-21FEB19 2.2150.0094992NULLLTAA1126766944BNY Mellon0.5203GBP1.00000.5266-430000000.00001.000000-5126923.1100-2237076.0000-5126923.1100-2237076.000002889847.11000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 4Y2Y 21FEB17-21FEB19 2.215IL30IL302014-06-30 00:00:00.000

    462United KingdomSwaption - Interest RateOptionGBPSWN 3Y20Y 29FEB16-29FEB36 3.45750.0095528NULLLTAA1126822282BNY Mellon4.5725GBP1.00004.7934-50000000.00001.000000-3765000.0000-2286252.0000-3765000.0000-2286252.000001478748.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 3Y20Y 29FEB16-29FEB36 3.4575IL30IL302014-06-30 00:00:00.000

    463United KingdomSwaption - Interest RateOptionSwaption: European GBP 4% 11-APR-2016 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDON0.00IGNIS SWPT124373GBPNULLLTAA1129666957BNY Mellon1.7489GBP1.00001.6246245000000.00001.0000006294117.52004284682.50006294117.52004284682.50000-2009435.02000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSwaption: European GBP 4% 11-APR-2016 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    464United KingdomSwaption - Interest RateOptionSWAPTION Swaption: European 179600000 GBP 3.25625% 15-MAY-200.00IGNIS SWPT126271GBPNULLLTAA1129906466BNY Mellon6.3456GBP1.00006.6324187800000.00001.00000012164101.920011917074.360012164101.920011917074.36000-247027.56000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION Swaption: European 179600000 GBP 3.25625% 15-MAY-2034 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDOIL30IL302014-06-30 00:00:00.000

    465United KingdomSwaption - Interest RateOptionSWAPTION Swaption: European 449700000 GBP 1.4% 28-MAY-2015 L0.00IGNIS SWPT127037GBPNULL1.80E+12BNY Mellon0.3554GBP1.00000.3440470000000.00001.0000001207480.00001670380.00001207480.00001670380.00000462900.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION Swaption: European 449700000 GBP 1.4% 28-MAY-2015 LIBOR 3MONTH 0bps JPM SECURITIES PLCIL30IL302014-06-30 00:00:00.000

    466United KingdomSwaption - Interest RateOptionSWAPTION GBP/PIRS/LIBO/PD/151030/30Y/2.500.00IGNIS SWPTSWAPTION_112960GBPNULLSPN1111827BNY Mellon-1.2504GBP1.0000-1.2309-150000000.00001.0000000.00001875541.42000.00001875541.420001875541.42000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBP/PIRS/LIBO/PD/151030/30Y/2.50IL30IL302014-06-30 00:00:00.000

    467United KingdomSwaption - Interest RateOptionSWAPTION GBP/PIRS/LIBO/PD/160205/1Y/1.4750.00IGNIS SWPTSWAPTION_119823GBPNULLLTAA1129200897BNY Mellon0.1175GBP1.00000.1152-5873000000.00001.000000-13491213.0100-6899600.4000-13491213.0100-6899600.400006591612.61000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBP/PIRS/LIBO/PD/160205/1Y/1.475IL30IL302014-06-30 00:00:00.000

    468United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 10Y30Y 3.60250.00IGNIS SWPTSWAPTION_120322GBPNULLLTAA1129266691BNY Mellon-0.8360GBP1.0000-0.721698040000.00001.0000000.0000-819597.35000.0000-819597.35000-819597.35000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 10Y30Y 3.6025IL30IL302014-06-30 00:00:00.000

    469United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 20Y20Y 13FEB34-54 3.33250.00IGNIS SWPTSWAPTION_120328GBPNULLSPN1117903BNY Mellon0.0596GBP1.00000.316898040000.00001.0000000.000058413.39000.000058413.3900058413.39000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 20Y20Y 13FEB34-54 3.3325IL30IL302014-06-30 00:00:00.000

    470United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 15Y15Y 21MAR29-44 3.59250.00IGNIS SWPTSWAPTION_123063GBPNULL1.80E+12BNY Mellon0.0296GBP1.00000.2361127500000.00001.0000000.000037752.65000.000037752.6500037752.65000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 15Y15Y 21MAR29-44 3.5925IL30IL302014-06-30 00:00:00.000

    471United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 2Y30Y 01APR16-01APR46 4.000.00IGNIS SWPTSWAPTION_123726GBPNULLLTAA1129579118BNY Mellon1.7022GBP1.00001.5794245600000.00001.0000007133538.00004180701.44007133538.00004180701.44000-2952836.56000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 2Y30Y 01APR16-01APR46 4.00IL30IL302014-06-30 00:00:00.000

    472United KingdomSwaption - Interest RateOptionOTC Swaption: European 197300000 GBP 2.13% 21-MAY-2015 LIBO0.00IGNIS-SWAPTION-128380NULLLTAA1130183802BNY Mellon0.4381GBP1.00000.41704229500000.00001.00000024414553.590018529016.550024414553.590018529016.55000-5885537.04000.0000U.K. poundSwaption - Interest RateGBUnited KingdomOTC Swaption: European 197300000 GBP 2.13% 21-MAY-2015 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    473United States of AmericaCaps/FloorsOptionCAPFLOOR USDICAP 3% 5X10 CAP 14APR19-240.00IL CAP_124379 14-Apr-24NULLD140596523576.CAPABNY Mellon2.9899USD0.58483.0061-196.00000.587700-6290750.0100-5860298.5600-3748046.5500-3427375.83000251748.080068922.6400U.S. DollarsCaps and FloorsUSUnited States of AmericaCAPFLOOR USDICAP 3% 5X10 CAP 14APR19-24IL30IL302014-06-30 00:00:00.000

    474United States of AmericaCashCashU.S. Dollars-BNY Mellon-CapitalPayable0.00USDJun 30 2014 1-65NULL1BNY Mellon1.0000USD0.58481.0000-1569764.43000.587700-1569764.4300-1569764.4300-922155.9900-918071.440000.00004084.5500U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL30AAAAUSD Hedged2014-06-30 00:00:00.000

    475United States of AmericaCashCashU.S. Dollars-BNY Mellon-CapitalReceivable0.00USDJun 30 2014 1-66NULL1BNY Mellon1.0000USD0.58481.00003230933.05000.5877003230933.05003230933.05001895787.94001889600.290000.0000-6187.6500U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL30 SI USD Hedged (New)2014-06-30 00:00:00.000

    476United States of AmericaCashCashU.S. Dollars-BNY Mellon-OnHand0.00USDJun 30 2014 1-67NULL1BNY Mellon1.0000USD0.58481.000029698823.57000.58770029698823.570029698823.570014846942.230017369256.700000.00002522314.4700U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL302014-06-30 00:00:00.000

    477United States of AmericaCashCashU.S. Dollars-Merrill Lynch-OnHand0.00USDJun 30 2014 1-68NULL1Merrill Lynch1.0000USD0.58481.000012979339.43000.58770012979339.430012979339.43008878398.23007590922.830000.0000-1287475.4000U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL302014-06-30 00:00:00.000

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    491United States of AmericaIFSSwap153033-Infl Swap: Flo/Fix: P160970000USD IrregularSpd 0% R160970000USD Irregular@2.505% (10/06/14-10/06/24)0IGNIS 127705USDNULLLTAA1130108411BNY Mellon99.1034USD0.584899.0846160970000.00000.587700160970000.0000159526779.600095881109.090095037046.54000-844062.56000.0000U.S. DollarsInflation SwapUSUnited States of America153033-Infl Swap: Flo/Fix: P160970000USD IrregularSpd 0% R160970000USD Irregular@2.505% (10/06/14-10/06/24)IL30IL302014-06-30 00:00:00.000

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    493United States of AmericaIFSSwapIRS: Fix/Flo: USD FIXED 2.92% VS USCPI ACT/365 03/16/222.9271688IL01IRSUSDNULLD021600120525BNY Mellon101.4876USD0.5848101.434975000000.00000.58770075000000.000076115724.220047816362.500048468890.04000652527.54000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD FIXED 2.92% VS USCPI ACT/365 03/16/22IL30IL302014-06-30 00:00:00.000

    494United States of AmericaIFSSwapIRS: Fix/Flo: USD FIXED 3.0175% VS 3MONTH CPURNSA INDEX ACT/365 03/23/22072183IL01IRSUSDNULLD021600133190BNY Mellon101.7049USD0.5848101.644950000000.00000.58770050000000.000050852473.670031551675.000032050241.35000498566.34000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD FIXED 3.0175% VS 3MONTH CPURNSA INDEX ACT/365 03/23/22IL30IL302014-06-30 00:00:00.000

    495United States of AmericaIRSSwapIRS: Flo/Fix: USD FIXED 4.676% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 20Aug334.68107171IL01IRSUSDNULLLD031692973807BNY Mellon104.1815USD0.5848103.9800250000000.00000.587700250000000.0000260453845.0000160117846.7000166231742.700006113895.96000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD FIXED 4.676% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 20Aug33IL30IL302014-06-30 00:00:00.000

    496United States of AmericaIRSSwapIRS: Flo/Fix: USD FIXED 4.595% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 30Aug334.6107741IL01IRSUSDNULL6.80E+12BNY Mellon103.6719USD0.5848103.4705160000000.00000.587700160000000.0000165875044.0000102986611.7000106422611.400003435999.65000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD FIXED 4.595% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 30Aug33IL30IL302014-06-30 00:00:00.000

    497United States of AmericaIRSSwapIRS: Fix/Flo: USD FIXED 2.4525% SEMI-ANNUAL VS 3MONTH BBILLS ACT/365 03/22/222.4572114IL01IRSUSDNULL174017914BNY Mellon101.0984USD0.5848101.0406-47000000.00000.587700-47000000.0000-47516239.0000-29731777.0000-30033697.63000-301920.64000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD FIXED 2.4525% SEMI-ANNUAL VS 3MONTH BBILLS ACT/365 03/22/22IL30IL302014-06-30 00:00:00.000

    498United States of AmericaIRSSwapIRS: Fix/Flo: USD FIXED 3.70875% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 21Mar433.7197031IL01IRSUSDNULLLTAA1126896228BNY Mellon98.8131USD0.584898.574075000000.00000.58770075000000.000074109799.000049614659.480049094028.43000-520631.05000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Fix/Flo: USD FIXED 3.70875% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 21Mar43IL30IL302014-06-30 00:00:00.000

    499United States of AmericaIRSSwapIRS: Flo/Fix: USD FIXED 3.7325% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 22Mar433.7397125IL01IRSUSDNULLLTAA1126905289BNY Mellon98.9859USD0.584898.746150000000.00000.58770050000000.000049492965.000033041467.040032744929.33000-296537.70000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD FIXED 3.7325% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 22Mar43IL30IL302014-06-30 00:00:00.000

