DISCLOSE REGISTER - FULL PORTFOLIO HOLDINGS 1 Offer name Summer KiwiSaver Scheme Offer number OFR10856 Fund name Summer Conservative Selection Fund number FND13670 Period disclosure applies [dd/mm/yyyy] 31/03/2020 Asset name % of fund net assets Security code ANZ transactional bank account 22.19% n/a New Zealand Local Government Funding Agency Ltd 14/04/2033 3.50% 5.09% NZLGFDT009C0 Bank of New Zealand Subordinated Note 17/12/2025 5.314% 1.91% NZBNZDT383C8 New Zealand Local Government Funding Agency Ltd 15/04/2025 2.75% 1.81% NZLGFDT008C2 New Zealand Local Government Funding Agency Ltd 15/04/2027 4.50% 1.66% NZLGFDT007C4 Vector Ltd 14/03/2024 4.996% 1.21% NZVCTDT009C6 Housing New Zealand 3.36% 12/06/2025 1.19% NZHNZD0625L3 The a2 Milk Company Limited 1.02% NZATME0002S8 Goodman Property Trust 0.98% NZCPTE0001S9 Housing New Zealand 3.42% 18/10/2028 0.95% NZHNZD0628L7 Transpower New Zealand Ltd 30/06/2022 4.30% 0.94% NZTRPD0030L3 GMT Bond Issuer Limited 23/06/2022 5.00% 0.90% NZGMBDT003C6 Chorus Ltd Bonds 06/05/2021 4.12% 0.89% NZCNUDT002C8 Amazon.com, Inc. 0.89% US0231351067 Housing New Zealand Limited 05/10/2026 2.247% 0.87% NZHNZD0001L7 Precinct Properties New Zealand Limited 0.86% NZAPTE0001S3 Kiwi Property Group Limited 0.83% NZKPGE0001S9 ASB Bank limited 19/08/2024 1.83% 0.82% NZABBDG004C8 CSL Limited 0.82% AU000000CSL8 New Zealand Local Government Funding Agency Ltd 20/04/2029 1.50% 0.82% NZLGFDT012C4 Trustpower Ltd 15/12/2022 4.01% 0.80% NZTPWDT150C2 Precinct Properties New Zealand Ltd 17/12/2021 5.54% 0.75% NZPCTDT001C1 Kiwibank Limited 20/09/2024 2.155% 0.74% NZKIWD0924L1 ASB Bank Limited 26/05/2021 4.245% 0.71% NZABBDG002C2 ANZ Capital Notes 25/05/2020 7.20% 0.68% NZANBDT013C0 NIKE, Inc. 0.62% US6541061031 Christchurch International Airport Limited 24/05/2024 4.13% 0.62% NZCHCDT004C4 Genesis Energy Limited 5.0% 03/04/2025 0.61% NZGNEDT007C3 Fisher & Paykel Healthcare Corporation Limited 0.61% NZFAPE0001S2 Meridian Energy Limited 20/03/2024 4.88% 0.61% NZMELDT024C2 Christchurch City Holdings Limited Bonds 27/11/2024 3.58% 0.60% NZCCHDT853C4 Genesis Energy Limited Bonds 09/06/2047 5.70% 0.60% NZGNEDG004C5 JP Morgan Chase & Co. USD Cash Deposit 0.60% n/a Alphabet Inc Class A 0.58% US02079K3059 Apple Inc. 0.57% US0378331005 Argosy Property Limited Green Bonds 29/10/2026 2.90% 0.56% NZARGDT002C4 Westpac New Zealand Limited 29/07/2024 2.22% 0.56% NZWNZD0724L3 Spark New Zealand Limited 0.56% NZTELE0001S4 Argosy Property Limited Green Bonds 27/03/2026 4.00% 0.55% NZARGDT001C6 Transpower New Zealand Limited 04/09/2025 1.735% 0.55% NZTRPD0070L9 Summerset Group Holdings Limited 4.20% 24/09/2025 0.54% NZSUMD0020L7 BHP Group Limited 0.53% AU000000BHP4 Meridian Energy Limited 27/06/2025 4.21% 0.53% NZMELDT042C4 Westpac New Zealand Limited Fixed Rate Note 23/03/2023 3.72% 0.51% NZWNZD0323L4 Kiwi Property Group Limited 07/09/2023 4.00% 0.49% NZKPGD0020L6 Vital Healthcare Property Trust 0.48% NZCHPE0001S4 Illumina Inc. 0.47% US4523271090 Sky City Entertainment Group Ltd 28/09/2022 4.65% 0.46% NZSKCDT040C5 Visa Inc.- Class A Shares 0.46% US92826C8394 Property For Industry Limited 0.45% NZPFIE0001S5 Comcast Corp Class A 0.45% US20030N1019 Alibaba Group Holding-Sp Adr 0.45% US01609W1027 Fonterra Co-operative Group Ltd Fixed Rate Bonds 20/10/2021 4.33% 0.45% NZFCGDG003C9 Kiwi Capital Funding Ltd Perpetual Capital Notes 27/05/2020 7.25% 0.45% NZKCFD0002L4 Metlifecare Limited 20/09/2026 3.00% 0.45% NZMETDT001C2 Powerco Ltd 28/09/2022 4.76% 0.44% NZPWCDT007C3 Medtronic Inc. 0.43% IE00BTN1Y115 Trustpower Limited 22/02/2029 3.97% 0.43% NZTPWDT170C0 Baxter International Inc. 0.42% US0718131099 Meridian Energy Ltd 14/03/2023 4.53% 0.42% NZMELDT016C8 Meridian Energy Limited 0.42% NZMELE0002S7 Commonwealth Bank of Australia Limited 0.41% AU000000CBA7 LVMH Moet Hennessy- Louis Vuitton 0.41% FR0000121014 U S TREASURY BILLS 0.40% 9127962H1 Insurance Australia Group Ltd 15/06/2022 5.15% 0.39% NZIAGDT003C3 Contact Energy Ltd 15/11/2021 4.40% 0.39% NZCEND0030L2 Infratil Limited 0.37% NZIFTE0003S3 The Walt Disney Company 0.37% US2546871060 Transpower New Zealand Limited 06/03/2025 3.823% 0.37% NZTRPD0050L1 ASB Bank Ltd 26/05/2021 4.245% 0.36% NZABBDT034C0 Westpac Banking Corporation 0.36% AU000000WBC1 Contact Energy Limited 0.35% NZCENE0001S6 Nvidia Corporation 0.35% US67066G1040 Auckland International Airport Ltd 09/11/2022 4.28% 0.35% NZAIADT200L2 Palo Alto Networks, Inc. 0.35% US6974351057 Ebos Group Limited 0.34% NZEBOE0001S6 Argosy Property Limited 0.34% NZARGE0010S7 Mercury NZ Limited 06/03/2023 5.793% 0.34% NZMTYDT025C7 AstraZeneca Plc 0.33% GB0009895292 Spark Finance Limited 3.37% 07/03/2024 0.33% NZSPFD0580L4 STIF FUND (USD)( BNP PARIBAS) 0.32% 998907794 Z Energy Limited Limited 4.00% 03/09/2024 0.31% NZZELD0060L4 Vector Ltd 27/05/2025 3.45% 0.30% NZVCTDT090C6 Wellington International Airport Ltd 15/05/2021 6.25% 0.30% NZWIAD0020L9 Siemens AG-Reg 0.30% DE0007236101 Wellington International Airport Limited 06/11/2020 5.27% 0.30% NZWIAD0620L6 Microsoft Corporation 0.29% US5949181045 Westpac Banking Corp Subordinated Notes 01/09/2026 4.695% 0.29% NZWBCD0010L1 Takeda Pharmaceutical Co Limited 0.29% JP3463000004 Chorus Limited 0.29% NZCNUE0001S2 ANZ Bank New Zealand Limited 20/03/2024 3.03% 0.29% NZANBDT023C9 Stride Property Group 0.29% NZSPGE0001S2 Z Energy Ltd 01/11/2021 4.01% 0.28% NZZELD0040L6 Ping An Insurance (Group) Company of China, Limited 0.28% CNE1000003X6 Sanofi SA 0.28% FR0000120578 Mainfreight Limited 0.28% NZMFTE0001S9 Christchurch City Holdings Limited Bonds 06/12/2022 3.40% 0.27% NZCCHDT839C3 Investore Property Limited 0.27% NZIPLE0001S3 National Australia Bank Limited 0.26% AU000000NAB4 Gilead Sciences Inc. 0.26% US3755581036 Woolworths Limited 0.26% AU000000WOW2 Tencent Holdings Limited 0.25% KYG875721634 Salesforce.com, Inc. 0.25% US79466L3024 Ryman Healthcare Limited 0.25% NZRYME0001S4 Wellington International Airport Limited 01/04/2030 4.00% 0.25% NZWIAD0060L5 Wesfarmers Limited 0.25% AU000000WES1 Spark Finance Ltd 25/03/2022 4.50% 0.23% NZSPFD0322L1 Property for Industry Limited 4.25% 01/10/2025 0.23% NZPFIDT020C1 Telstra Corporation Limited 0.23% AU000000TLS2 Rabobank Nederland Notes 10/06/2020 4.592% 0.23% NZRABDT014C4 Rio Tinto Limited 0.23% AU000000RIO1 Bayer AG 0.23% DE000BAY0017 Z Energy Limited 0.22% NZZELE0001S1 Bank of China 0.22% CNE1000001Z5 QNB FINANCE LTD SR UNSEC FRN SOFR 0.21% ZP8978204 Fletcher Building Limited 0.21% NZFBUE0001S0 Australia and New Zealand Banking Group Limited 0.21% AU000000ANZ3 Genesis Energy Limited 0.20% NZGNEE0001S7 Kiwi Property Group Limited 20/08/2021 6.15% 0.20% NZKIPD0010L3 Merck & Co Inc 0.20% US58933Y1055 Sanford Limited 0.20% NZSANE0001S0 JP Morgan Chase & Co. AUD Cash Deposit 0.20% n/a CASH COLLATERAL ISDA BPS USD 0.19% CCBPSIUS1 Mercury NZ Floating Rate Bond 07/09/2021 0.19% NZMTYDT003C4 U S TREASURY INFLATE PROT BD 0.19% 912828H45 JAPANESE GOVT BOND (20Y) #154 0.19% UV8902925 Skellerup Holdings Limited 0.19% NZSKXE0001S8 CASH COLLATERAL ISDA MYI USD 0.17% CCMYIIUS1 Genesis Energy Ltd Bonds 18/03/2022 4.14% 0.17% NZGNEDG001C1 Goodman Group 0.17% AU000000GMG2 Port of Tauranga Limited 0.17% NZPOTE0003S0 Macquarie Group Limited 0.17% AU000000MQG1 ING Group N.V. 0.16% NL0011821202 Brambles Limited 0.15% AU000000BXB1 CASH COLLATERAL ISDA HUS USD 0.15% CCHUSIUS4 Delegat Group Limited 0.15% NZDGLE0001S3 Viva Energy Group Limited 0.15% AU0000016875 STIF FUND (AUD)( BNP PARIBAS) 0.14% 908907793 ANZ Bank New Zealand Limited 02/09/2021 3.33% 0.14% NZANBDT018C9 Atlas Arteria Group 0.14% AU0000013559 SPANISH GOVT BD (BONOS Y OBLIG) 0.14% AZ1293424 Mercury NZ Limited 11/07/2049 3.60% 0.14% NZMCYDG002C0 South32 Limited 0.13% AU000000S320 China Railway Construction Corporation Limited 0.13% CNE100000981 Transurban Group 0.13% AU000000TCL6 GMTNZ 4.00% 01/09/2023 0.13% NZGMBDT005C1 U S TREASURY NOTE 0.13% 9128284M9 Treasury Wine Estates Limited 0.12% AU000000TWE9 U S TREASURY INFLATE PROT BD 0.12% 9128283R9 SKYCITY Entertainment Group Limited 0.12% NZSKCE0001S2 Auckland International Airport Limited 17/4/2023 3.64% 0.12% NZAIADT220L0 Auckland International Airport Limited 0.11% NZAIAE0002S6 JAPANESE GOVT BOND (30Y) #61 0.11% AW6341746 TravelSky Technology Limited 0.11% CNE1000004J3 Woodside Petroleum Limited 0.11% AU000000WPL2 TPMT 2019-4 A1 144A 0.10% 89178BAA2 Ramsay Health Care Limited 0.10% AU000000RHC8 JAPANESE GOVT BOND (30Y) #62 0.10% ZS0526047 Northern Star Resources Limited 0.10% AU000000NST8 Trustpower Limited 15/12/2021 5.63% 0.10% NZTPWDT140C3 Lendlease Group 0.09% AU000000LLC3 SPANISH GOVT BD (BONOS Y OBLIG) 0.09% AW8324286 Trustpower Limited Bonds 29/07/2026 3.35% 0.09% NZTPWDT180C9 Altium Limited 0.09% AU000000ALU8 JYSKE REALKREDIT A/S SEC **PARTIAL CALL* 0.09% AZ0551053 UK HY CORP REPO 0.09% UHYA6Q1D9 SPANISH GOVT BD (BONOS Y OBLIG) 0.08% AT2820591 Mercury NZ Limited 0.08% NZMRPE0001S2 FRANCE GOVT OAT BD 0.08% AX2841838 JAPANESE GOVT BOND (ILB) #23 0.08% AS5951049 Scentre Group Limited 0.08% AU000000SCG8 SAUDI INTERNATIONAL BOND 0.08% QZ9368189 U S TREASURY INFLATE PROT BD 0.08% 912828XL9 CASH COLLATERAL FUT MSC USD 0.08% CCMSCXUS7 Insurance Australia Group Limited 0.07% AU000000IAG3 Tilt Renewables Limited 0.07% NZTLTE0003S8 ANZ Bank New Zealand Ltd Floating Rate Bond 26/08/2020 0.07% NZANBDG020C0 FRANCE GOVT OAT BD 0.07% AN6136328 CANADIAN GOVERNMENT BD 0.07% 135087D35 Suncorp Group Limited 0.07% AU000000SUN6 JYSKE REALKREDIT A/S SEC**PARTIAL CALL** 0.07% AX8961184 ResMed Inc. 0.07% AU000000RMD6 NYKREDIT REALKREDIT AS SEC IO 0.06% AZ1042375 Tower Limited 0.06% NZTWRE0011S2 ROYAL BK SCOTLND GRP PLC SRUNSEC 0.06% 780097BE0 NORDEA KREDIT REALK **PARTIAL CALL** 0.06% ZS9944027 SUMITOMO MITSUI BANKING SEC 0.06% AZ0983637 U S TREASURY BOND 0.06% 912810RC4 REA Group Limited 0.06% AU000000REA9 Asset Plus Limited 0.06% NZNAPE0007S3 JAPANESE GOVT BOND (30Y) #50 0.06% JK3805781 Aristocrat Leisure Limited 0.06% AU000000ALL7 Shopping Centres Australasia Property Group 0.06% AU000000SXY7 GMT Bond Issuer Ltd 16/12/2020 