Removing certain text from a column

  • Hi

    i have been asked to do the following

    b.If Asset Type = ‘IRS’ or ‘IFS’

    i.Remove any leading text ‘IRS: Flo/Fix: ‘ or ‘IRS: Fix/Flo: ‘ or ‘INF SWAP: Flo/Fix: ‘ or ‘INF SWAP: Fix/Flo: ‘ or ‘IFS: INF: ‘ or ‘IFS: Flo/Fix: ‘ or ‘INF SWAP: Flo/Fix ‘

    ii.Remove the proceeding text that starts with ‘ACT’

    here is some example data from column

    IRS: Fix/Flo: EUR FIXED 2.2795% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC22

    IRS: Fix/Flo: EUR FIXED 2.59% 30/360 VS FLOATING FRCPI Index ACT/360 17Jan23

    127869-IRS: Flo/Fix: P140000000EUR IrregularSpd 0% R14000000

    IFS: INF: EUR Fixed 1.955% VS FRCPXTOB Index ACT/365 15Nov23

    INF SWAP: Flo/Fix EUR Fixed 1.8475% 30/360 VS CPTFEMU ACT/360 21Nov25

    138761-IRS: Flo/Fix: P107000000EUR IrregularSpd 0% R107000000EUR

    139863-IRS: Fix/Flo: EUR Irregular@1.04% EUR IrregularSpd 0% (13/03/14-13/03/17)

    140384-IRS: Flo/Fix: P138639000EUR IrregularSpd 0% R138639000EUR Irregular@1.745% (18/03/14-18/03/26)

  • OK. Problem?

    If you haven't even tried to resolve your issue, please don't expect the hard-working volunteers here to waste their time providing links to answers which you could easily have found yourself.

  • im new to ssis so i dont really know how i can do this, so looking for advice help to do this

  • im new to ssis so i dont really know how i can do this, so looking for advice help to do this

  • What is the nature of this data - a flat file?

    And you want to clean the data as part of an import to a db - is that right?

    If you haven't even tried to resolve your issue, please don't expect the hard-working volunteers here to waste their time providing links to answers which you could easily have found yourself.

  • sorry should have stated that but yes you have it spot on it reads in a flat file then i clean it up and into a db table

  • It's going to be tricky for a newbie, because the data seems to vary by 'type' and some techniques are required to get you through that.

    Do you know what your intended output columns are? Do they vary by record type?

    If you haven't even tried to resolve your issue, please don't expect the hard-working volunteers here to waste their time providing links to answers which you could easily have found yourself.

  • yes its just going from 1 column in flat file to 1 column in a table just with the new fix up data.

    so say its security name in the flat file and there is a column in table called security name and thats where it will end up depending on if it match the assetType= "ifs"

    asset type is a different column all right

  • ronan.healy (7/30/2014)


    yes its just going from 1 column in flat file to 1 column in a table just with the new fix up data.

    so say its security name in the flat file and there is a column in table called security name and thats where it will end up

    OK, great - so we're just dealing with a piece of text.

    But imagine a single table full of these text chunks - not that useful, surely? So...

    Will the target table have other stuff in it?

    If so, how will you know which target row to update, based on the source data?

    If you haven't even tried to resolve your issue, please don't expect the hard-working volunteers here to waste their time providing links to answers which you could easily have found yourself.

  • every column in flat file has a coulmn connected to it in the db table.

    and i have actually made a mistake. they way i was doing it is i read in flat file and that goes to a temp table. then from that table to my production table is where i want these changes to occur. does this make it any easier. sorry again for leaving this part out i thought it was coming straight from flat file source.

    so it will go to the assettype column look up the word IFS and if it finds it makes the changes and enters it into new table

  • anyone any ideas on this. need to try get this sorted this week if possible

  • ronan.healy (8/5/2014)


    anyone any ideas on this. need to try get this sorted this week if possible

    it will be a whole lot easier for us if you were to post some script that actually shows your tables structure and some sample data ......also post example of the expected result based on the sample data.

    as a start .......please expand on this to fully explain what columns you have and what you are requiring

    CREATE TABLE [dbo].[flatfile](

    [securityname] [varchar](8000) NULL

    ) ON [PRIMARY]

    INSERT INTO [flatfile] ([securityname])VALUES('IRS: Fix/Flo: EUR FIXED 2.2795% ACT/ACT ANNUAL VS FRCPI ACT/365 24DEC22')

    INSERT INTO [flatfile] ([securityname])VALUES('IRS: Fix/Flo: EUR FIXED 2.59% 30/360 VS FLOATING FRCPI Index ACT/360 17Jan23')

    INSERT INTO [flatfile] ([securityname])VALUES('127869-IRS: Flo/Fix: P140000000EUR IrregularSpd 0% R14000000')

    INSERT INTO [flatfile] ([securityname])VALUES('IFS: INF: EUR Fixed 1.955% VS FRCPXTOB Index ACT/365 15Nov23')

    INSERT INTO [flatfile] ([securityname])VALUES('INF SWAP: Flo/Fix EUR Fixed 1.8475% 30/360 VS CPTFEMU ACT/360 21Nov25')

    INSERT INTO [flatfile] ([securityname])VALUES('138761-IRS: Flo/Fix: P107000000EUR IrregularSpd 0% R107000000EUR')

    INSERT INTO [flatfile] ([securityname])VALUES('139863-IRS: Fix/Flo: EUR Irregular@1.04% EUR IrregularSpd 0% (13/03/14-13/03/17)')

    INSERT INTO [flatfile] ([securityname])VALUES('140384-IRS: Flo/Fix: P138639000EUR IrregularSpd 0% R138639000EUR Irregular@1.745% (18/03/14-18/03/26)')

    select securityname from flatfile

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

  • 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

    47GermanyFuture-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

    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

    51JapanCashCashJapanese yen-BNY Mellon-OnHand0.00JPYJun 30 2014 1-10NULL1BNY Mellon1.0000JPY0.00581.00007251153.57000.0058007251153.57007251153.5700-137824.570041861.840000.0000179686.4100Japanese yenCash and EquivalentsJPJapanIL30IL302014-06-30 00:00:00.000