    500United States of AmericaIRSSwapIRS: Flo/Fix: USD Fixed 2.76% 30/360 VS 3M US LIBOR ACT/360 12Nov232.76IGNIS 113482NULLLD131693152077BNY Mellon101.8589USD0.5848101.7868-300000000.00000.587700-300000000.0000-305576760.0000-186968308.9000-190229858.10000-3261549.26000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD Fixed 2.76% 30/360 VS 3M US LIBOR ACT/360 12Nov23IL30IL302014-06-30 00:00:00.000

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    520United States of AmericaRepoMoneyMarketREPO TII 1 3/8 07/15/18 (GB*) US912828JE190.22IGNIS 127772 REPONULLBNY Mellon100.0000USD0.5848100.0000-58711680.39000.587700-58711680.3900-58711680.3900-34959914.4900-34337328.0600-4406.620.0000622586.4300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 1 3/8 07/15/18 (GB*) US912828JE19IL30IL302014-06-30 00:00:00.000

    521United States of AmericaRepoMoneyMarketREPO TII 1 3/8 07/15/18 (GB*) US912828JE190.22IGNIS 127773 REPONULLBNY Mellon100.0000USD0.5848100.0000-39923942.67000.587700-39923942.6700-39923942.6700-23772741.8500-23349383.0900-2996.50.0000423358.7600U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 1 3/8 07/15/18 (GB*) US912828JE19IL30IL302014-06-30 00:00:00.000

    522United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.15IGNIS 127802 REPONULLBNY Mellon100.0000USD0.5848100.0000-54915000.00000.587700-54915000.0000-54915000.0000-32699178.2800-32116852.3600-2810.220.0000582325.9200U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    523United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.15IGNIS 127803 REPONULLBNY Mellon100.0000USD0.5848100.0000-8786400.00000.587700-8786400.0000-8786400.0000-5231868.5200-5138696.3800-449.640.000093172.1400U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    524United States of AmericaRepoMoneyMarketREPO TII 1 3/8 07/15/18 (GB*) US912828JE190.15IGNIS 127835 REPONULLBNY Mellon100.0000USD0.5848100.0000-10546800.00000.587700-10546800.0000-10546800.0000-6292276.9400-6168260.3700-488.320.0000124016.5700U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 1 3/8 07/15/18 (GB*) US912828JE19IL30IL302014-06-30 00:00:00.000

    525United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/18 (~~) US912828UX600.15IGNIS 127836 REPONULLBNY Mellon100.0000USD0.5848100.0000-9254080.00000.587700-9254080.0000-9254080.0000-5521033.3200-5412217.4500-428.470.0000108815.8700U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/18 (~~) US912828UX60IL30IL302014-06-30 00:00:00.000

    526United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.22IGNIS 128069 REPONULLBNY Mellon100.0000USD0.5848100.0000-54376960.78000.587700-54376960.7800-54376960.7800-32285563.7700-31802181.9300-2915.20.0000483381.8400U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    527United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.22IGNIS 128070 REPONULLBNY Mellon100.0000USD0.5848100.0000-54376960.78000.587700-54376960.7800-54376960.7800-32285563.7700-31802181.9300-2915.20.0000483381.8400U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    528United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.22IGNIS 128071 REPONULLBNY Mellon100.0000USD0.5848100.0000-5437696.08000.587700-5437696.0800-5437696.0800-3228556.3800-3180218.1900-291.520.000048338.1900U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    529United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128072 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    530United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128073 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    531United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128074 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    532United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128075 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    533United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128076 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    534United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128077 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    535United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128078 REPONULLBNY Mellon100.0000USD0.5848100.0000-39784898.82000.587700-39784898.8200-39784898.8200-23621730.0400-23268063.7600-2132.910.0000353666.2800U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    536United States of AmericaSwaption - Interest RateOptionUSDSWN 1Y5Y5Y 9SEP19-9SEP24 4.6650.00108158NULLSWOPT031693018655BNY Mellon0.0002USD0.58480.0001-500000000.00000.587700-9025000.0000-1096.0000-5789152.9600-640.990005277599.7900510912.1800U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 1Y5Y5Y 9SEP19-9SEP24 4.665IL30IL302014-06-30 00:00:00.000

    537United States of AmericaSwaption - Interest RateOptionUSDSWN 1Y5Y5Y 10SEP19-10SEP24 4.6430.00108237NULLLTAA1127973878BNY Mellon0.0002USD0.58480.0001-750000000.00000.587700-13350000.0000-1865.0000-8541813.3000-1090.740007806611.6900734110.8700U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 1Y5Y5Y 10SEP19-10SEP24 4.643IL30IL302014-06-30 00:00:00.000

    538United States of AmericaSwaption - Interest RateOptionUSDSWN 1Y5Y5Y 17SEP19-17SEP24 4.6150.00108720NULLLTAA1128022942BNY Mellon0.0006USD0.58480.0005-250000000.00000.587700-4500000.0000-1606.0000-2836253.6200-939.260002630870.5400204443.8200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    539United States of AmericaSwaption - Interest RateOptionUSDSWN 18M5Y5Y 26MAR20-26MAR25 4.490.00109453NULLLTAA1128095736BNY Mellon0.2072USD0.58480.2192-750000000.00000.587700-16162500.0000-1553734.0000-10111357.8800-908696.080008543887.4800658774.3200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 18M5Y5Y 26MAR20-26MAR25 4.49IL30IL302014-06-30 00:00:00.000

    540United States of AmericaSwaption - Interest RateOptionUSDSWN 2Y3Y 07OCT15-7OCT18 2.25750.00110105NULLSWOPT031693081560BNY Mellon1.5758USD0.58481.5577-750000000.00000.587700-11737500.0000-11818492.0000-7258588.1700-6912005.15000-47367.9000393950.9200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 2Y3Y 07OCT15-7OCT18 2.2575IL30IL302014-06-30 00:00:00.000

    541United States of AmericaSwaption - Interest RateOptionUSDSWN 2Y3Y 07OCT15-7OCT18 2.2575 20.00110106NULLSWOPT031693081564BNY Mellon1.5758USD0.58481.5577-750000000.00000.587700-11737500.0000-11818492.0000-7258588.1700-6912005.15000-47367.9000393950.9200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 2Y3Y 07OCT15-7OCT18 2.2575 2IL30IL302014-06-30 00:00:00.000

    542United States of AmericaSwaption - Interest RateOptionUSDSWN 3Y4Y PAYER 09FEB15-09FEB19 2.3920.0069255NULL469847063BNY Mellon0.2353USD0.58480.2545253500000.00000.5877005741775.0000596362.00003624265.3500348780.30000-3009277.4200-266207.6300U.S. DollarsSwaption - Interest RateUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    543United States of AmericaSwaption - Interest RateOptionSwaption: European USD .73% 10-APR-2015 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDON0.00IGNIS SWPT124371USDNULLLTAA1129666909BNY Mellon0.1391USD0.58480.14389811000000.00000.58770020508099.980013648082.100012218456.53007982034.74000-4012058.3000-224363.4900U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSwaption: European USD .73% 10-APR-2015 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    544United States of AmericaSwaption - Interest RateOptionSwaption: European USD .735% 10-APR-2015 LIBOR 3MONTH 0bps ROYAL BANK OF SCOTLAND0.00IGNIS SWPT124374USDNULLSWOPT141693563869BNY Mellon0.1374USD0.58480.14194905000000.00000.5877009996500.00006737998.50005955870.31003940695.67000-1905723.6000-109451.0400U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSwaption: European USD .735% 10-APR-2015 LIBOR 3MONTH 0bps ROYAL BANK OF SCOTLANDIL30IL302014-06-30 00:00:00.000

    545United States of AmericaSwaption - Interest RateOptionSWAPTION Swaption: European 187000000 USD .82% 23-APR-2015 L0.00IGNIS SWPT124877USDNULLLTAA1129742134BNY Mellon0.1286USD0.58480.13259813000000.00000.58770021620974.970012618536.700012880569.01007379908.58000-5265045.6300-235614.8000U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION Swaption: European 187000000 USD .82% 23-APR-2015 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    546United States of AmericaSwaption - Interest RateOptionSWAPTION Swaption: European 4689000000 USD .82875% 28-APR-200.00IGNIS SWPT125167USDNULLSA82KBNY Mellon0.1329USD0.58480.13694910000000.00000.58770010825024.99006526372.00006437963.21003816926.63000-2514052.6900-106983.8900U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION Swaption: European 4689000000 USD .82875% 28-APR-2015 LIBOR 3MONTH 0bps MORGAN STANLEY LONDIL30IL302014-06-30 00:00:00.000

    547United States of AmericaSwaption - Interest RateOptionSWAPTION Swaption: European 300000000 USD 2.613% 03-JUN-20160.00IGNIS SWPT127455USDNULLLTAA1130061659BNY Mellon0.5352USD0.58480.5446-7057000000.00000.587700-39348200.0000-37769769.7000-23493817.3300-22089522.29000923139.6300481155.4100U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION Swaption: European 300000000 USD 2.613% 03-JUN-2016 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    548United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 2Y2Y 10FEB16-10FEB18 1.440.00IGNIS SWPTSWAPTION_119994USDNULLLTAA1129224967BNY Mellon0.3747USD0.58480.3691-5877900000.00000.587700-28159462.5000-22024317.7600-17150091.5500-12880847.890003588118.6900681124.9700U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 2Y2Y 10FEB16-10FEB18 1.44IL30IL302014-06-30 00:00:00.000

    549United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 1Y2Y1Y 20FEB15 24FEB17-18 2.3250.00IGNIS SWPTSWAPTION_120731USDNULLLTAA1129338671BNY Mellon0.2810USD0.58480.2817-9812700000.00000.587700-28879537.5000-27570743.1900-17320476.2700-16124656.08000765443.9300430376.2600U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 1Y2Y1Y 20FEB15 24FEB17-18 2.325IL30IL302014-06-30 00:00:00.000

    550United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.190.00IGNIS SWPTSWAPTION_123409USDNULL7.06E+11BNY Mellon2.2256USD0.58482.2215245600000.00000.5877003328225.00005465975.36002006860.29003196757.230001250256.0900-60359.1500U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.19IL30IL302014-06-30 00:00:00.000

    551United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.19 P0.00IGNIS SWPTSWAPTION_123413USDNULL7.06E+11BNY Mellon0.4748USD0.58480.5022245600000.00000.5877003328225.00001166084.24002006860.2900681980.43000-1264520.7200-60359.1400U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.19 PIL30IL302014-06-30 00:00:00.000

    552United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 1.375 15/07/20181.38912828JE1NULLBNY Mellon109.3281USD0.5848109.3125102012256.00000.587700110819806.4000111528061.300065998410.350065226810.1100378446.88358290.3400-1185820.7300U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828JE19IL30IL302014-06-30 00:00:00.000

    553United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.5 15/04/20150.5912828MY3NULLBNY Mellon101.4961USD0.5848101.5117132134664.00000.587700133133656.4000134111530.700082417900.610078434675.970081290.23204281.8900-4555131.1600U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828MY36IL30IL302014-06-30 00:00:00.000

