Futures Holdings: Long Positionsas of 5/23/2013 (Holdings subject to change)
|
Bloomberg Ticker |
Name |
Market Price (USD) |
Market | Expiration |
Long Contracts Held |
Notional Value of Contracts (USD)* |
|---|---|---|---|---|---|---|
| TYM3 | 10YR US TREASURY NOTE FUTURES JUN13 | 131.27 | CBT | 6/19/2013 | 114 | 14,964,281 |
| CFM3 | CAC40 10 EURO FUT JUN13 | 5096.93 | EOP | 6/21/2013 | 64 | 3,262,037 |
| GXM3 | DAX INDEX FUTURES JUN13 | 10778.97 | EUX | 6/21/2013 | 20 | 5,389,485 |
| Z M3 | FTSE 100 INDEX FUTURE JUN13 | 10076.31 | LIF | 6/21/2013 | 18 | 1,813,737 |
| RXM3 | GERMAN EURO BUND FUTURES JUN13 | 186.29 | EUX | 6/06/2013 | 25 | 4,657,297 |
| PTM3 | S+P TSE 60 INDEX FUTURES JUN13 | 700.60 | MSE | 6/20/2013 | 9 | 1,261,088 |
| TPM3 | TOPIX INDEX FUTURES JUN13 | 11.59 | TSE | 6/13/2013 | 19 | 2,201,853 |
| G M3 | UK LONG GILT BOND FUTURES JUN13 | 177.09 | LIF | 6/26/2013 | 77 | 13,636,120 |
| Total Notional Value: | 47,185,898 |
Futures Holdings: Short Positionsas of 5/23/2013 (Holdings subject to change)
|
Bloomberg Ticker |
Name |
Market Price (USD) |
Market | Expiration |
Short Contracts Held |
Notional Value of Contracts (USD)* |
|---|---|---|---|---|---|---|
| XMM3 | 10YR AUSTRALIAN TBOND FUTURES JUN13 | 93.85 | SFE | 6/17/2013 | -77 | -9,182,644 |
| CNM3 | 10YR GOVT OF CANADA BOND FTRS JUN13 | 129.52 | MSE | 6/19/2013 | -104 | -13,470,476 |
| JBM3 | 10YR JAPAN GOVT BOND FTRS TSE JUN13 | 1.40 | TSE | 6/11/2013 | -7 | -9,834,574 |
| BJM3 | 10YR MINI JGB FUT | 1.40 | SGX | 6/10/2013 | -5 | -701,089 |
| EOM3 | AMSTERDAM IDX FUT JUN13 | 471.31 | EOE | 6/21/2013 | -18 | -1,696,715 |
| XPM3 | ASX SPI 200 INDEX FU | 4920.18 | SFE | 6/20/2013 | -14 | -1,722,063 |
| HIK3 | HANG SENG INDEX FUTURES MAY13 | 2900.94 | HKG | 5/30/2013 | -25 | -3,626,173 |
| TWK3 | MSCI TAIWAN INDEX FUTURES MAY13 | 295.00 | SGX | 5/30/2013 | -45 | -1,327,500 |
| QCG3 | OMX 30 INDEX FUTURES FEB13 | 183.93 | SSE | 6/20/2013 | -87 | -1,600,222 |
| ESM3 | S+P 500 E MINI INDEX FUTURES JUN13 | 1650.00 | CME | 6/21/2013 | -47 | -3,877,500 |
| Total Notional Value: | -47,038,957 |
Forwards Holdings: Long Positions as of 5/23/2013 (Holdings subject to change)
| Name |
Market Price (USD) |
Expiration |
Value of Forwards (Local Currency) |
Value of Forwards (USD) |
|---|---|---|---|---|
| GBP/USD | 0.664 | 7/05/2013 | 2,859,875 | 4,307,028 |
| NOK/USD | 5.85648 | 7/05/2013 | 23,643,635 | 4,037,173 |
| SEK/USD | 6.67119 | 7/05/2013 | 60,603,093 | 9,084,302 |
| Total Notional Value: | 17,428,503 |
Forwards Holdings: Short Positions as of 5/23/2013 (Holdings subject to change)
| Name |
Market Price (USD) |
Expiration |
Value of Forwards (Local Currency) |
Value of Forwards (USD) |
|---|---|---|---|---|
| AUD/USD | 1.03321 | 7/05/2013 | -5,004,417 | -4,843,549 |
| CAD/USD | 1.03528 | 7/05/2013 | -4,975,386 | -4,805,818 |
| CHF/USD | 0.96921 | 7/05/2013 | -10,470,864 | -10,803,504 |
| EUR/USD | 0.77491 | 7/05/2013 | -2,784,885 | -3,593,799 |
| JPY/USD | 101.41766 | 7/05/2013 | -1,283,728,604 | -12,657,841 |
| Total Notional Value: | -36,704,511 |
Collateral & Cash Holdings (Including payables & receivables) as of 5/23/2013 (Holdings subject to change)
| CUSIP | Name | Market Price |
Market Value ($) |
Par Value ($) |
Maturity |
Credit Rating Moody's /S&P |
Effective Duration |
Coupon |
Yield to Maturity |
Sector |
|---|---|---|---|---|---|---|---|---|---|---|
| -- | UNITED STATES TREASU | 99.96 | 499,800 | 500 | 8/22/2013 | Aaa /AA+ | 0.25 | 0.00 | 0.16 | -- |
| -- | UNITED STATES TREASU | 99.96 | 299,880 | 300 | 9/19/2013 | Aaa /AA+ | 0.33 | 0.00 | 0.12 | -- |
| -- | UNITED STATES TREASU | 99.99 | 5,149,485 | 5,150 | 6/13/2013 | Aaa /AA+ | 0.06 | 0.00 | 0.17 | -- |
| -- | UNITED STATES TREASU | 99.99 | 22,697,730 | 22,700 | 6/20/2013 | Aaa /AA+ | 0.08 | 0.00 | 0.13 | -- |
| -- | UNITED STATES TREASU | 99.99 | 1,099,890 | 1,100 | 7/18/2013 | Aaa /AA+ | 0.15 | 0.00 | 0.07 | -- |
| -- | UNITED STATES TREASU | 99.99 | 1,199,880 | 1,200 | 8/8/2013 | Aaa /AA+ | 0.21 | 0.00 | 0.05 | -- |
| -- | UNITED STATES TREASU | 99.96 | 4,598,160 | 4,600 | 9/26/2013 | Aaa /AA+ | 0.35 | 0.00 | 0.12 | -- |
| -- | UNITED STATES TREASU | 99.96 | 999,600 | 1,000 | 10/3/2013 | Aaa /AA+ | 0.36 | 0.00 | 0.11 | -- |
| -- | UNITED STATES TREASU | 99.96 | 1,099,560 | 1,100 | 10/10/2013 | Aaa /AA+ | 0.38 | 0.00 | 0.10 | -- |
| Cash (USD) | 1.00 | 5,001,114 | Cash | |||||||
| Total Collateral & Cash: | 42,645,099 | |||||||||
Portfolio components for creation and redemption by Authorized Participants.
View further information on the creation and redemption process.