6.20% 0.06% NZGMBDT002C8 FNMA TBA 4.0% MAY 30YR 0.05% 01F040651 Charter Hall Group Limited 0.05% AU000000CHC0 FORD MOTOR CREDIT CO LLC SR UNSEC 0.05% 34540RAC0 QATAR GOVT SR UNSEC REGS 0.05% AX5422925 SAUDI INTERNATIONAL BOND 0.05% AS1608783 FNMA TBA 3.5% MAY 30YR 0.05% 01F032658 KUWAIT INTL BOND REGS 0.05% AM8496425 Wellington International Airport Limited 12/05/2023 4.25% 0.05% NZWIAD0030L8 LLOYDS BANK PLC COVERED EMTN 0.05% 5395569Q5 U S TREASURY BOND 0.05% 912810RD2 RIPON 1A A1 3MLIB+80BP 144A 0.05% CX2CIL010 LLOYDS BANK CORP MKTS/NY FRN YCD 0.05% 53947BAC4 RECKITT BENCKISER TSY SR UNSEC 144A 0.05% 75625QAC3 ITALIAN BTP BOND 0.05% ZS1056473 TESCO PROP FIN 6 PLC 0.05% EJ5474840 CASH COLLATERAL LCH MSC USD 0.05% CCMSCHUS2 GNR 2016-H11 F 1MLIB+80BP 0.04% 38375UXM7 Xero Limited 0.04% NZXROE0001S2 BANCA CARIGE SPA COVERED SEC 0.04% LW2514260 NOMURA BANK INTL ECP 0.04% PP9J7EFM7 BRITISH POUND STERLING 0.04% GBP0093A8 AVIATION CAPITAL GROUP SR UNSEC 144A 0.04% 05367AAJ2 FSQ 2018-2 A 3MGBP + 95BP 0.04% CMJB99015 MORGAN STANLEY SR UNSEC 0.04% 6174468M4 CMLTI 2006-WFH4 M2 1MLIB+29BP 0.04% 17309SAF7 NYKREDIT REALKREDIT AS SEC IO 0.04% AX2426804 Sky Network Television Limited 0.04% NZSKTE0001S6 FRENSENIUS MED CARE US CO GTD 144A 0.04% 35803QAA5 MITSUBISHI UFJ FIN GRP SR UNSEC 0.04% 606822AT1 Arvida Group Limited 0.04% NZARVE0001S5 MIZUHO FINANCIAL GROUP SR UNSEC 0.04% 60687YAH2 PROTECTIVE LIFE GLOBAL SEC 144A 0.04% 74368CAE4 ROYAL BANK OF CANADA COVERED SONIA SEC 0.04% ZR8273438 Marsden Maritime Holdings Ltd. 0.04% NZNTHE0001S3 Cleanaway Waste Management Limited 0.04% AU000000CWY3 QUALCOMM INC 0.04% 747525AS2 DEUTSCHE BANK AG 0.04% ZP3884472 SVHE 2005-OPT3 M1 1MLIB+47BP 0.04% 83611MGU6 NEXTDC Limited 0.04% AU000000NXT8 FINLAND GOVT 0.04% JK2882773 AVOLON HOLDINGS SR UNSEC 144A 0.04% 70014LAA8 PROVINCE OF QUEBEC BDS 0.04% 74814ZEL3 Capitol Health Limited 0.04% AU000000CAJ0 SUMITOMO MITSUI BANKING COVERED SEC 0.04% AU9538516 Mcmillan Shakespeare Limited 0.04% AU000000MMS5 BRFKREDIT A/S COVERED**PARTIAL CALL** 0.03% AQ2431783 CASH COLLATERAL ICE MSC USD 0.03% CCMSCZUS2 HSBC HOLDINGS PLC SR UNSEC 0.03% 404280BT5 PERU (REP OF) GLBL SRUNSC 144A 0.03% 715638BV3 GNR 2016-H14 FA 1MLIB+80BP 0.03% 38376RVV5 JPN BANK FOR INT'L COOP 0.03% 471048CD8 The New Zealand Refining Company Limited 0.03% NZNZRE0001S9 AMSI 2005-R5 M5 1MLIB+65BP 0.03% 03072SE68 TORONTO-DOMINION BANK SEC 144A 0.03% 891160NR0 LLOYDS BANK PLC SEC 0.03% AZ6956959 NATIONWIDE BLDG SOCIETY SEC 144A 0.03% 638602BR2 STADSHYPOTEK AB COVERED SEC 144A 0.03% 85235XAF2 AMP Limited 0.03% AU000000AMP6 PETROBRAS GLOBAL FINANCE SR UNSEC REGS 0.03% ZR6326220 UBS GROUP FUNDING SR UNSEC 144A 0.03% 90351DAD9 GENERAL ELECTRIC CO SR UNSEC MTN 0.03% 36962G6S8 CN HUANENG GP HK TREASUR SR UNSEC 0.03% ZQ8762028 TPMF 2019-GR4X A1 3MGBP + 102.50BP 0.03% CX2A9H013 FHLMC GOLD 30YR GNT #G0-8747 0.03% 3128MJZM5 CSMC 2019-RPL8 A1 144A 0.03% 12596YAC4 NRZT 2020-RPL1 A1 144A 0.03% 64828XAA1 ZIMMER BIOMET HOLDINGS SR UNSEC 0.03% 98956PAP7 CONAGRA BRANDS INC GLBL SR UNSEC 0.03% 205887BJ0 DEUTSCHE BANK NY SR UNSEC 0.03% 251526BX6 NATIONWIDE BLDG SOCIETY SR UNSEC 144A 0.03% 63861VAA5 CITIBANK NA SR UNSEC 0.03% 17325FAX6 UNICREDIT SPA SR UNSEC REGS 0.03% AV9182479 NRZT 2019-RPL3 A1 144A 0.03% 64830NAA9 CMLTI 2019-C A1 WM50 WC4.5780 144A 0.03% 17328GAA1 RMAC 2018-1 A 3MGBP + 70BP 0.03% CX2LTF011 FNMA PASS THRU 30YR #AZ7355 0.03% 3140E0E50 ENBRIDGE INC SR UNSEC 0.03% 29250NBB0 BUMP 2019-1 A SONIA + 60BP 0.03% CX2CEI011 Webjet Limited 0.03% AU000000WEB7 MORTI 2019-1 A SONIA + 130BP 0.03% CX2CMC015 Freightways Limited 0.03% NZFREE0001S0 TPMF 2019-A13X A1 SONIA + 90BP 0.03% CX2IS6019 CASH COLLATERAL ISDA GLM USD 0.03% CCGLMIUS1 Santos Limited 0.03% AU000000STO6 HWKSM 2019-1X A SONIA +105BP 0.03% CX2FRJ018 GSAMP 2006-HE3 A2D 0.03% 36244KAE5 NYKREDIT REALKREDIT AS 0.03% AP0290779 BANCA MONTE DEI PASCHI S SEC 0.03% ZR8866983 CIEL 2019-1 A 3MGBP + 105BP 0.03% CMWG71018 SAUDI INTERNATIONAL BOND 0.03% AW5997316 VOLKSWAGEN BANK GMBH SR UNSEC REGS 0.03% AW8989146 GOVERNOR & CO OF THE BAN JR SUB 0.03% EK9643603 GOLDMAN SACHS GROUP INC SR UNSEC 0.03% 38141GWZ3 CMHI FINANCE BVI CO LTD SR UNSEC 0.03% AT7188143 CHINA MENGNIU DAIRY SR UNSEC 0.03% AT8289197 CMLTI 2007-SHL1 A WM34 WC8.8868 144A 0.03% 17312WAA4 PARTNERRE IRELAND FINANC CO GTD SR UNSEC 0.03% QZ4292673 RMS 30 A 3MLIB +80BP 0.03% CX2ENJ015 TWIN 2017-1 A 3MGBP 0.03% CX2E19011 NHEL 2006-1 A2D 1MLIB+54BP 0.02% 669884AE8 PENSKE TRUCK LEASING/PTL 144A 0.02% 709599AH7 CHARTER COMM OPT LLC/CAP 0.02% 161175BB9 UBS AG STAMFORD CT GLBL SUB 0.02% 90261AAB8 SUMITOMO MITSUI FINL GRP SR UNSEC 0.02% ZS8041809 HSBC BANK CANADA COVERED SEC REGS 0.02% AV7907893 VOLKSWAGEN FIN SERV AUST 0.02% AN7511511 SYDNEY AIRPORT FINANCE CO SEC 144A 0.02% 87124VAD1 DBGS 2019-1735 A WM29 WC4.2129 144A 0.02% 23307EAA9 CENTRAL NIPPON EXPRESSWY 0.02% QZ4193376 TALNT 2019-1A A 144A 0.02% 89231XAA9 ABU DHABI GOVT 0.02% AP4164210 CITIBANK NA SR UNSEC 0.02% 17325FAY4 LAN 2019-1X 1A2 3MGBP + 82BP 0.02% CX23P0026 LLOYDS BANKING GROUP PLC SR UNSEC 0.02% 53944YAH6 AMERICAN TOWER CORP SR UNSEC 0.02% 03027XAV2 SYNGENTA FINANCE NV SR UNSEC 144A 0.02% 87164KAD6 SBERBANK (SB CAP SA) REGS 0.02% EJ6725067 CENTRAL NIPPON EXPRESSWY 0.02% AP6364693 SANTANDER UK GROUP HLDGS SR UNSEC 0.02% 80281LAG0 ROYAL BK SCOTLND GRP PLC SR UNSEC 0.02% 78009PEH0 INTL FLAVOR & FRAGRANCES SR UNSEC 0.02% 459506AJ0 MONDELEZ INTL HLDINGS NE SR UNSEC 144A 0.02% 60920LAC8 INTERPUBLIC GROUP COS SR UNSEC 0.02% 460690BM1 CAMPBELL SOUP CO SR UNSEC 0.02% 134429BD0 SANTANDER UK GROUP HLDGS SUB 144A 0.02% 80281LAA3 MUFG UNION BANK NA SR UNSEC 0.02% 90520EAK7 BARCLAYS PLC SR UNSEC 0.02% 06738EAE5 DAIMLER FINANCE NA LLC CO GTD 144A 0.02% 233851AF1 Summerset Group Holdings Limited 0.02% NZSUME0001S0 AUD - USD 0.02% AUD0093A5 FNMA PASS THRU 40YR #BF0299 0.02% 3140FXKM3 JPMCC 2019-FL12 A 1MLIB+145BP 144A 0.02% 46651QAA5 NEXTERA ENERGY CAPITAL SR UNSEC 0.02% 65339KBC3 CSMC 2019-RPL4 A1 144A 0.02% 22946AAC2 SANTANDER UK PLC SR UNSEC 0.02% 80283LAW3 SROCK 2019-1 A 1MEUR + 85BP 0.02% CX2EF2011 NCHET 2005-2 M3 1MLIB+73.5BP 0.02% 64352VKV2 BARCLAYS PLC SR UNSEC 0.02% 06738EAR6 CSMC 2019-RPL9 A1 144A 0.02% 12654WAC7 JPMORGAN CHASE & CO SR UNSEC 0.02% 46647PAD8 James Hardie Industries PLC 0.02% AU000000JHX1 WEA FINANCE LLC/WESTFIEL UNSEC 144A 0.02% 92890HAC6 NHEL 2005-4 M1 1MLIB+44BP 0.02% 66987WDE4 CHILE GOVT 0.02% ZP6062605 Oceania Healthcare Limited 0.02% NZOCAE0002S0 ELAT 2007-1 A1 1MLIB+110BP 144A 0.02% 288542AA1 DEUTSCHE BANK NY SOFR 0.02% 251526CB3 AT&T INC SR UNSEC FRN 0.02% 00206RGD8 ARROW ELECTRONICS INC SR UNSEC 0.02% 042735BG4 LAS VEGAS SANDS CORP SR UNSEC 0.02% 517834AH0 GSMSC 2015-5R 1C 1MLIB+14BP 144A 0.02% 36251QAC6 DOMI 2019-1 A 3MEUR + 85BP 0.02% CX2CHL011 IHO VERWALTUNGS GMBH SR SEC 0.02% ZS8102403 ACE 2005-HE5 M4 1MLIB+60BP 0.02% 004421RH8 AMSI 2005-R11 M3 1MLIB+50BP 0.02% 03072SV36 Infigen Energy Limited 0.02% AU000000IFN8 CLARION FUNDING PLC SR SE**PARI-PASSU** 0.02% AW6617160 Augusta Capital Limited 0.02% NZKPFE0001S1 GHM 2007-1 A2B 3ME+13BP 0.02% 2886269B2 CREDIT SUISSE GROUP AG SR UNSEC 144A 0.02% 225401AG3 USBR 2016-1 A 1MLIB+75BP 0.02% 91754RZD2 VOLKSWAGEN FIN SERV NV SR UNSEC REGS 0.02% AT9867777 CHARTER COMM OPT LLC/CAP 0.02% 161175AZ7 ROYAL BANK OF CANADA COV SEC SONIA 0.02% ZP6595406 NYKREDIT REALKREDIT **PARTIAL CALL** 0.02% AQ2934281 EMC CORP GLBL SR UNSEC 0.02% 268648AQ5 NMRR 2018-1R 3A1 1MLIB+90BP 144A 0.02% 65541JAC1 AMERN MUN PWR-C-HYDRO 0.02% 02765UEP5 STATE OF QATAR SR UNSEC 144A 0.02% 74727PBB6 DANISH KRONER 0.02% DKK0092B5 CASH COLLATERAL CME MSC USD 0.02% CCMSCCUS3 BWSTA 2019-1 A2 144A 0.02% 065606AB1 AKELIUS RESIDENTIAL AB 0.02% UV7423279 DEXIA CREDIT LOCAL 0.02% AQ6666749 DEXIA CREDIT LOCAL GOV GTD 0.02% JV6517603 TWIN 2018-1 A 3MEUR + 88BP 0.02% CX2603012 COMMUNITY OF MADRID SPAI 0.02% AN0563311 AT&T INC SR UNSEC 0.02% AV4209251 PARGN 13X A1 3MGBP + 24BP 0.02% CMKG89013 CREDIT SUISSE GUERNSEY COVERED 0.02% EK0185497 QATAR GOVT SR UNSEC REGS 0.02% AS1975760 LOGICOR FINANCING SARL CO GTD SR UNSEC 0.02% AV2671478 SUMITOMO MITSUI BANKING COVERED SEC 0.02% ZQ3491581 CCS EUR R US3ML/EUR3ML-17.2 CBK 0.02% CCS0024A1 BANK OF AMERICA CORP SR UNSEC FRN 0.02% UV8030040 LEASEPLAN CORPORATION NV SR UNSEC FRN 0.02% AN3186524 TOKYO METROPOLITAN GOVT SR UNSEC 144A 0.02% 889124AL7 BANCA CARIGE SPA COVERED SEC 0.02% AL8833694 JPN BANK FOR INT'L COOP SR UNSEC 0.02% 471048BS6 ROYAL BK SCOTLND GRP PLC SR UNSEC 0.02% AM6924725 BAYER US FINANCE II LLC SR UNSEC 144A 0.02% 07274NAL7 DEUTSCHE BANK AG SR UNSEC 0.02% AX0773165 VOLKSWAGEN FIN SERV AG SR UNSEC REGS 0.02% AX8482843 EUROFINS SCIENTIFIC SE SR UNSEC 0.02% AO3855738 COOPERATIEVE RABOBANK UA JR SUB 0.02% JK8426674 U S TREASURY INFLATE PROT BD 0.02% 912810FH6 ISRAEL GOVT GLBL 0.02% 46513YJH2 BARCLAYS PLC JR SUB COCO 0.02% AZ0489668 DIAMONDBACK ENERGY INC SR UNSEC 0.02% 25278XAL3 GENERAL ELECTRIC 0.02% AN5492805 LLOYDS BANKING GROUP PLC JR SUB 0.02% EK1358739 TPMT 2019-HY2 A1 1MLIB+100BP 144A 0.02% 89177HAA0 BARCLAYS PLC COCO JR SUB 0.02% EJ9694500 BARCLAYS PLC SUB 0.02% 06738EAP0 DEVELOPMENT BK OF JAPAN SR UNSEC REGS 0.02% ZR7680575 ENEL FINANCE INTL NV CO GTD SR UNSEC 0.02% ZQ0626247 NATIONWIDE BLDG SOCIETY SR UNSEC 144A 0.02% 63861VAB3 NXP BV/NXP FUNDING LLC SR UNSEC 144A 0.02% 62947QAV0 MIZUHO FINANCIAL GROUP SR UNSEC 0.02% 60687YAS8 CVS HEALTH CORP SR UNSEC 0.02% 126650CV0 REPUBLIC OF LITHUANIA 0.02% EI5985235 LLOYDS BANKING GROUP PLC SR UNSEC 0.02% 539439AS8 NATIONWIDE BLDG SOCIETY JR SUB 0.02% ZR6557048 DNB BOLIGKREDITT AS 144A 0.02% 25600WAF7 FSQ 2018-1 A 3MGBP + 65BP 0.02% CX2K20015 CENTRAL JAPAN RAILWAY CO 0.02% AM5533261 LLOYDS BANKING GROUP PLC SUB 0.02% 539439AM1 GOLDMAN SACHS GROUP INC SR UNSEC REGS 0.02% ZP5392854 SAUDI INTERNATIONAL BOND 0.02% AP2859159 TOKYO METROPOLITAN GOVT 0.02% LW0887312 QATAR GOVT SR UNSEC REGS 0.02% AX5422859 NORDLB LX COV BOND BK 0.02% AR1305366 BARCLAYS PLC SR UNSEC 0.02% 06738EBE4 ERLS 2019-PL1 A 1MEUR+ 85BP 0.02% CX2IRR014 ILFC SR UNSECURED 0.02% 459745GF6 ZIMMER BIOMET