    554United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.125 15/04/20160.13912828QD5NULLBNY Mellon102.6836USD0.5848102.7109485272230.40000.587700493286479.1000498294996.0000302626179.9000291426146.100074635.75110484.4800-14129247.9600U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828QD52IL30IL302014-06-30 00:00:00.000

    555United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.125 15/04/20170.13912828SQ4NULLBNY Mellon103.4961USD0.5848103.4961392412400.00000.587700403669986.9000406131529.9000240408544.4000237524654.100060353.791081630.3800-4323515.4900U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828SQ48IL30IL302014-06-30 00:00:00.000

    556United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.125 15/04/20180.13912828UX6NULLBNY Mellon103.3516USD0.5848103.339895162688.00000.58770097654842.820098352113.080058158054.460057520901.290014636.2310785.4900-1044949.3100U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828UX60IL30IL302014-06-30 00:00:00.000

    557AustraliaCashCashAustralian dollar-BNY Mellon-OnHand0.00AUDJun 30 2014 1-69NULL1BNY Mellon1.0000AUD0.55201.000031266690.03000.55340031266690.030031266690.030017432864.860017259446.960000.0000-173417.9000Australian dollarCash and EquivalentsAUAustraliaIL30IL302014-06-30 00:00:00.000

    558AustraliaCashCashAustralian dollar-BNY Mellon-Receivable0.00AUDJun 30 2014 1-70NULL1BNY Mellon1.0000AUD0.55201.0000155.86000.553400155.8600155.860086.040086.040000.00000.0000Australian dollarCash and EquivalentsAUAustraliaIL30IL302014-06-30 00:00:00.000

    559AustraliaCashCashAustralian dollar-Merrill Lynch-OnHand0.00AUDJun 30 2014 1-71NULL1Merrill Lynch1.0000AUD0.55201.000027.25000.55340027.250027.2500-805350.380015.040000.0000805365.4200Australian dollarCash and EquivalentsAUAustraliaIL30IL302014-06-30 00:00:00.000

    560AustraliaIRSSwap140876-IRS: Fix/Flo: P233350000AUD QuarterlySpd 0% R233350000AUD 4.15%4.15IGNIS 122840AUDNULLLTAA1276692793BNY Mellon100.6765AUD0.5520100.6061-245600000.00000.553400-245600000.0000-247261385.8000-135359698.5000-136276795.90000-917097.38000.0000Australian dollarInterest Rate SwapAUAustralia140876-IRS: Fix/Flo: P233350000AUD QuarterlySpd 0% R233350000AUD 4.15%IL30IL302014-06-30 00:00:00.000

    561AustraliaIRSSwap142296-IRS: Fix/Flo: P466800000AUD ACT/365 BBILLS 3M 4.14%4.14IGNIS 123434AUDNULLLTAA1129532780BNY Mellon100.6674AUD0.5520100.5971-491200000.00000.553400-491200000.0000-494478268.8000-273619906.1000-275429535.00000-1809628.91000.0000Australian dollarInterest Rate SwapAUAustralia142296-IRS: Fix/Flo: P466800000AUD ACT/365 BBILLS 3M 4.14%IL30IL302014-06-30 00:00:00.000

    562AustraliaSwaption - Interest RateOptionSWAPTION AUDIRS 3M3M 3Y1Y 21MAR17 21MAR18 4.150.00IGNIS SWPTSWAPTION_122855AUDNULLLTAA1276692781BNY Mellon-0.3747AUD0.5520-0.3545-491200000.00000.5534000.00001840282.85000.00001015849.910001015849.91000.0000Australian dollarSwaption - Interest RateAUAustraliaSWAPTION AUDIRS 3M3M 3Y1Y 21MAR17 21MAR18 4.15IL30IL302014-06-30 00:00:00.000

    563AustraliaSwaption - Interest RateOptionSWAPTION AUDIRS 3M3M 3Y1Y 28MAR17 28MAR18 4.140.00IGNIS SWPTSWAPTION_123432AUDNULLLTAA1129532739BNY Mellon-0.3687AUD0.5520-0.3480-982400000.00000.5534000.00003622392.10000.00001999587.560001999587.55000.0100Australian dollarSwaption - Interest RateAUAustraliaSWAPTION AUDIRS 3M3M 3Y1Y 28MAR17 28MAR18 4.14IL30IL302014-06-30 00:00:00.000

    564CanadaCashCashCanadian dollar-BNY Mellon-OnHand0.00CADJun 30 2014 1-72NULL1BNY Mellon1.0000CAD0.54911.000098.45000.55030098.450098.4500-169778.210054.060000.0000169832.2700Canadian dollarCash and EquivalentsCACanadacadIL30IL302014-06-30 00:00:00.000

    565European UnionCashCashEuro-BNY Mellon-CapitalPayable0.00EURJun 30 2014 1-73NULL1BNY Mellon1.0000EUR0.80071.0000-8842356.95000.801600-8842356.9500-8842356.9500-7080169.1000-7080453.260000.0000-284.1600EuroCash and EquivalentsEUEuropean UnionIL30IL30 I EUR Hedged (New)2014-06-30 00:00:00.000

    566European UnionCashCashEuro-BNY Mellon-CapitalReceivable0.00EURJun 30 2014 1-74NULL1BNY Mellon1.0000EUR0.80071.000029664858.07000.80160029664858.070029664858.070023768347.360023753920.190000.0000-14427.1700EuroCash and EquivalentsEUEuropean UnionIL30IL30 A EUR DIST HEDGED2014-06-30 00:00:00.000

    567European UnionCashCashEuro-BNY Mellon-OnHand0.00EURJun 30 2014 1-75NULL1BNY Mellon1.0000EUR0.80071.000020985774.80000.80160020985774.800020985774.800064609574.040016804207.140000.0000-47805366.9000EuroCash and EquivalentsEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    568European UnionCashCashEuro-BNY Mellon-Receivable0.00EURJun 30 2014 1-76NULL1BNY Mellon1.0000EUR0.80071.000050400205.00000.80160050400205.000050400205.000040399198.030040357599.010000.0000-41599.0200EuroCash and EquivalentsEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    569European UnionCashCashEuro-Merrill Lynch-OnHand0.00EURJun 30 2014 1-77NULL1Merrill Lynch1.0000EUR0.80071.000015452344.62000.80160015452344.620015452344.620012901761.480012373353.030000.0000-528408.4500EuroCash and EquivalentsEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    570European UnionCorporate BondDebt InstrumentsIGNIS EUR COLLATERAL Credit Suisse0CS COLLATERAL EURNULLBNY Mellon100.0000EUR0.8007100.000012720000.00000.80160012720000.000012720000.000010192597.150010185447.840000.0000-7149.3100EuroCorporate BondEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    571European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 5y 5y 2.67% ANNUAL VS French CPIxt ACT/365 16Oct22086295IL01IRSEURNULLD020589216726BNY Mellon102.9735EUR0.8007102.934365000000.00000.80160065000000.000066932744.130052449812.970053997443.830001547630.86000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 5y 5y 2.67% ANNUAL VS French CPIxt ACT/365 16Oct22IL30IL302014-06-30 00:00:00.000

    572European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 1.995% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC17090846IL01IRSEURNULLLTAA1126419256BNY Mellon105.8656EUR0.8007105.7797-50000000.00000.801600-50000000.0000-52932821.8200-40702930.4100-43051366.24000-2348435.83000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 1.995% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC17IL30IL302014-06-30 00:00:00.000

    573European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 2.2795% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC22090847IL01IRSEURNULLLTAA1126419291BNY Mellon108.4333EUR0.8007108.401750000000.00000.80160050000000.000054216633.480040702930.410044079369.120003376438.71000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 2.2795% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC22IL30IL302014-06-30 00:00:00.000

    574European UnionIFSSwapIRS: Fix/Flo: EUR FIXED 2.59% 30/360 VS FLOATING FRCPI Index ACT/360 17Jan23092131IL01IRSEURNULLD030590401976BNY Mellon102.5619EUR0.8007102.5324100000000.00000.801600100000000.0000102561929.600082958359.230085009805.820002051446.59000.0000EuroInflation SwapEUEuropean UnionIRS: Fix/Flo: EUR FIXED 2.59% 30/360 VS FLOATING FRCPI Index ACT/360 17Jan23IL30IL302014-06-30 00:00:00.000

    575European UnionIFSSwap127869-IRS: Flo/Fix: P140000000EUR IrregularSpd 0% R140000000IGNIS 113817NULLLTAA1128470144BNY Mellon101.8765EUR0.8007101.8511140000000.00000.801600140000000.0000142627116.8000117366396.7000119470041.500002103644.77000.0000EuroInflation SwapEUEuropean Union127869-IRS: Flo/Fix: P140000000EUR IrregularSpd 0% R140000000EUR Irregular@1.8525% (15/11/13-15/11/2IL30IL302014-06-30 00:00:00.000

    576European UnionIFSSwapIFS: INF: EUR Fixed 1.955% VS FRCPXTOB Index ACT/365 15Nov230IGNIS 113831NULLD130594477751BNY Mellon103.1409EUR0.8007103.113746000000.00000.80160046000000.000047444824.290038563244.630039720177.210001156932.59000.0000EuroInflation SwapEUEuropean UnionIFS: INF: EUR Fixed 1.955% VS FRCPXTOB Index ACT/365 15Nov23IL30IL302014-06-30 00:00:00.000

    577European UnionIFSSwapINF SWAP: Flo/Fix EUR Fixed 1.8475% 30/360 VS CPTFEMU ACT/360 21Nov250IGNIS 114230EURNULLLTAA1128510149BNY Mellon101.8141EUR0.8007101.7886120000000.00000.801600120000000.0000122176929.2000100788672.9000102531833.200001743160.29000.0000EuroInflation SwapEUEuropean UnionINF SWAP: Flo/Fix EUR Fixed 1.8475% 30/360 VS CPTFEMU ACT/360 21Nov25IL30IL302014-06-30 00:00:00.000

    578European UnionIFSSwap138761-IRS: Flo/Fix: P107000000EUR IrregularSpd 0% R107000000EUR0IGNIS 121222EURNULLLTAA1129421803BNY Mellon100.4573EUR0.8007100.4290107000000.00000.801600107000000.0000107489339.900088156991.180088548826.58000391835.40000.0000EuroInflation SwapEUEuropean Union138761-IRS: Flo/Fix: P107000000EUR IrregularSpd 0% R107000000EUR Irregular@1.78375% (05/03/14-05/03/26)IL30IL302014-06-30 00:00:00.000

    579European UnionIFSSwap139863-IRS: Fix/Flo: EUR Irregular@1.04% EUR IrregularSpd 0% (13/03/14-13/03/17)0IGNIS 122116EURNULLLTAA1276613411BNY Mellon100.5435EUR0.8007100.5049-440400000.00000.801600-440400000.0000-442793753.8000-367271484.0000-369188265.00000-1916780.97000.0000EuroInflation SwapEUEuropean Union139867-IRS: Fix/Flo: EUR Irregular@1.04% EUR IrregularSpd 0% (13/03/14-13/03/17)IL30IL302014-06-30 00:00:00.000

