Removing certain text from a column

Question

Removing certain text from a column

ronan.healy

SSCrazy

Points: 2232
More actions
July 30, 2014 at 3:02 am

#397139

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)

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Phil Parkin SSC Guru Points: 246956 More actions · Answer 1

OK. Problem?

The absence of evidence is not evidence of absence
- Martin Rees
The absence of consumable DDL, sample data and desired results is, however, evidence of the absence of my response
- Phil Parkin

ronan.healy SSCrazy Points: 2232 More actions · Answer 2

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

ronan.healy SSCrazy Points: 2232 More actions · Answer 3

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

Phil Parkin SSC Guru Points: 246956 More actions · Answer 4

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?

The absence of evidence is not evidence of absence
- Martin Rees
The absence of consumable DDL, sample data and desired results is, however, evidence of the absence of my response
- Phil Parkin

ronan.healy SSCrazy Points: 2232 More actions · Answer 5

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

Phil Parkin SSC Guru Points: 246956 More actions · Answer 6

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?

The absence of evidence is not evidence of absence
- Martin Rees
The absence of consumable DDL, sample data and desired results is, however, evidence of the absence of my response
- Phil Parkin

ronan.healy SSCrazy Points: 2232 More actions · Answer 7

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

Phil Parkin SSC Guru Points: 246956 More actions · Answer 8

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?

The absence of evidence is not evidence of absence
- Martin Rees
The absence of consumable DDL, sample data and desired results is, however, evidence of the absence of my response
- Phil Parkin

ronan.healy SSCrazy Points: 2232 More actions · Answer 9

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

ronan.healy SSCrazy Points: 2232 More actions · Answer 10

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

J Livingston SQL SSC Guru Points: 51550 More actions · Answer 11

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

ronan.healy SSCrazy Points: 2232 More actions · Answer 12

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

93United 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

94United 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

95United 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

96United 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

97United 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

98United 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

99United 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

100United 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

101United 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

102United 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

103United 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

104United 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

105United 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

106United 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

107United 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

108United 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

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

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

111United 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

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

113United KingdomIFSSwap131813-IFS: Flo/Fix: P135000000GBP IrregularSpd 0% R135000000GBP Irregular@3.56% (20/12/13-20/12/28)0IGNIS IRS116865GBPNULLEKX6RBNY Mellon102.2710GBP1.0000102.3706135000000.00001.000000135000000.0000138065878.2000135000000.0000138065878.200003065878.22000.0000U.K. poundInflation SwapGBUnited Kingdom131813-IFS: Flo/Fix: P135000000GBP IrregularSpd 0% R135000000GBP Irregular@3.56% (20/12/13-20/12/28)IL30IL302014-06-30 00:00:00.000

114United KingdomIFSSwap133593-IRS: Flo/Fix: P48500000GBP IrregularSpd 0% R48500000GBP0IGNIS 118391GBPNULLLTAA1128998833BNY Mellon101.6503GBP1.0000101.745548500000.00001.00000048500000.000049300392.990048500000.000049300392.99000800392.99000.0000U.K. poundInflation SwapGBUnited Kingdom133593-IRS: Flo/Fix: P48500000GBP IrregularSpd 0% R48500000GBP Irregular@3.53% (14/01/14-15/01/29)IL30IL302014-06-30 00:00:00.000

115United 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

116United KingdomIFSSwap134092-IRS: Flo/Fix: P17000000GBP IrregularSpd 0% R17000000GBP0IGNIS 118809GBPNULL89321295BNY Mellon100.3699GBP1.0000101.121017000000.00001.00000017000000.000017062880.860017000000.000017062880.8600062880.86000.0000U.K. poundInflation SwapGBUnited Kingdom134092-IRS: Flo/Fix: P17000000GBP IrregularSpd 0% R17000000GBP Irregular@3.65% (21/01/14-21/01/64)IL30IL302014-06-30 00:00:00.000

117United KingdomIFSSwap138998-IRS: Flo/Fix: P87400000GBP IrregularSpd 0% R87400000GBP Semi-annual@3.56% (04/03/14-04/03/34)0IGNIS 121287GBPNULLLTAA1129428472BNY Mellon100.1194GBP1.0000100.378987400000.00001.00000087400000.000087504335.820087400000.000087504335.82000104335.82000.0000U.K. poundInflation SwapGBUnited Kingdom138998-IRS: Flo/Fix: P87400000GBP IrregularSpd 0% R87400000GBP Semi-annual@3.56% (04/03/14-04/03/34)IL30IL302014-06-30 00:00:00.000

118United KingdomIFSSwap139194-IRS: Flo/Fix: P58029000GBP IrregularSpd 0% R58029000GBP Irregular@3.49% (05/03/14-05/03/29)0IGNIS 121831GBPNULLD140595928680BNY Mellon101.1062GBP1.0000101.195558029000.00001.00000058029000.000058670933.980058029000.000058670933.98000641933.98000.0000U.K. poundInflation SwapGBUnited Kingdom139194-IRS: Flo/Fix: P58029000GBP IrregularSpd 0% R58029000GBP Irregular@3.49% (05/03/14-05/03/29)IL30IL302014-06-30 00:00:00.000

119United KingdomIFSSwap140626-IRS: Flo/Fix: P81800000GBP IrregularSpd 0% R138639000GBP Irregular@3.465% (18/03/14-18/03/26)0IGNIS 122734GBPNULLLTAA1276674120BNY Mellon100.7114GBP1.0000100.799081800000.00001.00000081800000.000082381885.150081800000.000082381885.15000581885.15000.0000U.K. poundInflation SwapGBUnited Kingdom140626-IRS: Flo/Fix: P81800000GBP IrregularSpd 0% R138639000GBP Irregular@3.465% (18/03/14-18/03/26)IL30IL302014-06-30 00:00:00.000

120United KingdomIFSSwap141921-IRS: Fix/Flo: P82300000GBP Irregular@3.6375% R82300000GBP IrregularSpd 0% (25/03/14-25/03/54)0IGNIS 123340GBPNULLLTAA1129507836BNY Mellon101.1558GBP1.0000101.7288-82300000.00001.000000-82300000.0000-83251241.2500-82300000.0000-83251241.25000-951241.25000.0000U.K. poundInflation SwapGBUnited Kingdom141921-IRS: Fix/Flo: P82300000GBP Irregular@3.6375% R82300000GBP IrregularSpd 0% (25/03/14-25/03/54)IL30IL302014-06-30 00:00:00.000

121United KingdomIFSSwap141992-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.6525% (25/03/14-25/03/64)0IGNIS 123343GBPNULLLTAA1129507867BNY Mellon100.6540GBP1.0000101.408241150000.00001.00000041150000.000041419109.780041150000.000041419109.78000269109.78000.0000U.K. poundInflation SwapGBUnited Kingdom141992-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.6525% (25/03/14-25/03/64)IL30IL302014-06-30 00:00:00.000

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

123United KingdomIFSSwap142460-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6525% (28/03/14-28/03/60IGNIS 123578GBPNULLLTAA1129551748BNY Mellon100.6538GBP1.0000101.407841150000.00001.00000041150000.000041419037.940041150000.000041419037.94000269037.94000.0000U.K. poundInflation SwapGBUnited Kingdom142460-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6525% (28/03/14-28/03/6IL30IL302014-06-30 00:00:00.000

124United KingdomIFSSwap142484-Infl Swap: Fix/Flo: P1600000GBP Irregular@3.6375% R1600000GBP Irregular 0% (28/03/14-28/03/54)0IGNIS 123579GBPNULLLTAA1129603773BNY Mellon101.1552GBP1.0000101.7280-82300000.00001.000000-82300000.0000-83250759.9100-82300000.0000-83250759.91000-950759.91000.0000U.K. poundInflation SwapGBUnited Kingdom142484-Infl Swap: Fix/Flo: P1600000GBP Irregular@3.6375% R1600000GBP Irregular 0% (28/03/14-28/03/54)IL30IL302014-06-30 00:00:00.000