HOLDINGS INC SR UNSEC 0.02% 98956PAL6 CENTERPOINT ENERGY INC SR UNSEC 0.02% 15189TAT4 DELL INTL LLC / EMC 144A 0.02% 25272KAD5 SANTANDER UK GROUP HLDGS SR UNSEC 0.02% 80281LAC9 PLUM CREEK TIMBR SR UNSECURED 0.02% 72925PAC9 DANONE SA SR UNSEC 144A 0.02% 23636TAC4 LGATE 2008-W1X A1 3MGBP+60BP 0.02% CMU017018 BRISTOL-MYERS SQUIBB CO SR UNSEC REGS 0.02% AZ2944280 RYDER SYSTEM INC 0.02% 78355HJZ3 BARCLAYS PLC SR UNSEC 0.02% 06738EAL9 KOMATSU FINANCE AMERICA CO GTD 0.02% AP0072607 NATIONAL GRID NA INC 0.02% EK8220379 SANTANDER UK GROUP HLDGS SR UNSEC 0.02% 80281LAF2 CHARTER COMM OPT LLC/CAP 0.02% 161175AX2 CENTRAL NIPPON EXPRESSWY 0.02% AR0676072 CREDIT SUISSE GROUP AG SR UNSEC 0.02% AZ1870148 EASTERN CREATION II INVE SR UNSEC 0.02% AP2188948 NWD MTN LTD SR UNSEC 0.02% AZ6185690 RMAC 2018-2 A 3MGBP + 97BP 0.02% CM1D35014 ONCIL 2016-1 A 3MGBP+140BP 0.02% CMV267018 SAUDI ARABIAN OIL CO SR UNSEC REGS 0.02% ZS0947847 GE CAPITAL INTL FUNDING SR UNSEC 0.02% 36164QMS4 AERCAP IRELAND CAP LTD/A SR UNSEC 0.02% 00772BAQ4 DEUTSCHE TELEKOM INT FIN SR UNSEC 144A 0.02% 25156PAU7 SUNAC CHINA HOLDINGS LTD SR UNSEC 0.02% AX1839510 DEUTSCHE BANK NY SR UNSEC 0.02% 251526BQ1 FIRST ABU DHABI BANK PJS SR UNSEC 0.02% AX9925998 DEUTSCHE BANK NY SR UNSEC 0.02% 25160PAC1 QNB FINANCE LTD SR UNSEC FRN 0.02% AS7036823 DOMINION ENERGY GAS HLDG SR UNSEC 0.02% 257375AM7 SANDS CHINA LTD SR UNSEC 0.02% 80007RAE5 JPMAC 2006-WMC3 A1SS 1MLIB+13BP 0.02% 46629KAA7 ENTERGY CORP SR UNSEC 0.01% 29364GAJ2 BANCO BILBAO VIZCAYA ARG JR SUB 0.01% AU5731057 BANCO BILBAO VIZCAYA ARG COCO JR SUB 0.01% AX7516377 DELTA AIR LINES INC SR UNSEC 0.01% 247361ZM3 PCHLT 2005-1 M4 1MLIB+90BP 0.01% 71085PBN2 WEA FINANCE LLC/WESTFIEL UNSEC 144A 0.01% 92890HAD4 ROYAL BK SCOTLND GRP PLC COCO JRSUB 0.01% 780099CJ4 FNMA TBA 3.0% MAY 30YR 0.01% 01F030652 BANCO SANTANDER SA COCO PRFSTY JR SUB 0.01% AP3065806 TRINI 2015-1A A 1MLIB+115BP 144A 0.01% CX27UC017 NORDEA KREDIT REAL**PARTIAL CALL** 0.01% AQ2656686 ITALY (REP OF) GOVT EMTN 0.01% 004428B15 PERU GOVT 0.01% AV9610925 FNMA TBA 2.5% JUN 30YR 0.01% 01F022667 VitalHarvest Freehold Trust Limited 0.01% AU0000018343 FNMA PASS THRU 30YR #AZ2940 0.01% 3138YUHS3 ZF FRIEDRICHSHAFEN SR UNSEC 144A 0.01% 98877DAB1 SPANISH GOVT BD (BONOS Y OBLIG) 0.01% AR3918646 SLM STUDNT LOAN TST 03-7 0.01% 7844159A1 ITALIAN BTP BOND 0.01% AN8683541 LBRTY 2017-1 A1B 1MLIB+140BP 0.01% CX2BRB022 ESAIL 2007-3X A3A 3MGBP + 95BP 0.01% CM4E46065 SLMA 2005-8 A4 3MLIB 0.01% 78442GQR0 FNMA TBA 2.5% APR 30YR 0.01% 01F022642 VERIZON COMMUNICATIONS SR UNSEC 0.01% 92343VDU5 NORDEA KREDIT IO**PARTIAL CALL** 0.01% AX1624953 BUMT 2005-1 1A1 1MIB+30BP 0.01% 06652DAA7 CLYDESDALE BANK PLC 0.01% EK8489123 WAMU 2007-OA3 2A1A 1YCMT+76 0.01% 93364AAC6 EFSF GOV GTD 0.01% AN6324528 REPUBLIC OF PERU GDN REGS 0.01% AV9721409 NYKREDIT REALKREDIT AS IO 0.01% AO8258144 AA BOND CO LTD SEC EMTN 0.01% EJ9446810 CLYDESDALE BANK PLC SEC SONIA 0.01% AX8221399 VIRGIN MEDIA SECURED FIN REGS 0.01% AM2044296 MARKS & SPENCER PLC SR UNSEC 0.01% AL4335553 ALBA 2005-1 A3 3MGBP+19BP 0.01% CMRG18031 GENERALITAT DE CATALUNYA 0.01% EH9891761 ABBEY NATL TREASURY SERV 0.01% 4104869D8 IRELAND GOVT 0.01% JV5392396 BANCO DE CREDITO DEL PER SR UNSEC REGS 0.01% 05971V2B0 CVS HEALTH CORP SR UNSEC 0.01% 126650CZ1 STIF FUND (GBP)( BNP PARIBAS) 0.01% 988907796 Abano Healthcare Group Limited 0.01% NZNPEE0001S8 CREDIT SUISSE GUERNSEY COVERED 0.01% EK4867512 VERIZON COMMUNICATIONS SR UNSEC 0.01% 92343VDY7 BANCA CARIGE SPA SEC 0.01% AV1320689 TRANSURBAN FINANCE CO SEC 144A 0.01% 89400PAE3 LLOYDS BANK PLC SEC 0.01% JV5912623 AROUNDTOWN SA SR UNSEC 0.01% AS1405222 TAKEDA PHARMACEUTICAL SR UNSEC 144A 0.01% AV7093538 LOGICOR FINANCING SARL CO GTD SR UNSEC 0.01% ZS3354777 RMACS 2006-NS4X A3A 3MLIB+17BP 0.01% 5456919H2 NORTHWELL HEALTHCARE INC SEC 0.01% 667274AC8 FHLT 2005-D 2A4 0.01% 35729PME7 CAIXABANK SA SR UNSEC 0.01% AV0889478 IMCD NV CO GTD SR UNSEC 0.01% AR6721799 FAIRFAX FINL HLDGS LTD SR UNSEC REGS 0.01% AR6730758 FAIRFAX FINL HLDGS LTD SR UNSEC 144A 0.01% AR6731004 CHARTER COMM OPT LLC/CAP SEC 0.01% 161175BS2 CVS HEALTH CORP SR UNSEC 0.01% 126650CW8 FOREST LABORATOR**EXCHANGE & CONSENT** 0.01% 345838AA4 DBS BANK LTD SEC REGS 0.01% 23304SAB9 CANADA GOVT REAL RETURN 0.01% 135087ZH0 JP Morgan Chase & Co. GBP Cash Deposit 0.01% n/a VOLKSWAGEN INTL FIN NV CO GTD REGS 0.01% AV6225206 VERIZON COMMUNICATIONS SR UNSEC 0.01% 92343VDD3 JP Morgan Chase & Co. JPY Cash Deposit 0.01% ZZ_JPMorgan_JPY BANCA MONTE DEI PASCHI S SR UNSEC 0.01% AZ5286333 BANK OF AMERICA CORP SR UNSEC 0.01% 06051GHH5 BCAP 2011-RR5 12A1 144A 0.01% 05534AAN1 DUQUESNE LIGHT HOLDINGS SR UNSEC 144A 0.01% 266233AC9 PETROBRAS GLOBAL FINANCE SR UNSEC 0.01% 71647NAK5 BACARDI LTD NT 144A 0.01% 067316AC3 CITIGROUP INC SR UNSEC 0.01% 172967LV1 CITIGROUP INC SR UNSEC 0.01% 172967LM1 ELECTRICITE DE FRANCE SA SR UNSEC 144A 0.01% 268317AN4 ALLY FINANCIAL INC SR UNSEC 0.01% 02005NBG4 FNMA PASS THRU 15YR #FM1843 0.01% 3140X5BM4 DISCOVERY COMMUNICATIONS SR UNSEC 0.01% 25470DAY5 CPI PROPERTY GROUP SA SR UNSEC 0.01% ZQ1738090 CROWN CASTLE TOWERS LLC SEC 144A 0.01% 22822RBB5 HARLEY-DAVIDSON FINL SER 144A SR UNSEC 0.01% 41283LAT2 SHIRE ACQ INV IRELAND DA SR UNSEC 0.01% 82481LAB5 NISSAN MOTOR ACCEPTANCE SR UNSEC 144A 0.01% 654740BF5 SOUTHERN POWER CO SR UNSEC 144A 0.01% 843646AV2 AT&T INC SRUNSEC 0.01% 00206RDV1 GENERAL MILLS INC SR UNSEC 0.01% 370334CB8 VERIZON COMMUNICATIONS SR UNSEC 0.01% 92343VEU4 GOLDMAN SACHS GROUP INC SR UNSEC 0.01% ZP5392862 WELLS FARGO & COMPANY SR UNSEC 0.01% 949746SJ1 SPIRIT AEROSYSTEMS INC SR UNSEC 0.01% 85205TAH3 WELLS FARGO & COMPANY SR UNSEC 0.01% 949746SL6 ENERGY TRANSFER OPERATNG SR UNSEC 0.01% 29278NAH6 Metlifecare Limited 0.01% NZMETE0001S2 NOVA LJUBLJANSKA BANKA D SUB 0.01% ZP7632919 EQT CORP SR UNSEC 0.01% 26884LAE9 MHL 2005-4 A1 1MLIB+28BP 0.01% 61913PAZ5 PERU (REP OF) GLBL SRUNSEC REGS 0.01% 715638DC3 BRITISH TELECOM PLC GLBL SR UNSECURED 0.01% 111021AE1 JYSKE REALKREDIT A/S SEC**PARTIAL CALL** 0.01% AX2612635 Tourism Holdings Limited 0.01% NZHELE0001S9 STIF FUND (EUR)( BNP PARIBAS) 0.01% 929907798 SPRINT SPECTRUM / SPEC I SEC 144A 0.01% 85208NAA8 BRITISH COLUMBIA PROV OF 0.01% 110709GB2 FHR 4579 FD 1MLIB+35BP 0.01% 3137BPPH6 GECMS 1997-HE4 A6 0.01% 36157NFL3 IRS CNY R 2.84500 07/25/19-5Y CBK 0.01% SWU00V801 BRFKREDIT A/S**PARTIAL CALL** 0.01% EK6891502 REPUBLIC OF PERU 0.00% AO4008642 IRS CNY R 3.02500 06/19/19-5Y GST 0.00% SWU00UAF7 CWL 2007-12 1A1 1MLIB+74BP 0.00% 126697AA9 REALT 2018-1A A1 144A 0.00% 75585RQL2 CANADIAN DOLLAR 0.00% CAD0093A7 STIF FUND (SEK) 0.00% 980089494 IRS CNY R 2.95250 06/04/19-5Y GST 0.00% SWU00UBU3 IRS KRW R 1.79500 03/20/19-10Y BPS 0.00% SWU00SB46 CASH Uninvested HKD 0.00% 00000HKD3 NATIONWIDE BLDG SOCIETY JR SUB - CCDS 0.00% EJ9656046 NYKREDIT REALKREDIT**PARTIAL CALL** 0.00% EK6948450 JP Morgan Chase & Co. HKD Cash Deposit 0.00% n/a DRVES 4 A 1MEUR+38BP 0.00% CX2DDL013 WAMU 2005-AR6 2A1A 1MLIB+23 0.00% 92922FJ25 STIF FUND (CAD) 0.00% 920089497 NORWEGIAN GOVERNMENT BD 474 0.00% EI2488605 IRS CNY R 2.78500 07/05/19-5Y JPM 0.00% SWU00UYG9 SCLP 2017-4 A 144A 0.00% 83405JAA3 PETROBRAS GLOBAL FINANCE SR UNSEC 0.00% 71647NAR0 BUMF 6 A2 3MEUR+19BP 0.00% CM9J09026 EUR - GBP 0.00% EUR0115I3 REPUBLIC OF PERU GDN 144A 0.00% 715638BX9 IRS ILS R 1.77500 04/25/19-10Y JPM 0.00% SWU00TOY4 SASC 2006-EQ1A A1 1MLIB+13.50BP 144A 0.00% 86360RAA1 CAMPBELL SOUP CO SR UNSEC 0.00% 134429BE8 FNMA TBA 3.0% APR 30YR 0.00% 01F030645 REPUBLIC OF ARGENTINA 0.00% AN0758861 NYKREDIT REALKREDIT 0.00% AN1017184 INDIAN RUPEE-INR-NDF 0.00% INR0125A0 WAMU 2006-AR10 2A1 WM 36 WC 3.7663 0.00% 93363EAF2 NGATE 2007-2X A2 3MGBP + 13BP 0.00% CM8D25034 MYLAN NV SR UNSEC- 0.00% 62854AAL8 IRS KRW R 1.72500 03/20/19-5Y NGF 0.00% SWU00S9O5 POLISH ZLOTY 0.00% PLN0162B2 GNMA II TBA 4.0% MAY 30YR JMBO 0.00% 21H040657 IRS EUR 0.25000 03/18/20-30Y LCH 0.00% SWU00W8Q2 JP Morgan Chase & Co. EUR Cash Deposit 0.00% n/a IRS CNY R 2.89750 07/01/19-5Y CBK 0.00% SWU00UV07 CANADIAN DOLLAR 0.00% CAD0125C5 PERUVIAN SOL-NDF 0.00% PEN0129A2 VM CASH CCP CME MSC USD 0.00% XXMSC3US4 JAPANESE YEN 0.00% JPY0160E4 STIF FUND (JPY)( BNP PARIBAS) 0.00% 948907795 CHINA DEVELOPMENT BANK 0.00% UV7415648 VM CASH FUT DOM MSC USD 0.00% XXMSC1US8 EUR - USD 0.00% EUR0094A5 IRS ILS R 1.77900 04/30/19-10Y GLM 0.00% SWU00TR21 IRS USD 1.25000 06/17/20-10Y CME 0.00% SWU00XIX4 IRS ILS R 1.75500 04/29/19-10Y CBK 0.00% SWU00TPH0 IRO USD 30Y P 1.73300 L 08/26/21 MYC 0.00% 317U645T0 DANISH KRONER 0.00% DKK0093C2 REPUBLIC OF ARGENTINA 0.00% AN9647594 IRO USD 30Y P 1.75200 L 08/23/21 MYC 0.00% 317U608T5 GNMA II TBA 3.5% MAY 30YR JMBO 0.00% 21H032654 IRS USD 1.62500 01/06/20-10Y CME 0.00% SWU00VKI8 OPTION FWD PREMIUM 0.00% FWDP00J62 IRO FWD GBP 30Y P 0.86000 L 02/26/21 GLM 0.00% 317U461V6 FNMA TBA 3.0% JUN 30YR 0.00% 01F030660 IRS CNY R 3.20000 06/19/19-5Y MYI 0.00% SWU00TRW5 STIF FUND (CZK) 0.00% 921002291 IRS ILS R 1.78000 04/22/19-10Y GLM 0.00% SWU00TO32 OPTION FWD PREMIUM 0.00% FWDP00YA6 IRS USD 2.00000 01/15/20-10Y LCH 0.00% SWU00VD05 CCS AUD R US3ML/AUD3MBBSW+42.2 MYC 0.00% CCS0079R8 IRS CNY R 2.93500 04/01/19-5Y CBK 0.00% SWU00TE74 AUSTRALIAN DOLLARS 0.00% AUD0094B2 GNMA II TBA 3.5% APR 30YR JMBO 0.00% 21H032647 VM CASH CCP CME MSC CAD 0.00% XXMSC3CA3 MEXICAN NUEVO PESO 0.00% MXN0104B0 VM CASH CCP CME MSC ZAR 0.00% XXMSC3ZA8 IRS CNY R 2.93000 04/01/19-5Y GLM 0.00% SWU00TE09 CASH Uninvested MXN 0.00% 00000MXN6 IRS KRW R 1.79500 03/20/19-10Y SCX 0.00% SWU00SAD7 CASH Uninvested ARS 0.00% 00000ARS8 NYKREDIT REALKREDIT AS**PARTIAL CALL** 0.00% EK3472777 VM CASH CCP CME MSC MXN 0.00% XXMSC3MX2 SWISS FRANCS 0.00% CHF0094A9 IRS ILS R 1.18000 01/30/19-5Y BPS 0.00% SWU00SF67 VM CASH FUT FOR MSC EUR 0.00% XXMSC2EM7 YPF SOCIEDAD ANONIMA SR UNSEC 0.00% JK3521016 PAN AMERICAN ENERGY LLC SR UNSEC 0.00% BG1832156 VM CASH CCP CME MSC CZK 0.00% XXMSC3CZ8 VM CASH CCP LCH MSC SEK 0.00% XXMSC5SE3 VM CASH CCP ICE MSC USD 0.00% XXMSC4US2 IRS CAD 1.39000 03/18/20-30Y LCH 0.00% SWU010QE8 IRS ILS R 1.78600 05/01/19-10Y BPS 0.00% SWU00TS53 VM CASH CCP LCH MSC