    580European UnionIFSSwap140384-IRS: Flo/Fix: P138639000EUR IrregularSpd 0% R138639000EUR Irregular@1.745% (18/03/14-18/03/26)0IGNIS 122589EURNULLLTAA1276651715BNY Mellon99.9879EUR0.800799.9581138639000.00000.801600138639000.0000138622206.6000116102241.7000116088794.50000-13447.19000.0000EuroInflation SwapEUEuropean Union140384-IRS: Flo/Fix: P138639000EUR IrregularSpd 0% R138639000EUR Irregular@1.745% (18/03/14-18/03/26)IL30IL302014-06-30 00:00:00.000

    581European UnionIFSSwap142500-Infl Swap: Flo/Fix: P10000000EUR IrregularSpd 0% R10000000EUR Irregular@1.8775% (01/04/14-03/04/29)0IGNIS 123576EURNULLLTAA1129551916BNY Mellon99.5952EUR0.800799.5521280000000.00000.801600280000000.0000278866500.6000231447032.3000230539390.80000-907641.47000.0000EuroInflation SwapEUEuropean Union142500-Infl Swap: Flo/Fix: P10000000EUR IrregularSpd 0% R10000000EUR Irregular@1.8775% (01/04/14-03/04/29)IL30IL302014-06-30 00:00:00.000

    582European UnionIFSSwap144065-Infl Swap: Flo/Fix: P104400000EUR IrregularSpd 0% R104400000EUR Irregular@1.9175% (10/04/14-10/04/29)0IGNIS 124074EURNULLLTAA1129654997BNY Mellon100.1828EUR0.8007100.1481104400000.00000.801600104400000.0000104590795.700085981420.340086134198.60000152778.26000.0000EuroInflation SwapEUEuropean Union144065-Infl Swap: Flo/Fix: P104400000EUR IrregularSpd 0% R104400000EUR Irregular@1.9175% (10/04/14-10/04/29)IL30IL302014-06-30 00:00:00.000

    583European UnionIFSSwap152172-Infl Swap: Flo/Fix: P207300000EUR IrregularSpd 0% R207300000EUR Irregular@1.65% (05/06/14-05/06/24)0IGNIS 127438EURNULLLTAA1130061707BNY Mellon99.7450EUR0.800799.7197207300000.00000.801600207300000.0000206771453.3000168679709.1000168256479.20000-423229.91000.0000EuroInflation SwapEUEuropean Union152172-Infl Swap: Flo/Fix: P207300000EUR IrregularSpd 0% R207300000EUR Irregular@1.65% (05/06/14-05/06/24)IL30IL302014-06-30 00:00:00.000

    584European UnionIFSSwap152157-Infl Swap: Flo/Fix: P138600000EUR IrregularSpd 0% R138600000EUR Irregular@1.65% (05/06/14-05/06/29)0IGNIS 127439EURNULLLTAA1130061724BNY Mellon99.6704EUR0.800799.6285138600000.00000.801600138600000.0000138143243.6000112778618.8000112412874.40000-365744.36000.0000EuroInflation SwapEUEuropean Union152157-Infl Swap: Flo/Fix: P138600000EUR IrregularSpd 0% R138600000EUR Irregular@1.65% (05/06/14-05/06/29)IL30IL302014-06-30 00:00:00.000

    585European UnionIRSSwap130994-IRS: Fix/Flo: P170000000EUR Annual@2.067% R170000000E2.07IGNIS 116266EURNULLBNY Mellon106.3097EUR0.8007106.1657-170000000.00000.801600-170000000.0000-180726538.0000-143395073.1000-151984270.70000-8589197.60000.0000EuroInterest Rate SwapEUEuropean Union130994-IRS: Fix/Flo: P170000000EUR Annual@2.067% R170000000EUR Semi-annualSpd 0% (17/12/13-18/12/23)IL30IL302014-06-30 00:00:00.000

    586European UnionIRSSwap158177-IRS: Fix/Flo: P2770000EUR Annual@1.496% R2770000EUR Semi-annualSpd 0% (27/06/14-27/06/24) IRS1.5IGNIS 128813EURNULL6.80E+12BNY Mellon100.5793EUR0.8007100.4310-80230000.00000.801600-80230000.0000-80694774.8000-64412195.9200-64784360.97000-372165.05000.0000EuroInterest Rate SwapEUEuropean Union158177-IRS: Fix/Flo: P2770000EUR Annual@1.496% R2770000EUR Semi-annualSpd 0% (27/06/14-27/06/24) IRSIL30IL302014-06-30 00:00:00.000

    587European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.22IGNIS 126840 REPONULLBNY Mellon100.0000EUR0.8007100.0000-24815815.50000.801600-24815815.5000-24815815.5000-20085906.1800-19871084.4800-4128.770.0000214821.7000EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    588European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.23IGNIS 127126 REPONULLBNY Mellon100.0000EUR0.8007100.0000-21744113.58000.801600-21744113.5800-21744113.5800-17689170.5300-17411441.4200-3114.710.0000277729.1100EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    589European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.16IGNIS 127458 REPONULLBNY Mellon100.0000EUR0.8007100.0000-230164275.20000.801600-230164275.2000-230164275.2000-187135982.0000-184302375.9000-20478.040.00002833606.1300EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    590European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.09IGNIS 127638 REPONULLBNY Mellon100.0000EUR0.8007100.0000-120500000.00000.801600-120500000.0000-120500000.0000-97894362.2100-96489502.0000-5065.70.00001404860.2100EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    591European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.09IGNIS 127639 REPONULLBNY Mellon100.0000EUR0.8007100.0000-122374980.00000.801600-122374980.0000-122374980.0000-99417598.4900-97990878.6500-5144.520.00001426719.8400EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    592European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.1IGNIS 127834 REPONULLBNY Mellon100.0000EUR0.8007100.0000-190672000.00000.801600-190672000.0000-190672000.0000-154088093.3000-152679222.6000-8058.070.00001408870.6900EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    593European UnionRepoMoneyMarketREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE00010305000.02IGNIS 128716 REPONULLBNY Mellon100.0000EUR0.8007100.0000-3873506.60000.801600-3873506.6000-3873506.6000-3095639.6100-3101682.3500-8.620.0000-6042.7400EuroRepurchase AgreementsEUEuropean UnionREPO DBRI 1 1/2 04/15/16 I/L (GF*) DE0001030500IL30IL302014-06-30 00:00:00.000

    594European UnionRepoMoneyMarketREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE00011350440.02IGNIS 128717 REPONULLBNY Mellon100.0000EUR0.8007100.0000-300802420.00000.801600-300802420.0000-300802420.0000-240396101.5000-240865358.6000-669.070.0000-469257.1000EuroRepurchase AgreementsEUEuropean UnionREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE0001135044IL30IL302014-06-30 00:00:00.000

    595European UnionRepoMoneyMarketREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE00010305340.03IGNIS 128948 REPONULLBNY Mellon100.0000EUR0.8007100.0000-46997925.00000.801600-46997925.0000-46997925.0000-37674846.9700-37633247.950000.000041599.0200EuroRepurchase AgreementsEUEuropean UnionREPO OBLI 0 3/4 04/15/18 I/L (ALL GERMAN SE*) DE0001030534IL30IL302014-06-30 00:00:00.000

    596European UnionRepoMoneyMarketREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE00011350440.03IGNIS 128950 REPONULLBNY Mellon100.0000EUR0.8007100.0000-19831900.00000.801600-19831900.0000-19831900.0000-15897803.9500-15880250.2500-13.230.000017553.7000EuroRepurchase AgreementsEUEuropean UnionREPO DBR 6 1/2 07/04/27 97 (ALL GERMAN SE*) DE0001135044IL30IL302014-06-30 00:00:00.000

    597European UnionSwaption - Interest RateOptionEURSWN 3Y5Y RECEIVER FEB15-FEB20 2.620.0068796NULLLTAA1124315022BNY Mellon8.8831EUR0.80078.7803-63000000.00000.801600-1726200.0000-5596355.0000-1436612.5300-4481240.72000-3098998.580054370.3900EuroSwaption - Interest RateEUEuropean UnionIL30IL302014-06-30 00:00:00.000

    598European UnionSwaption - Interest RateOptionSWAPTION Swaption: European 1121700000 EUR 1.1275% 14-NOV-20 PAYER0.00IGNIS SWPT126240EURNULLLTAA1129892246BNY Mellon0.0370EUR0.80070.04571173200000.00000.8016002064209.5500434553.28001686039.1100347965.39000-1304935.4600-33138.2600EuroSwaption - Interest RateEUEuropean UnionSWAPTION Swaption: European 1121700000 EUR 1.1275% 14-NOV-2014 EURIBOR 3MONTH 0bps GOLDMAN SACHS LONIL30IL302014-06-30 00:00:00.000

    599European UnionSwaption - Interest RateOptionSWAPTION Swaption: European 359500000 EUR 2.587% 20-NOV-20140.00IGNIS SWPT126592EURNULLEM3G4BNY Mellon0.5381EUR0.80070.5750375800000.00000.8016003218725.00002022217.38002614360.45001619275.91000-958094.8100-36989.7300EuroSwaption - Interest RateEUEuropean UnionSWAPTION Swaption: European 359500000 EUR 2.587% 20-NOV-2014 EURIBOR 6MONTH 0bps MORGAN STANLEY LONDIL30IL302014-06-30 00:00:00.000

    600European UnionSwaption - Interest RateOptionSWAPTION Swaption: European 359750000 EUR 2.597% 20-NOV-20140.00IGNIS SWPT126849EURNULLEM3RPBNY Mellon0.5393EUR0.80070.5759375980000.00000.8016003234850.00002027810.53002616811.74001623754.59000-966528.1100-26529.0400EuroSwaption - Interest RateEUEuropean UnionSWAPTION Swaption: European 359750000 EUR 2.597% 20-NOV-2014 EURIBOR 6MONTH 0bps MORGAN STANLEY LONDIL30IL302014-06-30 00:00:00.000

    601FinlandCorporate BondDebt InstrumentsMunicipality Finance PLC 1.5 15/12/20141.5B79NW02NULLBNY Mellon100.4021GBP1.0000100.406210000000.00001.0000009990000.000010040210.00009990000.000010040210.000081369.8641814.23000.0000U.K. poundCorporate BondFIFinlandGovernmentSovereign AgencySovereign_siXS0742251019IL30IL302014-06-30 00:00:00.000

    602GermanyFuture-BondFuturesEuro-BTP Future Sep140.00IKU4NULLMerrill Lynch126.1800EUR0.8007126.3400-1341.00000.8016000.0000-2874639.96000.0000-2301847.12000-2301847.12000.0000EuroFuture-BondDEGermanyIL30IL302014-06-30 00:00:00.000