125United KingdomIFSSwap142715-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.66% (31/03/14-31/03/44)0IGNIS 123637GBPNULLLTAA1129560296BNY Mellon101.1349GBP1.0000101.543641150000.00001.00000041150000.000041617025.620041150000.000041617025.62000467025.62000.0000U.K. poundInflation SwapGBUnited Kingdom142715-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.66% (31/03/14-31/03/44)IL30IL302014-06-30 00:00:00.000

126United KingdomIFSSwap142695-Infl Swap: Fix/Flo: P82300000GBP Irregular@3.64125% R82300000GBP IrregularSpd 0% (31/03/14-31/03/54)0IGNIS 123640GBPNULLLTAA1129560306BNY Mellon101.3236GBP1.0000101.8979-82300000.00001.000000-82300000.0000-83389340.8800-82300000.0000-83389340.88000-1089340.88000.0000U.K. poundInflation SwapGBUnited Kingdom142695-Infl Swap: Fix/Flo: P82300000GBP Irregular@3.64125% R82300000GBP IrregularSpd 0% (31/03/14-31/03/54)IL30IL302014-06-30 00:00:00.000

127United KingdomIFSSwap144289-Infl Swap: Fix/Flo: P25637500GBP Irregular@3.625% R25637500GBP IrregularSpd 0% (09/04/14-09/04/54)0IGNIS 124276GBPNULLLTAA1129659014BNY Mellon100.5952GBP1.0000101.1624-25637500.00001.000000-25637500.0000-25790097.9900-25637500.0000-25790097.99000-152597.99000.0000U.K. poundInflation SwapGBUnited Kingdom144289-Infl Swap: Fix/Flo: P25637500GBP Irregular@3.625% R25637500GBP IrregularSpd 0% (09/04/14-09/04/54)IL30IL302014-06-30 00:00:00.000

128United KingdomIFSSwap144292-Infl Swap: Flo/Fix: P20510000GBP IrregularSpd 0% R20510000GBP Irregular@3.6475% (09/04/14-09/04/64)0IGNIS 124277GBPNULLLTAA1129659015BNY Mellon100.3579GBP1.0000101.107820510000.00001.00000020510000.000020583411.160020510000.000020583411.1600073411.16000.0000U.K. poundInflation SwapGBUnited Kingdom144292-Infl Swap: Flo/Fix: P20510000GBP IrregularSpd 0% R20510000GBP Irregular@3.6475% (09/04/14-09/04/64)IL30IL302014-06-30 00:00:00.000

129United KingdomIFSSwap148387-Infl Swap: Flo/Fix: P27000000GBP IrregularSpd 0% R27000000GBP Irregular@3.6325% (16/05/14-16/05/44)0IGNIS 126385GBPNULLEM39NBNY Mellon100.0749GBP1.0000100.475327000000.00001.00000027000000.000027020219.310027000000.000027020219.3100020219.31000.0000U.K. poundInflation SwapGBUnited Kingdom148387-Infl Swap: Flo/Fix: P27000000GBP IrregularSpd 0% R27000000GBP Irregular@3.6325% (16/05/14-16/05/44)IL30IL302014-06-30 00:00:00.000

130United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.55% VS FLOATING UKRPI Index ACT/365 4/27/2062074595IL01IRSGBPNULLLTAA1125237213BNY Mellon96.2373GBP1.000096.96195000000.00001.0000005000000.00004811867.49005000000.00004811867.49000-188132.51000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.55% VS FLOATING UKRPI Index ACT/365 4/27/2062IL30IL302014-06-30 00:00:00.000

131United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.375% VS UKRPI ACT/365 12Jun42077840IL01IRSGBPNULLD020587565900BNY Mellon93.4044GBP1.000093.76015000000.00001.0000005000000.00004670222.04005000000.00004670222.04000-329777.96000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.375% VS UKRPI ACT/365 12Jun42IL30IL302014-06-30 00:00:00.000

132United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.3075% VS FLOATING UKRPI ACT/365 12/07/2052080453IL01IRSGBPNULL8371096-1BNY Mellon87.9926GBP1.000088.45318000000.00001.0000008000000.00007039405.18008000000.00007039405.18000-960594.82000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.3075% VS FLOATING UKRPI ACT/365 12/07/2052IL30IL302014-06-30 00:00:00.000

133United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.31% ACT/365 VS UKRPI ACT/365 05OCT62085995IL01IRSGBPNULLD020589163627BNY Mellon82.0857GBP1.000082.64805325000.00001.0000005325000.00004371065.27005325000.00004371065.27000-953934.73000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.31% ACT/365 VS UKRPI ACT/365 05OCT62IL30IL302014-06-30 00:00:00.000

134United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 3.33% ACT/365 VS LIBOR 6MONTH ACT/365 27Jun633.33104307IL01IRSGBPNULLD030592640492BNY Mellon102.7254GBP1.0000103.4353-25000000.00001.000000-25000000.0000-25681348.0000-25000000.0000-25681348.00000-681348.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.33% ACT/365 VS LIBOR 6MONTH ACT/365 27Jun63IL30IL302014-06-30 00:00:00.000

135United KingdomIRSSwapIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug433.75107516AIL01IRSGBPNULLD030593353288BNY Mellon101.1154GBP1.0000101.2949-75000000.00001.000000-75000000.0000-75836516.0000-75000000.0000-75836516.00000-836516.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug43IL30IL302014-06-30 00:00:00.000

136United KingdomIRSSwapIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug433.75107516BIL01IRSGBPNULLD030593353295BNY Mellon101.1154GBP1.0000101.2949-75000000.00001.000000-75000000.0000-75836516.0000-75000000.0000-75836516.00000-836516.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug43IL30IL302014-06-30 00:00:00.000

137United KingdomIRSSwapIRS: Flo/Flo: GBP Float Libor Basis -19bps VS GBP 30y Sonia ACT/365 12Jul420.3380481IL01IRSGBPNULLD020587985986BNY Mellon99.5528GBP1.000099.548130000000.00001.00000030000000.000029865852.000030000000.000029865852.00000-134148.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Flo: GBP Float Libor Basis -19bps VS GBP 30y Sonia ACT/365 12Jul42IL30IL302014-06-30 00:00:00.000

138United KingdomIRSSwapIRS: Flo/Fix: GBP Fixed 2.2475% VS SONIO/N O/N ACT/365 1Nov232.25IGNIS 113036NULL5456738LSBNY Mellon99.0231GBP1.000099.3044-50000000.00001.000000-50000000.0000-49511570.0000-50000000.0000-49511570.00000488430.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP Fixed 2.2475% VS SONIO/N O/N ACT/365 1Nov23IL30IL302014-06-30 00:00:00.000

139United KingdomIRSSwapIRS: Flo/Fix: GBP Fixed 2.3238% ACT/365 VS SONIO/N ACT/365 13Nov232.32IGNIS 113579NULLD130594418729BNY Mellon99.6527GBP1.000099.9361-95000000.00001.000000-95000000.0000-94670093.5000-95000000.0000-94670093.50000329906.50000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP Fixed 2.3238% ACT/365 VS SONIO/N ACT/365 13Nov23IL30IL302014-06-30 00:00:00.000

140United KingdomIRSSwap127843-IRS: Fix/Flo: P75000000GBP Annual@2.39% R75000000GBP2.39IGNIS 113815NULL5542581LSBNY Mellon100.2035GBP1.0000100.4886-75000000.00001.000000-75000000.0000-75152632.5000-75000000.0000-75152632.50000-152632.50000.0000U.K. poundInterest Rate SwapGBUnited Kingdom127843-IRS: Fix/Flo: P75000000GBP Annual@2.39% R75000000GBP AnnualSpd 0% (13/11/13-13/11/23)IL30IL302014-06-30 00:00:00.000