    52JapanCashCashJapanese yen-BNY Mellon-Receivable0.00JPYJun 30 2014 1-11NULL1BNY Mellon1.0000JPY0.00581.0000111370633.00000.005800111370633.0000111370633.0000645627.9800642956.800000.0000-2671.1800Japanese yenCash and EquivalentsJPJapanIL30IL302014-06-30 00:00:00.000

    53JapanIRSSwap144528-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

    54JapanIRSSwap144832-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

    55JapanIRSSwap144835-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

    56JapanIRSSwap144922-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

    57JapanIRSSwap149884-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

    58JapanIRSSwap149869-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

    59JapanIRSSwap150969-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

    60New ZealandCashCashNew Zealand dollar-BNY Mellon-OnHand0.00NZDJun 30 2014 1-12NULL1BNY Mellon1.0000NZD0.51211.00001.00000.5153001.00001.00000.51000.510000.00000.0000New Zealand dollarCash and EquivalentsNZNew ZealandIL30IL302014-06-30 00:00:00.000

    61NorwayCashCashNorwegian krone-BNY Mellon-OnHand0.00NOKJun 30 2014 1-13NULL1BNY Mellon1.0000NOK0.09531.00001.53000.0958001.53001.53009950.98000.150000.0000-9950.8300Norwegian kroneCash and EquivalentsNONorwayIL30IL302014-06-30 00:00:00.000

    62SwedenCashCashSwedish krona-BNY Mellon-CapitalReceivable0.00SEKJun 30 2014 1-14NULL1BNY Mellon1.0000SEK0.08751.0000160953.00000.087300160953.0000160953.000014061.510014080.460000.000018.9500Swedish kronaCash and EquivalentsSESwedenIL30IL30 I SEK Hedged (New)2014-06-30 00:00:00.000

    63SwedenCashCashSwedish krona-BNY Mellon-OnHand0.00SEKJun 30 2014 1-15NULL1BNY Mellon1.0000SEK0.08751.0000-204.84000.087300-204.8400-204.84002862063.5800-17.930000.0000-2862081.5100Swedish kronaCash and EquivalentsSESwedenIL30IL302014-06-30 00:00:00.000

    64SwedenCashCashSwedish krona-BNY Mellon-Payable0.00SEKJun 30 2014 1-16NULL1BNY Mellon1.0000SEK0.08751.0000-54.99000.087300-54.9900-54.9900-4.8100-4.810000.00000.0000Swedish kronaCash and EquivalentsSESwedenIL30IL302014-06-30 00:00:00.000

    65SwitzerlandCashCashSwiss franc-BNY Mellon-CapitalPayable0.00CHFJun 30 2014 1-17NULL1BNY Mellon1.0000CHF0.65951.0000-49234.39000.659700-49234.3900-49234.3900-32456.0000-32470.190000.0000-14.1900Swiss francCash and EquivalentsCHSwitzerlandIL30IL30 I CHF Hedged (New)2014-06-30 00:00:00.000

    66SwitzerlandCashCashSwiss franc-BNY Mellon-CapitalReceivable0.00CHFJun 30 2014 1-18NULL1BNY Mellon1.0000CHF0.65951.0000440554.66000.659700440554.6600440554.6600290375.9800290546.810000.0000170.8300Swiss francCash and EquivalentsCHSwitzerlandIL30IL30AAACHF2014-06-30 00:00:00.000

    67SwitzerlandCashCashSwiss franc-BNY Mellon-OnHand0.00CHFJun 30 2014 1-19NULL1BNY Mellon1.0000CHF0.65951.0000-315.64000.659700-315.6400-315.64007585190.1900-208.170000.0000-7585398.3600Swiss francCash and EquivalentsCHSwitzerlandIL30IL302014-06-30 00:00:00.000

    68SwitzerlandCashCashSwiss franc-BNY Mellon-Payable0.00CHFJun 30 2014 1-20NULL1BNY Mellon1.0000CHF0.65951.0000-83.24000.659700-83.2400-83.2400-54.9000-54.900000.00000.0000Swiss francCash and EquivalentsCHSwitzerlandIL30IL302014-06-30 00:00:00.000

    69United KingdomCaps/FloorsOptionUKRPI YOY FLOOR 11JUL11 - 11JUL410.0058868NULLLTAA1120872954BNY Mellon5.7867GBP1.00005.8028-10.00001.000000-1000000.0000-578669.3700-1000000.0000-578669.37000421330.63000.0000U.K. poundCaps and FloorsGBUnited KingdomUK RPI All Items NSAIL30IL302014-06-30 00:00:00.000

    70United KingdomCaps/FloorsOptionUKRPI YoY Floor 5Oct11-5Oct410.0062276NULLLTAA1122853628BNY Mellon5.8560GBP1.00005.8721-5.00001.000000-594000.0000-292798.7000-594000.0000-292798.70000301201.30000.0000U.K. poundCaps and FloorsGBUnited KingdomHong Kong Hang Seng IndexIL30IL302014-06-30 00:00:00.000

    71United KingdomCashCashU.K. pound-BNY Mellon-AccruedInterestPayable0.00GBPJun 30 2014 1-21NULL1BNY Mellon1.0000GBP1.00001.0000-1169073.27001.000000-1169073.2700-1169073.2700-1169073.2700-1169073.270000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    72United KingdomCashCashU.K. pound-BNY Mellon-AccruedInterestReceivable0.00GBPJun 30 2014 1-22NULL1BNY Mellon1.0000GBP1.00001.0000778396.40001.000000778396.4000778396.4000778396.4000778396.400000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    73United KingdomCashCashU.K. pound-BNY Mellon-CapitalPayable0.00GBPJun 30 2014 1-23NULL1BNY Mellon1.0000GBP1.00001.0000-2382820.39001.000000-2382820.3900-2382820.3900-2382820.3900-2382820.390000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL30 SI GBP DIST2014-06-30 00:00:00.000

    74United KingdomCashCashU.K. pound-BNY Mellon-CapitalReceivable0.00GBPJun 30 2014 1-24NULL1BNY Mellon1.0000GBP1.00001.00002587788.97001.0000002587788.97002587788.97002587788.97002587788.970000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL30 SI GBP DIST2014-06-30 00:00:00.000

