EFTA00293356.pdf

Report Date: 8/29/2014 ATO R U S Bi-Weekly NAV Report - Simulation Summa NAV $ 6 515 278 216 Net Exposure $ 28 455 496 632 Long Exposure @ Cost $ 30,152,174,395 Leverage (Gross @ Cost) 4.89 Short Exposure @ Cost $ (1,696,677,764) Leverage Ex-Rates & Inflation Protection 2.35 Change from 8/15/2014 3.00% 30 Period RoC 7.28% MID 7.59% 90 Period RoC 5.25% QTD 2.06% 365 Period RoC 44.80% YID 16.50% Sharpe Ratio Since Inception (1995) 1.2 10.00 60.00 50.00 40.00 30.00 20.00 10.00 0.00 "Pt / "Se 1.60 1.60 1.40 1.30 1.20 1.10 1.00 0.90 0.80 0.70 it'2.4M Return soosoveteihrgr 40, vete , se AS, opt. et. Current Exposures Category % of Notional Exposure Inflation Protection 14% HY 13% Listed Equities 8% EM WGBI Rates 3% 37% \_ 12,000,000,000 10,000,000,000 a,000,000,000 6.000,000,000 4,000,000,000 -#.° 2,000,000,000 Amp a. (2,000,000,000) t". _je q5) ot cgs 4 9 JS s) fr.• stIte Cr- 0 0' US Sectors 6% EU Sectors 1% Commodities 4% L • Long • Short Page 1 of 9 Private and Confidential NOT FOR REDISTRIBUTION EFTA00293356 Report Date: 8/29/2014 sATORUS Bi-Weekly NAV Report - Simulation Net Exposure Changes @ Cost Net 8/29 Nets/15 Chance 8/29/2013 Listed Equities 1,209,171,740 1,287,514,321 (78,342,581) 1,508,699,313 G20 EIF 4,193,116,611 3,562,745,145 630,371,465 2,370,254,062 US Sectors 1 779 351 38 1 827 153 224 47 801 386 1 031 436 997 EU Sectors 171,449,738 370,388,385 (198,938,647) 501,460,827 EM - (432,400,344) Commodities (426,351,211) (235,054,606) (191,296,604) (74,597,400) WGBI Rates 11,896,219,183 11,156,628,502 739,590,681 4,339,336,544 HY 4 110 960 614 4 110 961 069 456 2 706 148,063 Inflation Protection 4,622,629,959 4,622,629,959 - - NAV Impact by Category in Percentage Points 5. Tl2M Listed Equities 0.41% 4.67% G20 EIF 1.34% 11.07% US Sectors 0.76% 5.82% EU Sectors 0.07% 1.50% EM 0.18% -2.10% Commodities 0.02% -1.16% WGBI Rates -0.41% 16.13% HY 0.11% 5.71% Inflation Protection 0.48% 3.34% 2.95% 44.99% 724M Avg. Daily Volatility of Atorus 2.00% 1.50% 1.00% 0.50% 0.00% 'b 104.1# ?.pro' Cte cle 9 c6 ? et e ocr 44 e v e a vt, a '3, 0 4 co A\ 4'1 a sa • 30Period Avg. Daily Realized Vol I I= al nt. .yb gcb 92 \i9 9 9 9 9 .053 oN sr.° a a' w."9 a 0. 4' 4r 47 No. of Positions by Category Lonq Short Listed Equities 227 61 G20 EIF 24 6 US Sectors 9 0 EU Sectors 9 6 EM 1 0 Commodities 3 8 WGBI Rates 18 0 HY 3 0 Inflation Protection 1 0 Page 2 of 9 Private and Confidential NOT FOR REDISTRIBUTION EFTA00293357 Report Date: 8/29/2014 . ATORUS Bi-Weekly NAV Report - Simulation Current Portfolio by Security Security NAV Impact f$1 Since 8L15 