有価証券報告書(内国投資信託受益証券)-第3期(平成28年2月19日-平成29年2月20日)

グローバルドライブ・マザーファンドは、「ブラックロック・グローバル・ファンズ-グローバル・アロケーション・ファンド-クラスX」投資証券を主要投資対象としており、貸借対照表の資産の部に計上された「投資証券」は、「ブラックロック・グローバル・ファンズ-グローバル・アロケーション・ファンド-クラスX」の投資証券であります。
なお、以下に記載した情報は監査の対象外であります。
「ブラックロック・グローバル・ファンズ-グローバル・アロケーション・ファンド-クラスX」は、「ブラックロック・グローバル・ファンズ-グローバル・アロケーション・ファンド」の個別クラスとなっております。
「ブラックロック・グローバル・ファンズ-グローバル・アロケーション・ファンド」は、ルクセンブルグで設立された米ドル建外国投資法人であります。同ファンドの平成28年8月31日現在の財務書類は、ルクセンブルグの諸法規に準拠して作成されており、独立監査人の監査を受けております。
同ファンドの「純資産計算書」、「損益及び純資産変動計算書」、「投資有価証券明細表」、「To Be Announced証券取引明細表」、「外国為替予約取引明細表」、「先物取引明細表」、「金利スワップ明細表」、「クレジット・デフォルト・スワップ明細表」、「トータル・リターン・スワップ明細表」、「通貨スワップ明細表」、「売建コールオプション明細表」、「売建プットオプション明細表」、「買建プットオプション明細表」、「買建コールオプション明細表」、「買建スワップション明細表」、「売建スワップション明細表」及び「金融デリバティブ商品の概要」は、ブラックロック・ジャパン株式会社から入手した財務書類の原文の一部を翻訳・抜粋したものであります。
(1)純資産計算書
2016年8月31日現在

区分	金額(米ドル)
資産
有価証券ポートフォリオ(取得価額)	19,164,376,479
未実現利益	634,119,059
有価証券ポートフォリオ(市場価額)	19,798,495,538
銀行預金	83,141,975
ブローカーによる債権	19,007,000
未収利息及び未収配当金	59,974,813
投資売却による未収入金	109,871,580	*
ファンド投資証券発行による未収入金	26,536,894
外国為替予約取引にかかる未実現利益	4,278,042
To Be Announced 証券取引にかかる未実現利益	314,854,275
スワップの市場価額	8,250,319
買建オプション/スワップションの市場価額	131,929,096
その他の資産	5,112,523
資産合計	20,561,452,055
負債
ブローカーへの債務	124,882,678
未払収益分配金	31,299,784
投資購入による未払金	424,281,889	*
ファンド投資証券償還による未払金	59,178,527
先物取引未実現損失	8,422,386
売建オプション/スワップションの市場価額	39,401,059
その他の負債	27,324,111
負債合計	714,790,434
純資産合計	19,846,661,621

*未決済のTo Be Announced証券取引を含んでいます。
(2)損益及び純資産変動計算書
2016年8月31日終了年度

区分	金額(米ドル)
純資産期首残高	23,006,081,749
収益
銀行受取利息	258
債券利金	155,411,105
スワップ買建金利	16,646,969
配当金(源泉徴収後純額)	241,423,188
有価証券貸付	6,849,262
管理費の払戻し	153,918
収益合計	420,484,700
費用
銀行支払利息	178,014
スワップ売建金利	5,538,009
管理事務代行報酬	34,519,939
保管及び預託報酬	3,304,625
分配費用	22,507,289
税金	8,004,494
管理会社報酬	234,797,518
費用合計	308,849,888
純利益	111,634,812
投資にかかる実現純(損失)	(65,520,379)
To Be Announced 証券取引※にかかる実現純利益	5,960,979
先物取引にかかる実現純利益	14,124,620
オプション取引にかかる実現純(損失)	(180,517,762)
スワップ取引にかかる実現純利益	33,155,014
外国為替予約取引にかかる実現純(損失)	(167,978,104)
その他の取引による外国為替にかかる実現純(損失)	(22,777,843)
当期実現純(損失)	(383,553,475)
投資にかかる未実現利益/(損失)の純変動額	875,441,989
To Be Announced 証券取引※にかかる実現純利益/(損失)の純変動額	(359,043)
先物取引にかかる未実現利益/(損失)の純変動額	(54,531,506)
オプション取引にかかる未実現利益/(損失)の純変動額	87,014,201
スワップ取引にかかる未実現利益/(損失)の純変動額	(4,189,245)
外国為替予約取引にかかる未実現利益/(損失)の純変動額	(83,481,725)
その他の取引による外国為替にかかる未実現利益/(損失)の純変動額	(799,793)
当期未実現利益/(損失)の純変動額	819,094,878
営業による純資産の増加額	547,176,215
投資証券の変動額
投資証券発行による受取純額	3,784,246,024
投資証券買戻しによる支払純額	(7,459,543,149)
投資証券の変動による純資産の(減少)額	(3,675,297,125)
公表済配当金	(31,299,218)
純資産期末残高	19,846,661,621