141United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 2.468% VS SONIO/N ACT/365 05Dec232.47IGNIS 115553GBPNULLBNY Mellon100.8269GBP1.0000101.1154-100000000.00001.000000-100000000.0000-100826917.0000-100000000.0000-100826917.00000-826917.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 2.468% VS SONIO/N ACT/365 05Dec23IL30IL302014-06-30 00:00:00.000

142United KingdomIRSSwap131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23)2.58IGNIS IRS116877GBPNULLBNY Mellon101.7373GBP1.0000102.0291-100000000.00001.000000-100000000.0000-101737266.0000-100000000.0000-101737266.00000-1737266.00000.0000U.K. poundInterest Rate SwapGBUnited Kingdom131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23) IRSIL30IL302014-06-30 00:00:00.000

143United KingdomIRSSwap133452-IRS: Fix/Flo: P112000000GBP Annual@2.4775% R112000000GBP2.48IGNIS 118344GBPNULL5859303LSBNY Mellon100.8413GBP1.0000101.1331-112000000.00001.000000-112000000.0000-112942273.0000-112000000.0000-112942273.00000-942273.00000.0000U.K. poundInterest Rate SwapGBUnited Kingdom133452-IRS: Fix/Flo: P112000000GBP Annual@2.4775% R112000000GBP AnnualSpd 0% (14/01/14-14/01/24)IL30IL302014-06-30 00:00:00.000

144United KingdomIRSSwap141059-IRS: Fix/Flo: P53200000GBP Semi-annual@3.55% R53200000GBP Semi-annualSpd 0% (19/03/29-19/03/44)3.55IGNIS 122932GBPNULLD140596160611BNY Mellon99.8168GBP1.000099.9894-53200000.00001.000000-53200000.0000-53102521.6400-53200000.0000-53102521.6400097478.36000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141059-IRS: Fix/Flo: P53200000GBP Semi-annual@3.55% R53200000GBP Semi-annualSpd 0% (19/03/29-19/03/44)IL30IL302014-06-30 00:00:00.000

145United KingdomIRSSwap141066-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.77% (19/03/14-19/03/24)2.77IGNIS 122933GBPNULLD140596163456BNY Mellon100.1849GBP1.0000100.4579122700000.00001.000000122700000.0000122926921.4000122700000.0000122926921.40000226921.38000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141066-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.77% (19/03/14-19/03/24)IL30IL302014-06-30 00:00:00.000

146United KingdomIRSSwap141072-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.7775% (19/03/14-19/03/24)2.78IGNIS 122934GBPNULLD140596173392BNY Mellon100.2498GBP1.0000100.5229122700000.00001.000000122700000.0000123006516.9000122700000.0000123006516.90000306516.87000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141072-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.7775% (19/03/14-19/03/24)IL30IL302014-06-30 00:00:00.000

147United 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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

228United 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

229United 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

230United 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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

380United 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

381United 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

382United 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

383United 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

384United 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

385United 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

386United 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

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

389United 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

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

391United KingdomIFSSwap131813-IFS: Flo/Fix: P135000000GBP IrregularSpd 0% R135000000GBP Irregular@3.56% (20/12/13-20/12/28)0IGNIS IRS116865GBPNULLEKX6RBNY Mellon102.2710GBP1.0000102.3706135000000.00001.000000135000000.0000138065878.2000135000000.0000138065878.200003065878.22000.0000U.K. poundInflation SwapGBUnited Kingdom131813-IFS: Flo/Fix: P135000000GBP IrregularSpd 0% R135000000GBP Irregular@3.56% (20/12/13-20/12/28)IL30IL302014-06-30 00:00:00.000

392United KingdomIFSSwap133593-IRS: Flo/Fix: P48500000GBP IrregularSpd 0% R48500000GBP0IGNIS 118391GBPNULLLTAA1128998833BNY Mellon101.6503GBP1.0000101.745548500000.00001.00000048500000.000049300392.990048500000.000049300392.99000800392.99000.0000U.K. poundInflation SwapGBUnited Kingdom133593-IRS: Flo/Fix: P48500000GBP IrregularSpd 0% R48500000GBP Irregular@3.53% (14/01/14-15/01/29)IL30IL302014-06-30 00:00:00.000

393United 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

394United KingdomIFSSwap134092-IRS: Flo/Fix: P17000000GBP IrregularSpd 0% R17000000GBP0IGNIS 118809GBPNULL89321295BNY Mellon100.3699GBP1.0000101.121017000000.00001.00000017000000.000017062880.860017000000.000017062880.8600062880.86000.0000U.K. poundInflation SwapGBUnited Kingdom134092-IRS: Flo/Fix: P17000000GBP IrregularSpd 0% R17000000GBP Irregular@3.65% (21/01/14-21/01/64)IL30IL302014-06-30 00:00:00.000

395United KingdomIFSSwap138998-IRS: Flo/Fix: P87400000GBP IrregularSpd 0% R87400000GBP Semi-annual@3.56% (04/03/14-04/03/34)0IGNIS 121287GBPNULLLTAA1129428472BNY Mellon100.1194GBP1.0000100.378987400000.00001.00000087400000.000087504335.820087400000.000087504335.82000104335.82000.0000U.K. poundInflation SwapGBUnited Kingdom138998-IRS: Flo/Fix: P87400000GBP IrregularSpd 0% R87400000GBP Semi-annual@3.56% (04/03/14-04/03/34)IL30IL302014-06-30 00:00:00.000

396United KingdomIFSSwap139194-IRS: Flo/Fix: P58029000GBP IrregularSpd 0% R58029000GBP Irregular@3.49% (05/03/14-05/03/29)0IGNIS 121831GBPNULLD140595928680BNY Mellon101.1062GBP1.0000101.195558029000.00001.00000058029000.000058670933.980058029000.000058670933.98000641933.98000.0000U.K. poundInflation SwapGBUnited Kingdom139194-IRS: Flo/Fix: P58029000GBP IrregularSpd 0% R58029000GBP Irregular@3.49% (05/03/14-05/03/29)IL30IL302014-06-30 00:00:00.000

397United KingdomIFSSwap140626-IRS: Flo/Fix: P81800000GBP IrregularSpd 0% R138639000GBP Irregular@3.465% (18/03/14-18/03/26)0IGNIS 122734GBPNULLLTAA1276674120BNY Mellon100.7114GBP1.0000100.799081800000.00001.00000081800000.000082381885.150081800000.000082381885.15000581885.15000.0000U.K. poundInflation SwapGBUnited Kingdom140626-IRS: Flo/Fix: P81800000GBP IrregularSpd 0% R138639000GBP Irregular@3.465% (18/03/14-18/03/26)IL30IL302014-06-30 00:00:00.000

398United KingdomIFSSwap141921-IRS: Fix/Flo: P82300000GBP Irregular@3.6375% R82300000GBP IrregularSpd 0% (25/03/14-25/03/54)0IGNIS 123340GBPNULLLTAA1129507836BNY Mellon101.1558GBP1.0000101.7288-82300000.00001.000000-82300000.0000-83251241.2500-82300000.0000-83251241.25000-951241.25000.0000U.K. poundInflation SwapGBUnited Kingdom141921-IRS: Fix/Flo: P82300000GBP Irregular@3.6375% R82300000GBP IrregularSpd 0% (25/03/14-25/03/54)IL30IL302014-06-30 00:00:00.000

399United KingdomIFSSwap141992-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.6525% (25/03/14-25/03/64)0IGNIS 123343GBPNULLLTAA1129507867BNY Mellon100.6540GBP1.0000101.408241150000.00001.00000041150000.000041419109.780041150000.000041419109.78000269109.78000.0000U.K. poundInflation SwapGBUnited Kingdom141992-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.6525% (25/03/14-25/03/64)IL30IL302014-06-30 00:00:00.000