USD 0.00% XXMSC5US9 SWEDISH KRONER 0.00% SEK0094A3 CANADIAN DOLLAR 0.00% CAD0094A6 NYKREDIT REALKREDIT**PARTIAL CALL** 0.00% EK4381829 IRS JPY 0.20000 06/19/19-10Y LCH 0.00% SWU00SDN2 VM CASH FUT FOR MSC JPY 0.00% XXMSC2JP5 VM CASH FUT FOR MSC AUD 0.00% XXMSC2AU3 VM CASH CCP LCH MSC EUR 0.00% XXMSC5EM0 VM CASH CCP ICE MSC EUR 0.00% XXMSC4EM3 VM CASH FUT FOR MSC CAD 0.00% XXMSC2CA5 VM CASH CCP LCH MSC CAD 0.00% XXMSC5CA8 FHR 4579 SD IO WM33 WC3.105 0.00% 3137BPS83 TMTS 2003-6HE A1 1MLIB+94BP 0.00% 881561CE2 JAPANESE YEN 0.00% JPY0128A3 REALKREDIT DANMARK **PARTIAL CALL 0.00% EK4481033 NORWEGIAN KRONER 0.00% NOK0125C5 FIN FUT 10YR JGB OSE 06/15/20 0.00% JBM000010 VM CASH FUT FOR MSC GBP 0.00% XXMSC2GB9 FNR 2006-48 TF 1MLIB+40BP 0.00% 31395NLE5 IRO USD 30Y P 2.17500 M 09/15/21 BOA 0.00% 317U058U7 IRS JPY 0.03500 11/29/19-10Y LCH 0.00% SWU00XXP4 IRS KRW R 1.71800 06/19/19-10Y GLM 0.00% SWU00TOH1 PERUVIAN SOL-NDF 0.00% PEN0136A3 CHINESE - YUAN RENMINBI (CNH) 0.00% CNH0169A4 IRO USD 30Y P 1.78250 L 08/19/20 BRC 0.00% 317U573T6 AUSTRALIAN DOLLARS 0.00% AUD0125C3 OTC EPUT EUR VS USD @ 1.085 GLM 0.00% 31750G1L5 CASH Uninvested SGD 0.00% 00000SGD4 CASH Uninvested THB 0.00% 00000THB5 NEW S WALES TREASURY CRP 0.00% LW9384808 FIN FUT EURO$ CME (WHT) 06/15/20 0.00% EDM000029 VM CASH CCP LCH MSC GBP 0.00% XXMSC5GB2 IRS JPY 0.50000 06/19/19-30Y LCH 0.00% SWU00U746 STIF FUND (NZD) 0.00% 956002299 INF SWAP GB NI 3.453 02/15/20-10Y LCH 0.00% SWU09HH37 OPTION FWD PREMIUM 0.00% FWDP00J70 VM CASH CCP LCH MSC JPY 0.00% XXMSC5JP8 REALKREDIT DANMARK **PARTIAL CALL 0.00% EK3038677 IRS EUR -0.15000 03/18/20-10Y LCH 0.00% SWU00W8P4 IRS USD 1.25000 06/17/20-1Y (WHT) CME 0.00% SWU00Y2A9 IRS USD 1.29800 08/25/21-3Y LCH 0.00% SWU00VUF3 IRS USD 1.24900 08/31/21-3Y LCH 0.00% SWU00VXO1 SOUTH KOREA WON-NDF 0.00% KRW0169A9 IRS SEK 0.50000 06/19/19-5Y LCH 0.00% SWU00SMW2 IRS USD 1.00000 06/17/20-2Y CME 0.00% SWU00XIT3 IRS GBP 1.24000 09/18/19-2Y LCH 0.00% SWU00T236 QUEENSLAND TREASURY CORP 0.00% AP4899286 IRS USD 2.50000 12/18/19-5Y CME 0.00% SWU00UE97 INF SWAP GB NI 3.45 02/15/20-10Y LCH 0.00% SWU0JF673 FIN FUT EUR-BUND 10YR EUX 06/08/20 0.00% RXM000013 STIF FUND (ZAR) 0.00% 972007009 SWEDISH KRONER 0.00% SEK0125B4 FIN FUT EURO$ CME (WHT) 12/14/20 0.00% EDZ000025 FIN FUT EURO$ CME (RED) 06/14/21 0.00% EDM100027 BRFKREDIT A/S**PARTIAL CALL** 0.00% EK4410826 IRS GBP 0.75000 03/18/20-10Y LCH 0.00% SWU00W8Y5 IRS ZAR 7.25000 06/20/18-5Y CME 0.00% SWU00OG16 OTC EPUT EUR VS GBP @ 0.8325 GLM 0.00% 31750FXW8 STIF FUND (CHF) 0.00% 984029694 IRS GBP 0.81100 02/17/23-5Y LCH 0.00% SWU00ZPA1 TREASURY CORP VICTORIA 0.00% EJ6963270 IRS MXN 5.82500 01/21/16-7Y* CME 0.00% SWU00G6D8 IRS MXN 7.74000 03/06/17-10Y* CME 0.00% SWU00L506 IRS USD 1.50000 12/18/19-5Y CME 0.00% SWU00VVS4 STIF FUND (DKK) 0.00% 922022694 OIS USD FEDL01/2.714 05/21/18 LCH 0.00% SWU00PGP0 IRS GBP 1.00000 06/17/20-10Y LCH 0.00% SWU00Y979 INF SWAP GB NI 3.386 01/15/20-10Y LCH 0.00% SWU09GG14 TREASURY CORP VICTORIA 0.00% BG0696669 FIN FUT EURO-BOBL 5Y EUX 06/08/20 0.00% OEM000018 EUX ACAL EUR-BUND 05/22/20 @ 177 0.00% RXM0C0259 IRS GBP 0.75000 03/18/20-2Y LCH 0.00% SWU00W8V1 IRS GBP 0.80300 02/14/23-5Y LCH 0.00% SWU00ZOC8 IRS JPY 0.00000 12/03/19-2Y LCH 0.00% SWU00UC40 RUSSIAN RUBLE-NDF 0.00% RUB0121A5 IRO USD 30Y P 2.00500 L 06/08/20 MYC 0.00% 317U723U2 IRO USD 30Y P 1.98400 L 06/09/20 MYC 0.00% 317U739U4 OIS USD FEDL01/2.696 05/18/18 LCH 0.00% SWU00PFT3 OIS USD FEDL01/2.684 05/23/18 LCH 0.00% SWU00PHE4 IRS USD 3.00000 06/19/19-5Y LCH 0.00% SWU00RZS9 COLOMBIAN PESO-NDF 0.00% COP0115A8 IRS USD R 3ML/1ML+7.25 04/27/22-23 CME 0.00% SWU02Y548 STIF FUND (NOK) 0.00% 960002293 IRS USD 1.36000 09/17/21-3Y CME 0.00% SWU00WQS8 IRS GBP 0.67200 02/26/21-10Y LCH 0.00% SWU010295 INF SWAP GB NI 3.436 02/15/20-10Y LCH 0.00% SWU0DM641 OIS USD FEDL01/2.71 05/18/18 LCH 0.00% SWU00PG96 OIS GBP SONIO/0.905 12/03/29 LCH 0.00% SWU00Y0Q6 CASH Uninvested ILS 0.00% 00000ILS7 IRS USD R 3ML/1ML+8.80 05/23/24-29 CME 0.00% SWU087087 JAPANESE YEN 0.00% JPY0094C9 CASH COLLATERAL ISDA JPM USD 0.00% CCJPMIUS9 CASH COLLATERAL ISDA CBK USD 0.00% CCCBKIUS9 RUSSIAN RUBLE-NDF 0.00% RUB0141A1 IRS USD R 3ML/1ML+9.125 03/18/21-22 CME 0.00% SWU0SF236 CASH Uninvested PLN 0.00% 00000PLN2 RUSSIA EM SP BOA 0.00% SWPC0B1U6 IRS USD R 3ML/1ML+7 03/07/22-24 CME 0.00% SWU0JG929 CSX CORPORATION DIR 0.00% CDSCE2996 MACYS RETAIL HOLDINGS INC DIR 0.00% CDSCE3564 VALERO ENERGY CORPORATION DIR 0.00% CDSCE3929 TECK RESOURCES LIMITED DIR 0.00% CDSCE3879 PACKAGING CORP OF AMERICA INC DIR 0.00% CDSCE3721 FORD MOTOR COMPANY DIR 0.00% CDSCE3317 CAPITAL ONE BANK (USA) NATIONAL ASSO DIR 0.00% CDSCE3036 UNION PACIFIC CORPORATION DIR 0.00% CDSCE3895 HARTFORD FINANCIAL SERVICES GROUP IN DIR 0.00% CDSCE3366 GENERAL ELECTRIC COMPANY DIR 0.00% CDSCE3325 MOTOROLA SOLUTIONS INC DIR 0.00% CDSCE3648 UNITEDHEALTH GROUP INCORPORATED DIR 0.00% CDSCE3911 ENBRIDGE INC DIR 0.00% CDSCE3275 HP INC (AKA: HEWLETT-PACKARD CO) DIR 0.00% CDSCE3390 CAMPBELL SOUP COMPANY DIR 0.00% CDSCE3010 VERIZON COMMUNICATIONS INC DIR 0.00% CDSCE3937 SOUTHERN CO DIR 0.00% CDSCE3846 HOME DEPOT INC DIR 0.00% CDSCE3408 XLIT LTD (AKA: XL CAPITAL LTD) DIR 0.00% CDSCE4000 WALMART INC (AKA WAL-MART STORES INC DIR 0.00% CDSCE3952 LINCOLN NATIONAL CORPORATION DIR 0.00% CDSCE3523 HONEYWELL INTERNATIONAL INC DIR 0.00% CDSCE3416 MCDONALDS CORPORATION DIR 0.00% CDSCE3606 WEYERHAEUSER COMPANY DIR 0.00% CDSCE3978 NORDSTROM INC DIR 0.00% CDSCE3689 HOST HOTELS & RESORTS LP DIR 0.00% CDSCE3424 QUEST DIAGNOSTICS INC. DIR 0.00% CDSCE3762 WILLIAMS COS INC DIR 0.00% CDSCE3994 CBS CORPORATION DIR 0.00% CDSCE2988 INGERSOLL-RAND COMPANY DIR 0.00% CDSCE3432 CVS HEALTH CORPORATION DIR 0.00% CDSCE3002 ASSURED GUARANTY MUNICIPAL CORP DIR 0.00% CDSCE2764 CANADIAN NATURAL RESOURCES LIMITED DIR 0.00% CDSCE3028 INTERNATIONAL BUSINESS MACHINES CORP DIR 0.00% CDSCE3440 FIRSTENERGY CORP DIR 0.00% CDSCE3309 CARDINAL HEALTH INC DIR 0.00% CDSCE3044 CHUBB INA HOLDINGS INC (AKA: ACE INA DIR 0.00% CDSCE2780 TYSON FOODS INC DIR 0.00% CDSCE3887 ILFC DIR 0.00% CDSCE3457 WESTROCK MWV LLC DIR 0.00% CDSCE3960 ALTRIA GROUP INC DIR 0.00% CDSCE2806 ALLSTATE CORP DIR 0.00% CDSCE2798 INTERNATIONAL PAPER COMPANY DIR 0.00% CDSCE3465 KOHLS CORPORATION DIR 0.00% CDSCE3507 AMERICAN EXPRESS COMPANY DIR 0.00% CDSCE2822 LOEWS CORPORATION DIR 0.00% CDSCE3549 JOHNSON & JOHNSON COMPANY DIR 0.00% CDSCE3473 MARSH & MCLENNAN COMPANIES INC DIR 0.00% CDSCE3580 AMERICAN INTERNATIONAL GROUP INC DIR 0.00% CDSCE2830 METLIFE INC DIR 0.00% CDSCE3622 JOHNSON CONTROLS INTERNATIONAL PLC ( DIR 0.00% CDSCE3481 NEWELL BRANDS INC (AKA: NEWELL RUBBE DIR 0.00% CDSCE3663 CARNIVAL CORPORATION DIR 0.00% CDSCE3051 HALLIBURTON COMPANY DIR 0.00% CDSCE3358 GENERAL MILLS INC DIR 0.00% CDSCE3333 PROCTER AND GAMBLE CO. DIR 0.00% CDSCE3747 CATERPILLAR INCORPORATED DIR 0.00% CDSCE3069 REYNOLDS AMERICAN INC DIR 0.00% CDSCE3788 CISCO SYSTEMS INC DIR 0.00% CDSCE3077 ENERGY TRANSFER OPERATING LP (AKA: E DIR 0.00% CDSCE3283 NORTHROP GRUMMAN SYSTEMS CORPORATION DIR 0.00% CDSCE3705 LOWES COMPANIES INC DIR 0.00% CDSCE3556 ENCANA CORPORATION DIR 0.00% CDSCE3267 MARRIOTT INTERNATIONAL INC DIR 0.00% CDSCE3598 LOCKHEED MARTIN CORPORATION DIR 0.00% CDSCE3531 MONDELEZ INTERNATIONAL INC DIR 0.00% CDSCE3630 SIMON PROPERTY GROUP LP DIR 0.00% CDSCE3838 NEWMONT CORP DIR 0.00% CDSCE3671 SOUTHWEST AIRLINES CO DIR 0.00% CDSCE3853 OMNICOM GROUP INC / OMNICOM CAPITAL DIR 0.00% CDSCE3713 TARGET CORPORATION DIR 0.00% CDSCE3861 PRUDENTIAL FINANCIAL INC DIR 0.00% CDSCE3754 NORFOLK SOUTHERN CORPORATION DIR 0.00% CDSCE3697 RYDER SYSTEM INC DIR 0.00% CDSCE3804 ANADARKO PETROLEUM CORPORATION DIR 0.00% CDSCE2855 KRAFT HEINZ FOODS CO (AKA: HJ HEINZ DIR 0.00% CDSCE3374 AT&T INC DIR 0.00% CDSCE2772 HESS CORPORATION DIR 0.00% CDSCE3382 APACHE CORPORATION DIR 0.00% CDSCE2863 GENERAL MOTORS COMPANY DIR 0.00% CDSCE3341 MCKESSON CORPORATION DIR 0.00% CDSCE3614 COMCAST CORPORATION DIR 0.00% CDSCE3085 ARROW ELECTRONICS INC DIR 0.00% CDSCE2871 CONAGRA BRANDS INC DIR 0.00% CDSCE3093 AMGEN INC DIR 0.00% CDSCE2848 CONOCOPHILLIPS DIR 0.00% CDSCE3101 AUTOZONE INC DIR 0.00% CDSCE2889 EXELON CORPORATION DIR 0.00% CDSCE3119 VIACOM INC DIR 0.00% CDSCE3945 COX COMMUNICATIONS INC DIR 0.00% CDSCE3127 AVNET INC DIR 0.00% CDSCE2897 D.R. HORTON INC DIR 0.00% CDSCE3135 KINDER MORGAN INC DIR 0.00% CDSCE3499 DXC TECHNOLOGY COMPANY DIR 0.00% CDSCE3143 BARRICK GOLD CORPORATION DIR 0.00% CDSCE2905 DARDEN RESTAURANTS INC DIR 0.00% CDSCE3150 MARATHON PETROLEUM CORPORATION DIR 0.00% CDSCE3572 DEERE & COMPANY DIR 0.00% CDSCE3168 BAXTER INTERNATIONAL INC DIR 0.00% CDSCE2913 DEVON ENERGY CORPORATION DIR 0.00% CDSCE3176 NATIONAL RURAL UTILITIES COOPERATIVE DIR 0.00% CDSCE3655 WALT DISNEY COMPANY DIR 0.00% CDSCE3184 BERKSHIRE HATHAWAY INC DIR 0.00% CDSCE2921 DOMINION ENERGY INC (AKA: DOMINION R DIR 0.00% CDSCE3192 PFIZER INC DIR 0.00% CDSCE3739 DOMTAR CORPORATION DIR 0.00% CDSCE3200 BEST BUY CO INC DIR 0.00% CDSCE2939 DOW CHEMICAL COMPANY DIR 0.00% CDSCE3218 THE SHERWIN-WILLIAMS COMPANY DIR 0.00% CDSCE3820 E.I. DUPONT DE NEMOURS & COMPANY DIR 0.00% CDSCE3226 BLOCK FINANCIAL CORP DIR 0.00% CDSCE2947 DUKE ENERGY CAROLINAS LLC DIR 0.00% CDSCE3234 UNITED PARCEL SERVICE OF AMERICA INC DIR 0.00% CDSCE3903 ERP OPERATING LP DIR 0.00% CDSCE3242 BOEING CO/THE DIR 0.00% CDSCE2954 EASTMAN CHEMICAL COMPANY DIR 0.00% CDSCE3259 WHIRLPOOL CORPORATION DIR 0.00% CDSCE3986 RAYTHEON COMPANY DIR 0.00% CDSCE3770 BOSTON SCIENTIFIC CORPORATION DIR 0.00% CDSCE2962 ROYAL CARIBBEAN CRUISES LTD DIR 0.00% CDSCE3796 AMERICAN ELECTRIC POWER COMPANY INC DIR 0.00% CDSCE2814 SEMPRA ENERGY DIR 0.00% CDSCE3812 BRISTOL-MYERS SQUIBB COMPANY DIR 0.00% CDSCE2970 KROGER CO DIR 0.00% CDSCE3515 EXPEDIA GROUP INC DIR 0.00% CDSCE3291 QUEENSLAND TREASURY CORP 0.00% ZQ0128475 CASH Uninvested CNH 0.00% 00000CNH2 IRS USD R 3ML/1ML+8.5 06/19/17-22 CME 0.00% SWU0B8909 IRS USD R 3ML/1ML+8.8 09/06/22-24 CME 0.00% SWU0FA223 CASH COLLATERAL ISDA BRC USD 0.00% CCBRCIUS4 IRS USD R 3ML/1ML+10.5 09/27/22-24 CME 0.00% SWU0FC088 ZCS BRL 8.88 05/18/18-01/04/21 