※To Be Announced証券取引とは、モーゲージ債の売買などにおいて、発行機関、年限、クーポン、額面金額などは特定するものの、受け渡しの対象となるモーゲージ・プール内の個別証券は指定せずに行う取引形態をいいます。
※はアセットマネジメントOneにて追記しました。
(3)投資有価証券明細表
2016年8月31日現在

公認の証券取引所に上場されているまたは他の規制ある市場で取引されている譲渡性のある有価証券及びマネー・マーケット商品
数量		銘柄	時価(米ドル)	純資産比率 %
ファンド
		米国
159,871		ETFS Physical Palladium Shares - ETF	10,370,832	0.05
135,935		ETFS Physical Platinum Shares - ETF	13,770,215	0.07
320,108		ETFS Physical Swiss Gold Shares - ETF	40,791,362	0.21
4,907,763		iShares Gold Trust - ETF*~	61,985,047	0.31
3,327,129		SPDR Gold Shares - ETF*	415,758,040	2.09
ファンド合計			542,675,496	2.73

普通/優先株式(証券)及びワラント
		オーストラリア
5,365,000		TFS Corp Ltd (Wts 15/7/2018)	1,168,594	0.00
1,226,264		Westpac Banking Corp	27,133,922	0.14
			28,302,516	0.14
		ベルギー
285,161		Anheuser-Busch InBev SA/NV	35,542,291	0.18
265,788		Umicore SA	15,780,432	0.08
			51,322,723	0.26
		バミューダ
2,011,105		Axalta Coating Systems Ltd	57,678,492	0.29
58,678		Axis Capital Holdings Ltd	3,330,563	0.02
6,060,000		Brilliance China Automotive Holdings Ltd*	6,929,658	0.03
312,000		Cheung Kong Infrastructure Holdings Ltd	2,620,503	0.01
4,980,000		Haier Electronics Group Co Ltd	8,333,349	0.04
26,800		Jardine Matheson Holdings Ltd	1,603,980	0.01
317,346		Norwegian Cruise Line Holdings Ltd	11,487,925	0.06
159,505		XL Group Ltd	5,486,972	0.03
			97,471,442	0.49
		ブラジル
119,822		SLC Agricola SA	537,026	0.00
		イギリス領ヴァージン諸島
548,393		Michael Kors Holdings Ltd*	27,041,259	0.14
		カナダ
765,308		Brookfield Asset Management Inc 'A'*	25,790,880	0.13
55,963		Brookfield Asset Management Inc 'A'*	1,885,469	0.01
1,489,371		Cameco Corp	13,776,682	0.07
971,754		Cenovus Energy Inc	14,284,263	0.07
4,999,018		EnCana Corp*	48,740,425	0.25
28,917		Fairfax Financial Holdings Ltd	16,333,011	0.08

数量		銘柄	時価(米ドル)	純資産比率 %
		カナダ(続き)
1,022,437		Platinum Group Metals Ltd	2,814,092	0.01
3,460,855		Platinum Group Metals Ltd Npv	9,621,177	0.05
812,738		Toronto-Dominion Bank/The	36,416,711	0.18
			169,662,710	0.85
		ケイマン諸島
706,702		Alibaba Group Holding Ltd ADR*	68,302,748	0.35
35,927,360		Chaoda Modern Agriculture Holdings Ltd*	815,180	0.00
4,954,337		Haitian International Holdings Ltd	9,976,590	0.05
			79,094,518	0.40
		キュラソー
383,288		Schlumberger Ltd	30,404,321	0.15
		チェコ
54,207		CEZ AS	943,639	0.00
		デンマーク
262,666		Novo Nordisk A/S 'B'	12,396,418	0.06
		フィンランド
4,500,296		Nokia OYJ	25,676,176	0.13
		フランス
617,655		Accor SA*	23,325,815	0.12
62,528		Aeroports de Paris*	6,479,330	0.03
70,299		Arkema SA	6,275,599	0.03
1,436,966		AXA SA	30,496,273	0.16
616,427		BNP Paribas SA	31,865,837	0.16
544,521		Cie de Saint-Gobain	24,189,434	0.12
370,101		Danone SA	28,114,661	0.14
22,521		Dassault Aviation SA	24,004,460	0.12
839,857		Engie SA	13,472,132	0.07
273,767		Legrand SA	16,446,358	0.08
137,749		LVMH Moet Hennessy Louis Vuitton SE	23,508,491	0.12
400,137		Publicis Groupe SA	29,852,355	0.15
123,704		Renault SA	10,200,812	0.05
940,614		Safran SA	65,845,890	0.33
913,557		Sanofi	70,283,880	0.36
129,060		Sodexo SA	15,050,474	0.08
461,774		TOTAL SA	22,304,258	0.11
51,203		TOTAL SA ADR	2,476,177	0.01
260,907		Ubisoft Entertainment SA*	10,316,915	0.05
86,458		Unibail-Rodamco SE (Reit)	23,777,689	0.12
319,102		Vinci SA	24,411,213	0.12
			502,698,053	2.53