    75United KingdomCashCashU.K. pound-BNY Mellon-OnHand0.00GBPJun 30 2014 1-25NULL1BNY Mellon1.0000GBP1.00001.00002053162.00001.0000002053162.00002053162.00002053162.00002053162.000000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    76United KingdomCashCashU.K. pound-BNY Mellon-Payable0.00GBPJun 30 2014 1-26NULL1BNY Mellon1.0000GBP1.00001.0000-186893188.30001.000000-186893188.3000-186893188.3000-186893188.3000-186893188.300000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    77United KingdomCashCashU.K. pound-BNY Mellon-PurchasedAI0.00GBPJun 30 2014 1-27NULL1BNY Mellon1.0000GBP1.00001.00001169073.27001.0000001169073.27001169073.27001169073.27001169073.270000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    78United KingdomCashCashU.K. pound-BNY Mellon-Receivable0.00GBPJun 30 2014 1-28NULL1BNY Mellon1.0000GBP1.00001.0000126095188.70001.000000126095188.7000126095188.7000126095188.7000126095188.700000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    79United KingdomCashCashU.K. pound-BNY Mellon-SoldAI0.00GBPJun 30 2014 1-29NULL1BNY Mellon1.0000GBP1.00001.0000-778396.40001.000000-778396.4000-778396.4000-778396.4000-778396.400000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    80United KingdomCashCashU.K. pound-Merrill Lynch-OnHand0.00GBPJun 30 2014 1-30NULL1Merrill Lynch1.0000GBP1.00001.00001898992.77001.0000001898992.77001898992.77001898992.77001898992.770000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    81United KingdomCorporate BondCashIGNIS GBP LIQUIDITY FUND0B3KQMD5NULLBNY Mellon100.0000GBP1.0000100.0000327798334.80001.000000327081075.7000327798334.8000327081075.7000327798334.80000717259.07000.0000U.K. poundCorporate BondGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    82United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL BARCLAYS0BARCLAYS COLLATERALNULLRBSBNY Mellon100.0000GBP1.0000100.0000-1633000.00001.000000-1633000.0000-1633000.0000-1633000.0000-1633000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL BARCLAYSIL30IL302014-06-30 00:00:00.000

    83United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL CITI0CITI COLLATERAL REPONULLCITIBNY Mellon100.0000GBP1.0000100.0000-1439000.00001.000000-1439000.0000-1439000.0000-1439000.0000-1439000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL CITIIL30IL302014-06-30 00:00:00.000

    84United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL GOLDMAN SACHS0GS COLLATERALNULLBNY Mellon100.0000GBP1.0000100.000017891804.00001.00000017891804.000017891804.000017891804.000017891804.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL GOLDMAN SACHSIL30IL302014-06-30 00:00:00.000

    85United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL HSBC0HSBC COLLATERALNULLBNY Mellon100.0000GBP1.0000100.0000-561000.00001.000000-561000.0000-561000.0000-561000.0000-561000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL HSBCIL30IL302014-06-30 00:00:00.000

    86United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL LLOYDS0LLOYDS COLLATERAL REPONULLBNY Mellon100.0000GBP1.0000100.00002238000.00001.0000002238000.00002238000.00002238000.00002238000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL LLOYDSIL30IL302014-06-30 00:00:00.000

    87United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL MS0MS COLLATERAL REPONULLBNY Mellon100.0000GBP1.0000100.0000-8980000.00001.000000-8980000.0000-8980000.0000-8980000.0000-8980000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL MSIL30IL302014-06-30 00:00:00.000

    88United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL NOMURA GBP0NOMURA COLLATERAL GBPNULLBNY Mellon100.0000GBP1.0000100.000033000.00001.00000033000.000033000.000033000.000033000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL NOMURA GBPIL30IL302014-06-30 00:00:00.000

    89United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL RBS0RBS COLLATERALNULLRBSBNY Mellon100.0000GBP1.0000100.000010360000.42001.00000010360000.420010360000.420010360000.420010360000.420000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL RBSIL30IL302014-06-30 00:00:00.000

    90United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL UBS0UBS COLLATERALNULLBNY Mellon100.0000GBP1.0000100.00005200000.00001.0000005200000.00005200000.00005200000.00005200000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL UBSIL30IL302014-06-30 00:00:00.000

    91United KingdomFuture-BondFuturesLONG GILT FUTURE Sep140.00G U4NULLMerrill Lynch109.9200GBP1.0000110.2700-416.00001.0000000.0000131360.00000.0000131360.00000131360.00000.0000U.K. poundFuture-BondGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    92United KingdomFuture-BondFuturesULTRA LONG GILT FUSep140.00UGLU4NULLMerrill Lynch109.9400GBP1.0000110.5000-237.00001.0000000.0000-74880.00000.0000-74880.00000-74880.00000.0000U.K. poundFuture-BondGBUnited KingdomIL30IL302014-06-30 00:00:00.000

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    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

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    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

    226United States of AmericaIRSSwap152769-IRS: Fix/Flo: P200000000USD Semi-annual@3.7525% R200000000USD QuarterlySpd 0% (10/06/19-10/06/24)3.75IGNIS 127611USDNULLLTAA1127385867BNY Mellon100.2628USD0.5848100.2522-200000000.00000.587700-200000000.0000-200525640.0000-119111428.7000-119418847.50000-307418.78000.0000U.S. DollarsInterest Rate SwapUSUnited States of America152769-IRS: Fix/Flo: P200000000USD Semi-annual@3.7525% R200000000USD QuarterlySpd 0% (10/06/19-10/06/24)IL30IL302014-06-30 00:00:00.000

    227United States of AmericaIRSSwap153535-IRS: Flo/Fix: P56400000USD QuarterlySpd 0% R56400000USD Semi-annual@3.94125% (11/06/29-11/06/44)3.94IGNIS 127787USDNULLLTAA1130110946BNY Mellon100.8166USD0.5848100.552256400000.00000.58770056400000.000056860562.400033583422.650033852781.02000269358.37000.0000U.S. DollarsInterest Rate SwapUSUnited States of America153535-IRS: Flo/Fix: P56400000USD QuarterlySpd 0% R56400000USD Semi-annual@3.94125% (11/06/29-11/06/44)IL30IL302014-06-30 00:00:00.000