Listed Equities 005380 KS Equity $ 285,091 $ 11,264,913 0.0045% 005490 KS Equity $ (57,147) $ 6,996,690 -0.0009% 005930 KS Equity $ (121,733) $ 5,786,839 -0.0019% 1 HK Equity $ (157,442) $ 5,355,771 -0.0025% 1299 HK Equity $ (141,851) $ 10,107,358 -0.0022% 13 HK Equity $ (205,051) $ 7,008,995 -0.0032% 16 HK Equity $ 48,723 $ 7,804,146 0.0008% 27 HK Equity $ 370,199 $ (10,619,404) 0.0059% 2914 JP Equity $ (59,528) $ 4,844,059 -0.0009% 3382 JP Equity $ (474,126) $ 8,046,017 -0.0075% 40631P Equity $ (69,558) $ 8,859,990 -0.0011% 4502 JP Equity $ 30,889 $ (21,933,732) 0.0005% 4689 JP Equity $ 682,697 $ (14,201,177) 0.0108% 5 HK Equity $ (671,073) $ (15,450,840) -0.0106% 51081P Equity $ (84,584) $ 6,545,323 -0.0013% 5401 JP Equity $ (383,445) $ 5,717,246 -0.0061% 6301 JP Equity $ (49,124) $ 7,353,747 -0.0008% 6501 JP Equity $ 36,927 $ (14,853,888) 0.0006% 6902 JP Equity $ 395,236 $ (10,839,106) 0.0062% 7201 JP Equity $ (119,263) $ 6,995,080 -0.0019% 72031P Equity $ (106,097) $ 6,996,698 -0.0017% 762 HK Equity $ 672,734 $ 14,911,104 0.0106% 7751 JP Equity $ (130,768) $ 7,291,517 -0.0021% 8031 JP Equity $ (203,818) $ 10,100,507 -0.0032% 8058 JP Equity $ (107,075) $ 6,652,555 -0.0017% 8306 JP Equity $ 16,353 $ (15,813,580) 0.0003% 8316 JP Equity $ (56,354) $ (14,907,801) -0.0009% 8411 JP Equity $ 137,936 $ (14,675,970) 0.0022% 8604 JP Equity $ (249,298) $ (14,744,996) -0.0039% 8801 JP Equity $ 58,027 $ (11,005,524) 0.0009% 8802 JP Equity $ 343,561 $ (12,815,272) 0.0054% 9020 JP Equity $ (227,489) $ 6,320,580 -0.0036% 941 HK Equity $ 225,525 $ 5,784,807 0.0036% 9433 JP Equity $ 149,380 $ (14,727,695) 0.0024% 9437 JP Equity $ (130,973) $ 6,866,665 -0.0021% 9983 JP Equity $ 455,302 $ (14,462,111) 0.0072% 9984 JP Equity $ 290,543 $ 5,503,786 0.0046% AAL LN Equity $ (212,195) $ 5,309,247 -0.0034% AAPL US Equity $ 319,019 $ 6,779,649 0.0050% ABBV US Equity $ 130,601 $ 5,210,567 0.0021% ABEV3 BZ Equity $ (460,767) $ (11,381,179) -0.0073% ABI BB Equity $ 172,868 $ 12,084,004 0.0027% ABT US Equity $ 45,613 $ 10,180,409 0.0007% ABX US Equity $ 492,728 $ (14,565,424) 0.0078% ACA FP Equity $ (861,372) $ (5,271,959) -0.0136% ACE US Equity $ 353,189 $ 12,774,436 0.0056% ACN US Equity $ 174,793 $ 6,678,671 0.0028% ADBE US Equity $ 289,981 $ 3,704,318 0.0046% ADP US Equity $ 109,327 $ 7,154,945 0.0017% AGL SJ Equity $ (347,765) $ 7,073,754 -0.0055% AGN US Equity $ 165,841 $ 4,771,484 0.0026% Al FP Equity $ 141,790 $ 10,191,763 0.0022% AIG US Equity $ 962,140 $ 26,113,341 0.0152% AIR FP Equity $ (559,697) $ (9,673,331) -0.0088% ALV GR Equity $ 63,777 $ 6,950,094 0.0010% ALVG