    603GermanyFuture-BondFuturesEuro-OAT Future Sep140.00OATU4NULLMerrill Lynch140.5300EUR0.8007140.4500-1411.00000.8016000.0000-3047760.00000.0000-2440471.74000-2440471.74000.0000EuroFuture-BondDEGermanyIL30IL302014-06-30 00:00:00.000

    604GermanyGovernment Debt IssueDebt InstrumentsBundesrepublik Deutschland 6.5 07/04/276.55286601NULLBNY Mellon157.8500EUR0.8007157.7040196800000.00000.801600307294969.0000310648800.0000248720542.2000248749776.000010158911.443013663.1500-2656322.0800EuroGovernment Debt IssueDEGermanyGovernmentSovereignSovereign_siDE0001135044IL30IL302014-06-30 00:00:00.000

    605GermanyGovernment Debt IssueDebt InstrumentsDeutsche Bundesrepublik Inflation Linked Bond 1.5 15/04/20161.5B10S9K3NULLBNY Mellon102.9345EUR0.8007102.8995461187262.50000.801600477172380.2000474720572.2000394511902.2000380129058.90001168582.67-2085359.2900-12419575.8700EuroGovernment Debt IssueDEGermanyGovernmentSovereignSovereign_siDE0001030500IL30IL302014-06-30 00:00:00.000

    606GermanyGovernment Debt IssueDebt InstrumentsBundesrepublik Deutschland Bundesobligation Inflation Linked Bond 0.75 15/04/20180.75B4JQ9S7NULLBNY Mellon105.3305EUR0.8007105.2685225831518.50000.801600235930195.9000237869467.6000196365236.6000190472252.9000286112.411497130.7700-7445841.5000EuroGovernment Debt IssueDEGermanyGovernmentSovereignSovereign_siDE0001030534IL30IL302014-06-30 00:00:00.000

    607JapanCashCashJapanese yen-BNY Mellon-OnHand0.00JPYJun 30 2014 1-78NULL1BNY Mellon1.0000JPY0.00581.00007251153.57000.0058007251153.57007251153.5700-137824.570041861.840000.0000179686.4100Japanese yenCash and EquivalentsJPJapanIL30IL302014-06-30 00:00:00.000

    608JapanCashCashJapanese yen-BNY Mellon-Receivable0.00JPYJun 30 2014 1-79NULL1BNY Mellon1.0000JPY0.00581.0000111370633.00000.005800111370633.0000111370633.0000645627.9800642956.800000.0000-2671.1800Japanese yenCash and EquivalentsJPJapanIL30IL302014-06-30 00:00:00.000

    609JapanIRSSwap144528-IRS: Flo/Fix: P182000000JPY Semi-annualSpd 0% R182000000JPY Semi-annual@2.44% (15/04/24-15/04/34)2.44IGNIS 124390JPYNULL7.00E+12BNY Mellon100.6534JPY0.0058100.77159024000000.00000.0058009024000000.00009082960109.000053095681.210053436065.40000340384.19000.0000Japanese yenInterest Rate SwapJPJapan144528-IRS: Flo/Fix: P182000000JPY Semi-annualSpd 0% R182000000JPY Semi-annual@2.44% (15/04/24-15/04/34)IL30IL302014-06-30 00:00:00.000

    610JapanIRSSwap144832-IRS: Flo/Fix: P8604000000JPY Semi-annualSpd 0% R8604000000JPY Semi-annual@2.4375% (16/04/24-16/04/34)2.44IGNIS 124471JPYNULLLTAA1129686163BNY Mellon100.6300JPY0.0058100.74808604000000.00000.0058008604000000.00008658203479.000050480846.340050793769.91000312923.57000.0000Japanese yenInterest Rate SwapJPJapan144832-IRS: Flo/Fix: P8604000000JPY Semi-annualSpd 0% R8604000000JPY Semi-annual@2.4375% (16/04/24-16/04/34)IL30IL302014-06-30 00:00:00.000

    611JapanIRSSwap144835-IRS: Flo/Fix: P4345000000JPY Semi-annualSpd 0% R4345000000JPY Semi-annual@2.435% (16/04/24-16/04/34)2.44IGNIS 124535JPYNULLLTAA1129691031BNY Mellon101.1613JPY0.0058101.27844345000000.00000.0058004345000000.00004395456747.000025492710.060025784003.27000291293.20000.0000Japanese yenInterest Rate SwapJPJapan144835-IRS: Flo/Fix: P4345000000JPY Semi-annualSpd 0% R4345000000JPY Semi-annual@2.435% (16/04/24-16/04/34)IL30IL302014-06-30 00:00:00.000

    612JapanIRSSwap144922-IRS: Flo/Fix: P201000000JPY Semi-annualSpd 0% R201000000JPY Semi-annual@2.433% (17/04/24-17/04/34)2.43IGNIS 124556JPYNULL89384852BNY Mellon101.1418JPY0.0058101.258910141000000.00000.00580010141000000.000010256790952.000059632887.950060301363.81000668475.87000.0000Japanese yenInterest Rate SwapJPJapan144922-IRS: Flo/Fix: P201000000JPY Semi-annualSpd 0% R201000000JPY Semi-annual@2.433% (17/04/24-17/04/34)IL30IL302014-06-30 00:00:00.000

    613JapanIRSSwap149884-IRS: Flo/Fix: P16838000000JPY Semi-annualSpd 0% R16838000000JPY Semi-annual@2.175% (23/05/24-23/05/29)2.17IGNIS 126651JPYNULLLTAA1129995363BNY Mellon100.1650JPY0.0058100.219716838000000.00000.00580016838000000.000016865774281.000098293517.020098453861.47000160344.45000.0000Japanese yenInterest Rate SwapJPJapan149884-IRS: Flo/Fix: P16838000000JPY Semi-annualSpd 0% R16838000000JPY Semi-annual@2.175% (23/05/24-23/05/29)IL30IL302014-06-30 00:00:00.000

    614JapanIRSSwap149869-IRS: Flo/Fix: P16838000000JPY Semi-annualSpd 0% R16838000000JPY Semi-annual@2.1751% (23/05/24-23/05/29)2.18IGNIS 126653JPYNULL7.00E+12BNY Mellon100.1654JPY0.0058100.220216838000000.00000.00580016838000000.000016865848368.000098293517.020098454289.19000160772.17000.0000Japanese yenInterest Rate SwapJPJapan149869-IRS: Flo/Fix: P16838000000JPY Semi-annualSpd 0% R16838000000JPY Semi-annual@2.1751% (23/05/24-23/05/29)IL30IL302014-06-30 00:00:00.000

    615JapanIRSSwap150969-IRS: Flo/Fix: P17919000000JPY Semi-annualSpd 0% R17919000000JPY Semi-annual@2.15375% (30/05/24-30/05/29)2.15IGNIS 126946JPYNULL7.00E+12BNY Mellon100.0567JPY0.0058100.111317919000000.00000.00580017919000000.000017929158281.0000105410903.0000105469548.1000058645.05000.0000Japanese yenInterest Rate SwapJPJapan150969-IRS: Flo/Fix: P17919000000JPY Semi-annualSpd 0% R17919000000JPY Semi-annual@2.15375% (30/05/24-30/05/29)IL30IL302014-06-30 00:00:00.000

    616New ZealandCashCashNew Zealand dollar-BNY Mellon-OnHand0.00NZDJun 30 2014 1-80NULL1BNY Mellon1.0000NZD0.51211.00001.00000.5153001.00001.00000.51000.510000.00000.0000New Zealand dollarCash and EquivalentsNZNew ZealandIL30IL302014-06-30 00:00:00.000

    617NorwayCashCashNorwegian krone-BNY Mellon-OnHand0.00NOKJun 30 2014 1-81NULL1BNY Mellon1.0000NOK0.09531.00001.53000.0958001.53001.53009950.98000.150000.0000-9950.8300Norwegian kroneCash and EquivalentsNONorwayIL30IL302014-06-30 00:00:00.000

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    660United KingdomIFSSwapINF SWAP: Flo/Fix: GBP FIXED 3.7% ACT/365 VS UKRPI Index ACT/365 1Jun620100185IL01IRSGBPNULLLTAA1127186883BNY Mellon105.6687GBP1.0000106.490020000000.00001.00000020000000.000021133730.970020000000.000021133730.970001133730.97000.0000U.K. poundInflation SwapGBUnited KingdomINF SWAP: Flo/Fix: GBP FIXED 3.7% ACT/365 VS UKRPI Index ACT/365 1Jun62IL30IL302014-06-30 00:00:00.000

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    665United KingdomIFSSwapINF SWAP: Flo/Fix: GBP FIXED 3.68% ACT/365 VS UKRPI Index ACT/365 10Oct330110400IL01IRSGBPNULLLTAA1128194123BNY Mellon103.1841GBP1.0000103.4459125000000.00001.000000125000000.0000128980098.0000125000000.0000128980098.000003980097.98000.0000U.K. poundInflation SwapGBUnited KingdomINF SWAP: Flo/Fix: GBP FIXED 3.68% ACT/365 VS UKRPI Index ACT/365 10Oct33IL30IL302014-06-30 00:00:00.000

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    713United KingdomIRSSwap152705-IRS: Fix/Flo: P54000000GBP Semi-annual@3.6% R54000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)3.6IGNIS 127604GBPNULL6.80E+12BNY Mellon100.2353GBP1.0000100.4117-54000000.00001.000000-54000000.0000-54127040.4000-54000000.0000-54127040.40000-127040.40000.0000U.K. poundInterest Rate SwapGBUnited Kingdom152705-IRS: Fix/Flo: P54000000GBP Semi-annual@3.6% R54000000GBP Semi-annualSpd 0% (05/06/29-05/06/44)IL30IL302014-06-30 00:00:00.000

    714United KingdomIRSSwap154739-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)3.6IGNIS 128011GBPNULL20657556BBNY Mellon100.2403GBP1.0000100.4169-53300000.00001.000000-53300000.0000-53428085.2300-53300000.0000-53428085.23000-128085.23000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154739-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)IL30IL302014-06-30 00:00:00.000

    715United KingdomIRSSwap154764-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)3.6IGNIS 128011RBSGBPNULLIRS1124666_B001BNY Mellon100.2403GBP1.0000100.4169-53300000.00001.000000-53300000.0000-53428085.2300-53300000.0000-53428085.23000-128085.23000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154764-IRS: Fix/Flo: P53300000GBP Semi-annual@3.6% R53300000GBP Semi-annualSpd 0% (12/06/29-12/06/44)IL30IL302014-06-30 00:00:00.000

    716United KingdomIRSSwap154778-IRS: Fix/Flo: P50900000GBP Semi-annual@3.59% R50900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)3.59IGNIS 128114GBPNULL20657909BBNY Mellon100.1692GBP1.0000100.3454-50900000.00001.000000-50900000.0000-50986102.4400-50900000.0000-50986102.44000-86102.44000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154778-IRS: Fix/Flo: P50900000GBP Semi-annual@3.59% R50900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)IL30IL302014-06-30 00:00:00.000