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    231United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.15IGNIS 127572 REPONULLBNY Mellon100.0000USD0.5848100.0000-7537147.06000.587700-7537147.0600-7537147.0600-4488801.7700-4408075.0100-404.070.000080726.7600U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    232United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127761 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

    233United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127762 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

    234United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127763 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

    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

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    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

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    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

    333JapanIRSSwap144835-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

    334JapanIRSSwap144922-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

    335JapanIRSSwap149884-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

    336JapanIRSSwap149869-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

    337JapanIRSSwap150969-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

    338New ZealandCashCashNew Zealand dollar-BNY Mellon-OnHand0.00NZDJun 30 2014 1-46NULL1BNY Mellon1.0000NZD0.51211.00001.00000.5153001.00001.00000.51000.510000.00000.0000New Zealand dollarCash and EquivalentsNZNew ZealandIL30IL302014-06-30 00:00:00.000

    339NorwayCashCashNorwegian krone-BNY Mellon-OnHand0.00NOKJun 30 2014 1-47NULL1BNY Mellon1.0000NOK0.09531.00001.53000.0958001.53001.53009950.98000.150000.0000-9950.8300Norwegian kroneCash and EquivalentsNONorwayIL30IL302014-06-30 00:00:00.000

    340SwedenCashCashSwedish krona-BNY Mellon-CapitalReceivable0.00SEKJun 30 2014 1-48NULL1BNY Mellon1.0000SEK0.08751.0000160953.00000.087300160953.0000160953.000014061.510014080.460000.000018.9500Swedish kronaCash and EquivalentsSESwedenIL30IL30 I SEK Hedged (New)2014-06-30 00:00:00.000

    341SwedenCashCashSwedish krona-BNY Mellon-OnHand0.00SEKJun 30 2014 1-49NULL1BNY Mellon1.0000SEK0.08751.0000-204.84000.087300-204.8400-204.84002862063.5800-17.930000.0000-2862081.5100Swedish kronaCash and EquivalentsSESwedenIL30IL302014-06-30 00:00:00.000

    342SwedenCashCashSwedish krona-BNY Mellon-Payable0.00SEKJun 30 2014 1-50NULL1BNY Mellon1.0000SEK0.08751.0000-54.99000.087300-54.9900-54.9900-4.8100-4.810000.00000.0000Swedish kronaCash and EquivalentsSESwedenIL30IL302014-06-30 00:00:00.000

    343SwitzerlandCashCashSwiss franc-BNY Mellon-CapitalPayable0.00CHFJun 30 2014 1-51NULL1BNY Mellon1.0000CHF0.65951.0000-49234.39000.659700-49234.3900-49234.3900-32456.0000-32470.190000.0000-14.1900Swiss francCash and EquivalentsCHSwitzerlandIL30IL30 I CHF Hedged (New)2014-06-30 00:00:00.000

    344SwitzerlandCashCashSwiss franc-BNY Mellon-CapitalReceivable0.00CHFJun 30 2014 1-52NULL1BNY Mellon1.0000CHF0.65951.0000440554.66000.659700440554.6600440554.6600290375.9800290546.810000.0000170.8300Swiss francCash and EquivalentsCHSwitzerlandIL30IL30AAACHF2014-06-30 00:00:00.000

    345SwitzerlandCashCashSwiss franc-BNY Mellon-OnHand0.00CHFJun 30 2014 1-53NULL1BNY Mellon1.0000CHF0.65951.0000-315.64000.659700-315.6400-315.64007585190.1900-208.170000.0000-7585398.3600Swiss francCash and EquivalentsCHSwitzerlandIL30IL302014-06-30 00:00:00.000

    346SwitzerlandCashCashSwiss franc-BNY Mellon-Payable0.00CHFJun 30 2014 1-54NULL1BNY Mellon1.0000CHF0.65951.0000-83.24000.659700-83.2400-83.2400-54.9000-54.900000.00000.0000Swiss francCash and EquivalentsCHSwitzerlandIL30IL302014-06-30 00:00:00.000

    347United KingdomCaps/FloorsOptionUKRPI YOY FLOOR 11JUL11 - 11JUL410.0058868NULLLTAA1120872954BNY Mellon5.7867GBP1.00005.8028-10.00001.000000-1000000.0000-578669.3700-1000000.0000-578669.37000421330.63000.0000U.K. poundCaps and FloorsGBUnited KingdomUK RPI All Items NSAIL30IL302014-06-30 00:00:00.000

    348United KingdomCaps/FloorsOptionUKRPI YoY Floor 5Oct11-5Oct410.0062276NULLLTAA1122853628BNY Mellon5.8560GBP1.00005.8721-5.00001.000000-594000.0000-292798.7000-594000.0000-292798.70000301201.30000.0000U.K. poundCaps and FloorsGBUnited KingdomHong Kong Hang Seng IndexIL30IL302014-06-30 00:00:00.000

    349United KingdomCashCashU.K. pound-BNY Mellon-AccruedInterestPayable0.00GBPJun 30 2014 1-55NULL1BNY Mellon1.0000GBP1.00001.0000-1169073.27001.000000-1169073.2700-1169073.2700-1169073.2700-1169073.270000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    350United KingdomCashCashU.K. pound-BNY Mellon-AccruedInterestReceivable0.00GBPJun 30 2014 1-56NULL1BNY Mellon1.0000GBP1.00001.0000778396.40001.000000778396.4000778396.4000778396.4000778396.400000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    351United KingdomCashCashU.K. pound-BNY Mellon-CapitalPayable0.00GBPJun 30 2014 1-57NULL1BNY Mellon1.0000GBP1.00001.0000-2382820.39001.000000-2382820.3900-2382820.3900-2382820.3900-2382820.390000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL30 SI GBP DIST2014-06-30 00:00:00.000

    352United KingdomCashCashU.K. pound-BNY Mellon-CapitalReceivable0.00GBPJun 30 2014 1-58NULL1BNY Mellon1.0000GBP1.00001.00002587788.97001.0000002587788.97002587788.97002587788.97002587788.970000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL30 SI GBP DIST2014-06-30 00:00:00.000