400United KingdomIFSSwap142448-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6625% (28/03/14-28/03/40IGNIS 123577GBPNULLLTAA1129551732BNY Mellon101.2157GBP1.0000101.625041150000.00001.00000041150000.000041650270.900041150000.000041650270.90000500270.90000.0000U.K. poundInflation SwapGBUnited Kingdom142448-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6625% (28/03/14-28/03/4IL30IL302014-06-30 00:00:00.000

401United KingdomIFSSwap142460-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6525% (28/03/14-28/03/60IGNIS 123578GBPNULLLTAA1129551748BNY Mellon100.6538GBP1.0000101.407841150000.00001.00000041150000.000041419037.940041150000.000041419037.94000269037.94000.0000U.K. poundInflation SwapGBUnited Kingdom142460-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6525% (28/03/14-28/03/6IL30IL302014-06-30 00:00:00.000

402United KingdomIFSSwap142484-Infl Swap: Fix/Flo: P1600000GBP Irregular@3.6375% R1600000GBP Irregular 0% (28/03/14-28/03/54)0IGNIS 123579GBPNULLLTAA1129603773BNY Mellon101.1552GBP1.0000101.7280-82300000.00001.000000-82300000.0000-83250759.9100-82300000.0000-83250759.91000-950759.91000.0000U.K. poundInflation SwapGBUnited Kingdom142484-Infl Swap: Fix/Flo: P1600000GBP Irregular@3.6375% R1600000GBP Irregular 0% (28/03/14-28/03/54)IL30IL302014-06-30 00:00:00.000

403United KingdomIFSSwap142715-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.66% (31/03/14-31/03/44)0IGNIS 123637GBPNULLLTAA1129560296BNY Mellon101.1349GBP1.0000101.543641150000.00001.00000041150000.000041617025.620041150000.000041617025.62000467025.62000.0000U.K. poundInflation SwapGBUnited Kingdom142715-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.66% (31/03/14-31/03/44)IL30IL302014-06-30 00:00:00.000

404United KingdomIFSSwap142695-Infl Swap: Fix/Flo: P82300000GBP Irregular@3.64125% R82300000GBP IrregularSpd 0% (31/03/14-31/03/54)0IGNIS 123640GBPNULLLTAA1129560306BNY Mellon101.3236GBP1.0000101.8979-82300000.00001.000000-82300000.0000-83389340.8800-82300000.0000-83389340.88000-1089340.88000.0000U.K. poundInflation SwapGBUnited Kingdom142695-Infl Swap: Fix/Flo: P82300000GBP Irregular@3.64125% R82300000GBP IrregularSpd 0% (31/03/14-31/03/54)IL30IL302014-06-30 00:00:00.000

405United KingdomIFSSwap144289-Infl Swap: Fix/Flo: P25637500GBP Irregular@3.625% R25637500GBP IrregularSpd 0% (09/04/14-09/04/54)0IGNIS 124276GBPNULLLTAA1129659014BNY Mellon100.5952GBP1.0000101.1624-25637500.00001.000000-25637500.0000-25790097.9900-25637500.0000-25790097.99000-152597.99000.0000U.K. poundInflation SwapGBUnited Kingdom144289-Infl Swap: Fix/Flo: P25637500GBP Irregular@3.625% R25637500GBP IrregularSpd 0% (09/04/14-09/04/54)IL30IL302014-06-30 00:00:00.000

406United KingdomIFSSwap144292-Infl Swap: Flo/Fix: P20510000GBP IrregularSpd 0% R20510000GBP Irregular@3.6475% (09/04/14-09/04/64)0IGNIS 124277GBPNULLLTAA1129659015BNY Mellon100.3579GBP1.0000101.107820510000.00001.00000020510000.000020583411.160020510000.000020583411.1600073411.16000.0000U.K. poundInflation SwapGBUnited Kingdom144292-Infl Swap: Flo/Fix: P20510000GBP IrregularSpd 0% R20510000GBP Irregular@3.6475% (09/04/14-09/04/64)IL30IL302014-06-30 00:00:00.000

407United KingdomIFSSwap148387-Infl Swap: Flo/Fix: P27000000GBP IrregularSpd 0% R27000000GBP Irregular@3.6325% (16/05/14-16/05/44)0IGNIS 126385GBPNULLEM39NBNY Mellon100.0749GBP1.0000100.475327000000.00001.00000027000000.000027020219.310027000000.000027020219.3100020219.31000.0000U.K. poundInflation SwapGBUnited Kingdom148387-Infl Swap: Flo/Fix: P27000000GBP IrregularSpd 0% R27000000GBP Irregular@3.6325% (16/05/14-16/05/44)IL30IL302014-06-30 00:00:00.000

408United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.55% VS FLOATING UKRPI Index ACT/365 4/27/2062074595IL01IRSGBPNULLLTAA1125237213BNY Mellon96.2373GBP1.000096.96195000000.00001.0000005000000.00004811867.49005000000.00004811867.49000-188132.51000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.55% VS FLOATING UKRPI Index ACT/365 4/27/2062IL30IL302014-06-30 00:00:00.000

409United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.375% VS UKRPI ACT/365 12Jun42077840IL01IRSGBPNULLD020587565900BNY Mellon93.4044GBP1.000093.76015000000.00001.0000005000000.00004670222.04005000000.00004670222.04000-329777.96000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.375% VS UKRPI ACT/365 12Jun42IL30IL302014-06-30 00:00:00.000

410United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.3075% VS FLOATING UKRPI ACT/365 12/07/2052080453IL01IRSGBPNULL8371096-1BNY Mellon87.9926GBP1.000088.45318000000.00001.0000008000000.00007039405.18008000000.00007039405.18000-960594.82000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.3075% VS FLOATING UKRPI ACT/365 12/07/2052IL30IL302014-06-30 00:00:00.000

411United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.31% ACT/365 VS UKRPI ACT/365 05OCT62085995IL01IRSGBPNULLD020589163627BNY Mellon82.0857GBP1.000082.64805325000.00001.0000005325000.00004371065.27005325000.00004371065.27000-953934.73000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.31% ACT/365 VS UKRPI ACT/365 05OCT62IL30IL302014-06-30 00:00:00.000

412United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 3.33% ACT/365 VS LIBOR 6MONTH ACT/365 27Jun633.33104307IL01IRSGBPNULLD030592640492BNY Mellon102.7254GBP1.0000103.4353-25000000.00001.000000-25000000.0000-25681348.0000-25000000.0000-25681348.00000-681348.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.33% ACT/365 VS LIBOR 6MONTH ACT/365 27Jun63IL30IL302014-06-30 00:00:00.000

413United KingdomIRSSwapIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug433.75107516AIL01IRSGBPNULLD030593353288BNY Mellon101.1154GBP1.0000101.2949-75000000.00001.000000-75000000.0000-75836516.0000-75000000.0000-75836516.00000-836516.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug43IL30IL302014-06-30 00:00:00.000

414United KingdomIRSSwapIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug433.75107516BIL01IRSGBPNULLD030593353295BNY Mellon101.1154GBP1.0000101.2949-75000000.00001.000000-75000000.0000-75836516.0000-75000000.0000-75836516.00000-836516.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug43IL30IL302014-06-30 00:00:00.000

415United KingdomIRSSwapIRS: Flo/Flo: GBP Float Libor Basis -19bps VS GBP 30y Sonia ACT/365 12Jul420.3380481IL01IRSGBPNULLD020587985986BNY Mellon99.5528GBP1.000099.548130000000.00001.00000030000000.000029865852.000030000000.000029865852.00000-134148.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Flo: GBP Float Libor Basis -19bps VS GBP 30y Sonia ACT/365 12Jul42IL30IL302014-06-30 00:00:00.000