CME 0.00% SWU00PH38 WESTERN AUST TREAS CORP 0.00% AX2380290 IRS USD R 3ML/1ML+8.375 06/12/17-22 CME 0.00% SWU0AR023 REYNOLDS AMERICAN INC SNR S* ICE 0.00% SWPC0E7U4 IRS USD R 3ML/1ML+7 06/12/17-22 CME 0.00% SWU0JSFF7 JAPANESE YEN 0.00% JPY0092B3 CASH Uninvested ROL 0.00% 00000ROL9 CASH COLLATERAL ISDA BOA USD 0.00% CCBOAIUS3 IRS USD R 3ML/1ML+10.2 10/04/22-24 CME 0.00% SWU0FC286 HESS CORPORATION DIR 0.00% CDSCW4463 ENBRIDGE INC DIR 0.00% CDSCW4356 NORTHROP GRUMMAN SYSTEMS CORPORATION DIR 0.00% CDSCW4786 MARATHON PETROLEUM CORPORATION DIR 0.00% CDSCW4653 HONEYWELL INTERNATIONAL INC DIR 0.00% CDSCW4497 CARDINAL HEALTH INC DIR 0.00% CDSCW4125 LOEWS CORPORATION DIR 0.00% CDSCW4620 MARRIOTT INTERNATIONAL INC DIR 0.00% CDSCW4679 DOMINION ENERGY INC (AKA: DOMINION R DIR 0.00% CDSCW4273 CARNIVAL CORPORATION DIR 0.00% CDSCW4133 HALLIBURTON COMPANY DIR 0.00% CDSCW4430 MCKESSON CORPORATION DIR 0.00% CDSCW4695 FIRSTENERGY CORP DIR 0.00% CDSCW4380 CATERPILLAR INCORPORATED DIR 0.00% CDSCW4141 INTERNATIONAL PAPER COMPANY DIR 0.00% CDSCW4547 MONDELEZ INTERNATIONAL INC DIR 0.00% CDSCW4711 METLIFE INC DIR 0.00% CDSCW4703 CISCO SYSTEMS INC DIR 0.00% CDSCW4158 DARDEN RESTAURANTS INC DIR 0.00% CDSCW4232 NATIONAL RURAL UTILITIES COOPERATIVE DIR 0.00% CDSCW4737 DUKE ENERGY CAROLINAS LLC DIR 0.00% CDSCW4315 COMCAST CORPORATION DIR 0.00% CDSCW4166 FORD MOTOR COMPANY DIR 0.00% CDSCW4398 NEWMONT CORP DIR 0.00% CDSCW4752 HP INC (AKA: HEWLETT-PACKARD CO) DIR 0.00% CDSCW4471 CONAGRA BRANDS INC DIR 0.00% CDSCW4174 JOHNSON CONTROLS INTERNATIONAL PLC ( DIR 0.00% CDSCW4562 NORFOLK SOUTHERN CORPORATION DIR 0.00% CDSCW4778 GENERAL MOTORS COMPANY DIR 0.00% CDSCW4422 CONOCOPHILLIPS DIR 0.00% CDSCW4182 HOST HOTELS & RESORTS LP DIR 0.00% CDSCW4505 OMNICOM GROUP INC / OMNICOM CAPITAL DIR 0.00% CDSCW4794 KOHLS CORPORATION DIR 0.00% CDSCW4588 EXELON CORPORATION DIR 0.00% CDSCW4190 MARSH & MCLENNAN COMPANIES INC DIR 0.00% CDSCW4661 PFIZER INC DIR 0.00% CDSCW4810 NEWELL BRANDS INC (AKA: NEWELL RUBBE DIR 0.00% CDSCW4745 COX COMMUNICATIONS INC DIR 0.00% CDSCW4208 PROCTER AND GAMBLE CO. DIR 0.00% CDSCW4828 PRUDENTIAL FINANCIAL INC DIR 0.00% CDSCW4836 DEVON ENERGY CORPORATION DIR 0.00% CDSCW4257 D.R. HORTON INC DIR 0.00% CDSCW4216 DOW CHEMICAL COMPANY DIR 0.00% CDSCW4299 RAYTHEON COMPANY DIR 0.00% CDSCW4851 EASTMAN CHEMICAL COMPANY DIR 0.00% CDSCW4331 DXC TECHNOLOGY COMPANY DIR 0.00% CDSCW4224 EXPEDIA GROUP INC DIR 0.00% CDSCW4372 BOEING CO/THE DIR 0.00% CDSCW4034 GENERAL MILLS INC DIR 0.00% CDSCW4414 GENERAL ELECTRIC COMPANY DIR 0.00% CDSCW4406 KRAFT HEINZ FOODS CO (AKA: HJ HEINZ DIR 0.00% CDSCW4455 ROYAL CARIBBEAN CRUISES LTD DIR 0.00% CDSCW4877 LOWES COMPANIES INC DIR 0.00% CDSCW4638 MOTOROLA SOLUTIONS INC DIR 0.00% CDSCW4729 LOCKHEED MARTIN CORPORATION DIR 0.00% CDSCW4612 RYDER SYSTEM INC DIR 0.00% CDSCW4885 WALMART INC (AKA WAL-MART STORES INC DIR 0.00% CDSCW5031 ERP OPERATING LP DIR 0.00% CDSCW4323 WESTROCK MWV LLC DIR 0.00% CDSCW5049 SEMPRA ENERGY DIR 0.00% CDSCW4893 WEYERHAEUSER COMPANY DIR 0.00% CDSCW5056 HOME DEPOT INC DIR 0.00% CDSCW4489 WHIRLPOOL CORPORATION DIR 0.00% CDSCW5064 THE SHERWIN-WILLIAMS COMPANY DIR 0.00% CDSCW4901 WILLIAMS COS INC DIR 0.00% CDSCW5072 MACYS RETAIL HOLDINGS INC DIR 0.00% CDSCW4646 XLIT LTD (AKA: XL CAPITAL LTD) DIR 0.00% CDSCW5080 SIMON PROPERTY GROUP LP DIR 0.00% CDSCW4919 ASSURED GUARANTY MUNICIPAL CORP DIR 0.00% CDSCW3846 PACKAGING CORP OF AMERICA INC DIR 0.00% CDSCW4802 DEERE & COMPANY DIR 0.00% CDSCW4240 SOUTHWEST AIRLINES CO DIR 0.00% CDSCW4927 CHUBB INA HOLDINGS INC (AKA: ACE INA DIR 0.00% CDSCW3861 DOMTAR CORPORATION DIR 0.00% CDSCW4281 ALLSTATE CORP DIR 0.00% CDSCW3879 TARGET CORPORATION DIR 0.00% CDSCW4935 ALTRIA GROUP INC DIR 0.00% CDSCW3887 ENERGY TRANSFER OPERATING LP (AKA: E DIR 0.00% CDSCW4364 AMERICAN ELECTRIC POWER COMPANY INC DIR 0.00% CDSCW3895 TECK RESOURCES LIMITED DIR 0.00% CDSCW4943 AMERICAN EXPRESS COMPANY DIR 0.00% CDSCW3903 HARTFORD FINANCIAL SERVICES GROUP IN DIR 0.00% CDSCW4448 AMERICAN INTERNATIONAL GROUP INC DIR 0.00% CDSCW3911 21ST CENTURY FOX AMERICA INC (AKA: N DIR 0.00% CDSCW4950 AMGEN INC DIR 0.00% CDSCW3929 INTERNATIONAL BUSINESS MACHINES CORP DIR 0.00% CDSCW4521 ANADARKO PETROLEUM CORPORATION DIR 0.00% CDSCW3937 TYSON FOODS INC DIR 0.00% CDSCW4968 APACHE CORPORATION DIR 0.00% CDSCW3945 LINCOLN NATIONAL CORPORATION DIR 0.00% CDSCW4604 ARROW ELECTRONICS INC DIR 0.00% CDSCW3952 UNION PACIFIC CORPORATION DIR 0.00% CDSCW4976 AUTOZONE INC DIR 0.00% CDSCW3960 MCDONALDS CORPORATION DIR 0.00% CDSCW4687 AVNET INC DIR 0.00% CDSCW3978 UNITED PARCEL SERVICE OF AMERICA INC DIR 0.00% CDSCW4984 BARRICK GOLD CORPORATION DIR 0.00% CDSCW3986 NORDSTROM INC DIR 0.00% CDSCW4760 BAXTER INTERNATIONAL INC DIR 0.00% CDSCW3994 UNITEDHEALTH GROUP INCORPORATED DIR 0.00% CDSCW4992 BERKSHIRE HATHAWAY INC DIR 0.00% CDSCW4000 QUEST DIAGNOSTICS INC. DIR 0.00% CDSCW4844 BEST BUY CO INC DIR 0.00% CDSCW4018 CAMPBELL SOUP COMPANY DIR 0.00% CDSCW4091 BLOCK FINANCIAL CORP DIR 0.00% CDSCW4026 BOSTON SCIENTIFIC CORPORATION DIR 0.00% CDSCW4042 CANADIAN NATURAL RESOURCES LIMITED DIR 0.00% CDSCW4109 INGERSOLL-RAND COMPANY DIR 0.00% CDSCW4513 REYNOLDS AMERICAN INC DIR 0.00% CDSCW4869 ILFC DIR 0.00% CDSCW4539 CAPITAL ONE BANK (USA) NATIONAL ASSO DIR 0.00% CDSCW4117 JOHNSON & JOHNSON COMPANY DIR 0.00% CDSCW4554 BRISTOL-MYERS SQUIBB COMPANY DIR 0.00% CDSCW4059 VALERO ENERGY CORPORATION DIR 0.00% CDSCW5007 CBS CORPORATION DIR 0.00% CDSCW4067 WALT DISNEY CO DIR 0.00% CDSCW4265 CSX CORPORATION DIR 0.00% CDSCW4075 E.I. DUPONT DE NEMOURS & COMPANY DIR 0.00% CDSCW4307 KINDER MORGAN INC DIR 0.00% CDSCW4570 VIACOM INC DIR 0.00% CDSCW5023 ENCANA CORPORATION DIR 0.00% CDSCW4349 CVS HEALTH CORPORATION DIR 0.00% CDSCW4083 KROGER CO DIR 0.00% CDSCW4596 AT&T INC DIR 0.00% CDSCW3853 VERIZON COMMUNICATIONS INC DIR 0.00% CDSCW5015 NORDEA KREDIT REAL**PARTIAL CALL** 0.00% EK4399300 CASH COLLATERAL TBA BOS USD 0.00% CCBOSTUS0 ELIS DIR 0.00% CDSCE4596 ADLER REAL ESTATE AG DIR 0.00% CDSCE4497 CROWN EUROPEAN HOLDINGS DIR 0.00% CDSCE4828 CELLNEX TELECOM SA DIR 0.00% CDSCE4927 GFKL FINANCIAL SERVICES (GARFUNKELUX DIR 0.00% CDSCE4877 CASINO GUICHARD PERRACHON SA DIR 0.00% CDSCE4380 ALTICE FINCO SA DIR 0.00% CDSCE4612 ALTICE FRANCE SA (AKA: SFR GROUP SA) DIR 0.00% CDSCE4661 FAURECIA SA DIR 0.00% CDSCE4844 ATLANTIA SPA DIR 0.00% CDSCE4307 ALGECO GLOBAL FINANCE PLC DIR 0.00% CDSCE4539 FCC AQUALIA SA DIR 0.00% CDSCE4372 AIR FRANCE-KLM DIR 0.00% CDSCE4703 FIAT CHRYSLER AUTOMOBILES NV DIR 0.00% CDSCE4224 BOPARAN FINANCE PLC DIR 0.00% CDSCE4711 ARDAGH PACKAGING FINANCE PLC / ARDAG DIR 0.00% CDSCE4851 CABLE & WIRELESS INTL FIN NV DIR 0.00% CDSCE4208 AUCHAN HOLDING (AKA: GROUPE AUCHAN S DIR 0.00% CDSCE4679 GRIFOLS SA DIR 0.00% CDSCE4349 GKN HOLDINGS LIMITED DIR 0.00% CDSCE4604 CLARIANT AG DIR 0.00% CDSCE4935 EUROPCAR MOBILITY GROUP SA DIR 0.00% CDSCE4455 METRO AG (AKA: METRO WHOLESALE & FOO DIR 0.00% CDSCE4752 CMA CGM SA DIR 0.00% CDSCE4836 CONSTELLIUM SE DIR 0.00% CDSCE4463 J SAINSBURY PLC DIR 0.00% CDSCE4760 SELECTA GROUP BV DIR 0.00% CDSCE4513 STONEGATE PUB COMPANY FINANCING PLC DIR 0.00% CDSCE4315 LOXAM SAS DIR 0.00% CDSCE4331 STENA AB DIR 0.00% CDSCE4638 LOUIS DREYFUS CO BV (AKA: LOUIS DREY DIR 0.00% CDSCE4620 SAIPEM FINANCE INTERNATIONAL BV DIR 0.00% CDSCE4893 UNILABS SUBHOLDING AB (PUBL) DIR 0.00% CDSCE4356 MATALAN FINANCE PLC DIR 0.00% CDSCE4521 JAGUAR LAND ROVER AUTOMOTIVE PLC (AK DIR 0.00% CDSCE4646 K+S AG DIR 0.00% CDSCE4562 PREMIER FOODS FINANCE PLC DIR 0.00% CDSCE4364 CABB INTERNATIONAL (MONITCHEM HOLDCO DIR 0.00% CDSCE4695 LADBROKES GROUP FINANCE PLC DIR 0.00% CDSCE4687 UNITYMEDIA GMBH (AKA: UNITYMEDIA KAB DIR 0.00% CDSCE4802 LEONARDO SPA (AKA: LEONARDO-FINMECCA DIR 0.00% CDSCE4398 SYNLAB UNSECURED BONDCO PLC DIR 0.00% CDSCE4919 SYNGENTA FINANCE NV DIR 0.00% CDSCE4653 NOKIA OYJ DIR 0.00% CDSCE4323 ORANO DIR 0.00% CDSCE4190 TELEFONAKTIEBOLAGET LM ERICSSON DIR 0.00% CDSCE4216 VIRGIN MEDIA FINANCE PLC DIR 0.00% CDSCE4745 TDC A/S DIR 0.00% CDSCE4232 HAPAG-LLOYD AG DIR 0.00% CDSCE4414 TESCO PLC DIR 0.00% CDSCE4240 ZIGGO BOND COMPANY BV DIR 0.00% CDSCE4778 OI EUROPEAN GROUP BV DIR 0.00% CDSCE4257 HEMA BAKKERIJEN (HEMA BONDCO I BV) DIR 0.00% CDSCE4422 TEOLLISUUDEN VOIMA OY DIR 0.00% CDSCE4265 THYSSENKRUPP AG DIR 0.00% CDSCE4794 SUEDZUCKER INTERNATIONAL FINANCE BV DIR 0.00% CDSCE4273 SLOVENIA BROADBAND SARL (UNITED GROU DIR 0.00% CDSCE4430 MARKS AND SPENCER PLC DIR 0.00% CDSCE4281 MATTERHORN TELECOM HOLDING SA DIR 0.00% CDSCE4810 SMURFIT KAPPA ACQUISITIONS UNLIMITED DIR 0.00% CDSCE4299 INTERNATIONAL GAME TECHNOLOGY PLC DIR 0.00% CDSCE4786 TUI AG DIR 0.00% CDSCE4901 INEOS GROUP HOLDINGS SA DIR 0.00% CDSCE4885 SUNRISE COMMUNICATIONS AG DIR 0.00% CDSCE4554 VERISURE MIDHOLDING AB DIR 0.00% CDSCE4489 SCHAEFFLER AG DIR 0.00% CDSCE4570 PICARD BONDCO DIR 0.00% CDSCE4505 OTE PLC DIR 0.00% CDSCE4729 INTRUM AB DIR 0.00% CDSCE4406 REXEL SA DIR 0.00% CDSCE4471 TELECOM ITALIA SPA (AKA: TIM SPA) DIR 0.00% CDSCE4869 VOLVO CAR AB DIR 0.00% CDSCE4588 NOVAFIVES DIR 0.00% CDSCE4547 ICELAND FOOD LTD (STRETFORD 79 PLC) DIR 0.00% CDSCE4737 UPC HOLDING BV DIR 0.00% CDSCE4448 VEOLIA ENVIRONNEMENT SA DIR 0.00% CDSCE8472 SANOFI DIR 0.00% CDSCE9264 HEIDELBERGCEMENT AG DIR 0.00% CDSCE9108 CENTRICA PLC DIR 0.00% CDSCE8167 MEDIOBANCA BANCA DI CREDITO FINANZIA DIR 0.00% CDSCE8621 ANHEUSER-BUSCH INBEV SA/NV DIR 0.00% CDSCE8647 BANCO BILBAO VIZCAYA ARGENTARIA SA ( DIR 0.00% CDSCE8514 ENEL SPA DIR 0.00% CDSCE8175 THALES SA DIR 0.00% CDSCE9181 BERTELSMANN SE & CO KGA (AKA: BERTEL DIR 0.00% CDSCE8688 INTESA SANPAOLO SPA DIR 0.00% CDSCE8589 CREDIT AGRICOLE SA/LONDON BRANCH DIR 0.00% CDSCE8183 ITV PLC DIR 0.00% CDSCE9256 BAT INTERNATIONAL FINANCE PLC DIR 0.00% CDSCE8720 STMICROELECTRONICS NV DIR 0.00% CDSCE8498 DIAGEO CAPITAL PLC DIR 0.00% CDSCE8191 DEUTSCHE BANK AG DIR 0.00% CDSCE8530 AXA SA DIR 0.00% CDSCE8761 SHELL INTERNATIONAL FINANCE BV DIR 0.00% CDSCE9140 ELECTRICITE DE FRANCE SA (EDF) DIR 0.00% CDSCE8209 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV DIR 0.00% CDSCE9223 UNILEVER NV DIR 0.00% CDSCE8803 TELEKOM