数量		銘柄	時価(米ドル)	純資産比率 %
		ドイツ
121,539		adidas AG	20,213,862	0.10
119,153		Allianz SE	17,918,315	0.09
295,316		BASF SE	24,065,886	0.12
136,133		Bayerische Motoren Werke AG	11,969,051	0.06
2,651,853		Deutsche Telekom AG	44,444,352	0.22
484,401		Evonik Industries AG	16,466,275	0.08
181,372		HUGO BOSS AG*	11,021,103	0.06
200,099		Siemens AG	24,070,597	0.12
174,097		Volkswagen AG (Pref)	24,347,497	0.12
7,960		Volkswagen AG	1,169,533	0.01
898,475		Vonovia SE	35,122,456	0.18
			230,808,927	1.16
		ガーンジー
78,727		Amdocs Ltd	4,710,236	0.02
		香港
3,691,600		AIA Group Ltd	23,343,673	0.12
2,942,943		Beijing Enterprises Holdings Ltd	16,883,303	0.08
296,500		CLP Holdings Ltd	3,040,748	0.01
601,000		Hang Lung Properties Ltd	1,369,848	0.01
424,000		Link REIT	3,082,908	0.02
616,000		Sino Land Co Ltd	1,054,616	0.00
3,475,582		Sun Hung Kai Properties Ltd	48,928,931	0.25
149,000		Swire Pacific Ltd 'A'	1,646,200	0.01
461,000		Wharf Holdings Ltd/The	3,256,845	0.02
			102,607,072	0.52
		インド
3,807,950		Coal India Ltd	18,962,979	0.10
181,150		Maruti Suzuki India Ltd	13,669,826	0.07
3,283,095		Reliance Industries Ltd	51,964,744	0.26
			84,597,549	0.43
		インドネシア
15,247,954		Siloam International Hospitals Tbk PT	12,989,210	0.07
		アイルランド
49,168		Accenture Plc 'A'	5,653,828	0.03
45,336		Allergan plc (Pref)	37,778,489	0.19
648,892		CRH Plc	21,749,421	0.11
116,038		Medtronic Plc	9,987,391	0.05
426,263		Perrigo Co Plc	38,670,579	0.19
			113,839,708	0.57

数量		銘柄	時価(米ドル)	純資産比率 %
		イスラエル
78,399		Teva Pharmaceutical Industries Ltd (Pref)	67,266,342	0.34
1,210,656		Teva Pharmaceutical Industries Ltd ADR	61,017,062	0.31
			128,283,404	0.65
		イタリア
677,528		Ei Towers SpA	35,333,967	0.18
3,470,965		Enel SpA	15,339,890	0.08
212,568		Luxottica Group SpA*	10,266,114	0.05
330,487		Prysmian SpA	8,149,953	0.04
3,334,589		RAI Way SpA	14,157,500	0.07
684,287		Snam SpA	3,812,656	0.02
39,574,051		Telecom Italia SpA/Milano*	36,205,368	0.18
1,282,726		Telecom Italia SpA/Milano	943,403	0.01
			124,208,851	0.63
		日本
477,030		Aisin Seiki Co Ltd	22,549,751	0.11
1,331,000		Ajinomoto Co Inc	28,245,429	0.14
224,100		Alfresa Holdings Corp*	4,187,508	0.02
156,200		Alpine Electronics Inc	1,881,836	0.01
689,800		Asahi Group Holdings Ltd	22,601,727	0.11
2,920,600		Asahi Kasei Corp	24,655,807	0.12
1,222,700		Astellas Pharma Inc	18,700,185	0.09
140,300		Autobacs Seven Co Ltd*	1,945,518	0.01
841,600		Bridgestone Corp	28,951,883	0.15
189,900		Canon Marketing Japan Inc	3,335,286	0.02
590,000		Chiyoda Corp*	4,772,982	0.02
869,000		Chubu Electric Power Co Inc*	11,764,378	0.06
228,200		COMSYS Holdings Corp*	4,317,118	0.02
257,800		Daikin Industries Ltd	23,921,462	0.12
3,508,000		Daiwa Securities Group Inc	20,517,079	0.10
1,054,170		Denso Corp	43,578,611	0.22
777,061		East Japan Railway Co	66,622,407	0.34
94,700		Exedy Corp	2,347,797	0.01
1,755,110		Fuji Heavy Industries Ltd	69,599,766	0.35
144,500		FUJIFILM Holdings Corp	5,435,179	0.03
2,257,000		Fukuoka Financial Group Inc	9,566,149	0.05
644,060		Futaba Industrial Co Ltd	3,028,964	0.02
2,070,000		GS Yuasa Corp	8,072,478	0.04
396,000		Hino Motors Ltd*	4,391,484	0.02
38,600		Hirose Electric Co Ltd	4,960,402	0.02
798,000		Hitachi Chemical Co Ltd*	17,220,242	0.09
875,676		Honda Motor Co Ltd	26,861,743	0.14
801,091		Hoya Corp	31,077,738	0.16
3,581,800		Inpex Corp*	31,138,849	0.16
1,827,000		Isuzu Motors Ltd*	21,047,447	0.11