    717United KingdomIRSSwap154787-IRS: Fix/Flo: P31900000GBP Semi-annual@3.5925% R31900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)3.59IGNIS 128139GBPNULL20658615BBNY Mellon100.1871GBP1.0000100.3634-31900000.00001.000000-31900000.0000-31959691.2800-31900000.0000-31959691.28000-59691.28000.0000U.K. poundInterest Rate SwapGBUnited Kingdom154787-IRS: Fix/Flo: P31900000GBP Semi-annual@3.5925% R31900000GBP Semi-annualSpd 0% (13/06/29-13/06/44)IL30IL302014-06-30 00:00:00.000

    718United KingdomIRSSwap155417-IRS: Fix/Flo: P64900000GBP Semi-annual@3.546% R64900000GBP Semi-annualSpd 0% (16/06/29-16/06/44)3.55IGNIS 128283GBPNULL6628554LSBNY Mellon99.8553GBP1.0000100.0297-64900000.00001.000000-64900000.0000-64806102.6800-64900000.0000-64806102.6800093897.32000.0000U.K. poundInterest Rate SwapGBUnited Kingdom155417-IRS: Fix/Flo: P64900000GBP Semi-annual@3.546% R64900000GBP Semi-annualSpd 0% (16/06/29-16/06/44)IL30IL302014-06-30 00:00:00.000

    719United KingdomIRSSwap157598-IRS: Fix/Flo: P186700000GBP Semi-annual@3.543% R186700000GBP Semi-annualSpd 0% (25/06/29-25/06/44)3.54IGNIS 128790GBPNULLD140596324044BNY Mellon99.8406GBP1.0000100.0150-196500000.00001.000000-196500000.0000-196186700.4000-196500000.0000-196186700.40000313299.60000.0000U.K. poundInterest Rate SwapGBUnited Kingdom157598-IRS: Fix/Flo: P186700000GBP Semi-annual@3.543% R186700000GBP Semi-annualSpd 0% (25/06/29-25/06/44)IL30IL302014-06-30 00:00:00.000

    720United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 2.359% VS SONIO/N O/N /365 06Nov232.36IGNIS IRS113372NULL5482289LSBNY Mellon99.9544GBP1.0000100.2383-70000000.00001.000000-70000000.0000-69968101.0000-70000000.0000-69968101.0000031899.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 2.359% VS SONIO/N O/N /365 06Nov23IL30IL302014-06-30 00:00:00.000

    721United KingdomOTC FX OptionsOptionFXOPTION GBP CALL JPY PUT 175 10OCT140.00FXOPT_126866NULL41305579BNY Mellon0.8929GBP1.00000.7792189609000.00001.0000002063350.99001693018.76002063350.99001693018.76000-370332.23000.0000U.K. poundOTC FX OptionsGBUnited KingdomFXOPTION GBP CALL JPY PUT 175 10OCT14IL30IL302014-06-30 00:00:00.000

    722United KingdomOTC FX OptionsOptionFXOPTION GBP CALL JPY PUT 175 10OCT140.00FXOPT_126866 GSNULL"EDQE400002220040S0"BNY Mellon0.8929GBP1.00000.7792181481000.00001.0000001980865.11001620443.85001980865.11001620443.85000-360421.26000.0000U.K. poundOTC FX OptionsGBUnited KingdomFXOPTION GBP CALL JPY PUT 175 10OCT14IL30IL302014-06-30 00:00:00.000

    723United KingdomOTC FX OptionsOptionFXOPTION GBP CALL JPY PUT 175 10OCT140.00FXOPT_126866 GSNULL"EDQE400002220040S0"BNY Mellon0.8929GBP1.00000.77928128000.00001.00000089193.990072574.910089193.990072574.91000-16619.08000.0000U.K. poundOTC FX OptionsGBUnited KingdomFXOPTION GBP CALL JPY PUT 175 10OCT14IL30IL302014-06-30 00:00:00.000

    724United KingdomRepoMoneyMarketREPO UKT 1 3/4 07/22/19 (LN*) GB00BDV0F1500.49IGNIS 128320 REPONULLBNY Mellon100.0000GBP1.0000100.0000-11886000.00001.000000-11886000.0000-11886000.0000-11886000.0000-11886000.0000-2233.920.00000.0000U.K. poundRepurchase AgreementsGBUnited KingdomREPO UKT 1 3/4 07/22/19 (LN*) GB00BDV0F150IL30IL302014-06-30 00:00:00.000

    725United KingdomRepoMoneyMarketREPO UKTI 1 1/4 11/22/17 3MO (LN*) GB00B0V3WQ750.48IGNIS 128372 REPONULLBNY Mellon100.0000GBP1.0000100.0000-205576800.00001.000000-205576800.0000-205576800.0000-205576800.0000-205576800.0000-35145.180.00000.0000U.K. poundRepurchase AgreementsGBUnited KingdomREPO UKTI 1 1/4 11/22/17 3MO (LN*) GB00B0V3WQ75IL30IL302014-06-30 00:00:00.000

    726United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R37070.4IGNIS 126831 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000120000000.00001.000000120000000.0000120000000.0000120000000.0000120000000.000046027.40.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R3707IL30IL302014-06-30 00:00:00.000

    727United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R37070.4IGNIS 126832 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000120000000.00001.000000120000000.0000120000000.0000120000000.0000120000000.000046027.40.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 4 1/4 12/07/49 GB00B39R3707IL30IL302014-06-30 00:00:00.000

    728United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 4 1/4 12/07/40 GB00B64605050.42IGNIS 127357 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.000052999999.86001.00000052999999.860052999999.860052999999.860052999999.860017686.030.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 4 1/4 12/07/40 GB00B6460505IL30IL302014-06-30 00:00:00.000

    729United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 1 1/4 07/22/18 GB00B8KP6M440.42IGNIS 127378 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000110000000.00001.000000110000000.0000110000000.0000110000000.0000110000000.000035441.10.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 1 1/4 07/22/18 GB00B8KP6M44IL30IL302014-06-30 00:00:00.000

    730United KingdomReverse RepoMoneyMarketREVERSEREPO UKT 3 1/2 07/22/68 GB00BBJNQY210.27IGNIS 129219 REVERSEREPONULLBNY Mellon100.0000GBP1.0000100.0000136999999.50001.000000136999999.5000136999999.5000136999999.5000136999999.50001013.420.00000.0000U.K. poundReverse Repurchase AgreementGBUnited KingdomREVERSEREPO UKT 3 1/2 07/22/68 GB00BBJNQY21IL30IL302014-06-30 00:00:00.000

    731United KingdomSwaption - Interest RateOptionGBPSWN 3Y30Y 9MAY16-9MAY46 3.3950.00100648NULLLTAA1127242261BNY Mellon5.1416GBP1.00005.3997-75000000.00001.000000-6390000.0000-3856169.0000-6390000.0000-3856169.000002533831.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 3Y30Y 9MAY16-9MAY46 3.395IL30IL302014-06-30 00:00:00.000

    732United KingdomSwaption - Interest RateOptionGBPSWN 1Y30Y 29Aug44 30y 3.493750.00107818NULLLTAA1127929207BNY Mellon0.1005GBP1.00000.0732200000000.00001.00000010040000.0000201057.000010040000.0000201057.00000-9838943.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 1Y30Y 29Aug44 30y 3.49375IL30IL302014-06-30 00:00:00.000

    733United KingdomSwaption - Interest RateOptionGBPSWN 3Y30Y 5SEP16-5SEP46 3.7320.00108103NULLLTAA1127952808BNY Mellon8.8130GBP1.00009.180075000000.00001.0000006350000.00006609737.00006350000.00006609737.00000259737.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomFundsIndex FundEquity Fund_siFIA AntaresIL30IL302014-06-30 00:00:00.000

    734United KingdomSwaption - Interest RateOptionGBPSWN 2Y3Y 5OCT15-5OCT18 2.480.00110185aNULLLTAA1128166975BNY Mellon1.0118GBP1.00001.0543-500000000.00001.000000-7650000.0000-5059227.0000-7650000.0000-5059227.000002590773.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 2Y3Y 5OCT15-5OCT18 2.48IL30IL302014-06-30 00:00:00.000

    735United KingdomSwaption - Interest RateOptionGBPSWN 2Y3Y 5OCT15-5OCT18 2.480.00110185bNULLLTAA1128166980BNY Mellon1.0118GBP1.00001.0543-500000000.00001.000000-7650000.0000-5059227.0000-7650000.0000-5059227.000002590773.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 2Y3Y 5OCT15-5OCT18 2.48IL30IL302014-06-30 00:00:00.000

    736United KingdomSwaption - Interest RateOptionGBPSWN 2Y3Y 5OCT15-5OCT18 2.480.00110185cNULLLTAA1128166982BNY Mellon1.0118GBP1.00001.0543-500000000.00001.000000-7650000.0000-5059227.0000-7650000.0000-5059227.000002590773.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 2Y3Y 5OCT15-5OCT18 2.48IL30IL302014-06-30 00:00:00.000

    737United KingdomSwaption - Interest RateOptionGBPSWN 10Y20Y 4.9 15Mar20420.0071848NULLSPN1079856BNY Mellon3.3000GBP1.00003.3146-50000000.00001.000000-2450000.0000-1650000.0000-2450000.0000-1650000.00000800000.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    738United KingdomSwaption - Interest RateOptionGPBSWN 10Y20Y 3.68 5JUL2022 20220705 Payer0.0072560NULLLTAA1125571424BNY Mellon8.0576GBP1.00008.093040000000.00001.0000003160000.00003223030.00003160000.00003223030.0000063030.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGPBSWN 10Y20Y 3.68 5JUL2022 20220705 PayerIL30IL302014-06-30 00:00:00.000

    739United KingdomSwaption - Interest RateOptionGBPSWN 2Y2Y3Y PAYER 19JAN17-19JAN20 2.2830.0092463NULLLTAA1126553492BNY Mellon1.9019GBP1.00001.8147800000000.00001.00000010840000.000015215367.000010840000.000015215367.000004375367.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    740United KingdomSwaption - Interest RateOptionGBPSWN 3Y20Y 22FEB16-22FEB36 3.6090.0094989NULLLTAA1126763163BNY Mellon5.7722GBP1.00006.0340-75000000.00001.000000-5550000.0000-4329178.0000-5550000.0000-4329178.000001220822.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 3Y20Y 22FEB16-22FEB36 3.609IL30IL302014-06-30 00:00:00.000

    741United KingdomSwaption - Interest RateOptionGBPSWN 4Y2Y 21FEB17-21FEB19 2.2150.0094992NULLLTAA1126766944BNY Mellon0.5203GBP1.00000.5266-430000000.00001.000000-5126923.1100-2237076.0000-5126923.1100-2237076.000002889847.11000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 4Y2Y 21FEB17-21FEB19 2.215IL30IL302014-06-30 00:00:00.000