FINANZMANAGEMENT GMBH DIR 0.00% CDSCE8662 HSBC HOLDINGS PLC DIR 0.00% CDSCE8217 RENAULT DIR 0.00% CDSCE8902 LVMH MOET HENNESSY-LOUIS VUITTON SE DIR 0.00% CDSCE8845 IBERDROLA INTERNATIONAL BV DIR 0.00% CDSCE8787 LLOYDS BANKING GROUP PLC DIR 0.00% CDSCE8225 BRITISH TELECOMMUNICATIONS PUBLIC LI DIR 0.00% CDSCE8159 BAYER AG DIR 0.00% CDSCE8886 VOLKSWAGEN INTERNATIONAL FINANCE NV DIR 0.00% CDSCE8480 CREDIT SUISSE GROUP FINANCE (GUERNSE DIR 0.00% CDSCE8233 KONINKLIJKE PHILIPS NV DIR 0.00% CDSCE8506 UNICREDIT SPA DIR 0.00% CDSCE8928 CARREFOUR SA DIR 0.00% CDSCE9058 ASSICURAZIONI GENERALI SPA DIR 0.00% CDSCE8241 MICHELIN LUXEMBOURG SCS DIR 0.00% CDSCE9082 ZURICH INSURANCE COMPANY LTD DIR 0.00% CDSCE8969 KERING DIR 0.00% CDSCE9124 MUENCHENER RUECKVERSICHERUNGS-GESELL DIR 0.00% CDSCE8258 CNH INDUSTRIAL FINANCE EUROPE SA DIR 0.00% CDSCE9165 AKZO NOBEL NV DIR 0.00% CDSCE9009 SOLVAY SA DIR 0.00% CDSCE9207 NATIONAL GRID PLC DIR 0.00% CDSCE8266 AVIVA PLC DIR 0.00% CDSCE9249 PUBLICIS GROUPE SA DIR 0.00% CDSCE9041 SKY LIMITED DIR 0.00% CDSCE8142 SSE PLC (AKA: SCOTTISH AND SOUTHERN DIR 0.00% CDSCE8274 EQUINOR ASA (AKA: STATOIL ASA/STATOI DIR 0.00% CDSCE8829 DANSKE BANK A/S DIR 0.00% CDSCE8555 BASF SE DIR 0.00% CDSCE8746 PRUDENTIAL PLC DIR 0.00% CDSCE8282 HANNOVER RUECKVERSICHERUNG SE DIR 0.00% CDSCE8548 VOLVO TREASURY AB DIR 0.00% CDSCE8571 FORTUM OYJ DIR 0.00% CDSCE8704 COOPERATIEVE RABOBANK UA (AKA: RABOB DIR 0.00% CDSCE8290 ROYAL BANK OF SCOTLAND GROUP PLC DIR 0.00% CDSCE8860 TATE & LYLE INTERNATIONAL FINANCE PL DIR 0.00% CDSCE8597 KONINKLIJKE DSM NV DIR 0.00% CDSCE9272 NATURGY CAPITAL MARKETS SA DIR 0.00% CDSCE8308 COMMERZBANK AG DIR 0.00% CDSCE8605 SES SA DIR 0.00% CDSCE8613 ARCELORMITTAL SA DIR 0.00% CDSCE8951 KONINKLIJKE KPN NV DIR 0.00% CDSCE8316 VODAFONE GROUP PLC DIR 0.00% CDSCE8977 NEXT GROUP PLC DIR 0.00% CDSCE8639 WENDEL SA DIR 0.00% CDSCE8993 INNOGY FINANCE BV DIR 0.00% CDSCE8324 VINCI SA DIR 0.00% CDSCE9017 PERNOD RICARD DIR 0.00% CDSCE8654 ELECTROLUX AB DIR 0.00% CDSCE9033 SOCIETE GENERALE DIR 0.00% CDSCE8332 STANDARD CHARTERED PLC DIR 0.00% CDSCE9066 LAFARGEHOLCIM LTD DIR 0.00% CDSCE8670 POSTNL DIR 0.00% CDSCE8522 TELIA COMPANY AB DIR 0.00% CDSCE8340 AEGON NV DIR 0.00% CDSCE8043 HEINEKEN NV DIR 0.00% CDSCE8696 AHOLD FINANCE USA LLC DIR 0.00% CDSCE8050 TOTAL CAPITAL DIR 0.00% CDSCE8357 ALLIANZ FINANCE II BV AMSTERDAM DIR 0.00% CDSCE8068 CARLSBERG BREWERIES A/S DIR 0.00% CDSCE8712 BAE SYSTEMS PLC DIR 0.00% CDSCE8076 UNITED UTILITIES PLC DIR 0.00% CDSCE8365 E.ON INTERNATIONAL FINANCE BV DIR 0.00% CDSCE8084 TELENOR ASA DIR 0.00% CDSCE8738 BARCLAYS PLC DIR 0.00% CDSCE8092 BMW FINANCE NV DIR 0.00% CDSCE8373 BNP PARIBAS SA DIR 0.00% CDSCE8100 SWISS RE TREASURY (US) CORPORATION DIR 0.00% CDSCE8753 BOUYGUES SA DIR 0.00% CDSCE8118 NESTLE HOLDINGS INC DIR 0.00% CDSCE8381 DANONE SA DIR 0.00% CDSCE8126 UNIBAIL-RODAMCO-WESTFIELD SE DIR 0.00% CDSCE8779 ENGIE SA (AKA: GDF SUEZ) DIR 0.00% CDSCE8134 TELEFONICA EMISIONES SA DIR 0.00% CDSCE8399 DEUTSCHE LUFTHANSA AKTIENGESELLSCHAF DIR 0.00% CDSCE9280 ROLLS-ROYCE PLC DIR 0.00% CDSCE8795 WPP FINANCE SA DIR 0.00% CDSCE8985 DEUTSCHE TELEKOM INTERNATIONAL FINAN DIR 0.00% CDSCE8407 PEARSON FUNDING PLC DIR 0.00% CDSCE9074 CONTINENTAL AG DIR 0.00% CDSCE8811 BP CAPITAL MARKETS PLC DIR 0.00% CDSCE9090 IMPERIAL BRANDS FINANCE PLC (AKA: IM DIR 0.00% CDSCE8415 PEUGEOT SA DIR 0.00% CDSCE9116 GLENCORE FINANCE (EUROPE) LIMITED DIR 0.00% CDSCE8837 DAIMLER AG DIR 0.00% CDSCE9132 EDP FINANCE BV DIR 0.00% CDSCE8423 ASTRAZENECA PLC DIR 0.00% CDSCE9157 ENI SPA DIR 0.00% CDSCE8852 VIVENDI SA DIR 0.00% CDSCE9173 BANCO SANTANDER SA DIR 0.00% CDSCE8431 STORA ENSO OYJ DIR 0.00% CDSCE9199 VALEO SA DIR 0.00% CDSCE8878 HENKEL AG & CO KGAA DIR 0.00% CDSCE9215 ING GROEP NV DIR 0.00% CDSCE8449 COMPASS GROUP PLC DIR 0.00% CDSCE8944 ACCOR SA DIR 0.00% CDSCE8894 REPSOL INTERNATIONAL FINANCE BV DIR 0.00% CDSCE9025 ORANGE SA (AKA: FRANCE TELECOM SA) DIR 0.00% CDSCE8456 LANXESS AG DIR 0.00% CDSCE9231 AIRBUS FINANCE BV DIR 0.00% CDSCE8910 COMPAGNIE DE SAINT-GOBAIN SA DIR 0.00% CDSCE8563 UBS GROUP FUNDING (SWITZERLAND) AG DIR 0.00% CDSCE8464 ANGLO AMERICAN CAPITAL PLC DIR 0.00% CDSCE8936 CASH COLLATERAL ISDA TOR USD 0.00% CCTORIUS6 CASH COLLATERAL TBA WFS USD 0.00% CCWFSTUS6 BRFKREDIT A/S ** PARTIAL CALL** 0.00% EK6843701 NYKREDIT REALKREDIT AS **PARTIAL CALL** 0.00% EK6818315 CDX ITRAXX XOV32 5Y ICE 0.00% SWPC0IJ57 CDX EM30 ICE 0.00% SWPC0HCO5 Westpac Cash Deposit 0.00% n/a JP Morgan Chase & Co. CNY Cash Deposit 0.00% n/a CDX IG34 5Y ICE 0.00% SWPC0J5G6 RUB - USD (UNDERLYING) 0.00% USDU2CQR1 CAD - USD (UNDERLYING) 0.00% USDU2BUZ0 CLP - USD (UNDERLYING) 0.00% USDU2AMG3 JPY - USD (UNDERLYING) 0.00% USDU2CTW7 CNH - USD (UNDERLYING) 0.00% USDU2AUP4 EUR - USD (UNDERLYING) 0.00% USDU2CZS9 EUR - USD (UNDERLYING) 0.00% USDU2BOO2 CAD - USD (UNDERLYING) 0.00% USDU2BP94 GBP - USD (UNDERLYING) 0.00% USDU2BPE3 SEK - USD (UNDERLYING) 0.00% USDU2CVL8 HKD - USD (UNDERLYING) 0.00% USDU2APV7 JPY - USD (UNDERLYING) 0.00% USDU2AL74 IDR - USD (UNDERLYING) 0.00% USDU29GN8 AUD - USD (UNDERLYING) 0.00% USDU2BS67 Currency Adjustment USD 0.00% ADJ US AUD - USD (UNDERLYING) 0.00% USDU2CNO1 JPY - USD (UNDERLYING) 0.00% USDU2BP86 CAD - USD (UNDERLYING) 0.00% USDU2CVC8 KRW - USD (UNDERLYING) 0.00% USDU2APT2 NZD - USD (UNDERLYING) 0.00% USDU2CM61 NOK - USD (UNDERLYING) 0.00% USDU2BPX1 DKK - USD (UNDERLYING) 0.00% USDU25YZ9 NZD - USD (UNDERLYING) 0.00% USDU2BPL7 GBP - USD (UNDERLYING) 0.00% USDU2BV14 PEN - USD (UNDERLYING) 0.00% USDU2B3G2 CDX ITRAXX MAIN32 5Y ICE 0.00% SWPC0IJ40 PLN - USD (UNDERLYING) 0.00% USDU2AST9 NOK - USD (UNDERLYING) 0.00% USDU2BV48 STRAT DUMMY AUD - USD 0.00% STRAUDUSD SEK - USD (UNDERLYING) 0.00% USDU2BPZ6 TWD - USD (UNDERLYING) 0.00% USDU2AUQ2 AUD - USD (UNDERLYING) 0.00% USDU2BV22 ZAR - USD (UNDERLYING) 0.00% USDU2ALQ2 GBP - USD (UNDERLYING) 0.00% USDU2CS99 CDX ITRAXX MAIN32 10Y ICE 0.00% SWPC0IM79 BRL - USD (UNDERLYING) 0.00% USDU2CID1 AUD - USD (UNDERLYING) 0.00% USDU2AMO6 JPY - USD (UNDERLYING) 0.00% USDU2C3R6 BRL - USD (UNDERLYING) 0.00% USDU1ZQW0 MXN - USD (UNDERLYING) 0.00% USDU29OX7 CHF - USD (UNDERLYING) 0.00% USDU2BPF0 NOK - USD (UNDERLYING) 0.00% USDU2CVJ3 CHF - USD (UNDERLYING) 0.00% USDU2BV30 JPY - USD (UNDERLYING) 0.00% USDU2BV06 CHF - USD (UNDERLYING) 0.00% USDU2CVI5 NZD - USD (UNDERLYING) 0.00% USDU2BV55 RUB - USD (UNDERLYING) 0.00% USDU2CK89 ILS - USD (UNDERLYING) 0.00% USDU2CB63 DKK - USD (UNDERLYING) 0.00% USDU29K94 SEK - USD (UNDERLYING) 0.00% USDU2BV63 EUR - USD (UNDERLYING) 0.00% USDU29RG1 EUR - USD (UNDERLYING) 0.00% USDU2ATN1 EUR - USD (UNDERLYING) 0.00% USDU26BV1 MXN - USD (UNDERLYING) 0.00% USDU28N85 DKK - USD (UNDERLYING) 0.00% USDU1Y1K6 RUB - USD (UNDERLYING) 0.00% USDU29T20 0 0.00% Grand Total COP - USD (UNDERLYING) 0.00% USDU26Y20 Currency Adjustment RUR 0.00% ADJ RU PEN - USD (UNDERLYING) 0.00% USDU2AJ77 EUR - GBP (UNDERLYING) 0.00% GBPU2A9V5 Currency Adjustment GBP 0.00% ADJ GB CASH Uninvested EUR 0.00% 00000EUR8 Dual Ccy Liab Adj US 0.00% A_DUAL US CCS USD P US3ML/AUD3MBBSW+42.2 MYC 0.00% CCS0079N7 CASH Uninvested CAD 0.00% 00000CAD5 CASH Uninvested BRL 0.00% 00000BRL1 CASH Uninvested AUD 0.00% 00000AUD7 CDX IG32 10Y ICE 0.00% SWPC0HYD5 CASH Uninvested JPY 0.00% 00000JPY8 HKD - USD (UNDERLYING) 0.00% USDU24Z99 CASH Uninvested ZAR 0.00% 00000ZAR3 EUR - USD (UNDERLYING) 0.00% USDU1PN62 (blank) 0.00% (blank) CASH Uninvested GBP 0.00% 00000GBP8 Currency Adjustment CNH 0.00% ADJ C2 INR - USD (UNDERLYING) 0.00% USDU207W7 CASH Uninvested TRL 0.00% 00000TRL2 CDX IG33 5Y ICE 0.00% SWPC0IJA6 CDX IG33 10Y ICE 0.00% SWPC0IJC2 (blank) 0.00% (blank) IRO USD 1Y1Y P 1.60000 L 06/09/20 MYC 0.00% 317U738U5 IRO USD 1Y1Y P 1.60000 L 06/08/20 MYC 0.00% 317U709U0 PHILIPPINES GOVT DIR 0.00% CDSCQ5210 PERU GOVT DIR 0.00% CDSCQ5202 PENERBANGAN MALAYSIA BERHAD DIR 0.00% CDSCQ5145 ARGENTINA GOVT DIR 0.00% CDSCQ5137 PANAMA GOVT DIR 0.00% CDSCQ5186 CHILEAN GOVT DIR 0.00% CDSCQ5160 LEBANON GOVT DIR 0.00% CDSCQ5269 INDONESIA GOVT DIR 0.00% CDSCQ5129 COLOMBIAN GOVT DIR 0.00% CDSCQ5178 U S TREASURY BILLS 0.00% 9127962N8 SOUTH AFRICA GOVT DIR 0.00% CDSCQ5236 RUSSIAN GOVT DIR 0.00% CDSCQ5228 CHINA GOVT DIR 0.00% CDSCQ5194 MEXICO GOVT DIR 0.00% CDSCQ5251 TURKEY GOVT DIR 0.00% CDSCQ5244 BRAZIL GOVT DIR 0.00% CDSCQ5152 UNITED UTILITIES PLC SNR SE ICE 0.00% SWPC0EHK5 CHILEAN PESO-NDF 0.00% CLP0156A4 MONDELEZ INTERNATIONAL INC DIR 0.00% CDSCE2384 WESTROCK MWV LLC DIR 0.00% CDSCE2715 RYDER SYSTEM INC DIR 0.00% CDSCE2558 DOMTAR CORPORATION DIR 0.00% CDSCE1956 MACYS RETAIL HOLDINGS INC DIR 0.00% CDSCE2319 NORTHROP GRUMMAN SYSTEMS CORPORATION DIR 0.00% CDSCE2459 OMNICOM GROUP INC / OMNICOM CAPITAL DIR 0.00% CDSCE2467 E.I. DUPONT DE NEMOURS & COMPANY DIR 0.00% CDSCE1972 TYSON FOODS INC DIR 0.00% CDSCE2632 PRUDENTIAL FINANCIAL INC DIR 0.00% CDSCE2509 INTERNATIONAL PAPER COMPANY DIR 0.00% CDSCE2210 ERP OPERATING LP DIR 0.00% CDSCE1998 MARRIOTT INTERNATIONAL INC DIR 0.00% CDSCE2343 ROYAL CARIBBEAN CRUISES LTD DIR 0.00% CDSCE2541 NEWMONT CORP DIR 0.00% CDSCE2426 ENCANA CORPORATION DIR 0.00% CDSCE2012 QUEST DIAGNOSTICS INC. DIR 0.00% CDSCE2517 SIMON PROPERTY GROUP LP DIR 0.00% CDSCE2582 SOUTHERN CO DIR 0.00% CDSCE2590 ENERGY TRANSFER OPERATING LP (AKA: E DIR 0.00% CDSCE2038 VALERO ENERGY CORPORATION DIR 0.00% CDSCE2673 TECK RESOURCES LIMITED DIR 0.00% CDSCE2624 XLIT LTD (AKA: XL CAPITAL LTD) DIR 0.00% CDSCE2756 FIRSTENERGY CORP DIR 0.00% CDSCE2053 PFIZER INC DIR 0.00% CDSCE2483 UNITEDHEALTH GROUP INCORPORATED DIR 0.00% CDSCE2665 MARATHON PETROLEUM CORPORATION DIR 0.00% CDSCE2327 GENERAL ELECTRIC COMPANY DIR 0.00% CDSCE2079 MCKESSON CORPORATION DIR 0.00% CDSCE2368 WALMART INC (AKA WAL-MART STORES INC DIR 0.00% CDSCE2707 NATIONAL RURAL UTILITIES COOPERATIVE DIR 0.00% CDSCE2400 GENERAL MOTORS COMPANY DIR 0.00% CDSCE2095 NORFOLK SOUTHERN CORPORATION DIR 0.00% CDSCE2442 WILLIAMS COS INC DIR 0.00% CDSCE2749 PROCTER AND GAMBLE CO. DIR 0.00% CDSCE2491 HARTFORD FINANCIAL SERVICES GROUP IN DIR 0.00% CDSCE2111 REYNOLDS AMERICAN INC DIR 0.00% CDSCE2533 HESS CORPORATION DIR 0.00% CDSCE2137 THE