    353United KingdomCashCashU.K. pound-BNY Mellon-OnHand0.00GBPJun 30 2014 1-59NULL1BNY Mellon1.0000GBP1.00001.00002053162.00001.0000002053162.00002053162.00002053162.00002053162.000000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    354United KingdomCashCashU.K. pound-BNY Mellon-Payable0.00GBPJun 30 2014 1-60NULL1BNY Mellon1.0000GBP1.00001.0000-186893188.30001.000000-186893188.3000-186893188.3000-186893188.3000-186893188.300000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    355United KingdomCashCashU.K. pound-BNY Mellon-PurchasedAI0.00GBPJun 30 2014 1-61NULL1BNY Mellon1.0000GBP1.00001.00001169073.27001.0000001169073.27001169073.27001169073.27001169073.270000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    356United KingdomCashCashU.K. pound-BNY Mellon-Receivable0.00GBPJun 30 2014 1-62NULL1BNY Mellon1.0000GBP1.00001.0000126095188.70001.000000126095188.7000126095188.7000126095188.7000126095188.700000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    357United KingdomCashCashU.K. pound-BNY Mellon-SoldAI0.00GBPJun 30 2014 1-63NULL1BNY Mellon1.0000GBP1.00001.0000-778396.40001.000000-778396.4000-778396.4000-778396.4000-778396.400000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    358United KingdomCashCashU.K. pound-Merrill Lynch-OnHand0.00GBPJun 30 2014 1-64NULL1Merrill Lynch1.0000GBP1.00001.00001898992.77001.0000001898992.77001898992.77001898992.77001898992.770000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    359United KingdomCorporate BondCashIGNIS GBP LIQUIDITY FUND0B3KQMD5NULLBNY Mellon100.0000GBP1.0000100.0000327798334.80001.000000327081075.7000327798334.8000327081075.7000327798334.80000717259.07000.0000U.K. poundCorporate BondGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    360United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL BARCLAYS0BARCLAYS COLLATERALNULLRBSBNY Mellon100.0000GBP1.0000100.0000-1633000.00001.000000-1633000.0000-1633000.0000-1633000.0000-1633000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL BARCLAYSIL30IL302014-06-30 00:00:00.000

    361United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL CITI0CITI COLLATERAL REPONULLCITIBNY Mellon100.0000GBP1.0000100.0000-1439000.00001.000000-1439000.0000-1439000.0000-1439000.0000-1439000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL CITIIL30IL302014-06-30 00:00:00.000

    362United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL GOLDMAN SACHS0GS COLLATERALNULLBNY Mellon100.0000GBP1.0000100.000017891804.00001.00000017891804.000017891804.000017891804.000017891804.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL GOLDMAN SACHSIL30IL302014-06-30 00:00:00.000

    363United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL HSBC0HSBC COLLATERALNULLBNY Mellon100.0000GBP1.0000100.0000-561000.00001.000000-561000.0000-561000.0000-561000.0000-561000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL HSBCIL30IL302014-06-30 00:00:00.000

    364United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL LLOYDS0LLOYDS COLLATERAL REPONULLBNY Mellon100.0000GBP1.0000100.00002238000.00001.0000002238000.00002238000.00002238000.00002238000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL LLOYDSIL30IL302014-06-30 00:00:00.000

    365United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL MS0MS COLLATERAL REPONULLBNY Mellon100.0000GBP1.0000100.0000-8980000.00001.000000-8980000.0000-8980000.0000-8980000.0000-8980000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL MSIL30IL302014-06-30 00:00:00.000

    366United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL NOMURA GBP0NOMURA COLLATERAL GBPNULLBNY Mellon100.0000GBP1.0000100.000033000.00001.00000033000.000033000.000033000.000033000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL NOMURA GBPIL30IL302014-06-30 00:00:00.000

    367United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL RBS0RBS COLLATERALNULLRBSBNY Mellon100.0000GBP1.0000100.000010360000.42001.00000010360000.420010360000.420010360000.420010360000.420000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL RBSIL30IL302014-06-30 00:00:00.000

    368United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL UBS0UBS COLLATERALNULLBNY Mellon100.0000GBP1.0000100.00005200000.00001.0000005200000.00005200000.00005200000.00005200000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL UBSIL30IL302014-06-30 00:00:00.000

    369United KingdomFuture-BondFuturesLONG GILT FUTURE Sep140.00G U4NULLMerrill Lynch109.9200GBP1.0000110.2700-416.00001.0000000.0000131360.00000.0000131360.00000131360.00000.0000U.K. poundFuture-BondGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    370United KingdomFuture-BondFuturesULTRA LONG GILT FUSep140.00UGLU4NULLMerrill Lynch109.9400GBP1.0000110.5000-237.00001.0000000.0000-74880.00000.0000-74880.00000-74880.00000.0000U.K. poundFuture-BondGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    371United KingdomFuture-BondFuturesSHORT GILT FUTURE Sep140.00WBU4NULLMerrill Lynch103.5000GBP1.0000103.5400106.00001.0000000.0000-1060.00000.0000-1060.00000-1060.00000.0000U.K. poundFuture-BondGBUnited KingdomIL30IL302014-06-30 00:00:00.000

    372United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt 4 29/01/494216346NULLBNY Mellon98.3100GBP1.000099.05009855262.00001.0000009870044.89009688708.07009870044.89009688708.0700163346.88-180464.11000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB0002163466IL30IL302014-06-30 00:00:00.000

    373United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt Inflation Linked 2.5 07/26/162.5907532NULLBNY Mellon108.5114GBP1.0000108.5697824754031.80001.000000900781814.0000894952023.1000900781814.0000894952023.10008885471.62-2541461.03000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB0009075325IL30IL302014-06-30 00:00:00.000

    374United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt 3.5 29/12/493.5938628NULLBNY Mellon84.5400GBP1.000085.150023000000.00001.00000021632756.600019444200.000021632756.600019444200.000065983.6-2266507.09000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB0009386284IL30IL302014-06-30 00:00:00.000

    375United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt Inflation Linked 1.25 22/11/20171.25B0V3WQ7NULLBNY Mellon108.7600GBP1.0000108.8600928225481.00001.0000001014071995.00001009538033.00001014071995.00001009538033.00001261175.95-5510864.80000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00B0V3WQ75IL30IL302014-06-30 00:00:00.000