数量		銘柄	時価(米ドル)	純資産比率 %
		日本(続き)
2,000,700		Japan Airlines Co Ltd	60,927,057	0.31
279,300		Japan Tobacco Inc	10,832,536	0.05
881,090		JGC Corp*	13,991,373	0.07
777,900		JSR Corp	11,389,225	0.06
414,000		Kamigumi Co Ltd	3,589,549	0.02
1,537,800		KDDI Corp	45,178,635	0.23
25,600		Keyence Corp*	17,967,561	0.09
527,800		Kinden Corp	5,786,698	0.03
262,200		Koito Manufacturing Co Ltd	12,495,982	0.06
1,109,500		Komatsu Ltd	24,280,375	0.12
1,512,531		Kubota Corp	22,203,495	0.11
527,720		Kuraray Co Ltd	7,547,610	0.04
160,500		Kurita Water Industries Ltd	3,663,823	0.02
430,200		Kyocera Corp	20,465,095	0.10
824,800		Kyushu Electric Power Co Inc*	7,686,107	0.04
116,400		Mabuchi Motor Co Ltd	6,183,820	0.03
151,000		Maeda Road Construction Co Ltd	2,571,705	0.01
152,000		Makita Corp*	10,928,584	0.06
256,800		Medipal Holdings Corp*	4,065,461	0.02
3,874,000		Mitsubishi Electric Corp	50,627,408	0.26
3,823,000		Mitsubishi Estate Co Ltd	72,398,007	0.36
4,801,100		Mitsubishi UFJ Financial Group Inc	26,207,666	0.13
1,253,052		MS&AD Insurance Group Holdings Inc	35,800,615	0.18
303,540		Murata Manufacturing Co Ltd	40,843,073	0.21
384,000		Nabtesco Corp*	9,917,707	0.05
7,939,000		NEC Corp	20,204,729	0.10
145,800		Nintendo Co Ltd	31,991,625	0.16
211,000		Nippo Corp	3,828,382	0.02
641,080		Nippon Telegraph & Telephone Corp	28,201,561	0.14
270,600		Nippon Television Holdings Inc	4,375,581	0.02
94,200		Nitori Holdings Co Ltd	9,562,201	0.05
416,900		Nitto Denko Corp*	28,497,980	0.14
510,600		NTT DOCOMO Inc	12,861,347	0.06
2,044,030		Okumura Corp	11,037,048	0.06
475,000		Omron Corp*	16,133,634	0.08
248,500		Otsuka Holdings Co Ltd	10,780,195	0.05
133,426		Rinnai Corp*	12,524,018	0.06
527,850		Rohm Co Ltd	26,407,820	0.13
510,400		Sanrio Co Ltd*	9,507,643	0.05
76,900		Sawai Pharmaceutical Co Ltd*	5,060,189	0.03
83,300		Secom Co Ltd	6,329,316	0.03
982,100		Sega Sammy Holdings Inc	13,428,557	0.07
293,000		Seino Holdings Co Ltd	3,073,466	0.02
840,800		Sekisui Chemical Co Ltd	11,765,015	0.06
638,400		Seven & i Holdings Co Ltd*	26,940,798	0.14

数量		銘柄	時価(米ドル)	純資産比率 %
		日本(続き)
55,800		Shimamura Co Ltd*	6,463,382	0.03
1,023,694		Shin-Etsu Chemical Co Ltd	75,226,739	0.38
51,100		SHO-BOND Holdings Co Ltd*	2,257,320	0.01
443,500		SKY Perfect JSAT Holdings Inc	2,017,079	0.01
49,500		SMC Corp/Japan	13,958,098	0.07
1,128,100		Sompo Japan Nipponkoa Holdings Inc*	36,198,753	0.18
1,319,200		Sony Financial Holdings Inc	18,139,955	0.09
256,200		Stanley Electric Co Ltd	6,552,511	0.03
1,487,900		Sumco Corp*	13,015,884	0.07
1,084,800		Sumitomo Electric Industries Ltd	16,097,741	0.08
600,680		Sumitomo Mitsui Financial Group Inc	21,047,629	0.11
113,600		Suzuken Co Ltd/Aichi Japan	3,296,752	0.02
1,699,848		Suzuki Motor Corp	56,403,890	0.28
2,147,000		Toda Corp*	10,948,992	0.06
171,700		Toho Co Ltd/Tokyo*	5,009,439	0.03
1,331,198		Tokio Marine Holdings Inc	52,351,345	0.26
8,180,780		Tokyo Gas Co Ltd*	35,109,110	0.18
1,549,000		Toray Industries Inc*	14,935,392	0.08
1,176,323		Toyota Industries Corp	56,346,024	0.28
203,400		Toyota Motor Corp	12,278,005	0.06
212,700		Trend Micro Inc/Japan*	7,553,792	0.04
161,200		TV Asahi Holdings Corp	2,580,073	0.01
7,377,800		Ube Industries Ltd	13,421,968	0.07
307,800		West Japan Railway Co*	17,638,778	0.09
3,980,200		Yamada Denki Co Ltd*	18,641,538	0.09
284,800		Yamaha Corp	9,246,215	0.05
119,200		Yamato Kogyo Co Ltd*	3,650,745	0.02
116,600		Zenkoku Hosho Co Ltd	4,586,597	0.02
			1,922,331,223	9.69
		ジャージー
621,161		Integrated Diagnostics Holdings Plc	2,267,238	0.01
598,795		Shire Plc	37,591,580	0.19
			39,858,818	0.20
		メキシコ
10,923,024		Fibra Uno Administracion SA de CV (Reit)	21,084,283	0.11
15,060,378		Telesites SAB de CV	8,869,088	0.04
			29,953,371	0.15