416United KingdomIRSSwapIRS: Flo/Fix: GBP Fixed 2.2475% VS SONIO/N O/N ACT/365 1Nov232.25IGNIS 113036NULL5456738LSBNY Mellon99.0231GBP1.000099.3044-50000000.00001.000000-50000000.0000-49511570.0000-50000000.0000-49511570.00000488430.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP Fixed 2.2475% VS SONIO/N O/N ACT/365 1Nov23IL30IL302014-06-30 00:00:00.000

417United KingdomIRSSwapIRS: Flo/Fix: GBP Fixed 2.3238% ACT/365 VS SONIO/N ACT/365 13Nov232.32IGNIS 113579NULLD130594418729BNY Mellon99.6527GBP1.000099.9361-95000000.00001.000000-95000000.0000-94670093.5000-95000000.0000-94670093.50000329906.50000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP Fixed 2.3238% ACT/365 VS SONIO/N ACT/365 13Nov23IL30IL302014-06-30 00:00:00.000

418United KingdomIRSSwap127843-IRS: Fix/Flo: P75000000GBP Annual@2.39% R75000000GBP2.39IGNIS 113815NULL5542581LSBNY Mellon100.2035GBP1.0000100.4886-75000000.00001.000000-75000000.0000-75152632.5000-75000000.0000-75152632.50000-152632.50000.0000U.K. poundInterest Rate SwapGBUnited Kingdom127843-IRS: Fix/Flo: P75000000GBP Annual@2.39% R75000000GBP AnnualSpd 0% (13/11/13-13/11/23)IL30IL302014-06-30 00:00:00.000

419United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 2.468% VS SONIO/N ACT/365 05Dec232.47IGNIS 115553GBPNULLBNY Mellon100.8269GBP1.0000101.1154-100000000.00001.000000-100000000.0000-100826917.0000-100000000.0000-100826917.00000-826917.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 2.468% VS SONIO/N ACT/365 05Dec23IL30IL302014-06-30 00:00:00.000

420United KingdomIRSSwap131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23)2.58IGNIS IRS116877GBPNULLBNY Mellon101.7373GBP1.0000102.0291-100000000.00001.000000-100000000.0000-101737266.0000-100000000.0000-101737266.00000-1737266.00000.0000U.K. poundInterest Rate SwapGBUnited Kingdom131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23) IRSIL30IL302014-06-30 00:00:00.000

421United KingdomIRSSwap133452-IRS: Fix/Flo: P112000000GBP Annual@2.4775% R112000000GBP2.48IGNIS 118344GBPNULL5859303LSBNY Mellon100.8413GBP1.0000101.1331-112000000.00001.000000-112000000.0000-112942273.0000-112000000.0000-112942273.00000-942273.00000.0000U.K. poundInterest Rate SwapGBUnited Kingdom133452-IRS: Fix/Flo: P112000000GBP Annual@2.4775% R112000000GBP AnnualSpd 0% (14/01/14-14/01/24)IL30IL302014-06-30 00:00:00.000

422United KingdomIRSSwap141059-IRS: Fix/Flo: P53200000GBP Semi-annual@3.55% R53200000GBP Semi-annualSpd 0% (19/03/29-19/03/44)3.55IGNIS 122932GBPNULLD140596160611BNY Mellon99.8168GBP1.000099.9894-53200000.00001.000000-53200000.0000-53102521.6400-53200000.0000-53102521.6400097478.36000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141059-IRS: Fix/Flo: P53200000GBP Semi-annual@3.55% R53200000GBP Semi-annualSpd 0% (19/03/29-19/03/44)IL30IL302014-06-30 00:00:00.000

423United KingdomIRSSwap141066-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.77% (19/03/14-19/03/24)2.77IGNIS 122933GBPNULLD140596163456BNY Mellon100.1849GBP1.0000100.4579122700000.00001.000000122700000.0000122926921.4000122700000.0000122926921.40000226921.38000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141066-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.77% (19/03/14-19/03/24)IL30IL302014-06-30 00:00:00.000

424United KingdomIRSSwap141072-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.7775% (19/03/14-19/03/24)2.78IGNIS 122934GBPNULLD140596173392BNY Mellon100.2498GBP1.0000100.5229122700000.00001.000000122700000.0000123006516.9000122700000.0000123006516.90000306516.87000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141072-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.7775% (19/03/14-19/03/24)IL30IL302014-06-30 00:00:00.000

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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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

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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

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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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635United KingdomCashCashU.K. pound-BNY Mellon-SoldAI0.00GBPJun 30 2014 1-97NULL1BNY 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

636United KingdomCashCashU.K. pound-Merrill Lynch-OnHand0.00GBPJun 30 2014 1-98NULL1Merrill Lynch1.0000GBP1.00001.00001898992.77001.0000001898992.77001898992.77001898992.77001898992.770000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000

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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

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

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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

669United KingdomIFSSwap131813-IFS: Flo/Fix: P135000000GBP IrregularSpd 0% R135000000GBP Irregular@3.56% (20/12/13-20/12/28)0IGNIS IRS116865GBPNULLEKX6RBNY Mellon102.2710GBP1.0000102.3706135000000.00001.000000135000000.0000138065878.2000135000000.0000138065878.200003065878.22000.0000U.K. poundInflation SwapGBUnited Kingdom131813-IFS: Flo/Fix: P135000000GBP IrregularSpd 0% R135000000GBP Irregular@3.56% (20/12/13-20/12/28)IL30IL302014-06-30 00:00:00.000

670United KingdomIFSSwap133593-IRS: Flo/Fix: P48500000GBP IrregularSpd 0% R48500000GBP0IGNIS 118391GBPNULLLTAA1128998833BNY Mellon101.6503GBP1.0000101.745548500000.00001.00000048500000.000049300392.990048500000.000049300392.99000800392.99000.0000U.K. poundInflation SwapGBUnited Kingdom133593-IRS: Flo/Fix: P48500000GBP IrregularSpd 0% R48500000GBP Irregular@3.53% (14/01/14-15/01/29)IL30IL302014-06-30 00:00:00.000

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

672United KingdomIFSSwap134092-IRS: Flo/Fix: P17000000GBP IrregularSpd 0% R17000000GBP0IGNIS 118809GBPNULL89321295BNY Mellon100.3699GBP1.0000101.121017000000.00001.00000017000000.000017062880.860017000000.000017062880.8600062880.86000.0000U.K. poundInflation SwapGBUnited Kingdom134092-IRS: Flo/Fix: P17000000GBP IrregularSpd 0% R17000000GBP Irregular@3.65% (21/01/14-21/01/64)IL30IL302014-06-30 00:00:00.000

673United KingdomIFSSwap138998-IRS: Flo/Fix: P87400000GBP IrregularSpd 0% R87400000GBP Semi-annual@3.56% (04/03/14-04/03/34)0IGNIS 121287GBPNULLLTAA1129428472BNY Mellon100.1194GBP1.0000100.378987400000.00001.00000087400000.000087504335.820087400000.000087504335.82000104335.82000.0000U.K. poundInflation SwapGBUnited Kingdom138998-IRS: Flo/Fix: P87400000GBP IrregularSpd 0% R87400000GBP Semi-annual@3.56% (04/03/14-04/03/34)IL30IL302014-06-30 00:00:00.000

674United KingdomIFSSwap139194-IRS: Flo/Fix: P58029000GBP IrregularSpd 0% R58029000GBP Irregular@3.49% (05/03/14-05/03/29)0IGNIS 121831GBPNULLD140595928680BNY Mellon101.1062GBP1.0000101.195558029000.00001.00000058029000.000058670933.980058029000.000058670933.98000641933.98000.0000U.K. poundInflation SwapGBUnited Kingdom139194-IRS: Flo/Fix: P58029000GBP IrregularSpd 0% R58029000GBP Irregular@3.49% (05/03/14-05/03/29)IL30IL302014-06-30 00:00:00.000