SHERWIN-WILLIAMS COMPANY DIR 0.00% CDSCE2574 DOMINION ENERGY INC (AKA: DOMINION R DIR 0.00% CDSCE1949 TARGET CORPORATION DIR 0.00% CDSCE2616 ASSURED GUARANTY MUNICIPAL CORP DIR 0.00% CDSCE1519 UNITED PARCEL SERVICE OF AMERICA INC DIR 0.00% CDSCE2657 DOW CHEMICAL COMPANY DIR 0.00% CDSCE1964 VIACOM INC DIR 0.00% CDSCE2699 AT&T INC DIR 0.00% CDSCE1527 WHIRLPOOL CORPORATION DIR 0.00% CDSCE2731 DEVON ENERGY CORPORATION DIR 0.00% CDSCE1923 NEWELL BRANDS INC (AKA: NEWELL RUBBE DIR 0.00% CDSCE2418 CHUBB INA HOLDINGS INC (AKA: ACE INA DIR 0.00% CDSCE1535 NORDSTROM INC DIR 0.00% CDSCE2434 EASTMAN CHEMICAL COMPANY DIR 0.00% CDSCE2004 LOEWS CORPORATION DIR 0.00% CDSCE2293 ALLSTATE CORP DIR 0.00% CDSCE1543 BLOCK FINANCIAL CORP DIR 0.00% CDSCE1691 ENBRIDGE INC DIR 0.00% CDSCE2020 BOEING CO/THE DIR 0.00% CDSCE1709 ALTRIA GROUP INC DIR 0.00% CDSCE1550 BOSTON SCIENTIFIC CORPORATION DIR 0.00% CDSCE1717 EXPEDIA GROUP INC DIR 0.00% CDSCE2046 BRISTOL-MYERS SQUIBB COMPANY DIR 0.00% CDSCE1725 AMERICAN ELECTRIC POWER COMPANY INC DIR 0.00% CDSCE1568 CBS CORPORATION DIR 0.00% CDSCE1733 FORD MOTOR COMPANY DIR 0.00% CDSCE2061 CSX CORPORATION DIR 0.00% CDSCE1741 AMERICAN EXPRESS COMPANY DIR 0.00% CDSCE1576 CVS HEALTH CORPORATION DIR 0.00% CDSCE1758 GENERAL MILLS INC DIR 0.00% CDSCE2087 CAMPBELL SOUP COMPANY DIR 0.00% CDSCE1766 AMERICAN INTERNATIONAL GROUP INC DIR 0.00% CDSCE1584 CANADIAN NATURAL RESOURCES LIMITED DIR 0.00% CDSCE1774 HALLIBURTON COMPANY DIR 0.00% CDSCE2103 CAPITAL ONE BANK (USA) NATIONAL ASSO DIR 0.00% CDSCE1782 AMGEN INC DIR 0.00% CDSCE1592 CARDINAL HEALTH INC DIR 0.00% CDSCE1790 KRAFT HEINZ FOODS CO (AKA: HJ HEINZ DIR 0.00% CDSCE2129 CARNIVAL CORPORATION DIR 0.00% CDSCE1808 ANADARKO PETROLEUM CORPORATION DIR 0.00% CDSCE1600 CATERPILLAR INCORPORATED DIR 0.00% CDSCE1816 HP INC (AKA: HEWLETT-PACKARD CO) DIR 0.00% CDSCE2145 CISCO SYSTEMS INC DIR 0.00% CDSCE1824 APACHE CORPORATION DIR 0.00% CDSCE1618 COMCAST CORPORATION DIR 0.00% CDSCE1832 HONEYWELL INTERNATIONAL INC DIR 0.00% CDSCE2160 CONAGRA BRANDS INC DIR 0.00% CDSCE1840 METLIFE INC DIR 0.00% CDSCE2376 CONOCOPHILLIPS DIR 0.00% CDSCE1857 INGERSOLL-RAND COMPANY DIR 0.00% CDSCE2186 EXELON CORPORATION DIR 0.00% CDSCE1865 AUTOZONE INC DIR 0.00% CDSCE1634 COX COMMUNICATIONS INC DIR 0.00% CDSCE1873 ILFC DIR 0.00% CDSCE2202 D.R. HORTON INC DIR 0.00% CDSCE1881 AVNET INC DIR 0.00% CDSCE1642 DXC TECHNOLOGY COMPANY DIR 0.00% CDSCE1899 JOHNSON & JOHNSON COMPANY DIR 0.00% CDSCE2228 DARDEN RESTAURANTS INC DIR 0.00% CDSCE1907 PACKAGING CORP OF AMERICA INC DIR 0.00% CDSCE2475 DEERE & COMPANY DIR 0.00% CDSCE1915 WALT DISNEY COMPANY DIR 0.00% CDSCE1931 RAYTHEON COMPANY DIR 0.00% CDSCE2525 BARRICK GOLD CORPORATION DIR 0.00% CDSCE1659 SOUTHWEST AIRLINES CO DIR 0.00% CDSCE2608 KINDER MORGAN INC DIR 0.00% CDSCE2244 HOST HOTELS & RESORTS LP DIR 0.00% CDSCE2178 MCDONALDS CORPORATION DIR 0.00% CDSCE2350 SEMPRA ENERGY DIR 0.00% CDSCE2566 KOHLS CORPORATION DIR 0.00% CDSCE2251 MARSH & MCLENNAN COMPANIES INC DIR 0.00% CDSCE2335 VERIZON COMMUNICATIONS INC DIR 0.00% CDSCE2681 BAXTER INTERNATIONAL INC DIR 0.00% CDSCE1667 UNION PACIFIC CORPORATION DIR 0.00% CDSCE2640 KROGER CO DIR 0.00% CDSCE2269 WEYERHAEUSER COMPANY DIR 0.00% CDSCE2723 BERKSHIRE HATHAWAY INC DIR 0.00% CDSCE1675 HOME DEPOT INC DIR 0.00% CDSCE2152 LOCKHEED MARTIN CORPORATION DIR 0.00% CDSCE2285 INTERNATIONAL BUSINESS MACHINES CORP DIR 0.00% CDSCE2194 BEST BUY CO INC DIR 0.00% CDSCE1683 JOHNSON CONTROLS INTERNATIONAL PLC ( DIR 0.00% CDSCE2236 LOWES COMPANIES INC DIR 0.00% CDSCE2301 ARROW ELECTRONICS INC DIR 0.00% CDSCE1626 LINCOLN NATIONAL CORPORATION DIR 0.00% CDSCE2277 MOTOROLA SOLUTIONS INC DIR 0.00% CDSCE2392 DUKE ENERGY CAROLINAS LLC DIR 0.00% CDSCE1980 HALLIBURTON COMPANY SR UNSEC DIR 0.00% CDSCB4466 REYNOLDS AMERICAN INC SR UNSEC DIR 0.00% CDSCB4896 MONDELEZ INTERNATIONAL SR UNSEC DIR 0.00% CDSCB4730 CARDINAL HEALTH INC DIR 0.00% CDSCB4144 WALMART INC SR UNSECURED DIR 0.00% CDSCB5059 CARNIVAL CORP YANKEE DEB DIR 0.00% CDSCB4151 LOWES COMPANIES INC GLBL SR UNSEC DIR 0.00% CDSCB4656 CATERPILLAR INC GLBL SR UNSEC DIR 0.00% CDSCB4169 OCCIDENTAL PETROLEUM COR SR UNSEC DIR 0.00% CDSCB4813 CISCO SYSTEMS INC SR UNSEC DIR 0.00% CDSCB4177 TARGET CORP DIR 0.00% CDSCB4979 COMCAST CORP SR UNSEC DIR 0.00% CDSCB4185 GENERAL MILLS INC SR UNSEC GLBL DIR 0.00% CDSCB4441 CONAGRA BRANDS INC SR UNSECURED DIR 0.00% CDSCB4193 KROGER CO DIR 0.00% CDSCB4615 CONOCOPHILLIPS GLBL CO GTD DIR 0.00% CDSCB4201 MARRIOTT INTERNATIONAL SR UNSEC DIR 0.00% CDSCB4698 CONSTELLATION ENERGY GRO SR UNSECURE DIR 0.00% CDSCB4219 NEXTERA ENERGY CAPITAL SR UNSEC DIR 0.00% CDSCB4771 COX COMMUNICATIONS INC DEB SR UNSEC DIR 0.00% CDSCB4227 PROCTER & GAMBLE CO/THE DIR 0.00% CDSCB4854 D.R. HORTON INC GLBL SR UNSEC DIR 0.00% CDSCB4235 SHERWIN-WILLIAMS CO DIR 0.00% CDSCB4938 DXC TECHNOLOGY CO SR UNSEC DIR 0.00% CDSCB4243 UPS OF AMERICA INC SR UNSEC DIR 0.00% CDSCB5018 DARDEN RESTAURANTS INC SR UNSEC DIR 0.00% CDSCB4250 HESS CORP DIR 0.00% CDSCB4482 WILLIAMS COMPANIES INC DIR 0.00% CDSCB5091 DEVON ENERGY CORPORATION SR UNSEC DIR 0.00% CDSCB4276 GENERAL MOTORS CO SRUNSEC DIR 0.00% CDSCB4458 WALT DISNEY COMPANY/THE DIR 0.00% CDSCB4284 BARRICK GOLD CORP GLBL SR UNSECURED DIR 0.00% CDSCB4003 DOMINION ENERGY INC DIR 0.00% CDSCB4292 BAXTER INTERNATIONAL INC SR UNSEC DIR 0.00% CDSCB4011 DOMTAR CORP SR UNSEC DIR 0.00% CDSCB4300 BERKSHIRE HATHAWAY INC SR UNSEC DIR 0.00% CDSCB4029 DOW CHEMICAL CO SR UNSEC DIR 0.00% CDSCB4318 BEST BUY CO INC SR UNSEC DIR 0.00% CDSCB4037 E.I. DU PONT DE NEMOURS SR UNSEC DIR 0.00% CDSCB4326 BLOCK FINANCIAL LLC DIR 0.00% CDSCB4045 DUKE ENERGY CAROLINAS SR UNSECURED DIR 0.00% CDSCB4334 BOEING CO DEBENTURES SR UNSEC DIR 0.00% CDSCB4052 ERP OPERATING LP SR UNSEC DIR 0.00% CDSCB4342 BOSTON SCIENTIFIC CORP SR UNSEC DIR 0.00% CDSCB4060 EASTMAN CHEMICAL SR UNSEC DIR 0.00% CDSCB4359 BRISTOL-MYERS SQUIBB DIR 0.00% CDSCB4078 ENCANA CORP GLBL SR UNSEC DIR 0.00% CDSCB4367 CBS CORP CO GTD DIR 0.00% CDSCB4086 ENBRIDGE INC SR UNSEC DIR 0.00% CDSCB4375 CSX CORP SR UNSEC DIR 0.00% CDSCB4094 ENERGY TRANSFER OPERATNG SR UNSEC DIR 0.00% CDSCB4383 CVS HEALTH CORP SR UNSEC DIR 0.00% CDSCB4102 EXPEDIA INC DIR 0.00% CDSCB4391 CAMPBELL SOUP CO SR UNSEC DIR 0.00% CDSCB4110 FISERV INC DIR 0.00% CDSCB4409 CANADIAN NATL RESOURCES GLBL SR UNSE DIR 0.00% CDSCB4128 FIRST ENERGY CORP GLBL SR UNSEC C DIR 0.00% CDSCB4417 CAPITAL ONE BANK USA NA SOFR DIR 0.00% CDSCB4136 FORD MOTOR COMPANY SR UNSEC DIR 0.00% CDSCB4425 GENERAL ELECTRIC CO DIR 0.00% CDSCB4433 HOME DEPOT INC GLBL SR UNSEC DIR 0.00% CDSCB4508 LOCKHEED MARTIN CORP SR UNSEC DIR 0.00% CDSCB4631 HOST HOTELS & RESORTS LP SR UNSEC DIR 0.00% CDSCB4524 NORFOLK SOUTHERN CORP GLBL SR UNSEC DIR 0.00% CDSCB4797 IBM CORP SR UNSEC DIR 0.00% CDSCB4540 SOUTHERN CO SR UNSEC DIR 0.00% CDSCB4953 INTL PAPER CO GLBL SR UNSECURED DIR 0.00% CDSCB4565 HARTFORD FINL SVCS GRP DIR 0.00% CDSCB4474 JOHNSON CONTROLS INTL PL SR UNSEC DIR 0.00% CDSCB4581 ILFC SR UNSECURED DIR 0.00% CDSCB4557 KOHLS CORPORATION SR UNSEC DIR 0.00% CDSCB4607 ASSURED GUARANTY MUNICIPAL CORP DIR 0.00% CDSCB3864 LINCOLN NATIONAL CORP DIR 0.00% CDSCB4623 MCKESSON HBOC INC SR UNSECURED DIR 0.00% CDSCB4714 LOEWS CORP NT DIR 0.00% CDSCB4649 AT&T INC DIR 0.00% CDSCB3872 MACYS RETAIL HLDGS INCCO DIR 0.00% CDSCB4664 QUEST DIAGNOSTICS INC DIR 0.00% CDSCB4870 MARSH & MCLENNAN COS INC SR NT DIR 0.00% CDSCB4680 ACE INA HOLDINGS INC DIR 0.00% CDSCB3880 MCDONALDS CORP SR UNSEC DIR 0.00% CDSCB4706 VALERO ENERGY CORP SR UNSECURED DIR 0.00% CDSCB5034 METLIFE INC SR UNSEC DIR 0.00% CDSCB4722 ALLSTATE CORP DIR 0.00% CDSCB3898 MOTOROLA INC DEB DIR 0.00% CDSCB4748 HONEYWELL INTERNATIONAL GLBL SR UNSE DIR 0.00% CDSCB4516 NEWMONT CORP SR UNSEC*TENDER & CONSE DIR 0.00% CDSCB4763 ALLY FINANCIAL INC SR UNSEC DIR 0.00% CDSCB3906 NORDSTROM INC SR UNSECURED DIR 0.00% CDSCB4789 KINDER MORGAN INC SR UNSEC DIR 0.00% CDSCB4599 NORTHROP GRUMMAN CORP GLOBAL CO GTD DIR 0.00% CDSCB4805 ALTRIA GROUP INC GLBL CO GTD DIR 0.00% CDSCB3914 OMNICOM GROUP INC GLBL SR UNSEC DIR 0.00% CDSCB4821 MARATHON PETROLEUM CORP SR UNSEC DIR 0.00% CDSCB4672 PFIZER INC DIR 0.00% CDSCB4847 AMERICAN ELECTRIC POWER DIR 0.00% CDSCB3922 PRUDENTIAL FINANCIAL INC SR UNSEC DIR 0.00% CDSCB4862 NATIONAL RURAL UTIL GLBL SR UNSEC MT DIR 0.00% CDSCB4755 RAYTHEON CO DEB SR UNSEC DIR 0.00% CDSCB4888 AMERICAN EXPRESS CO GLBL SR UNSEC DIR 0.00% CDSCB3930 ROYAL CARIBBEAN CRUISES SR UNSEC DIR 0.00% CDSCB4904 PACKAGING CORP OF AMERIC SR UNSEC DIR 0.00% CDSCB4839 SEMPRA ENERGY SR UNSEC DIR 0.00% CDSCB4920 AIG INC DIR 0.00% CDSCB3948 SIMON PROPERTY GROUP LP SR UNSEC DIR 0.00% CDSCB4946 RYDER SYSTEM INC DIR 0.00% CDSCB4912 SOUTHWEST AIRLINES CO SR UNSEC DIR 0.00% CDSCB4961 AMGEN INC SR UNSEC DIR 0.00% CDSCB3955 TECK COMINCO LIMITED NT YANKEE DIR 0.00% CDSCB4987 TYSON FOODS INC SRUNSEC DIR 0.00% CDSCB4995 UNION PACIFIC CORP SR UNSEC DIR 0.00% CDSCB5000 APACHE CORP SR UNSEC DIR 0.00% CDSCB3963 UNITEDHEALTH GROUP INC SR UNSEC DIR 0.00% CDSCB5026 ARROW ELECTRONICS INC SR UNSEC DIR 0.00% CDSCB3971 VERIZON COMMUNICATIONS SR UNSEC DIR 0.00% CDSCB5042 HP INC GLBL SR UNSEC DIR 0.00% CDSCB4490 WESTVACO CORP DEB DIR 0.00% CDSCB5067 AUTOZONE INC DIR 0.00% CDSCB3989 WHIRLPOOL CORP DIR 0.00% CDSCB5083 INGERSOLL-RAND CO DEB DIR 0.00% CDSCB4532 XLIT LTD DIR 0.00% CDSCB5109 AVNET INC GLBL SR UNSEC DIR 0.00% CDSCB3997 DEERE & COMPANY SR UNSEC DIR 0.00% CDSCB4268 JOHNSON & JOHNSON SR UNSEC DIR 0.00% CDSCB4573 WEYERHAEUSER CO DEB SR UNSEC DIR 0.00% CDSCB5075 IRO USD 3Y P 1.45600 L 08/19/20 BRC 0.00% 317U572T7 IRS EUR -0.50000 03/18/20-2Y LCH 0.00% SWU00W8N9 IRS EUR -0.30000 06/17/20-2Y LCH 0.00% SWU00Y8X3 INNOGY FINANCE BV DIR 0.00% CDSCE7078 AKZO NOBEL NV DIR 0.00% CDSCE7755 LVMH MOET HENNESSY-LOUIS VUITTON SE DIR 0.00% CDSCE7599 NEXT GROUP PLC DIR 0.00% CDSCE7383 CNH INDUSTRIAL FINANCE EUROPE SA DIR 0.00% CDSCE7912 ARCELORMITTAL SA DIR 0.00% CDSCE7706 AXA SA DIR 0.00% CDSCE7516 PEUGEOT SA DIR 0.00% CDSCE7862 UNICREDIT SPA DIR 0.00% CDSCE7672 SANOFI DIR 0.00% CDSCE8019 MICHELIN LUXEMBOURG SCS DIR 0.00% CDSCE7839 CARLSBERG BREWERIES