数量		銘柄	時価(米ドル)	純資産比率 %
		オランダ
999,149		Airbus Group SE	58,753,894	0.30
1,129,405		Akzo Nobel NV	76,494,410	0.39
3,262,997		ING Groep NV	41,087,945	0.21
7,013,859		Koninklijke KPN NV	22,861,367	0.11
987,201		Koninklijke Philips NV	28,734,130	0.14
1,073,208		Mylan NV	45,600,608	0.23
439,237		Patheon NV	12,188,827	0.06
405,474		Randstad Holding NV*	19,268,612	0.10
1,142,810		Unilever NV	52,492,991	0.26
			357,482,784	1.80
		ポーランド
125,655		Polski Koncern Naftowy ORLEN SA	2,093,922	0.01
		ポルトガル
1,860,163		NOS SGPS SA	12,675,549	0.06
		シンガポール
20,294,150		CapitaLand Ltd	45,692,501	0.23
810,100		ComfortDelGro Corp Ltd	1,681,360	0.01
32,444,300		Global Logistic Properties Ltd	43,186,770	0.22
4,400,000		Keppel Corp Ltd*	16,715,452	0.08
997,700		Singapore Telecommunications Ltd	2,941,452	0.01
565,300		United Overseas Bank Ltd*	7,466,695	0.04
			117,684,230	0.59
		韓国
33,219		Coway Co Ltd	2,484,722	0.01
194,464		Hyundai Motor Co	23,196,153	0.12
27,931		KT&G Corp	2,930,876	0.01
16,920		Samsung Electronics Co Ltd (Pref)	20,091,551	0.10
534,817		SK Hynix Inc	17,483,479	0.09
15,059		SK Telecom Co Ltd	2,951,024	0.02
			69,137,805	0.35
		スペイン
2,082,495		Cellnex Telecom SA*	36,561,304	0.18
466,044		Gas Natural SDG SA*	9,667,390	0.05
			46,228,694	0.23
		スウェーデン
2,875,686		SKF AB 'B'	48,783,459	0.25
2,486,755		Svenska Handelsbanken AB 'A'*	32,249,314	0.16
			81,032,773	0.41

数量		銘柄	時価(米ドル)	純資産比率 %
		スイス
408,483		Chubb Ltd	52,040,734	0.26
331,072		Cie Financiere Richemont SA*	19,272,805	0.10
1,358,587		Nestle SA	108,192,770	0.55
422,322		Novartis AG	33,223,826	0.17
118,221		Roche Holding AG	28,875,686	0.15
1,973,868		UBS Group AG*	28,686,182	0.14
33,097		Zurich Insurance Group AG	8,535,357	0.04
			278,827,360	1.41
		台湾
4,047,160		Cheng Shin Rubber Industry Co Ltd	8,596,723	0.04
829,000		Chunghwa Telecom Co Ltd	2,978,393	0.01
743,000		Far Eastone Telecommunications	1,730,437	0.01
540,000		Formosa Chemicals & Fibre Corp	1,402,309	0.01
642,000		Formosa Plastics Corp	1,584,234	0.01
1,885,000		Fubon Financial Holding Co Ltd	2,667,352	0.01
1,095,000		Hon Hai Precision Industry Co Ltd	3,036,823	0.02
686,000		Nan Ya Plastics Corp	1,310,145	0.01
503,000		Taiwan Mobile Co Ltd	1,767,525	0.01
5,234,000		Taiwan Semiconductor Manufacturing Co Ltd	29,031,471	0.15
3,060,000		Yulon Motor Co Ltd	2,647,198	0.01
			56,752,610	0.29
		タイ
600,800		Advanced Info Service PCL	2,872,484	0.01
1,150,600		Intouch Holdings PCL	1,869,720	0.01
948,900		PTT Global Chemical PCL	1,672,168	0.01
204,800		Siam Cement PCL/The	3,135,707	0.01
655,800		Thai Oil PCL	1,340,379	0.01
			10,890,458	0.05
		英国
580,723		Aggreko Plc*	7,766,042	0.04
839,240		AstraZeneca Plc	54,126,408	0.27
3,564,008		BAE Systems Plc	25,071,905	0.13
510,589		Berkeley Group Holdings Plc	17,909,646	0.09
1,391,438		BP Plc ADR*	47,308,892	0.24
737,656		Burberry Group Plc	12,627,997	0.06
37,843		Coca-Cola European Partners Plc	1,436,142	0.01
211,054		Diageo Plc ADR	23,697,143	0.12
1,467,343		GlaxoSmithKline Plc	31,519,584	0.16
12,718,794		HSBC Holdings Plc	94,523,599	0.48
414,932		HSBC Holdings Plc	10,970,802	0.05
446,165		Liberty Global Plc 'A'*	14,063,121	0.07
48,296		Liberty Global Plc LiLAC 'A'	1,329,589	0.01
175,282		Meggitt Plc	1,076,980	0.00
1,031,764		National Grid Plc	14,223,532	0.07
1,518,666		NMC Health Plc	27,052,423	0.14
1,563,329		Pearson Plc	17,773,587	0.09
836,804		Prudential Plc	15,086,250	0.07