    376United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt 2 22/01/20162B3QCG24NULLBNY Mellon101.7600GBP1.0000101.8000252300000.00001.000000256900382.0000256740480.0000256900382.0000256740480.00002230276.24-51682.92000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00B3QCG246IL30IL302014-06-30 00:00:00.000

    377United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt 4.5 09/07/344.5B52WS15NULLBNY Mellon117.7700GBP1.0000118.23000.00001.0000000.00000.00000.00000.0000193480.430.00000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00B52WS153IL30IL302014-06-30 00:00:00.000

    378United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt 2.25 09/07/232.25B7Z5365NULLBNY Mellon96.6000GBP1.000096.8800459858200.00001.000000443815327.7000444223021.2000443815327.7000444223021.20002660598.54393000.67000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00B7Z53659IL30IL302014-06-30 00:00:00.000

    379United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt Inflation Linked 0.125 11/22/190.13BBDR7T2NULLBNY Mellon105.3100GBP1.0000105.440057152816.43001.00000060572355.320060187630.990060572355.320060187630.99007765.33-578977.02000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00BBDR7T29IL30IL302014-06-30 00:00:00.000

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    387United 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

    388United 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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    390United 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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    425United KingdomIRSSwap141236-IRS: Fix/Flo: P2900000GBP Semi-annual@3.59875% R2900000GBP Semi-annualSpd 0% (20/03/29-20/03/44)3.6IGNIS 123023GBPNULLSW28366456BNY Mellon100.1706GBP1.0000100.3454-147100000.00001.000000-147100000.0000-147350996.7000-147100000.0000-147350996.70000-250996.73000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141236-IRS: Fix/Flo: P2900000GBP Semi-annual@3.59875% R2900000GBP Semi-annualSpd 0% (20/03/29-20/03/44)IL30IL302014-06-30 00:00:00.000

    426United 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

    427United 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

    428United 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

    429United 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

    430United 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

    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

    478United 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

    479United 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

    480United 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

    481United 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

    482United 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

    483United 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

    484United 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

    485United 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

    486United 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

    487United 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

    488United 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

    489United 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

    490United 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

    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

    492United 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

    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

    501United 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

    502United 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

    503United 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

    504United States of AmericaIRSSwap152769-IRS: Fix/Flo: P200000000USD Semi-annual@3.7525% R200000000USD QuarterlySpd 0% (10/06/19-10/06/24)3.75IGNIS 127611USDNULLLTAA1127385867BNY Mellon100.2628USD0.5848100.2522-200000000.00000.587700-200000000.0000-200525640.0000-119111428.7000-119418847.50000-307418.78000.0000U.S. DollarsInterest Rate SwapUSUnited States of America152769-IRS: Fix/Flo: P200000000USD Semi-annual@3.7525% R200000000USD QuarterlySpd 0% (10/06/19-10/06/24)IL30IL302014-06-30 00:00:00.000

    505United States of AmericaIRSSwap153535-IRS: Flo/Fix: P56400000USD QuarterlySpd 0% R56400000USD Semi-annual@3.94125% (11/06/29-11/06/44)3.94IGNIS 127787USDNULLLTAA1130110946BNY Mellon100.8166USD0.5848100.552256400000.00000.58770056400000.000056860562.400033583422.650033852781.02000269358.37000.0000U.S. DollarsInterest Rate SwapUSUnited States of America153535-IRS: Flo/Fix: P56400000USD QuarterlySpd 0% R56400000USD Semi-annual@3.94125% (11/06/29-11/06/44)IL30IL302014-06-30 00:00:00.000

    506United States of AmericaIRSSwap154749-IRS: Fix/Flo: P904240000USD Semi-annual@1.0275% R904240000USD QuarterlySpd 0% (16/06/14-16/06/17)1.03IGNIS 128089USDNULLIRS1001388_B000BNY Mellon100.1790USD0.5848100.1298-904240000.00000.587700-904240000.0000-905858227.9000-533144659.7000-534091074.80000-946415.12000.0000U.S. DollarsInterest Rate SwapUSUnited States of America154749-IRS: Fix/Flo: P904240000USD Semi-annual@1.0275% R904240000USD QuarterlySpd 0% (16/06/14-16/06/17)IL30IL302014-06-30 00:00:00.000

    507United States of AmericaRepoMoneyMarketREPO TII 0 1/2 04/15/15 (GB*) US912828MY360.15IGNIS 127570 REPONULLBNY Mellon100.0000USD0.5848100.0000-17164221.57000.587700-17164221.5700-17164221.5700-10222274.7700-10038437.0400-920.190.0000183837.7300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/2 04/15/15 (GB*) US912828MY36IL30IL302014-06-30 00:00:00.000

    508United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.15IGNIS 127571 REPONULLBNY Mellon100.0000USD0.5848100.0000-53836764.71000.587700-53836764.7100-53836764.7100-32062869.8200-31486250.0900-2886.240.0000576619.7300U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    509United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/16 (GB*) US912828QD520.15IGNIS 127572 REPONULLBNY Mellon100.0000USD0.5848100.0000-7537147.06000.587700-7537147.0600-7537147.0600-4488801.7700-4408075.0100-404.070.000080726.7600U.S. DollarsRepurchase AgreementsUSUnited States of AmericaREPO TII 0 1/8 04/15/16 (GB*) US912828QD52IL30IL302014-06-30 00:00:00.000

    510United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127761 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

    511United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127762 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

    512United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127763 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

    513United 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

    514United 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

    515United 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

    516United 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

    517United 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

    518United 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

    519United 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

    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

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    708United 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

    709United 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

    710United 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

    711United 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

    712United 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

    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

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    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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    765United 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

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    767United 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

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    769United 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

    770United 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

    771United 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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    773United 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

    774United 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

    775United 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

    776United 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

    777United 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

    778United 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

    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

    780United 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

    781United 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

    782United 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

    783United 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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    790United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127761 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

    791United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127762 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

    792United States of AmericaRepoMoneyMarketREPO TII 0 1/8 04/15/17 (~~) US912828SQ480.22IGNIS 127763 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