A/S DIR 0.00% CDSCE7466 AVIVA PLC DIR 0.00% CDSCE7995 DEUTSCHE LUFTHANSA AKTIENGESELLSCHAF DIR 0.00% CDSCE8035 BAT INTERNATIONAL FINANCE PLC DIR 0.00% CDSCE7474 VALEO SA DIR 0.00% CDSCE7623 UNILEVER NV DIR 0.00% CDSCE7557 AEGON NV DIR 0.00% CDSCE6799 BAYER AG DIR 0.00% CDSCE7631 ELECTROLUX AB DIR 0.00% CDSCE7789 ZURICH INSURANCE COMPANY LTD DIR 0.00% CDSCE7714 AHOLD FINANCE USA LLC DIR 0.00% CDSCE6807 PUBLICIS GROUPE SA DIR 0.00% CDSCE7797 STORA ENSO OYJ DIR 0.00% CDSCE7946 KERING DIR 0.00% CDSCE7870 ALLIANZ FINANCE II BV AMSTERDAM DIR 0.00% CDSCE6815 SOLVAY SA DIR 0.00% CDSCE7953 LAFARGEHOLCIM LTD DIR 0.00% CDSCE7425 KONINKLIJKE KPN NV DIR 0.00% CDSCE7060 BAE SYSTEMS PLC DIR 0.00% CDSCE6823 SOCIETE GENERALE DIR 0.00% CDSCE7086 SWISS RE TREASURY (US) CORPORATION DIR 0.00% CDSCE7508 BASF SE DIR 0.00% CDSCE7490 E.ON INTERNATIONAL FINANCE BV DIR 0.00% CDSCE6831 IBERDROLA INTERNATIONAL BV DIR 0.00% CDSCE7532 GLENCORE FINANCE (EUROPE) LIMITED DIR 0.00% CDSCE7581 EQUINOR ASA (AKA: STATOIL ASA/STATOI DIR 0.00% CDSCE7573 BARCLAYS PLC DIR 0.00% CDSCE6849 ROYAL BANK OF SCOTLAND GROUP PLC DIR 0.00% CDSCE7615 AIRBUS FINANCE BV DIR 0.00% CDSCE7664 RENAULT DIR 0.00% CDSCE7656 BNP PARIBAS SA DIR 0.00% CDSCE6856 COMPASS GROUP PLC DIR 0.00% CDSCE7698 WENDEL SA DIR 0.00% CDSCE7748 WPP FINANCE SA DIR 0.00% CDSCE7730 BOUYGUES SA DIR 0.00% CDSCE6864 REPSOL INTERNATIONAL FINANCE BV DIR 0.00% CDSCE7771 PEARSON FUNDING PLC DIR 0.00% CDSCE7821 STANDARD CHARTERED PLC DIR 0.00% CDSCE7813 DANONE SA DIR 0.00% CDSCE6872 HEIDELBERGCEMENT AG DIR 0.00% CDSCE7854 ASTRAZENECA PLC DIR 0.00% CDSCE7904 SHELL INTERNATIONAL FINANCE BV DIR 0.00% CDSCE7896 ENGIE SA (AKA: GDF SUEZ) DIR 0.00% CDSCE6880 THALES SA DIR 0.00% CDSCE7938 LANXESS AG DIR 0.00% CDSCE7987 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV DIR 0.00% CDSCE7979 SKY LIMITED DIR 0.00% CDSCE6898 ROLLS-ROYCE PLC DIR 0.00% CDSCE7540 MEDIOBANCA BANCA DI CREDITO FINANZIA DIR 0.00% CDSCE7375 PERNOD RICARD DIR 0.00% CDSCE7409 TELEKOM FINANZMANAGEMENT GMBH DIR 0.00% CDSCE7417 BRITISH TELECOMMUNICATIONS PUBLIC LI DIR 0.00% CDSCE6906 BERTELSMANN SE & CO KGA (AKA: BERTEL DIR 0.00% CDSCE7433 HEINEKEN NV DIR 0.00% CDSCE7441 FORTUM OYJ DIR 0.00% CDSCE7458 CENTRICA PLC DIR 0.00% CDSCE6914 TOTAL CAPITAL DIR 0.00% CDSCE7102 TELENOR ASA DIR 0.00% CDSCE7482 UNITED UTILITIES PLC DIR 0.00% CDSCE7110 ENEL SPA DIR 0.00% CDSCE6922 BMW FINANCE NV DIR 0.00% CDSCE7128 UNIBAIL-RODAMCO-WESTFIELD SE DIR 0.00% CDSCE7524 NESTLE HOLDINGS INC DIR 0.00% CDSCE7136 CREDIT AGRICOLE SA/LONDON BRANCH DIR 0.00% CDSCE6930 TELEFONICA EMISIONES SA DIR 0.00% CDSCE7144 CONTINENTAL AG DIR 0.00% CDSCE7565 DEUTSCHE TELEKOM INTERNATIONAL FINAN DIR 0.00% CDSCE7151 DIAGEO CAPITAL PLC DIR 0.00% CDSCE6948 IMPERIAL BRANDS FINANCE PLC (AKA: IM DIR 0.00% CDSCE7169 ENI SPA DIR 0.00% CDSCE7607 EDP FINANCE BV DIR 0.00% CDSCE7177 ELECTRICITE DE FRANCE SA (EDF) DIR 0.00% CDSCE6955 BANCO SANTANDER SA DIR 0.00% CDSCE7185 ACCOR SA DIR 0.00% CDSCE7649 ING GROEP NV DIR 0.00% CDSCE7193 HSBC HOLDINGS PLC DIR 0.00% CDSCE6963 ORANGE SA (AKA: FRANCE TELECOM SA) DIR 0.00% CDSCE7201 ANGLO AMERICAN CAPITAL PLC DIR 0.00% CDSCE7680 UBS GROUP FUNDING (SWITZERLAND) AG DIR 0.00% CDSCE7219 LLOYDS BANKING GROUP PLC DIR 0.00% CDSCE6971 VEOLIA ENVIRONNEMENT SA DIR 0.00% CDSCE7227 VODAFONE GROUP PLC DIR 0.00% CDSCE7722 VOLKSWAGEN INTERNATIONAL FINANCE NV DIR 0.00% CDSCE7235 CREDIT SUISSE GROUP FINANCE (GUERNSE DIR 0.00% CDSCE6989 STMICROELECTRONICS NV DIR 0.00% CDSCE7243 VINCI SA DIR 0.00% CDSCE7763 KONINKLIJKE PHILIPS NV DIR 0.00% CDSCE7250 ASSICURAZIONI GENERALI SPA DIR 0.00% CDSCE6997 BANCO BILBAO VIZCAYA ARGENTARIA SA ( DIR 0.00% CDSCE7268 CARREFOUR SA DIR 0.00% CDSCE7805 POSTNL DIR 0.00% CDSCE7276 MUENCHENER RUECKVERSICHERUNGS-GESELL DIR 0.00% CDSCE7003 DEUTSCHE BANK AG DIR 0.00% CDSCE7284 BP CAPITAL MARKETS PLC DIR 0.00% CDSCE7847 HANNOVER RUECKVERSICHERUNG SE DIR 0.00% CDSCE7292 NATIONAL GRID PLC DIR 0.00% CDSCE7011 DANSKE BANK A/S DIR 0.00% CDSCE7300 DAIMLER AG DIR 0.00% CDSCE7888 COMPAGNIE DE SAINT-GOBAIN SA DIR 0.00% CDSCE7318 SSE PLC (AKA: SCOTTISH AND SOUTHERN DIR 0.00% CDSCE7029 VOLVO TREASURY AB DIR 0.00% CDSCE7326 VIVENDI SA DIR 0.00% CDSCE7920 INTESA SANPAOLO SPA DIR 0.00% CDSCE7334 PRUDENTIAL PLC DIR 0.00% CDSCE7037 TATE & LYLE INTERNATIONAL FINANCE PL DIR 0.00% CDSCE7342 HENKEL AG & CO KGAA DIR 0.00% CDSCE7961 COMMERZBANK AG DIR 0.00% CDSCE7359 COOPERATIEVE RABOBANK UA (AKA: RABOB DIR 0.00% CDSCE7045 SES SA DIR 0.00% CDSCE7367 ITV PLC DIR 0.00% CDSCE8001 KONINKLIJKE DSM NV DIR 0.00% CDSCE8027 NATURGY CAPITAL MARKETS SA DIR 0.00% CDSCE7052 ANHEUSER-BUSCH INBEV SA/NV DIR 0.00% CDSCE7391 TELIA COMPANY AB DIR 0.00% CDSCE7094 TREASURY CORP VICTORIA 0.00% AX6994815 TAIWANESE DOLLAR-NDF 0.00% TWD0169A0 HONG KONG DOLLARS 0.00% HKD0169B7 IRS USD R 3ML/1ML+8.375 04/26/21-22 CME 0.00% SWU02Y480 IRS GBP 0.75000 03/18/20-5Y LCH 0.00% SWU00W8W9 IRS GBP 0.73700 02/14/23-1Y (BLU) LCH 0.00% SWU00ZOB0 IRS GBP 0.72200 02/26/21-30Y LCH 0.00% SWU0102I5 IRS GBP 1.08000 12/03/29-10Y LCH 0.00% SWU00Y0P8 IRS CZK 1.91250 01/30/19-10Y CME 0.00% SWU00SF83 SOUTH AUST GOVT FIN AUTH 0.00% BG0382559 IRS USD 1.30600 08/21/20-3Y LCH 0.00% SWU00VS33 IRS GBP 0.74500 02/17/23-1Y (BLU) LCH 0.00% SWU00ZP94 EUROPEAN MONETARY UNION EURO 0.00% EUR0093E8 OTC ECAL EUR VS CNH @ 7.85 HUS 0.00% 31750G0N2 IRS EUR -0.50000 03/18/20-5Y LCH 0.00% SWU00W8O7 SHELL INTERNATIONAL FINANCE B SNR SE ICE 0.00% SWPC0EM03 IRS GBP 0.75000 06/17/20-2Y LCH 0.00% SWU00Y953 FNMA TBA 3.5% APR 15YR 0.00% 01F032443 IRS GBP 0.75000 03/18/20-30Y LCH 0.00% SWU00W8X7 IRS USD 1.54000 02/26/20-2Y CME 0.00% SWU00ZVM8 FIN FUT UK 90DAY ICE (WHT) 03/17/21 0.00% L H10003 FIN FUT UK 90DAY ICE (WHT) 09/16/20 0.00% L U00005 IRO USD 3Y P 1.88000 M 09/15/21 BOA 0.00% 317U057U8 EUROPEAN MONETARY UNION EURO 0.00% EUR0092D1 IRS USD 1.57000 02/27/20-2Y CME 0.00% SWU00ZX61 EUROPEAN MONETARY UNION EURO 0.00% EUR1179D5 GNMA II TBA 4.0% APR 30YR JMBO 0.00% 21H040640 IRS EUR 1.31000 06/19/24-5Y LCH 0.00% SWU00SI72 IRS USD 1.50000 12/18/19-2Y CME 0.00% SWU00VVP0 AP MOLLER - MAERSK A/S SNR SE SP JPM 0.00% SWPC0G1M3 IRS GBP 1.00000 06/17/20-5Y LCH 0.00% SWU00Y961 IRO JPY 2Y P -0.04650 J 06/29/20 MYC 0.00% 317U072T2 CHINA AS BP BPS 0.00% SWPC0IUH8 NEW S WALES TREASURY CRP 0.00% AZ8041354 EUROPEAN MONETARY UNION EURO 0.00% EUR0126P4 ISRAELI SHEKEL 0.00% ILS0107A5 HONG KONG DOLLARS 0.00% HKD0247A5 IRS USD 2.50000 12/18/19-2Y LCH 0.00% SWU00UED8 AUD - USD 0.00% AUD0092C2 IRS EUR -0.15000 06/17/20-5Y LCH 0.00% SWU00Y8Y1 IRO EUR 30Y C 0.00000 L 08/24/20 MYC 0.00% 317U506V3 IRO FWD EUR 30Y C 0.00000 L 08/24/20 MYC 0.00% 317U390V2 FIN FUT CAN 10YR BOND MSE 06/19/20 0.00% CNM000011 IRS EUR 0.50000 06/17/20-30Y LCH 0.00% SWU00Y904 FIN FUT US 10YR CBT 06/19/20 0.00% TYM000019 IRS USD 1.71000 09/17/21-30Y CME 0.00% SWU00WQT6 EUROPEAN MONETARY UNION EURO 0.00% EUR0125F7 IRS GBP 1.00000 06/17/20-30Y LCH 0.00% SWU00Y987 IRS CAD 1.71250 10/02/19-10Y LCH 0.00% SWU00WS56 FIN FUT EURO-SCHATZ 2YR EUX 06/08/20 0.00% DUM000014 FIN FUT US 5YR CBT 06/30/20 0.00% FVM000028 IRO USD 3Y P 1.44800 L 08/23/21 MYC 0.00% 317U607T6 JAPAN GOVT JP BP BPS 0.00% SWPC0FSK0 OTC ECAL EUR VS USD @ 1.105 GLM 0.00% 31750G1K7 IRS USD 1.54000 12/19/19-2Y CME 0.00% SWU00VIS9 IRO USD 3Y P 1.39900 L 08/26/21 MYC 0.00% 317U644T1 FIN FUT EURO-OAT EUX 10YR 06/08/20 0.00% OATM00011 IRS EUR 0.15000 06/17/20-10Y LCH 0.00% SWU00Y8Z8 IRS USD 1.85543 12/31/19-25Y* CME 0.00% SWU00XVY7 IRO EUR 30Y C 0.00000 L 08/25/20 JPM 0.00% 317U410V8 SOUTH KOREA GOVT AS BP HUS 0.00% SWPC0H4H9 SWEDISH KRONER 0.00% SEK0093A4 ROLLS-ROYCE PLC SNR SE ICE 0.00% SWPC0I0F5 IRS USD 1.63500 08/31/21-30Y LCH 0.00% SWU00VXP8 SWISS FRANCS 0.00% CHF0125C8 IRS USD 1.85502 12/31/19-25Y* CME 0.00% SWU00XVX9 IRS USD 1.85734 12/31/19-25Y* CME 0.00% SWU00XVU5 IRS JPY 0.40000 06/19/19-20Y LCH 0.00% SWU00U6T2 SOUTH AFRICA EM SP JPM 0.00% SWPC0H1T6 BRITISH POUND STERLING 0.00% GBP0094B5 JAPAN GOVT JP BP CBK 0.00% SWPC0FSL8 JAPAN GOVT JP BP GST 0.00% SWPC0FSJ3 FIN FUT EUR-BUXL 30YR EUX 06/08/20 0.00% UBM000017 IRO EUR 30Y C 0.00000 L 08/27/20 GLM 0.00% 317U465V2 IRS CAD 2.56485 03/07/19-30Y LCH 0.00% SWU00T160 IRS CAD 2.75000 12/18/18-30Y LCH 0.00% SWU00RPX9 IRO FWD GBP 10Y P 0.78000 L 02/26/21 GLM 0.00% 317U460V7 OPTION FWD PREMIUM 0.00% FWDP00YB4 BRAZILIAN REAL-NDF 0.00% BRL0126B1 IRS CAD 1.50000 06/17/20-10Y LCH 0.00% SWU00Y1I3 CHINA AS BP GST 0.00% SWPC0H4C0 IRS CAD 2.50000 06/19/19-10Y CME 0.00% SWU00S6N0 FIN FUT AUS 10YR BOND SFE 06/15/20 0.00% XMM000010 IRO FWD EUR 30Y C 0.00000 L 08/28/20 GLM 0.00% 317U489V4 NORWEGIAN KRONER 0.00% NOK0094A6 IRS USD 1.85380 12/31/19-25Y* CME 0.00% SWU00XVW1 SOUTH AFRICAN RAND 0.00% ZAR0097B1 IRS CAD 1.90000 12/18/19-10Y LCH 0.00% SWU00UG12 SOUTH KOREA GOVT AS BP BPS 0.00% SWPC0H4D8 SOUTH AFRICA EM SP GST 0.00% SWPC0HXN4 IRS USD 1.50000 06/17/20-30Y CME 0.00% SWU00XJ05 FIN FUT US ULTRA 30YR CBT 06/19/20 0.00% WNM000019 NEW ZEALAND DOLLAR 0.00% NZD0094A9 NORWEGIAN KRONER 0.00% NOK0093A7 IRO USD 1Y C 1.45000 M 08/06/20 GLM 0.00% 317U303V8 IRO USD 1Y C 1.45000 M 08/11/20 GLM 0.00% 317U305V6 DANISH KRONER -0.01% DKK0183D1 SWISS FRANCS -0.01% CHF0093A0 FNMA TBA 2.5% MAY 30YR -0.01% 01F022659 BRAZILIAN REAL-NDF -0.01% BRL0093A2 OTC ECAL EUR VS RUB @ 73.0 GLM -0.01% 31750G0A0 INDONESIAN RUPIAH-NDF -0.01% IDR0169A9 BRITISH POUND STERLING -0.01% GBP0125C6 FIN FUT EUX EURO-BTP 06/08/20 -0.01% IKM000011 MEXICAN NUEVO PESO -0.01% MXN0126C2 RUSSIAN RUBLE-NDF -0.01% RUB0106A4 FNMA TBA 3.5% APR 30YR -0.02% 01F032641 FNMA TBA 4.0% APR 30YR -0.02% 01F040644 CCS USD P US3ML/EUR3ML-17.2 CBK -0.02% CCS0024B9 JAPANESE YEN -0.02% JPY0093A4 FINLAND GOVT BOND REV REPO -0.04% RFIA6XN38 FRANCE GOVT REV REPO -0.07% RRRA6XJK9 NEW ZEALAND DOLLAR -0.08% NZD0125C8 FRANCE GOVT REV REPO -0.08% RRRA6XJG8 UK GILT 1.75% 2049 -0.10% AU3796482 U S TREASURY REV REPO -0.10% RRTA6WNO6 CASH Uninvested USD -0.12% 00000USD6 U S TREASURY REV REPO -0.12% RRTA6WNR9 U S TIPS REV REPO -0.19% RRSA6WNL3 FX Hedging Contract MTM valuation -0.24% n/a NEW ZEALAND DOLLAR -0.63% NZD0093A0