数量		銘柄	時価(米ドル)	純資産比率 %
		英国(続き)
443,439		Royal Bank of Scotland Group Plc (Pref)	11,258,916	0.06
1,407,055		Royal Dutch Shell Plc ADR 'A'*	69,466,305	0.35
1,183,679		Smiths Group Plc	20,883,656	0.10
5,073,611		Spire Healthcare Group Plc	23,114,703	0.12
14,814,733		Vodafone Group Plc	44,921,041	0.23
1,095,664		Vodafone Group Plc ADR*	33,735,495	0.17
			620,943,758	3.13
		米国
25,692		3M Co	4,616,082	0.02
50,976		AbbVie Inc	3,265,523	0.02
580,709		Activision Blizzard Inc	23,948,439	0.12
205,999		Adobe Systems Inc	21,048,978	0.11
627,096		Aetna Inc	73,389,045	0.37
106,557		Air Products & Chemicals Inc	16,684,695	0.08
184,760		Alexion Pharmaceuticals Inc	23,555,052	0.12
11,641		Alliance Data Systems Corp*	2,370,224	0.01
629,089		Allstate Corp/The	43,520,377	0.22
306,078		Alphabet Inc 'C'	234,685,306	1.18
585,379		Altria Group Inc	38,576,476	0.19
93,663		Amazon.com Inc	71,604,427	0.36
207,156		American Electric Power Co Inc	13,336,703	0.07
532,782		American International Group Inc	31,871,019	0.16
82,583		American Tower Corp (Pref)	9,130,376	0.05
63,735		American Tower Corp (Reit)	7,211,615	0.04
246,741		American Water Works Co Inc	18,187,279	0.09
424,035		Amgen Inc	72,497,264	0.36
1,875,538		Anadarko Petroleum Corp	102,967,036	0.52
462,156		Anthem Inc	57,848,067	0.29
1,024,365		Anthem Inc (Pref)	44,385,735	0.22
2,679,648		Apple Inc	285,060,954	1.44
32,935		Archer-Daniels-Midland Co	1,424,439	0.01
46,604		AT&T Inc	1,900,278	0.01
6,526,736		Bank of America Corp	104,623,578	0.53
595,161		Baxter International Inc	27,782,115	0.14
443,648		Bed Bath & Beyond Inc*	20,625,196	0.10
286		Berkshire Hathaway Inc 'A'	64,312,820	0.32
471,594		Berkshire Hathaway Inc 'B'	70,682,509	0.36
49,194		Biogen Inc	15,092,719	0.08
21,204		Boeing Co/The	2,766,486	0.01
572,422		Bristol-Myers Squibb Co	32,771,159	0.16
1,417,741		Brookdale Senior Living Inc*	24,583,629	0.12
654,310		Calpine Corp	8,309,737	0.04
55,339		Capital One Financial Corp	3,919,108	0.02
57,821		Cardinal Health Inc	4,621,633	0.02
793,436		Catalent Inc*	20,097,734	0.10
111,580		Celgene Corp	11,980,345	0.06