IX Equity $ 48,884 $ 6,910,587 0.0008% Current Exposure g0 Cost NAV Impact (% Points) Since 8/15 Page 3 of 9 Private and Confidential - NOT FOR REDISTRIBUTION EFTA00293358 Report Date: 8/29/2014 AMZN US Equity $ (260,498) $ (116,824) -0.0041% ANZ AU Equity $ 234,475 $ 15,902,635 0.0037% APA US Equity $ 332,331 $ 10,223,534 0.0053% APC US Equity $ 247,684 $ 5,883,566 0.0039% AXP US Equity $ 379,874 $ 7,494384 0.0060% AZN LN Equity $ 584,114 $ 6,486,244 0.0092% MC US Equity $ (818,121) $ (14,384,073) -0.0129% BARC LN Equity $ (565,533) $ (22,615,274) -0.0089% MS GR Equity $ 40,835 $ (13,369,457) 0.0006% BATS LN Equity $ 122,677 $ 7,106,060 0.0019% MX US Equity $ 102,781 $ 15,431,624 0.0016% BAYN GR Equity $ 363,649 $ 7,532,095 0.0057% BBAS3 BZ Equity $ 1,591,875 $ 11,561,885 0.0252% BBDC4 BZ Equity $ 837,786 $ 7,297,768 0.0132% BBL US Equity $ (516,952) $ 5,283,434 -0.0082% BCE CN Equity $ 242,992 $ 14,552,197 0.0038% BCS US Equity $ (273,688) $ (11,473,082) -0.0043% BEN US Equity $ 268,949 $ 8,705,882 0.0043% BG/ IN Equity $ (427,683) $ (17,461,358) -0.0068% BHP AU Equity $ (596,944) $ 14,402,431 -0.0094% BII8 US Equity $ 9,822 $ 5,812,228 0.0002% BIL Sl Equity $ (541,324) $ 5,311,042 -0.0086% BLK US Equity $ 659,814 $ 18,129,031 0.0104% BLT LN Equity $ (465,599) $ 5,408,786 -0.0074% BMO CN Equity $ 482,839 $ 10,528,191 0.0076% BMW GR Equity $ (106,632) $ 6,711,617 -0.0017% BMY US Equity $ (294,051) $ (14,696,495) -0.0046% BN FP Equity $ 194,352 $ (14,936,445) 0.0031% BNP FP Equity $ (632,271) $ (14,525,049) -0.0100% BNS CN Equity $ (12,898) $ 9,905,299 -0.0002% BRK/B US Equity $ 157,056 $ 6,922,016 0.0025% BSBR US Equity $ 112,190 $ 5,019,537 0.0018% BTI Si Equity $ 8,289 $ 6,733,341 0.0001% BUD US Equity $ 104,266 $ 6,922,003 0.0016% BX US Equity $ 82,426 $ 8,450,645 0.0013% C US Equity $ 396,067 $ 7,748,558 0.0063% CAT US Equity $ 158,860 $ 4,837,203 0.0025% CBA AU Equity $ 234,392 $ 7,176,126 0.0037% CBS US Equity $ (78,431) $ 6,407,482 -0.0012% CCL US Equity $ 191,502 $ 9,915,109 0.0030% CELG US Equity $ 288,653 $ 5,300,577 0.0046% CFR VX Equity $ (12,675) $ 6,538,224 -0.0002% CL US Equity $ 108,241 $ 11,513,963 0.0017% CM CN Equity $ 303,455 $ 10,202,719 0.0048% CMCSK US Equity $ 49,523 $ 12,754,538 0.0008% CNI US Equity $ 234,074 $ 7,281,700 0.0037% CNQ CN Equity $ 68,401 $ 3,674,239 0.0011% CNR CN Equity $ 199,822 $ 7,345,029 0.0032% COF US Equity $ 346,619 $ 10,303,430 0.0055% COP US Equity $ 165,374 $ 22,013,443 0.0026% COST US Equity $ 141,629 $ 6,664,774 0.0022% COV US Equity $ (21,923) $ 6,875,846 -0.0003% CRM US Equity $ 489,971 $ 4,554284 0.0077% CS FP Equity $ (283,946) $ (10,838,007) -0.0045% CSCO US Equity $ 167,402 $ 7,401,870 0.0026% CSGN VX Equity $ 26,485 $ (3,216,938) 0.0004% CSI AU Equity $ 586,998 $ 10,982,666 0.0093% CVE CN Equity $ 290,649 $ 7,113,966 0.0046% CVS US Equity $ 84,115 $ 12,234,142 0.0013% CVX US Equity $ 223,979 $ 6,631,314 0.0035% D US Equity $ 242,909 $ 9,973,915 0.0038% DAI GR Equity $ (44,144) $ (11,133,082) -0.0007% D8K GR Equity $ (901,065) $ (6,702,592) -0.0142% Page 4 of 9 Private and Confidential - NOT FOR REDISTRIBUTION EFTA00293359 Report Date: 8/29/2014 DD US Equity $ 91,166 S 6,930,302 0.0014% DE US Equity $ (56,192) $ 7,364,099 -0.0009% DEO US Equity $ 136,048 $ 11,401,900 0.0022% DG FP Equity $ (227,512) $ (8,888,700) 0.0036% DGE LN Equity $ 71,244 S 3,908,314 0.0011% DHR US Equity $ 191,007 $ 9,647,450 0.0030% DIS US Equity $ 77,631 $ 10,577,659 0.0012% DISCA US Equity $ (12,175) $ (3,218,749) 0.0002% DOW US Equity $ 197,847 $ 7,030,443 0.0031% DPW GR Equity $ (431,931) $ (14,245,825) 0.0068% DTE GR Equity $ 54,362 $ (6,204,511) a 0009% DTV US Equity $ 290,925 $ 10,840,713 0.0046% DUK US Equity $ 308,832 $ 8,033,216 a 0049% DVN US Equity $ 206,120 $ 7,213,060 0.0033% ECL US Equity $ 245,126 $ 11,861,387 0.0039% EMC US Equity $ (68,596) $ 10,080,491 -0.0011% EM R US Equity $ 129,834 $ 699,396 0.0021% ENB CN Equity $ 83,667 $ 23,206,725 0.0013% ENEL IM Equity $ 76,252 $ 1,483,781 0.0012% EOG US Equity $ 241,982 $ 6,856,616 0.0038% ERICB SS Equity $ 129,339 $ 6,657,387 0.0020% ESRX US Equity $ 69,843 $ 5,532,920 0.0011% ETN US Equity $ (42,523) $ (15,497,149) 0.0007% EXC US Equity $ 377,868 $ 7,452,678 0.0060% F US Equity $ 37,553 $ 6,631,322 0.0006% FB US Equity $ 62,931 $ 3,868,646 0.0010% FCX US Equity $ 46,661 $ 6,652,557 0.0007% FDX US Equity $ (58,750) $ 10,066,629 0.0009% FOX US Equity $ (53,959) $ 6,291,074 -0.0009% FOXA US Equity $ (97,196) $ 7,675,291 -0.0015% FP FP Equity $ 442,496 $ 10,949,649 0.0070% G IM Equity $ (114,553) $ (14,458,827) -0.0018% GD US Equity $ 806,329 $ 11,704,354 0.0127% GE US Equity $ 91,475 5 7,260,056 0.0014% GILD US Equity $ 31,596 $ 3,818,054 0.0005% GIS US Equity $ 140,885 $ 10,493,208 0.0022% GLE FP Equity $ (969,320) $ (149,227) -0.0153% GM US Equity $ (286,729) $ (14,344,155) -0.0045% GOOD US Equity $ (61,576) $ 6,049,376 -0.0010% GS US Equity $ 508,640 $ 7,456,467 0.0080% GSK LN Equity $ (298,581) $ (12,728,854) -0.0047% GSZ FP Equity $ (391,387) $ (1,591,591) -0.0062% HAL US Equity $ (84,489) $ 8,250,314 -0.0013% HD US Equity $ 860,097 $ 8,006,929 0.0136% HM8 55 Equity $ 53,755 $ 