    793United 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

    794United 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

    795United 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

    796United 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

    797United 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

    798United 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

    799United 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

    800United 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

    801United 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

    802United 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

    803United 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

    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

  • 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

    47GermanyFuture-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

    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

    51JapanCashCashJapanese yen-BNY Mellon-OnHand0.00JPYJun 30 2014 1-10NULL1BNY Mellon1.0000JPY0.00581.00007251153.57000.0058007251153.57007251153.5700-137824.570041861.840000.0000179686.4100Japanese yenCash and EquivalentsJPJapanIL30IL302014-06-30 00:00:00.000

    52JapanCashCashJapanese yen-BNY Mellon-Receivable0.00JPYJun 30 2014 1-11NULL1BNY Mellon1.0000JPY0.00581.0000111370633.00000.005800111370633.0000111370633.0000645627.9800642956.800000.0000-2671.1800Japanese yenCash and EquivalentsJPJapanIL30IL302014-06-30 00:00:00.000

    53JapanIRSSwap144528-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

    54JapanIRSSwap144832-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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    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

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    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

    333JapanIRSSwap144835-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

    334JapanIRSSwap144922-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

    335JapanIRSSwap149884-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

    336JapanIRSSwap149869-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

    337JapanIRSSwap150969-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

    338New ZealandCashCashNew Zealand dollar-BNY Mellon-OnHand0.00NZDJun 30 2014 1-46NULL1BNY Mellon1.0000NZD0.51211.00001.00000.5153001.00001.00000.51000.510000.00000.0000New Zealand dollarCash and EquivalentsNZNew ZealandIL30IL302014-06-30 00:00:00.000

    339NorwayCashCashNorwegian krone-BNY Mellon-OnHand0.00NOKJun 30 2014 1-47NULL1BNY Mellon1.0000NOK0.09531.00001.53000.0958001.53001.53009950.98000.150000.0000-9950.8300Norwegian kroneCash and EquivalentsNONorwayIL30IL302014-06-30 00:00:00.000

    340SwedenCashCashSwedish krona-BNY Mellon-CapitalReceivable0.00SEKJun 30 2014 1-48NULL1BNY Mellon1.0000SEK0.08751.0000160953.00000.087300160953.0000160953.000014061.510014080.460000.000018.9500Swedish kronaCash and EquivalentsSESwedenIL30IL30 I SEK Hedged (New)2014-06-30 00:00:00.000

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    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

    478United 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

    479United 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

    480United 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

    481United 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

    482United 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

    483United 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

    484United 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

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    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

    618SwedenCashCashSwedish krona-BNY Mellon-CapitalReceivable0.00SEKJun 30 2014 1-82NULL1BNY Mellon1.0000SEK0.08751.0000160953.00000.087300160953.0000160953.000014061.510014080.460000.000018.9500Swedish kronaCash and EquivalentsSESwedenIL30IL30 I SEK Hedged (New)2014-06-30 00:00:00.000

    619SwedenCashCashSwedish krona-BNY Mellon-OnHand0.00SEKJun 30 2014 1-83NULL1BNY Mellon1.0000SEK0.08751.0000-204.84000.087300-204.8400-204.84002862063.5800-17.930000.0000-2862081.5100Swedish kronaCash and EquivalentsSESwedenIL30IL302014-06-30 00:00:00.000

    620SwedenCashCashSwedish krona-BNY Mellon-Payable0.00SEKJun 30 2014 1-84NULL1BNY Mellon1.0000SEK0.08751.0000-54.99000.087300-54.9900-54.9900-4.8100-4.810000.00000.0000Swedish kronaCash and EquivalentsSESwedenIL30IL302014-06-30 00:00:00.000

    621SwitzerlandCashCashSwiss franc-BNY Mellon-CapitalPayable0.00CHFJun 30 2014 1-85NULL1BNY Mellon1.0000CHF0.65951.0000-49234.39000.659700-49234.3900-49234.3900-32456.0000-32470.190000.0000-14.1900Swiss francCash and EquivalentsCHSwitzerlandIL30IL30 I CHF Hedged (New)2014-06-30 00:00:00.000

    622SwitzerlandCashCashSwiss franc-BNY Mellon-CapitalReceivable0.00CHFJun 30 2014 1-86NULL1BNY Mellon1.0000CHF0.65951.0000440554.66000.659700440554.6600440554.6600290375.9800290546.810000.0000170.8300Swiss francCash and EquivalentsCHSwitzerlandIL30IL30AAACHF2014-06-30 00:00:00.000

    623SwitzerlandCashCashSwiss franc-BNY Mellon-OnHand0.00CHFJun 30 2014 1-87NULL1BNY Mellon1.0000CHF0.65951.0000-315.64000.659700-315.6400-315.64007585190.1900-208.170000.0000-7585398.3600Swiss francCash and EquivalentsCHSwitzerlandIL30IL302014-06-30 00:00:00.000

    624SwitzerlandCashCashSwiss franc-BNY Mellon-Payable0.00CHFJun 30 2014 1-88NULL1BNY Mellon1.0000CHF0.65951.0000-83.24000.659700-83.2400-83.2400-54.9000-54.900000.00000.0000Swiss francCash and EquivalentsCHSwitzerlandIL30IL302014-06-30 00:00:00.000

    625United KingdomCaps/FloorsOptionUKRPI YOY FLOOR 11JUL11 - 11JUL410.0058868NULLLTAA1120872954BNY Mellon5.7867GBP1.00005.8028-10.00001.000000-1000000.0000-578669.3700-1000000.0000-578669.37000421330.63000.0000U.K. poundCaps and FloorsGBUnited KingdomUK RPI All Items NSAIL30IL302014-06-30 00:00:00.000

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    630United KingdomCashCashU.K. pound-BNY Mellon-CapitalReceivable0.00GBPJun 30 2014 1-92NULL1BNY Mellon1.0000GBP1.00001.00002587788.97001.0000002587788.97002587788.97002587788.97002587788.970000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL30 SI GBP DIST2014-06-30 00:00:00.000

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    633United KingdomCashCashU.K. pound-BNY Mellon-PurchasedAI0.00GBPJun 30 2014 1-95NULL1BNY Mellon1.0000GBP1.00001.00001169073.27001.0000001169073.27001169073.27001169073.27001169073.270000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

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    643United KingdomCorporate BondDebt InstrumentsIGNIS GBP COLLATERAL MS0MS COLLATERAL REPONULLBNY Mellon100.0000GBP1.0000100.0000-8980000.00001.000000-8980000.0000-8980000.0000-8980000.0000-8980000.000000.00000.0000U.K. poundCorporate BondGBUnited KingdomIGNIS GBP COLLATERAL MSIL30IL302014-06-30 00:00:00.000