数量		銘柄	時価(米ドル)	純資産比率 %
		米国(続き)
377,552		Centene Corp*	25,862,312	0.13
740,114		Charles Schwab Corp/The	23,506,021	0.12
135,214		Charter Communications Inc 'A'	34,809,492	0.18
17,123		Chevron Corp	1,725,485	0.01
65,475		Chipotle Mexican Grill Inc*	27,289,980	0.14
51,631		Cintas Corp*	6,037,213	0.03
1,445,563		Cisco Systems Inc	45,419,589	0.23
680,417		Citigroup Capital XIII (Pref)	17,663,625	0.09
1,149,641		Citigroup Inc	55,159,775	0.28
244,817		CME Group Inc	26,611,608	0.13
560,205		Coca-Cola Co	24,178,448	0.12
307,117		Colfax Corp*	9,265,720	0.05
1,325,004		Comcast Corp 'A'	86,681,762	0.44
1,606,113		CommScope Holding Co Inc	47,283,967	0.24
72,037		Computer Sciences Corp	3,377,815	0.02
35,131		Constellation Brands Inc 'A'	5,795,561	0.03
222,834		Crown Castle International Corp (Pref)	24,981,920	0.13
72,736		Crown Castle International Corp (Reit)	6,848,822	0.03
25,672		Crown Holdings Inc	1,385,775	0.01
190,719		CVS Health Corp	17,654,858	0.09
324,654		DaVita HealthCare Partners Inc	20,920,704	0.11
1,033,187		Delta Air Lines Inc	38,320,906	0.19
333,885		Discover Financial Services	19,939,612	0.10
517,433		DISH Network Corp 'A'	26,047,577	0.13
233,894		Dominion Resources Inc/VA	17,350,257	0.09
870,081		Dominion Resources Inc/VA (Pref)	44,072,933	0.22
17,575		Dover Corp	1,284,557	0.01
29,636		Dr Pepper Snapple Group Inc	2,761,186	0.01
713,784		Edgewell Personal Care Co	56,874,309	0.29
971,072		EI du Pont de Nemours & Co	67,674,008	0.34
112,017		Electronic Arts Inc	9,113,703	0.05
726,243		Eli Lilly & Co	56,639,692	0.28
376,022		EQT Corp*	26,878,053	0.14
157,733		Expedia Inc	17,304,887	0.09
339,787		Exxon Mobil Corp	29,576,759	0.15
1,294,204		Facebook Inc 'A'	162,396,718	0.82
73,727		Fifth Third Bancorp	1,480,438	0.01
1,013,484		Fitbit Inc 'A'*	15,931,968	0.08
2,347,085		Ford Motor Co	29,538,065	0.15
279,939		Fortune Brands Home & Security Inc	17,834,914	0.09
4,247,589		General Electric Co	132,949,536	0.67
1,054,996		Gilead Sciences Inc	82,864,661	0.42

数量		銘柄	時価(米ドル)	純資産比率 %
		米国(続き)
65,653		Global Payments Inc	4,977,154	0.02
858,883		GMAC Capital Trust I (Pref)	21,721,151	0.11
211,990		Goldman Sachs Group Inc/The	36,019,221	0.18
73,123		Goodyear Tire & Rubber Co/The	2,146,160	0.01
199,398		Hartford Financial Services Group Inc/The	8,161,360	0.04
26,235		HCA Holdings Inc	1,989,400	0.01
449,862		HD Supply Holdings Inc	16,365,980	0.08
43,751		Helmerich & Payne Inc	2,668,811	0.01
108		Hershey Co/The	10,848	0.00
163,037		Hexcel Corp	7,352,969	0.04
140,441		Home Depot Inc/The	18,857,013	0.09
94,376		HTG Molecular Diagnostics Inc	236,884	0.00
19,869		Illinois Tool Works Inc	2,374,147	0.01
848,052		Intel Corp	30,250,015	0.15
55,630		International Business Machines Corp	8,861,303	0.04
77,444		International Paper Co*	3,771,523	0.02
190,416		Intuit Inc	21,174,259	0.11
798,216		Invitae Corp	6,146,263	0.03
613,685		Johnson & Johnson	73,237,168	0.37
1,583,186		JPMorgan Chase & Co	107,165,860	0.54
352,997		Kansas City Southern	34,050,091	0.17
33,790		Kimberly-Clark Corp	4,338,298	0.02
47,900		KLA-Tencor Corp	3,263,906	0.02
503,092		Kroger Co/The	16,184,470	0.09
51,933		Lear Corp	6,061,100	0.03
142,804		Liberty Broadband Corp 'A'*	9,707,816	0.05
280,526		Liberty Broadband Corp 'C'	19,314,215	0.10
36,144		Liberty Media Group LLC 'C'	772,397	0.00
512,080		Liberty SiriusXM Group 'A'	17,088,110	0.09
960,189		Liberty SiriusXM Group 'C'	31,868,673	0.16
256,207		Lowe's Cos Inc	19,594,711	0.10
350,543		Mandatory Exchangeable Trust (Pref)	41,860,092	0.21
3,637,748		Marathon Oil Corp*	55,984,942	0.28
3,381,219		Marathon Petroleum Corp*	144,716,173	0.73
544,973		Marsh & McLennan Cos Inc	36,943,720	0.19
505,490		Masco Corp	17,944,895	0.09
356,604		MasterCard Inc 'A'	34,472,909	0.17
37,557		McDonald's Corp	4,343,091	0.02
223,350		McKesson Corp	41,009,293	0.21
512,229		Merck & Co Inc	32,275,549	0.16

