69

INTEREST RATE FUTURES

Long position

Stock code Name of stock Curr. Quantity Price Commitment OBS valued

FGBL0317 EUR EURO BUND F 0317 EUR 295.00 164.15 48,424,250.00 FGBL0317 EUR EURO BUND F 0317 EUR 225.00 164.15 36,933,750.00 FGBM0317 EUR EURO BOBL F 0317 EUR 472.00 133.63 63,073,360.00 FGBS0317 EUR EURO SCHATZ 0317 EUR 4.00 112.29 449,160.00 FGBS0317 EUR EURO SCHATZ 0317 EUR 1.00 112.29 112,290.00 FGBX0317 EUR FUTURE EURO 0317 EUR 76.00 173.52 13,187,520.00 FSMI0317 EUR FUTURE SMI 0317 CHF 3.00 8,173.00 228,722.01 FV0317 CBO UST NOTE 5 0317 USD 117.00 117.66 13,051,919.89 FV0317 CBO UST NOTE 5 0317 USD 257.00 117.66 28,669,601.80 TU0317 CBO 2 Y US TRES 0317 USD 272.00 108.34 55,879,592.32

TOTAL 260,010,166.02

Short position

Stock code Name of stock Curr. Quantity Price Commitment OBS valued

FGBL0317 EUR EURO BUND F 0317 EUR 4,083.00 164.15 670,224,450.00 FGBL0317 EUR EURO BUND F 0317 EUR 572.00 164.15 93,893,800.00 FGBL0317 EUR EURO BUND F 0317 EUR 273.00 164.15 44,812,950.00 FGBL0317 EUR EURO BUND F 0317 EUR 227.00 164.15 37,262,050.00 FGBL0317 EUR EURO BUND F 0317 EUR 189.00 164.15 31,024,350.00 FGBM0317 EUR EURO BOBL F 0317 EUR 10,886.00 133.63 1,454,696,180.00 FGBM0317 EUR EURO BOBL F 0317 EUR 405.00 133.63 54,120,150.00 FGBM0317 EUR EURO BOBL F 0317 EUR 82.00 133.63 10,957,660.00 FGBM0317 EUR EURO BOBL F 0317 EUR 135.00 133.63 18,040,050.00 FGBS0317 EUR EURO SCHATZ 0317 EUR 13,269.00 112.29 1,489,976,010.00 FGBS0317 EUR EURO SCHATZ 0317 EUR 322.00 112.29 36,157,380.00 FGBX0317 EUR FUTURE EURO 0317 EUR 15.00 173.52 2,602,800.00 FSMI0317 EUR FUTURE SMI 0317 CHF 300.00 8,173.00 22,872,201.49 FV0317 CBO UST NOTE 5 0317 USD 3,341.00 117.66 372,704,823.41 TN0317 CBO ULTRA NOTE 0317 USD 397.00 134.06 50,460,120.88 TU0317 CBO 2 Y US TRES 0317 USD 2,974.00 108.34 610,977,601.31 TY0317 CBO T NOTE US 1 0317 USD 3,294.00 124.28 388,132,199.56 TY0317 CBO T NOTE US 1 0317 USD 102.00 124.28 12,018,665.56 UBE0317 CBO ULTRA BOND 0317 USD 1,345.00 160.25 204,348,186.77 UBE0317 CBO ULTRA BOND 0317 USD 11.00 160.25 1,671,249.11 US0317 CBO FUTURE BOND 0317 USD 2,690.00 150.66 384,228,786.43 US0317 CBO FUTURE BOND 0317 USD 23.00 150.66 3,285,227.54

TOTAL 5,994,466,892.08