675United KingdomIFSSwap140626-IRS: Flo/Fix: P81800000GBP IrregularSpd 0% R138639000GBP Irregular@3.465% (18/03/14-18/03/26)0IGNIS 122734GBPNULLLTAA1276674120BNY Mellon100.7114GBP1.0000100.799081800000.00001.00000081800000.000082381885.150081800000.000082381885.15000581885.15000.0000U.K. poundInflation SwapGBUnited Kingdom140626-IRS: Flo/Fix: P81800000GBP IrregularSpd 0% R138639000GBP Irregular@3.465% (18/03/14-18/03/26)IL30IL302014-06-30 00:00:00.000

676United KingdomIFSSwap141921-IRS: Fix/Flo: P82300000GBP Irregular@3.6375% R82300000GBP IrregularSpd 0% (25/03/14-25/03/54)0IGNIS 123340GBPNULLLTAA1129507836BNY Mellon101.1558GBP1.0000101.7288-82300000.00001.000000-82300000.0000-83251241.2500-82300000.0000-83251241.25000-951241.25000.0000U.K. poundInflation SwapGBUnited Kingdom141921-IRS: Fix/Flo: P82300000GBP Irregular@3.6375% R82300000GBP IrregularSpd 0% (25/03/14-25/03/54)IL30IL302014-06-30 00:00:00.000

677United KingdomIFSSwap141992-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.6525% (25/03/14-25/03/64)0IGNIS 123343GBPNULLLTAA1129507867BNY Mellon100.6540GBP1.0000101.408241150000.00001.00000041150000.000041419109.780041150000.000041419109.78000269109.78000.0000U.K. poundInflation SwapGBUnited Kingdom141992-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.6525% (25/03/14-25/03/64)IL30IL302014-06-30 00:00:00.000

678United KingdomIFSSwap142448-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6625% (28/03/14-28/03/40IGNIS 123577GBPNULLLTAA1129551732BNY Mellon101.2157GBP1.0000101.625041150000.00001.00000041150000.000041650270.900041150000.000041650270.90000500270.90000.0000U.K. poundInflation SwapGBUnited Kingdom142448-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6625% (28/03/14-28/03/4IL30IL302014-06-30 00:00:00.000

679United KingdomIFSSwap142460-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6525% (28/03/14-28/03/60IGNIS 123578GBPNULLLTAA1129551748BNY Mellon100.6538GBP1.0000101.407841150000.00001.00000041150000.000041419037.940041150000.000041419037.94000269037.94000.0000U.K. poundInflation SwapGBUnited Kingdom142460-Infl Swap: Flo/Fix: P800000GBP Continuously compoundedSpd 0% R800000GBP Continuously compounded@3.6525% (28/03/14-28/03/6IL30IL302014-06-30 00:00:00.000

680United KingdomIFSSwap142484-Infl Swap: Fix/Flo: P1600000GBP Irregular@3.6375% R1600000GBP Irregular 0% (28/03/14-28/03/54)0IGNIS 123579GBPNULLLTAA1129603773BNY Mellon101.1552GBP1.0000101.7280-82300000.00001.000000-82300000.0000-83250759.9100-82300000.0000-83250759.91000-950759.91000.0000U.K. poundInflation SwapGBUnited Kingdom142484-Infl Swap: Fix/Flo: P1600000GBP Irregular@3.6375% R1600000GBP Irregular 0% (28/03/14-28/03/54)IL30IL302014-06-30 00:00:00.000

681United KingdomIFSSwap142715-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.66% (31/03/14-31/03/44)0IGNIS 123637GBPNULLLTAA1129560296BNY Mellon101.1349GBP1.0000101.543641150000.00001.00000041150000.000041617025.620041150000.000041617025.62000467025.62000.0000U.K. poundInflation SwapGBUnited Kingdom142715-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.66% (31/03/14-31/03/44)IL30IL302014-06-30 00:00:00.000

682United KingdomIFSSwap142695-Infl Swap: Fix/Flo: P82300000GBP Irregular@3.64125% R82300000GBP IrregularSpd 0% (31/03/14-31/03/54)0IGNIS 123640GBPNULLLTAA1129560306BNY Mellon101.3236GBP1.0000101.8979-82300000.00001.000000-82300000.0000-83389340.8800-82300000.0000-83389340.88000-1089340.88000.0000U.K. poundInflation SwapGBUnited Kingdom142695-Infl Swap: Fix/Flo: P82300000GBP Irregular@3.64125% R82300000GBP IrregularSpd 0% (31/03/14-31/03/54)IL30IL302014-06-30 00:00:00.000

683United KingdomIFSSwap144289-Infl Swap: Fix/Flo: P25637500GBP Irregular@3.625% R25637500GBP IrregularSpd 0% (09/04/14-09/04/54)0IGNIS 124276GBPNULLLTAA1129659014BNY Mellon100.5952GBP1.0000101.1624-25637500.00001.000000-25637500.0000-25790097.9900-25637500.0000-25790097.99000-152597.99000.0000U.K. poundInflation SwapGBUnited Kingdom144289-Infl Swap: Fix/Flo: P25637500GBP Irregular@3.625% R25637500GBP IrregularSpd 0% (09/04/14-09/04/54)IL30IL302014-06-30 00:00:00.000

684United KingdomIFSSwap144292-Infl Swap: Flo/Fix: P20510000GBP IrregularSpd 0% R20510000GBP Irregular@3.6475% (09/04/14-09/04/64)0IGNIS 124277GBPNULLLTAA1129659015BNY Mellon100.3579GBP1.0000101.107820510000.00001.00000020510000.000020583411.160020510000.000020583411.1600073411.16000.0000U.K. poundInflation SwapGBUnited Kingdom144292-Infl Swap: Flo/Fix: P20510000GBP IrregularSpd 0% R20510000GBP Irregular@3.6475% (09/04/14-09/04/64)IL30IL302014-06-30 00:00:00.000

685United KingdomIFSSwap148387-Infl Swap: Flo/Fix: P27000000GBP IrregularSpd 0% R27000000GBP Irregular@3.6325% (16/05/14-16/05/44)0IGNIS 126385GBPNULLEM39NBNY Mellon100.0749GBP1.0000100.475327000000.00001.00000027000000.000027020219.310027000000.000027020219.3100020219.31000.0000U.K. poundInflation SwapGBUnited Kingdom148387-Infl Swap: Flo/Fix: P27000000GBP IrregularSpd 0% R27000000GBP Irregular@3.6325% (16/05/14-16/05/44)IL30IL302014-06-30 00:00:00.000

686United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.55% VS FLOATING UKRPI Index ACT/365 4/27/2062074595IL01IRSGBPNULLLTAA1125237213BNY Mellon96.2373GBP1.000096.96195000000.00001.0000005000000.00004811867.49005000000.00004811867.49000-188132.51000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.55% VS FLOATING UKRPI Index ACT/365 4/27/2062IL30IL302014-06-30 00:00:00.000

687United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.375% VS UKRPI ACT/365 12Jun42077840IL01IRSGBPNULLD020587565900BNY Mellon93.4044GBP1.000093.76015000000.00001.0000005000000.00004670222.04005000000.00004670222.04000-329777.96000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.375% VS UKRPI ACT/365 12Jun42IL30IL302014-06-30 00:00:00.000

688United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.3075% VS FLOATING UKRPI ACT/365 12/07/2052080453IL01IRSGBPNULL8371096-1BNY Mellon87.9926GBP1.000088.45318000000.00001.0000008000000.00007039405.18008000000.00007039405.18000-960594.82000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.3075% VS FLOATING UKRPI ACT/365 12/07/2052IL30IL302014-06-30 00:00:00.000

689United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.31% ACT/365 VS UKRPI ACT/365 05OCT62085995IL01IRSGBPNULLD020589163627BNY Mellon82.0857GBP1.000082.64805325000.00001.0000005325000.00004371065.27005325000.00004371065.27000-953934.73000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.31% ACT/365 VS UKRPI ACT/365 05OCT62IL30IL302014-06-30 00:00:00.000