    742United KingdomSwaption - Interest RateOptionGBPSWN 3Y20Y 29FEB16-29FEB36 3.45750.0095528NULLLTAA1126822282BNY Mellon4.5725GBP1.00004.7934-50000000.00001.000000-3765000.0000-2286252.0000-3765000.0000-2286252.000001478748.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomGBPSWN 3Y20Y 29FEB16-29FEB36 3.4575IL30IL302014-06-30 00:00:00.000

    743United KingdomSwaption - Interest RateOptionSwaption: European GBP 4% 11-APR-2016 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDON0.00IGNIS SWPT124373GBPNULLLTAA1129666957BNY Mellon1.7489GBP1.00001.6246245000000.00001.0000006294117.52004284682.50006294117.52004284682.50000-2009435.02000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSwaption: European GBP 4% 11-APR-2016 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    744United KingdomSwaption - Interest RateOptionSWAPTION Swaption: European 179600000 GBP 3.25625% 15-MAY-200.00IGNIS SWPT126271GBPNULLLTAA1129906466BNY Mellon6.3456GBP1.00006.6324187800000.00001.00000012164101.920011917074.360012164101.920011917074.36000-247027.56000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION Swaption: European 179600000 GBP 3.25625% 15-MAY-2034 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDOIL30IL302014-06-30 00:00:00.000

    745United KingdomSwaption - Interest RateOptionSWAPTION Swaption: European 449700000 GBP 1.4% 28-MAY-2015 L0.00IGNIS SWPT127037GBPNULL1.80E+12BNY Mellon0.3554GBP1.00000.3440470000000.00001.0000001207480.00001670380.00001207480.00001670380.00000462900.00000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION Swaption: European 449700000 GBP 1.4% 28-MAY-2015 LIBOR 3MONTH 0bps JPM SECURITIES PLCIL30IL302014-06-30 00:00:00.000

    746United KingdomSwaption - Interest RateOptionSWAPTION GBP/PIRS/LIBO/PD/151030/30Y/2.500.00IGNIS SWPTSWAPTION_112960GBPNULLSPN1111827BNY Mellon-1.2504GBP1.0000-1.2309-150000000.00001.0000000.00001875541.42000.00001875541.420001875541.42000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBP/PIRS/LIBO/PD/151030/30Y/2.50IL30IL302014-06-30 00:00:00.000

    747United KingdomSwaption - Interest RateOptionSWAPTION GBP/PIRS/LIBO/PD/160205/1Y/1.4750.00IGNIS SWPTSWAPTION_119823GBPNULLLTAA1129200897BNY Mellon0.1175GBP1.00000.1152-5873000000.00001.000000-13491213.0100-6899600.4000-13491213.0100-6899600.400006591612.61000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBP/PIRS/LIBO/PD/160205/1Y/1.475IL30IL302014-06-30 00:00:00.000

    748United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 10Y30Y 3.60250.00IGNIS SWPTSWAPTION_120322GBPNULLLTAA1129266691BNY Mellon-0.8360GBP1.0000-0.721698040000.00001.0000000.0000-819597.35000.0000-819597.35000-819597.35000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 10Y30Y 3.6025IL30IL302014-06-30 00:00:00.000

    749United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 20Y20Y 13FEB34-54 3.33250.00IGNIS SWPTSWAPTION_120328GBPNULLSPN1117903BNY Mellon0.0596GBP1.00000.316898040000.00001.0000000.000058413.39000.000058413.3900058413.39000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 20Y20Y 13FEB34-54 3.3325IL30IL302014-06-30 00:00:00.000

    750United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 15Y15Y 21MAR29-44 3.59250.00IGNIS SWPTSWAPTION_123063GBPNULL1.80E+12BNY Mellon0.0296GBP1.00000.2361127500000.00001.0000000.000037752.65000.000037752.6500037752.65000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 15Y15Y 21MAR29-44 3.5925IL30IL302014-06-30 00:00:00.000

    751United KingdomSwaption - Interest RateOptionSWAPTION GBPSWN 2Y30Y 01APR16-01APR46 4.000.00IGNIS SWPTSWAPTION_123726GBPNULLLTAA1129579118BNY Mellon1.7022GBP1.00001.5794245600000.00001.0000007133538.00004180701.44007133538.00004180701.44000-2952836.56000.0000U.K. poundSwaption - Interest RateGBUnited KingdomSWAPTION GBPSWN 2Y30Y 01APR16-01APR46 4.00IL30IL302014-06-30 00:00:00.000

    752United KingdomSwaption - Interest RateOptionOTC Swaption: European 197300000 GBP 2.13% 21-MAY-2015 LIBO0.00IGNIS-SWAPTION-128380NULLLTAA1130183802BNY Mellon0.4381GBP1.00000.41704229500000.00001.00000024414553.590018529016.550024414553.590018529016.55000-5885537.04000.0000U.K. poundSwaption - Interest RateGBUnited KingdomOTC Swaption: European 197300000 GBP 2.13% 21-MAY-2015 LIBOR 6MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    753United States of AmericaCaps/FloorsOptionCAPFLOOR USDICAP 3% 5X10 CAP 14APR19-240.00IL CAP_124379 14-Apr-24NULLD140596523576.CAPABNY Mellon2.9899USD0.58483.0061-196.00000.587700-6290750.0100-5860298.5600-3748046.5500-3427375.83000251748.080068922.6400U.S. DollarsCaps and FloorsUSUnited States of AmericaCAPFLOOR USDICAP 3% 5X10 CAP 14APR19-24IL30IL302014-06-30 00:00:00.000

    754United States of AmericaCashCashU.S. Dollars-BNY Mellon-CapitalPayable0.00USDJun 30 2014 1-99NULL1BNY Mellon1.0000USD0.58481.0000-1569764.43000.587700-1569764.4300-1569764.4300-922155.9900-918071.440000.00004084.5500U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL30AAAAUSD Hedged2014-06-30 00:00:00.000

    755United States of AmericaCashCashU.S. Dollars-BNY Mellon-CapitalReceivable0.00USDJun 30 2014 1-100NULL1BNY Mellon1.0000USD0.58481.00003230933.05000.5877003230933.05003230933.05001895787.94001889600.290000.0000-6187.6500U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL30 SI USD Hedged (New)2014-06-30 00:00:00.000

    756United States of AmericaCashCashU.S. Dollars-BNY Mellon-OnHand0.00USDJun 30 2014 1-101NULL1BNY Mellon1.0000USD0.58481.000029698823.57000.58770029698823.570029698823.570014846942.230017369256.700000.00002522314.4700U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL302014-06-30 00:00:00.000

    757United States of AmericaCashCashU.S. Dollars-Merrill Lynch-OnHand0.00USDJun 30 2014 1-102NULL1Merrill Lynch1.0000USD0.58481.000012979339.43000.58770012979339.430012979339.43008878398.23007590922.830000.0000-1287475.4000U.S. DollarsCash and EquivalentsUSUnited States of AmericaUnited States of America DollarsusdIL30IL302014-06-30 00:00:00.000

    758United States of AmericaFuture-BondFuturesUS 5YR NOTE (CBT) Sep140.00FVU4NULLMerrill Lynch119.4609USD0.5848119.3906-4508.00000.5877000.0000-1357641.93000.0000-794012.31000-794012.31000.0000U.S. DollarsFuture-BondUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    759United States of AmericaFuture-BondFuturesUS 2YR NOTE (CBT) Sep140.00TUU4NULLMerrill Lynch109.7969USD0.5848109.7813-6691.00000.5877000.0000627281.25000.0000366863.32000366863.32000.0000U.S. DollarsFuture-BondUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    760United States of AmericaFuture-BondFuturesUS 10YR NOTE (CBT)Sep140.00TYU4NULLMerrill Lynch125.1719USD0.5848125.0938-5630.00000.5877000.00001687.48000.0000986.92000986.92000.0000U.S. DollarsFuture-BondUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    761United States of AmericaIFSSwap142750-Infl Swap: Flo/Fix: P41200000USD IrregularSpd 0% R41200000USD Irregular@2.455% (02/04/14-02/04/24)0IGNIS 123659USDNULL1.80E+12BNY Mellon98.6263USD0.584898.615941200000.00000.58770041200000.000040634041.870024712833.280024381834.58000-330998.70000.0000U.S. DollarsInflation SwapUSUnited States of America142750-Infl Swap: Flo/Fix: P41200000USD IrregularSpd 0% R41200000USD Irregular@2.455% (02/04/14-02/04/24)IL30IL302014-06-30 00:00:00.000

    762United States of AmericaIFSSwap143262-Infl Swap: Flo/Fix: P68300000USD Irregular@0% R68300000USD Irregular 2.455% (03/04/14-07/04/24)0IGNIS 123851USDNULL1.80E+12BNY Mellon98.6036USD0.584898.592568300000.00000.58770068300000.000067346243.980041176825.220040619024.23000-557800.99000.0000U.S. DollarsInflation SwapUSUnited States of America143262-Infl Swap: Flo/Fix: P68300000USD Irregular@0% R68300000USD Irregular 2.455% (03/04/14-07/04/24)IL30IL302014-06-30 00:00:00.000

    763United States of AmericaIFSSwap145276-Infl Swap: Fix/Flo: P4000000USD Irregular@2.1025% R4000000USD IrregularSpd 0% (23/04/14-23/04/19)0IGNIS 124719USDNULL1.80E+12BNY Mellon98.6963USD0.584898.7262-82000000.00000.587700-82000000.0000-80930942.2200-48783389.8500-48158155.01000625234.83000.0000U.S. DollarsInflation SwapUSUnited States of America145276-Infl Swap: Fix/Flo: P4000000USD Irregular@2.1025% R4000000USD IrregularSpd 0% (23/04/14-23/04/19)IL30IL302014-06-30 00:00:00.000

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    779United States of AmericaIRSSwapIRS: Flo/Fix: USD FIXED 3.7325% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 22Mar433.7397125IL01IRSUSDNULLLTAA1126905289BNY Mellon98.9859USD0.584898.746150000000.00000.58770050000000.000049492965.000033041467.040032744929.33000-296537.70000.0000U.S. DollarsInterest Rate SwapUSUnited States of AmericaIRS: Flo/Fix: USD FIXED 3.7325% SEMI-ANNUAL VS 3MONTH BBILLS ACT/360 22Mar43IL30IL302014-06-30 00:00:00.000

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    804United States of AmericaRepoMoneyMarketREPO TII 1 3/8 07/15/18 (GB*) US912828JE190.15IGNIS 127835 REPONULLBNY Mellon100.0000USD0.5848100.0000-10546800.00000.587700-10546800.0000-10546800.0000-6292276.9400-6168260.3700-488.320.0000124016.5700U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 1 3/8 07/15/18 (GB*) US912828JE19IL30IL302014-06-30 00:00:00.000