9,711,416 0.0008% HON US Equity $ 169,782 $ 12,597,159 0.0027% HPQ US Equity $ 286,758 S 7,281,708 0.0045% IBE SM Equity $ 102,214 $ 7,008,361 0.0016% IBM US Equity $ (15,799) $ (19,943) 0.0002% IMT LN Equity $ 188,914 $ 5,818,770 0.0030% INGA NA Equity $ 249,806 $ 8,951,938 0.0039% INTO US Equity $ 121,248 $ 5,386,533 0.0019% ISP IM Equity $ 107,637 $ (11,009,476) 0.0017% ITUB4 BZ Equity $ 1,256,068 $ 7,406,978 0.0199% ITW US Equity $ 142,996 $ 10,094,602 0.0023% ITX SM Equity $ (27,252) S (2,483,854) 0.0004% JCI US Equity $ 186,250 $ 6,023,219 0.0029% JNJ US Equity $ 218,283 $ 6,921,994 0.0035% JPM US Equity $ 376,803 $ 8,943,674 0.0060% KMB US Equity $ 25,284 $ 10,264,554 0.0004% KMP US Equity $ 156,636 $ 577,295 0.0025% KO US Equity $ (290,382) $ (14,252,035) 0.0046% KRFT US Equity $ 591,247 $ 8,640,618 0.0093% Page 5 of 9 Private and Confidential- NOT FOR REDISTRIBUTION EFTA00293360 Report Date: 8/29/2014 LBTYA US Equity $ 28,507 $ (14,127,050) 0.0005% LBTYK US Equity $ (86,039) $ 11,603,793 0.0014% UN GR Equity $ 47,428 $ 7,208,530 0.0007% LLOY LN Equity $ (5,510) $ 3,887,645 0.0001% LLY US Equity $ 321,681 S 7,418,558 0.0051% INKD US Equity $ (33,853) S 2,644,387 0.0005% LOW US Equity $ 363,273 S 6,831,026 0.0057% LVS US Equity $ (38,476) 5 841,589 0.0006% MA US Equity $ 57,764 $ 7,052,053 0.0009% MC FP Equity $ 48,421 $ (3,216,938) 0.0008% MCD US Equity $ 53,553 $ 6,827,844 0.0008% MDIZ US Equity $ 75,155 $ 7,008,356 0.0012% MDT US Equity $ 112,878 $ 12,061,102 0.0018% MET US Equity $ 399,003 S 9,662,909 0.0063% MFC CN Equity $ 222,697 5 7,066,677 0.0035% MMM US Equity $ 216,604 $ 12,119,727 0.0034% MO US Equity $ 143,449 $ 6,724,159 0.0023% MON US Equity $ (472,716) $ 11,629,223 -0.0075% MRK US Equity $ 161,589 $ 5,923,078 0.0026% MS US Equity $ 416,503 $ 6,878,848 0.0066% MSFT US Equity $ 217,547 $ 11,868,665 0.0034% MUV2 GR Equity $ (66,085) $ (11,131,331) 0.0010% NAB AU Equity $ 258,157 $ 14,097,677 0.0041% NDA S5 Equity $ (40,617) $ 6,429,934 -0.0006% NEM US Equity $ 71,461 $ (1,076,584) 0.0011% NESN VX Equity $ 123,028 $ 10,861,111 0.0019% NG/ LN Equity $ 146,334 S 6,921,998 0.0023% NICE US Equity $ 154,458 5 7,105,767 0.0024% NOK US Equity $ 537,473 $ 6,679,748 0.0085% NOV US Equity $ 568,786 $ 11,030,617 0.0090% NOVN VX Equity $ 500,119 $ 12,476,405 0.0079% NOVOB DC Equity $ 231,681 $ 7,106,056 0.0037% NVS US Equity $ 436,181 $ 13,516,872 0.0069% OR FP Equity $ (52,655) $ 11,049,617 0.0008% ORA FP Equity $ 117,790 $ 4,873,849 0.0019% ORCL US Equity $ 214,701 $ 6,921,991 0.0034% OXY US Equity $ 353,774 $ 11,043,557 0.0056% PBR US