| OPTIONS REPORT |
| Entries 1 - 25 of 25 |
| Company | Shares | Book Price | Book Value | Market Price | Market Value |
|---|---|---|---|---|---|
 | |||||
| 317U537A2 IRO USD 10Y P | 73,000,000.00 | 0.16 | 11,461,000.00 | 0.16 | 11,358,894.90 |
| 317U608A6 IRO USD 30Y C | (25,000,000.00) | 0.09 | (2,302,500.00) | 0.09 | (2,302,500.00) |
| EURODOLLAR MIDCURVE 1YR FTR | (3,000,000.00) | 0.37 | (1,107,000.00) | 0.51 | (1,515,000.00) |
| OTC ECAL EUR VS USD | 2,000,000.00 | 0.05 | 93,841.64 | 0.17 | 331,325.87 |
| OTC ECAL EUR VS USD 317505AE5 | 2,000,000.00 | 0.05 | 99,325.93 | 0.17 | 331,338.16 |
| OTC ECAL EUR VS USD 317505AH8 | 3,400,000.00 | 0.05 | 166,528.95 | 0.17 | 563,274.88 |
| OTC ECAL EUR VS USD(317505AD7) | 2,000,000.00 | 0.05 | 99,325.93 | 0.03 | 62,377.60 |
| OTC ECAL USD VS JPY 107.85 JPM | 36,432,000.00 | 0.04 | 1,461,834.00 | 0.02 | 769,990.32 |
| OTC EPUT EUR VS USD 317505AG0 | 5,400,000.00 | 0.05 | 260,370.59 | 0.03 | 168,457.80 |
| OTC EPUT USD VS JPY | 36,432,000.00 | 0.04 | 1,438,153.20 | 0.09 | 3,133,552.75 |
| STERLING INTEREST RATE FTRS | 500,000.00 | 0.52 | 261,713.37 | 0.01 | 4,975.37 |
| SWAPTION ( 317U236A6 ) | (23,100,000.00) | 0.02 | (350,438.63) | 0.03 | (784,651.50) |
| SWAPTION ( 317U279A4 ) | 100,000,000.00 | 0.01 | 1,100,000.00 | - | 473,960.00 |
| SWAPTION (317U116A1) | 59,000,000.00 | 0.01 | 314,093.29 | - | 164,962.29 |
| SWAPTION (317U280A1) | (43,500,000.00) | 0.03 | (1,146,225.00) | 0.02 | (657,406.80) |
| SWAPTION 317507LT6 | 3,300,000.00 | 0.02 | 79,148.44 | 0.02 | 63,067.95 |
| SWAPTION 317508BY4 | 245,000,000.00 | 0.07 | 16,652,344.00 | 0.06 | 13,505,551.50 |
| SWAPTION 317508KM0 | 67,200,000.00 | 0.06 | 3,711,750.00 | 0.04 | 2,718,694.94 |
| SWAPTION 317U356A0 | 195,000,000.00 | 0.07 | 14,271,838.89 | 0.02 | 4,054,808.60 |
| SWAPTION 317U357A9 | 5,500,000.00 | 0.32 | 1,783,979.86 | 0.39 | 2,172,039.46 |
| SWAPTION 317U377A5 | 500,000,000.00 | 0.02 | 9,825,000.00 | 0.01 | 4,062,550.00 |
| SWAPTION 317U378A4 | (18,000,000.00) | 0.15 | (2,616,014.63) | 0.12 | (2,141,859.60) |
| SWAPTION(317U117A0) | (19,000,000.00) | 0.01 | (278,761.65) | 0.01 | (168,800.01) |
| US TREA BONDS FUTURES | (215,000.00) | 12.34 | (2,653,368.75) | 11.59 | (2,492,656.25) |
| US TREAS NOTES 10 YR FUTURES | (250,000.00) | 1.15 | (288,437.50) | 0.44 | (109,375.00) |
| | ||||
| Total | $52,337,501.93 | $33,767,573.23 | |||
| | ||||
| Entries 1 - 25 of 25 |