    805United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/18 (~~) US912828UX600.15IGNIS 127836 REPONULLBNY Mellon100.0000USD0.5848100.0000-9254080.00000.587700-9254080.0000-9254080.0000-5521033.3200-5412217.4500-428.470.0000108815.8700U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/18 (~~) US912828UX60IL30IL302014-06-30 00:00:00.000

    806United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.22IGNIS 128069 REPONULLBNY Mellon100.0000USD0.5848100.0000-54376960.78000.587700-54376960.7800-54376960.7800-32285563.7700-31802181.9300-2915.20.0000483381.8400U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    807United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.22IGNIS 128070 REPONULLBNY Mellon100.0000USD0.5848100.0000-54376960.78000.587700-54376960.7800-54376960.7800-32285563.7700-31802181.9300-2915.20.0000483381.8400U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    808United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.22IGNIS 128071 REPONULLBNY Mellon100.0000USD0.5848100.0000-5437696.08000.587700-5437696.0800-5437696.0800-3228556.3800-3180218.1900-291.520.000048338.1900U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    809United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128072 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    810United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128073 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    811United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128074 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    812United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128075 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    813United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128076 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    814United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128077 REPONULLBNY Mellon100.0000USD0.5848100.0000-53952941.18000.587700-53952941.1800-53952941.1800-32033808.0300-31554195.5000-2892.470.0000479612.5300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    815United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.22IGNIS 128078 REPONULLBNY Mellon100.0000USD0.5848100.0000-39784898.82000.587700-39784898.8200-39784898.8200-23621730.0400-23268063.7600-2132.910.0000353666.2800U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    816United States of AmericaSwaption - Interest RateOptionUSDSWN 1Y5Y5Y 9SEP19-9SEP24 4.6650.00108158NULLSWOPT031693018655BNY Mellon0.0002USD0.58480.0001-500000000.00000.587700-9025000.0000-1096.0000-5789152.9600-640.990005277599.7900510912.1800U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 1Y5Y5Y 9SEP19-9SEP24 4.665IL30IL302014-06-30 00:00:00.000

    817United States of AmericaSwaption - Interest RateOptionUSDSWN 1Y5Y5Y 10SEP19-10SEP24 4.6430.00108237NULLLTAA1127973878BNY Mellon0.0002USD0.58480.0001-750000000.00000.587700-13350000.0000-1865.0000-8541813.3000-1090.740007806611.6900734110.8700U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 1Y5Y5Y 10SEP19-10SEP24 4.643IL30IL302014-06-30 00:00:00.000

    818United States of AmericaSwaption - Interest RateOptionUSDSWN 1Y5Y5Y 17SEP19-17SEP24 4.6150.00108720NULLLTAA1128022942BNY Mellon0.0006USD0.58480.0005-250000000.00000.587700-4500000.0000-1606.0000-2836253.6200-939.260002630870.5400204443.8200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    819United States of AmericaSwaption - Interest RateOptionUSDSWN 18M5Y5Y 26MAR20-26MAR25 4.490.00109453NULLLTAA1128095736BNY Mellon0.2072USD0.58480.2192-750000000.00000.587700-16162500.0000-1553734.0000-10111357.8800-908696.080008543887.4800658774.3200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 18M5Y5Y 26MAR20-26MAR25 4.49IL30IL302014-06-30 00:00:00.000

    820United States of AmericaSwaption - Interest RateOptionUSDSWN 2Y3Y 07OCT15-7OCT18 2.25750.00110105NULLSWOPT031693081560BNY Mellon1.5758USD0.58481.5577-750000000.00000.587700-11737500.0000-11818492.0000-7258588.1700-6912005.15000-47367.9000393950.9200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 2Y3Y 07OCT15-7OCT18 2.2575IL30IL302014-06-30 00:00:00.000

    821United States of AmericaSwaption - Interest RateOptionUSDSWN 2Y3Y 07OCT15-7OCT18 2.2575 20.00110106NULLSWOPT031693081564BNY Mellon1.5758USD0.58481.5577-750000000.00000.587700-11737500.0000-11818492.0000-7258588.1700-6912005.15000-47367.9000393950.9200U.S. DollarsSwaption - Interest RateUSUnited States of AmericaUSDSWN 2Y3Y 07OCT15-7OCT18 2.2575 2IL30IL302014-06-30 00:00:00.000

    822United States of AmericaSwaption - Interest RateOptionUSDSWN 3Y4Y PAYER 09FEB15-09FEB19 2.3920.0069255NULL469847063BNY Mellon0.2353USD0.58480.2545253500000.00000.5877005741775.0000596362.00003624265.3500348780.30000-3009277.4200-266207.6300U.S. DollarsSwaption - Interest RateUSUnited States of AmericaIL30IL302014-06-30 00:00:00.000

    823United States of AmericaSwaption - Interest RateOptionSwaption: European USD .73% 10-APR-2015 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDON0.00IGNIS SWPT124371USDNULLLTAA1129666909BNY Mellon0.1391USD0.58480.14389811000000.00000.58770020508099.980013648082.100012218456.53007982034.74000-4012058.3000-224363.4900U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSwaption: European USD .73% 10-APR-2015 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    824United States of AmericaSwaption - Interest RateOptionSwaption: European USD .735% 10-APR-2015 LIBOR 3MONTH 0bps ROYAL BANK OF SCOTLAND0.00IGNIS SWPT124374USDNULLSWOPT141693563869BNY Mellon0.1374USD0.58480.14194905000000.00000.5877009996500.00006737998.50005955870.31003940695.67000-1905723.6000-109451.0400U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSwaption: European USD .735% 10-APR-2015 LIBOR 3MONTH 0bps ROYAL BANK OF SCOTLANDIL30IL302014-06-30 00:00:00.000

    825United States of AmericaSwaption - Interest RateOptionSWAPTION Swaption: European 187000000 USD .82% 23-APR-2015 L0.00IGNIS SWPT124877USDNULLLTAA1129742134BNY Mellon0.1286USD0.58480.13259813000000.00000.58770021620974.970012618536.700012880569.01007379908.58000-5265045.6300-235614.8000U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION Swaption: European 187000000 USD .82% 23-APR-2015 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    826United States of AmericaSwaption - Interest RateOptionSWAPTION Swaption: European 4689000000 USD .82875% 28-APR-200.00IGNIS SWPT125167USDNULLSA82KBNY Mellon0.1329USD0.58480.13694910000000.00000.58770010825024.99006526372.00006437963.21003816926.63000-2514052.6900-106983.8900U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION Swaption: European 4689000000 USD .82875% 28-APR-2015 LIBOR 3MONTH 0bps MORGAN STANLEY LONDIL30IL302014-06-30 00:00:00.000

    827United States of AmericaSwaption - Interest RateOptionSWAPTION Swaption: European 300000000 USD 2.613% 03-JUN-20160.00IGNIS SWPT127455USDNULLLTAA1130061659BNY Mellon0.5352USD0.58480.5446-7057000000.00000.587700-39348200.0000-37769769.7000-23493817.3300-22089522.29000923139.6300481155.4100U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION Swaption: European 300000000 USD 2.613% 03-JUN-2016 LIBOR 3MONTH 0bps GOLDMAN SACHS LONDONIL30IL302014-06-30 00:00:00.000

    828United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 2Y2Y 10FEB16-10FEB18 1.440.00IGNIS SWPTSWAPTION_119994USDNULLLTAA1129224967BNY Mellon0.3747USD0.58480.3691-5877900000.00000.587700-28159462.5000-22024317.7600-17150091.5500-12880847.890003588118.6900681124.9700U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 2Y2Y 10FEB16-10FEB18 1.44IL30IL302014-06-30 00:00:00.000

    829United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 1Y2Y1Y 20FEB15 24FEB17-18 2.3250.00IGNIS SWPTSWAPTION_120731USDNULLLTAA1129338671BNY Mellon0.2810USD0.58480.2817-9812700000.00000.587700-28879537.5000-27570743.1900-17320476.2700-16124656.08000765443.9300430376.2600U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 1Y2Y1Y 20FEB15 24FEB17-18 2.325IL30IL302014-06-30 00:00:00.000

    830United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.190.00IGNIS SWPTSWAPTION_123409USDNULL7.06E+11BNY Mellon2.2256USD0.58482.2215245600000.00000.5877003328225.00005465975.36002006860.29003196757.230001250256.0900-60359.1500U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.19IL30IL302014-06-30 00:00:00.000

    831United States of AmericaSwaption - Interest RateOptionSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.19 P0.00IGNIS SWPTSWAPTION_123413USDNULL7.06E+11BNY Mellon0.4748USD0.58480.5022245600000.00000.5877003328225.00001166084.24002006860.2900681980.43000-1264520.7200-60359.1400U.S. DollarsSwaption - Interest RateUSUnited States of AmericaSWAPTION USDSWN 1Y5Y5Y 26MAR15 4.19 PIL30IL302014-06-30 00:00:00.000

    832United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 1.375 15/07/20181.38912828JE1NULLBNY Mellon109.3281USD0.5848109.3125102012256.00000.587700110819806.4000111528061.300065998410.350065226810.1100378446.88358290.3400-1185820.7300U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828JE19IL30IL302014-06-30 00:00:00.000

    833United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.5 15/04/20150.5912828MY3NULLBNY Mellon101.4961USD0.5848101.5117132134664.00000.587700133133656.4000134111530.700082417900.610078434675.970081290.23204281.8900-4555131.1600U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828MY36IL30IL302014-06-30 00:00:00.000

    834United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.125 15/04/20160.13912828QD5NULLBNY Mellon102.6836USD0.5848102.7109485272230.40000.587700493286479.1000498294996.0000302626179.9000291426146.100074635.75110484.4800-14129247.9600U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828QD52IL30IL302014-06-30 00:00:00.000

    835United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.125 15/04/20170.13912828SQ4NULLBNY Mellon103.4961USD0.5848103.4961392412400.00000.587700403669986.9000406131529.9000240408544.4000237524654.100060353.791081630.3800-4323515.4900U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828SQ48IL30IL302014-06-30 00:00:00.000

    836United States of AmericaTIPSDebt InstrumentsUnited States Treasury Inflation Indexed Bonds 0.125 15/04/20180.13912828UX6NULLBNY Mellon103.3516USD0.5848103.339895162688.00000.58770097654842.820098352113.080058158054.460057520901.290014636.2310785.4900-1044949.3100U.S. DollarsTreasury Inflation Protected SecuritiesUSUnited States of AmericaGovernmentSovereignSovereign_siUS912828UX60IL30IL302014-06-30 00:00:00.000

    ok...we have a start....we can create your table, however the sample data isn't helping....please provide an INSERT script as I demonstrated...suggest you use say 10 rows that fully demonstrates your problem...then we need you expected results please.....

    ________________________________________________________________
    you can lead a user to data....but you cannot make them think
    and remember....every day is a school day