690United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 3.33% ACT/365 VS LIBOR 6MONTH ACT/365 27Jun633.33104307IL01IRSGBPNULLD030592640492BNY Mellon102.7254GBP1.0000103.4353-25000000.00001.000000-25000000.0000-25681348.0000-25000000.0000-25681348.00000-681348.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.33% ACT/365 VS LIBOR 6MONTH ACT/365 27Jun63IL30IL302014-06-30 00:00:00.000

691United KingdomIRSSwapIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug433.75107516AIL01IRSGBPNULLD030593353288BNY Mellon101.1154GBP1.0000101.2949-75000000.00001.000000-75000000.0000-75836516.0000-75000000.0000-75836516.00000-836516.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug43IL30IL302014-06-30 00:00:00.000

692United KingdomIRSSwapIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug433.75107516BIL01IRSGBPNULLD030593353295BNY Mellon101.1154GBP1.0000101.2949-75000000.00001.000000-75000000.0000-75836516.0000-75000000.0000-75836516.00000-836516.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug43IL30IL302014-06-30 00:00:00.000

693United KingdomIRSSwapIRS: Flo/Flo: GBP Float Libor Basis -19bps VS GBP 30y Sonia ACT/365 12Jul420.3380481IL01IRSGBPNULLD020587985986BNY Mellon99.5528GBP1.000099.548130000000.00001.00000030000000.000029865852.000030000000.000029865852.00000-134148.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Flo: GBP Float Libor Basis -19bps VS GBP 30y Sonia ACT/365 12Jul42IL30IL302014-06-30 00:00:00.000

694United KingdomIRSSwapIRS: Flo/Fix: GBP Fixed 2.2475% VS SONIO/N O/N ACT/365 1Nov232.25IGNIS 113036NULL5456738LSBNY Mellon99.0231GBP1.000099.3044-50000000.00001.000000-50000000.0000-49511570.0000-50000000.0000-49511570.00000488430.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP Fixed 2.2475% VS SONIO/N O/N ACT/365 1Nov23IL30IL302014-06-30 00:00:00.000

695United KingdomIRSSwapIRS: Flo/Fix: GBP Fixed 2.3238% ACT/365 VS SONIO/N ACT/365 13Nov232.32IGNIS 113579NULLD130594418729BNY Mellon99.6527GBP1.000099.9361-95000000.00001.000000-95000000.0000-94670093.5000-95000000.0000-94670093.50000329906.50000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP Fixed 2.3238% ACT/365 VS SONIO/N ACT/365 13Nov23IL30IL302014-06-30 00:00:00.000

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697United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 2.468% VS SONIO/N ACT/365 05Dec232.47IGNIS 115553GBPNULLBNY Mellon100.8269GBP1.0000101.1154-100000000.00001.000000-100000000.0000-100826917.0000-100000000.0000-100826917.00000-826917.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 2.468% VS SONIO/N ACT/365 05Dec23IL30IL302014-06-30 00:00:00.000

698United KingdomIRSSwap131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23)2.58IGNIS IRS116877GBPNULLBNY Mellon101.7373GBP1.0000102.0291-100000000.00001.000000-100000000.0000-101737266.0000-100000000.0000-101737266.00000-1737266.00000.0000U.K. poundInterest Rate SwapGBUnited Kingdom131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23) IRSIL30IL302014-06-30 00:00:00.000

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701United KingdomIRSSwap141066-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.77% (19/03/14-19/03/24)2.77IGNIS 122933GBPNULLD140596163456BNY Mellon100.1849GBP1.0000100.4579122700000.00001.000000122700000.0000122926921.4000122700000.0000122926921.40000226921.38000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141066-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.77% (19/03/14-19/03/24)IL30IL302014-06-30 00:00:00.000

702United KingdomIRSSwap141072-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.7775% (19/03/14-19/03/24)2.78IGNIS 122934GBPNULLD140596173392BNY Mellon100.2498GBP1.0000100.5229122700000.00001.000000122700000.0000123006516.9000122700000.0000123006516.90000306516.87000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141072-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.7775% (19/03/14-19/03/24)IL30IL302014-06-30 00:00:00.000

703United 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

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705United 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

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707United 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

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

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

768United 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

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

772United 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

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

784United 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

785United 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

786United 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

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788United 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