Equity $ 749,496 5 4,344,826 0.0118% PCLN US Equity $ (175,812) S 8,410,800 -0.0028% PCP US Equity $ 17,416 $ (9,490,382) 0.0003% PEP US Equity $ 72,919 $ 10,371,955 0.0012% PETR3 BZ Equity $ 1,308,302 $ 3,916,282 0.0207% PFE US Equity $ 144,135 $ 5,766,364 0.0023% PG US Equity $ 126,747 $ 7,626,008 0.0020% PHIA NA Equity $ (281,739) $ (14,156,411) -0.0045% PM US Equity $ (179,718) $ (14,605,136) -0.0028% POT CN Equity $ 95,765 $ 10,958,523 0.0015% POT US Equity $ 65,889 $ 11,300,734 0.0010% PRU LN Equity $ 166,901 $ 7,291,516 0.0026% PRU US Equity $ 193,812 $ 7,570,680 0.0031% PSA US Equity $ (5,281) $ 11,297,654 0.0001% PSX US Equity $ 432,974 $ 11,879,385 0.0068% PX US Equity $ 101,916 $ 6,681,033 0.0016% QCOM US Equity $ 276,925 S (1,591,595) 0.0044% RAI US Equity $ 95,558 5 4,286,427 0.0015% RB/ LN Equity $ (185,711) $ 13,383,377 0.0029% RDS/B US Equity $ 166,734 $ 11,880,011 0.0026% RDSB LN Equity $ 112,622 5 7,320,392 0.0018% REGN US Equity $ 19,076 S 3,178,240 0.0003% RI FP Equity $ (438,420) $ (13,649,885) -0.0069% RIO AU Equity $ (244,582) $ 6,646,073 -0.0039% RIO LN Equity $ (287,426) $ 4,789,732 -0.0045% ROG VX Equity $ 178,786 $ 12,817,863 0.0028% Page 6 of 9 Private and Confidential NOT FOR REDISTRIBUTION EFTA00293361 Report Date: 8/29/2014 RY CN Equity $ 191,304 $ 12,269,655 0.0030% SAN SM Equity 178,616 5,225,187 0.0028% SAP GR Equity 155,079 7,052,901 0.0025% SBUX US Equity 77,686 6,779,644 0.0012% SCCO US Equity 277,085 8,49%684 0.0044% SCHW US Equity 291,550 9,552,374 0.0046% SGO FP Equity (248,925) (6,114,786) -0.0039% SIE GR Equity 207,595 (3,171,669) 0.0033% SLB US Equity 221,176 6,866,665 0.0035% SMSN LI Equity (74,244) 4,711,932 -0.0012% SNY US Equity (619,371) $ (12,537,031) -0.0098% SPG US Equity 151,112 $ 23,287,329 0.0024% SREN VX Equity 75,198 1,363,124 0.0012% STAN LN Equity 106,558 $ (20,769,669) 0.0017% STL NO Equity 5,337 7,337,626 0.0001% TD CN Equity 147,537 $ 10,296,214 0.0023% TEF US Equity 86,797 9,594,376 0.0014% TLS AU Equity 163,093 8,277,345 0.0026% TMO US Equity (116,854) $ 10,348,938 -0.0018% TOT US Equity 146,456 4,452,892 0.0023% TRV US Equity 287,962 $ 10,006,691 0.0046% TWC US Equity 24,930 $ 11,878,578 0.0004% TXN US Equity 105,407 7,929,083 0.0017% TYC US Equity 189,215 $ 11,404,746 0.0030% UCG IM Equity 91,113 (9,559,407) 0.0014% UN US Equity 110,190 7,273,864 0.0017% UNH US Equity 717,640 $ 11,614,718 0.0113% UNP US Equity 377,922 $ 11,046,742 0.0060% UPS US Equity 33,369 7,171,985 0.0005% USB US Equity 160,397 6,815,690 0.0025% V US Equity 165,907 $ 14,587,253 0.0026% VIAB US Equity (8,833) 