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    648United KingdomFuture-BondFuturesULTRA LONG GILT FUSep140.00UGLU4NULLMerrill Lynch109.9400GBP1.0000110.5000-237.00001.0000000.0000-74880.00000.0000-74880.00000-74880.00000.0000U.K. poundFuture-BondGBUnited KingdomIL30IL302014-06-30 00:00:00.000

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    651United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt Inflation Linked 2.5 07/26/162.5907532NULLBNY Mellon108.5114GBP1.0000108.5697824754031.80001.000000900781814.0000894952023.1000900781814.0000894952023.10008885471.62-2541461.03000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB0009075325IL30IL302014-06-30 00:00:00.000

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    653United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt Inflation Linked 1.25 22/11/20171.25B0V3WQ7NULLBNY Mellon108.7600GBP1.0000108.8600928225481.00001.0000001014071995.00001009538033.00001014071995.00001009538033.00001261175.95-5510864.80000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00B0V3WQ75IL30IL302014-06-30 00:00:00.000

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    656United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt 2.25 09/07/232.25B7Z5365NULLBNY Mellon96.6000GBP1.000096.8800459858200.00001.000000443815327.7000444223021.2000443815327.7000444223021.20002660598.54393000.67000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00B7Z53659IL30IL302014-06-30 00:00:00.000

    657United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt Inflation Linked 0.125 11/22/190.13BBDR7T2NULLBNY Mellon105.3100GBP1.0000105.440057152816.43001.00000060572355.320060187630.990060572355.320060187630.99007765.33-578977.02000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00BBDR7T29IL30IL302014-06-30 00:00:00.000

    658United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt 1.75 07/22/191.75BDV0F15NULLBNY Mellon98.6500GBP1.000098.7700219969000.00001.000000216308633.3000216999418.5000216308633.3000216999418.50001701417.67665307.22000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00BDV0F150IL30IL302014-06-30 00:00:00.000

    659United KingdomGovernment Debt IssueDebt InstrumentsUnited Kingdom Gilt 3.5 01/22/453.5BN65R31NULLBNY Mellon101.2800GBP1.0000101.820032992000.00001.00000033208460.510033414297.600033208460.510033414297.600034499.17205914.63000.0000U.K. poundGovernment Debt IssueGBUnited KingdomGovernmentSovereignSovereign_siGB00BN65R313IL30IL302014-06-30 00:00:00.000

    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

    661United KingdomIFSSwapINF SWAP: Flo/Fix: GBP FIXED 3.71% ACT/365 VS UKRPI Index ACT/365 30May430101876IL01IRSGBPNULL1.80E+12BNY Mellon103.9522GBP1.0000104.375624200000.00001.00000024200000.000025156431.160024200000.000025156431.16000956431.16000.0000U.K. poundInflation SwapGBUnited KingdomINF SWAP: Flo/Fix: GBP FIXED 3.71% ACT/365 VS UKRPI Index ACT/365 30May43IL30IL302014-06-30 00:00:00.000

    662United KingdomIFSSwapINF SWAP: Flo/Fix: GBP FIXED 3.6475% VS UKRPI ACT/365 1Aug330106428IL01IRSGBPNULLLTAA1127767533BNY Mellon102.3023GBP1.0000102.5560200000000.00001.000000200000000.0000204604542.5000200000000.0000204604542.500004604542.51000.0000U.K. poundInflation SwapGBUnited KingdomINF SWAP: Flo/Fix: GBP FIXED 3.6475% VS UKRPI ACT/365 1Aug33IL30IL302014-06-30 00:00:00.000

    663United KingdomIFSSwapINF SWAP: Fix/Flo: GBP FIXED 3.315% VS UKRPI ACT/365 1Aug230106432IL01IRSGBPNULLLTAA1127767706BNY Mellon101.3828GBP1.0000101.5485-100000000.00001.000000-100000000.0000-101382808.0000-100000000.0000-101382808.00000-1382808.01000.0000U.K. poundInflation SwapGBUnited KingdomINF SWAP: Fix/Flo: GBP FIXED 3.315% VS UKRPI ACT/365 1Aug23IL30IL302014-06-30 00:00:00.000

    664United KingdomIFSSwapINF SWAP: Flo/Fix: GBP FIXED 3.35% ACT/365 VS UKRPI Index ACT/365 09Oct230110399IL01IRSGBPNULLLTAA1128194132BNY Mellon101.6347GBP1.0000101.7921-375000000.00001.000000-375000000.0000-381130058.8000-375000000.0000-381130058.80000-6130058.79000.0000U.K. poundInflation SwapGBUnited KingdomINF SWAP: Flo/Fix: GBP FIXED 3.35% ACT/365 VS UKRPI Index ACT/365 09Oct23IL30IL302014-06-30 00:00:00.000

    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

    666United 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

    667United KingdomIFSSwapIRS: GBP FIXED 3.6325% VS UKRPI 4APRIL33098093IL01IRSGBPNULLLTAA1127005789BNY Mellon103.0223GBP1.0000103.267917400000.00001.00000017400000.000017925888.840017400000.000017925888.84000525888.84000.0000U.K. poundInflation SwapGBUnited KingdomIRS: GBP FIXED 3.6325% VS UKRPI 4APRIL33IL30IL302014-06-30 00:00:00.000

    668United 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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    671United KingdomIFSSwap133593-IRS: Flo/Fix: P72000000GBP IrregularSpd 0% R72000000GBP0IGNIS 118473GBPNULLLTAA1129011943BNY Mellon101.6503GBP1.0000101.745572000000.00001.00000072000000.000073188212.280072000000.000073188212.280001188212.28000.0000U.K. poundInflation SwapGBUnited Kingdom133593-IRS: Flo/Fix: P72000000GBP IrregularSpd 0% R72000000GBP IrregularSpd 0% R48500000GBP Irregular@3.53% (15/01/14-15/01/29)IL30IL302014-06-30 00:00:00.000

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    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

    764United 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

    765United 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

    766United 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

    767United 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

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    777United 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

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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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    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

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