789United 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

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

J Livingston SQL SSC Guru Points: 51550 More actions · Answer 13

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
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
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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
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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
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403United KingdomIFSSwap142715-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.66% (31/03/14-31/03/44)0IGNIS 123637GBPNULLLTAA1129560296BNY Mellon101.1349GBP1.0000101.543641150000.00001.00000041150000.000041617025.620041150000.000041617025.62000467025.62000.0000U.K. poundInflation SwapGBUnited Kingdom142715-Infl Swap: Flo/Fix: P41150000GBP IrregularSpd 0% R41150000GBP Irregular@3.66% (31/03/14-31/03/44)IL30IL302014-06-30 00:00:00.000
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406United KingdomIFSSwap144292-Infl Swap: Flo/Fix: P20510000GBP IrregularSpd 0% R20510000GBP Irregular@3.6475% (09/04/14-09/04/64)0IGNIS 124277GBPNULLLTAA1129659015BNY Mellon100.3579GBP1.0000101.107820510000.00001.00000020510000.000020583411.160020510000.000020583411.1600073411.16000.0000U.K. poundInflation SwapGBUnited Kingdom144292-Infl Swap: Flo/Fix: P20510000GBP IrregularSpd 0% R20510000GBP Irregular@3.6475% (09/04/14-09/04/64)IL30IL302014-06-30 00:00:00.000
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420United KingdomIRSSwap131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23)2.58IGNIS IRS116877GBPNULLBNY Mellon101.7373GBP1.0000102.0291-100000000.00001.000000-100000000.0000-101737266.0000-100000000.0000-101737266.00000-1737266.00000.0000U.K. poundInterest Rate SwapGBUnited Kingdom131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23) IRSIL30IL302014-06-30 00:00:00.000
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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
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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
626United 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
627United KingdomCashCashU.K. pound-BNY Mellon-AccruedInterestPayable0.00GBPJun 30 2014 1-89NULL1BNY 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
628United KingdomCashCashU.K. pound-BNY Mellon-AccruedInterestReceivable0.00GBPJun 30 2014 1-90NULL1BNY Mellon1.0000GBP1.00001.0000778396.40001.000000778396.4000778396.4000778396.4000778396.400000.00000.0000U.K. poundCash and EquivalentsGBUnited KingdomIL30IL302014-06-30 00:00:00.000
629United KingdomCashCashU.K. pound-BNY Mellon-CapitalPayable0.00GBPJun 30 2014 1-91NULL1BNY 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
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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683United KingdomIFSSwap144289-Infl Swap: Fix/Flo: P25637500GBP Irregular@3.625% R25637500GBP IrregularSpd 0% (09/04/14-09/04/54)0IGNIS 124276GBPNULLLTAA1129659014BNY Mellon100.5952GBP1.0000101.1624-25637500.00001.000000-25637500.0000-25790097.9900-25637500.0000-25790097.99000-152597.99000.0000U.K. poundInflation SwapGBUnited Kingdom144289-Infl Swap: Fix/Flo: P25637500GBP Irregular@3.625% R25637500GBP IrregularSpd 0% (09/04/14-09/04/54)IL30IL302014-06-30 00:00:00.000
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685United KingdomIFSSwap148387-Infl Swap: Flo/Fix: P27000000GBP IrregularSpd 0% R27000000GBP Irregular@3.6325% (16/05/14-16/05/44)0IGNIS 126385GBPNULLEM39NBNY Mellon100.0749GBP1.0000100.475327000000.00001.00000027000000.000027020219.310027000000.000027020219.3100020219.31000.0000U.K. poundInflation SwapGBUnited Kingdom148387-Infl Swap: Flo/Fix: P27000000GBP IrregularSpd 0% R27000000GBP Irregular@3.6325% (16/05/14-16/05/44)IL30IL302014-06-30 00:00:00.000
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687United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.375% VS UKRPI ACT/365 12Jun42077840IL01IRSGBPNULLD020587565900BNY Mellon93.4044GBP1.000093.76015000000.00001.0000005000000.00004670222.04005000000.00004670222.04000-329777.96000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.375% VS UKRPI ACT/365 12Jun42IL30IL302014-06-30 00:00:00.000
688United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.3075% VS FLOATING UKRPI ACT/365 12/07/2052080453IL01IRSGBPNULL8371096-1BNY Mellon87.9926GBP1.000088.45318000000.00001.0000008000000.00007039405.18008000000.00007039405.18000-960594.82000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.3075% VS FLOATING UKRPI ACT/365 12/07/2052IL30IL302014-06-30 00:00:00.000
689United KingdomIFSSwapIRS: Fix/Flo: GBP FIXED 3.31% ACT/365 VS UKRPI ACT/365 05OCT62085995IL01IRSGBPNULLD020589163627BNY Mellon82.0857GBP1.000082.64805325000.00001.0000005325000.00004371065.27005325000.00004371065.27000-953934.73000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.31% ACT/365 VS UKRPI ACT/365 05OCT62IL30IL302014-06-30 00:00:00.000
690United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 3.33% ACT/365 VS LIBOR 6MONTH ACT/365 27Jun633.33104307IL01IRSGBPNULLD030592640492BNY Mellon102.7254GBP1.0000103.4353-25000000.00001.000000-25000000.0000-25681348.0000-25000000.0000-25681348.00000-681348.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 3.33% ACT/365 VS LIBOR 6MONTH ACT/365 27Jun63IL30IL302014-06-30 00:00:00.000
691United KingdomIRSSwapIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug433.75107516AIL01IRSGBPNULLD030593353288BNY Mellon101.1154GBP1.0000101.2949-75000000.00001.000000-75000000.0000-75836516.0000-75000000.0000-75836516.00000-836516.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug43IL30IL302014-06-30 00:00:00.000
692United KingdomIRSSwapIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug433.75107516BIL01IRSGBPNULLD030593353295BNY Mellon101.1154GBP1.0000101.2949-75000000.00001.000000-75000000.0000-75836516.0000-75000000.0000-75836516.00000-836516.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP FIXED 3.745% SEMI-ANNUAL VS LIBOR 6MONTH ACT/360 22Aug43IL30IL302014-06-30 00:00:00.000
693United KingdomIRSSwapIRS: Flo/Flo: GBP Float Libor Basis -19bps VS GBP 30y Sonia ACT/365 12Jul420.3380481IL01IRSGBPNULLD020587985986BNY Mellon99.5528GBP1.000099.548130000000.00001.00000030000000.000029865852.000030000000.000029865852.00000-134148.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Flo: GBP Float Libor Basis -19bps VS GBP 30y Sonia ACT/365 12Jul42IL30IL302014-06-30 00:00:00.000
694United KingdomIRSSwapIRS: Flo/Fix: GBP Fixed 2.2475% VS SONIO/N O/N ACT/365 1Nov232.25IGNIS 113036NULL5456738LSBNY Mellon99.0231GBP1.000099.3044-50000000.00001.000000-50000000.0000-49511570.0000-50000000.0000-49511570.00000488430.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP Fixed 2.2475% VS SONIO/N O/N ACT/365 1Nov23IL30IL302014-06-30 00:00:00.000
695United KingdomIRSSwapIRS: Flo/Fix: GBP Fixed 2.3238% ACT/365 VS SONIO/N ACT/365 13Nov232.32IGNIS 113579NULLD130594418729BNY Mellon99.6527GBP1.000099.9361-95000000.00001.000000-95000000.0000-94670093.5000-95000000.0000-94670093.50000329906.50000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Flo/Fix: GBP Fixed 2.3238% ACT/365 VS SONIO/N ACT/365 13Nov23IL30IL302014-06-30 00:00:00.000
696United KingdomIRSSwap127843-IRS: Fix/Flo: P75000000GBP Annual@2.39% R75000000GBP2.39IGNIS 113815NULL5542581LSBNY Mellon100.2035GBP1.0000100.4886-75000000.00001.000000-75000000.0000-75152632.5000-75000000.0000-75152632.50000-152632.50000.0000U.K. poundInterest Rate SwapGBUnited Kingdom127843-IRS: Fix/Flo: P75000000GBP Annual@2.39% R75000000GBP AnnualSpd 0% (13/11/13-13/11/23)IL30IL302014-06-30 00:00:00.000
697United KingdomIRSSwapIRS: Fix/Flo: GBP FIXED 2.468% VS SONIO/N ACT/365 05Dec232.47IGNIS 115553GBPNULLBNY Mellon100.8269GBP1.0000101.1154-100000000.00001.000000-100000000.0000-100826917.0000-100000000.0000-100826917.00000-826917.00000.0000U.K. poundInterest Rate SwapGBUnited KingdomIRS: Fix/Flo: GBP FIXED 2.468% VS SONIO/N ACT/365 05Dec23IL30IL302014-06-30 00:00:00.000
698United KingdomIRSSwap131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23)2.58IGNIS IRS116877GBPNULLBNY Mellon101.7373GBP1.0000102.0291-100000000.00001.000000-100000000.0000-101737266.0000-100000000.0000-101737266.00000-1737266.00000.0000U.K. poundInterest Rate SwapGBUnited Kingdom131809-IRS: Fix/Flo: P100000000GBP Annual@2.5775% R100000000GBP AnnualSpd 0% (20/12/13-20/12/23) IRSIL30IL302014-06-30 00:00:00.000
699United KingdomIRSSwap133452-IRS: Fix/Flo: P112000000GBP Annual@2.4775% R112000000GBP2.48IGNIS 118344GBPNULL5859303LSBNY Mellon100.8413GBP1.0000101.1331-112000000.00001.000000-112000000.0000-112942273.0000-112000000.0000-112942273.00000-942273.00000.0000U.K. poundInterest Rate SwapGBUnited Kingdom133452-IRS: Fix/Flo: P112000000GBP Annual@2.4775% R112000000GBP AnnualSpd 0% (14/01/14-14/01/24)IL30IL302014-06-30 00:00:00.000
700United KingdomIRSSwap141059-IRS: Fix/Flo: P53200000GBP Semi-annual@3.55% R53200000GBP Semi-annualSpd 0% (19/03/29-19/03/44)3.55IGNIS 122932GBPNULLD140596160611BNY Mellon99.8168GBP1.000099.9894-53200000.00001.000000-53200000.0000-53102521.6400-53200000.0000-53102521.6400097478.36000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141059-IRS: Fix/Flo: P53200000GBP Semi-annual@3.55% R53200000GBP Semi-annualSpd 0% (19/03/29-19/03/44)IL30IL302014-06-30 00:00:00.000
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702United KingdomIRSSwap141072-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.7775% (19/03/14-19/03/24)2.78IGNIS 122934GBPNULLD140596173392BNY Mellon100.2498GBP1.0000100.5229122700000.00001.000000122700000.0000123006516.9000122700000.0000123006516.90000306516.87000.0000U.K. poundInterest Rate SwapGBUnited Kingdom141072-IRS: Flo/Fix: P122700000GBP Semi-annualSpd 0% R122700000GBP Semi-annual@2.7775% (19/03/14-19/03/24)IL30IL302014-06-30 00:00:00.000
703United 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
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705United 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
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707United 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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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
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
768United 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
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
772United 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
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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
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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
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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.....

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you can lead a user to data....but you cannot make them think
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