7,942,271 -0.0001% VIV FP Equity (198,476) $ (15,070,227) -0.0031% VMW US Equity (126,935) 4,752,586 -0.0020% VOD LN Equity (958,570) $ (23,954,231) -0.0152% VTI US Equity 359,061 $ 13,347,228 0.0057% WBC AU Equity 216,217 6,830,300 0.0034% WES AU Equity 162,611 7,353,555 0.0026% WFC US Equity 323,640 $ 13,151,371 0.0051% WMT US Equity 150,299 7,084,489 0.0024% WPL AU Equity 247,935 7,256,001 0.0039% XOM US Equity 42,579 $ 10,296,920 0.0007% ZURN VX Equity 82,383 7,401,898 0.0013% G20 EIF SPX Index $ 26,645,102 $ 1,150,332,644 NDX Index $ 18,512,403 $ 838,600,574 0.2927% RTY Index $ 25,103,092 $ 1,126,421,946 SPTSX Index $ 1,980,974 $ 80,651,482 0.0313% UKX Index $ 3,583,155 $ 273,013,169 0.0566% CAC Index $ 988,594 $ (28,433,880) 0.0156% DAX Index $ 1,642,487 $ 0.0260% IBEX Index $ - $ 0.0000% SMI Index $ 1,990,660 $ 104,326,498 0.0315% FTSEMIB Index $ 491,705 $ 4,770,570 0.0078% PSI20 Index $ (412,106) $ (2,836,352) -0.0065% ISEQ Index $ (24,825) $ (4,510,285) -0.0004% AEX Index $ 525,360 $ 19,986,834 0.0083% BEL20 Index $ 69,610 $ 7,411,076 0.0011% LUXXX Index $ (15,056) $ 7,925,655 -0.0002% KFX Index $ 37,081 $ 5,594,176 0.0006% HEX Index $ 93,636 $ 6,473,209 0.0015% Page 7 of 9 Private and Confidential - NOT FOR REDISTRIBUTION EFTA00293362 Report Date: 8/29/2014 OMX Index $ 206,077 $ 34,311,269 0.0033% ATX Index 50,581 $ (10,672,506) 0.0008% ASE Index (14,581) $ (5,589,486) -0.0002% OSEBX Index 41,095 5,253,994 0.0006% INDEXCF Index $ 1,859,879 $ (48,877,071) 0.0294% TOP40 Index (464,690) $ 30,439,928 -0.0073% SENSEX Index (275,895) -0.0044% NKY Index $ (2,205,329) $ 223,158,161 -0.0349% MEXBOL Index 97,374 4,776,670 0.0015% IBOV Index $ 1,527,485 $ 17,335,857 0.0241% MERVAL Index 327,235 3,067,643 0.0052% NZSESOFG Index 58,580 4,388,521 0.0009% HSI Index (395,881) $ 15,377,116 0.0063% SHCOMP Index (299,671) $ 61,473,863 0.0047% KOSPI Index $ 1,880,091 $ 207,243,630 0.0297% ASS1 Index 907 .64 $ 6 701 702 0.0144% EM MXEF Index $ 11,303,633 $ 898,948,161 0.1787% US Sectors XLF US Equity $ 10,117,134 $ 293,137,463 0.1599% XW US Equity $ 3,895,467 $ 122,913,720 0.0616% XLK US Equity $ 9,738,421 $ 372,982,455 0.1540% XU US Equity $ 2,871,205 $ 130,576,369 0.0454% XLP US Equity $ 2,005,204 $ 148,220,518 0.0317% XLY US Equity $ 3,950,691 $ 200,392,602 0.0625% XLE US Equity $ 3,647,047 $ 151,975,804 0.0577% XLB US Equity $ 2,912,622 $ 178,561,679 0.0460% XLV US Equity $ 8,755,592 $ 180,591,229 0.1384% EU Sedan SXXP Index $ 635,702 $ 34,196,623 0.0100% SXAP Index $ 550,033 $ (17,933,236) 0.0087% SXKP Index $ 472,507 $ 24,399,299 0.0075% SX6P Index $ - $ - 0.0000% SXEP Index $ (76219) $ - -0.0012% SXIP Index $ - $ - 0.0000% SXNP Index $ 317,006 $ (10,315,813) 0.0050% SX3P Index $ 932,102 $ 70,545,951 0.0147% SXDP Index $ 918,774 $ 23,352,604 0.0145% SX4P Index $ 541,439 $ 23,376,053 0.0086% SX8P Index $ 784,105 $ 23,761,831 0.0124% SXOP Index $ (165,163) $ (45,784,370) 0.0026% SXQP Index $ (61,756) $ 70,469,571 0.0010% SXRP Index $ 278,051 $ (10,315,597) 0.0044% SXMP Index $ 311,386 $ 23,031,025 0.0049% SXTP Index $ 58,216 $ (5,139,447) 0.0009% SX7E Index $ (1,685,675) $ (39,316,166) 0.0266% SXSE Index $ 814,849 $ 7,121,411 0.0129% Commodities CO1 Comdty $ (861,288) $ 278,565,729 0.0136% CL1 Comdty $ 4,117,415 $ (289,078,088) 0.0651% NG1 Comdty $ (5,206,674) $ (67,574,270) -0.0823% 191 Comdty $ (379,891) $ (113,392,744) 0.0060% GC1 Comdty $ 1,487,166 $ (112,087,671) 0.0235% QS1 Comdty $ (66,912) $ 45,316,423 -0.0011% HO1 Comdty $ 85,782 $ 25,993,299 0.0014% X61 Comdty $ (921,393) $ (53,634,506) -0.0146% S 1 Comdty $ 490,467 $ (20,137,007) 0.0078% LA1 Comdty $ 1,029,920 $ 0.0163% C1 Comdty $ 845,304 $ (55,205,694) 0.0134% 511 Comdty $ 367,724 $ (65,116,681) 0.0058% High Yield Credit Indices IBOXHY Index $ 7,665,342 $ 1,524,125,326 0.1212% IBOMMJA Index $ (10,187,448) $ 1,030,103,820 0.1611% Page 8 of 9 Private and Confidential- NOT FOR REDISTRIBUTION EFTA00293363 Report Date: 8/29/2014 IBXXLLTR Index I Global Inflation Protection IBXXILHU Index WGBI Rates US_TSY CREDIT CA_TSY CREDIT MX_TSY CREDIT AU_TSY CREDIT $ 4,506,401 $ 738,921 $ 65,472 $ 592,194 $ 5,191,292,138 $ 97,471,575 $ 103,669,045 $ 135,094,883 0.0712% 0.0117% 0.0010% 0.0094% JP_TSY CREDIT $ - $ - 0.0000% MY_TSY CREDIT $ 47,672 $ 24,73%034 0.0008% SG_TSY CREDIT $ - $ - 0.0000% AT_TSY CREDIT $ (2,776,952) $ 382,965,363 -0.0439% BE_TSY CREDIT $ (3,277,552) $ 428,54%867 -0.0518% FI_TSY CREDIT $ (886,378) $ 105,859,757 -0.0140% FR_TSY CREDIT $ (16,040,498) $ 1,806,717,988 ,_ DE_TSY CREDIT $ (5,329,705) $ 566,129,156 -0.0843% lE_TSY CREDIT $ (569,803) $ 44,414,318 -0.0090% IT_TSY CREDIT $ (2,850,116) $ 411,188,067 -0.0451% NL_TSY CREDIT $ (3,085,541) $ 382,976,659 -0.0488% ES_TSY CREDIT $ (6,307,815) $ 403,312,692 -0.0997% DK_TSY CREDIT $ (196,398) $ 37,849,891 -0.0031% NO_TSY CREDIT $ (22,569) $ 60,394,400 -0.0004% PL_TSY CREDIT $ - $ - 0.0000% ZA_TSY CREDIT $ $ - 0.0000% SE_TSY CREDIT $ - $ - 0.0000% CH_TSY CREDIT $ (312,159) $ 25,469,822 -0.0049% GB_TSY CREDIT $ 9,826,697 $ 1,688,130,530 0.1553% 9,195,859 I 1,556,671,468I $ I 0.145454 30,520,579 4,622,629,959 Page 9 of 9 Private and Confidential - NOT FOR REDISTRIBUTION EFTA00293364