数量		銘柄	時価(米ドル)	純資産比率 %
		米国(続き)
815,843		MetLife Inc	35,546,279	0.18
1,857,253		Micron Technology Inc*	30,700,392	0.15
124,012		Microsoft Corp	7,154,252	0.04
77,702		Mohawk Industries Inc	16,473,601	0.08
970,715		Mondelez International Inc 'A'	43,565,689	0.22
166,750		Monsanto Co	17,788,890	0.09
54,499		Morgan Stanley	1,757,593	0.01
350,580		NextEra Energy Inc	42,549,895	0.21
497,341		NextEra Energy Partners LP (Unit)	14,681,506	0.07
101,759		Northrop Grumman Corp	21,537,292	0.11
1,267,036		Nuance Communications Inc	18,346,681	0.09
37,662		Oracle Corp	1,553,934	0.01
288,790		PACCAR Inc	17,416,925	0.09
36,537		Packaging Corp of America	2,887,154	0.01
572,977		PayPal Holdings Inc	21,131,392	0.11
410,292		PepsiCo Inc	43,675,583	0.22
1,794,375		Pfizer Inc	62,533,969	0.31
43,967		Phillips 66	3,468,996	0.02
115,967		Pioneer Natural Resources Co	20,983,069	0.11
176,187		Prudential Financial Inc	14,073,818	0.07
1,794,914		Pure Storage Inc 'A'	21,359,477	0.11
943,234		QUALCOMM Inc	59,329,419	0.30
68,114		Ralph Lauren Corp 'A'	7,109,739	0.04
27,643		Raytheon Co	3,871,402	0.02
208,801		Realogy Holdings Corp	5,702,355	0.03
33,986		Reinsurance Group of America Inc 'A'	3,628,345	0.02
20,597		Rockwell Automation Inc	2,412,527	0.01
185,025		Roper Technologies Inc	33,017,711	0.17
479,670		Sabre Corp*	13,483,524	0.07
17,993		Scripps Networks Interactive Inc 'A'*	1,142,196	0.01
38,999		Sealed Air Corp	1,834,123	0.01
230,554		Sempra Energy	24,035,254	0.12
237,521		Simon Property Group Inc	51,202,402	0.26
654,183		Southwest Airlines Co	24,414,110	0.12
1,272,605		Square Inc 'A'	15,525,781	0.08
2,443,211		St Joe Co/The	46,249,984	0.23
171,306		Stericycle Inc (Pref)	11,820,114	0.06
22,361		Stryker Corp	2,581,577	0.01
372,461		SunTrust Banks Inc	16,399,458	0.08
626,448		Target Corp*	44,271,080	0.22

数量		銘柄	時価(米ドル)	純資産比率 %
		米国(続き)
1,295,999		Tenet Healthcare Corp*	30,831,816	0.15
210,716		Thermo Fisher Scientific Inc	32,119,440	0.16
329,251		Tiffany & Co*	23,679,732	0.12
578,517		Time Warner Inc	45,378,873	0.23
59,878		Travelers Cos Inc	7,123,087	0.04
38,063		Tyson Foods Inc 'A'	2,863,860	0.01
1,221,470		United Continental Holdings Inc	61,501,014	0.31
396,510		United Rentals Inc*	32,605,017	0.16
208,754		United Technologies Corp	22,282,402	0.11
24,909		UnitedHealth Group Inc	3,393,851	0.02
526,491		Unum Group	18,787,831	0.09
834,854		US Bancorp	36,883,850	0.19
220,796		US Bancorp (Pref)	5,764,984	0.03
375,953		US Bancorp (Pref)	11,684,619	0.06
89,937		Valero Energy Corp	4,996,900	0.02
308,196		Veeva Systems Inc 'A'	12,595,971	0.06
54,503		VeriSign Inc*	4,051,753	0.02
69,632		Verizon Communications Inc	3,642,450	0.02
557,349		Visa Inc 'A'*	45,145,269	0.23
67,067		WABCO Holdings Inc*	7,170,804	0.04
80,888		Walgreens Boots Alliance Inc	6,510,675	0.03
2,127,115		Wells Fargo & Co	108,185,069	0.54
6,927		Wells Fargo & Co (Pref)	9,368,767	0.05
333,799		Welltower Inc (Pref)	23,088,877	0.12
634,574		Western Digital Corp	29,717,100	0.15
614,583		WestRock Co	29,567,588	0.15
705,350		Whole Foods Market Inc*	21,583,710	0.11
1,137,729		Williams Cos Inc/The	31,680,064	0.16
188,465		Williams-Sonoma Inc	10,067,800	0.05
47,663		Wyndham Worldwide Corp	3,400,755	0.02
322,670		Zimmer Biomet Holdings Inc	41,785,765	0.21
			5,484,508,469	27.64
普通/優先株式(証券)及びワラント合計			10,957,997,582	55.21

	数量		銘柄	時価(米ドル)	純資産 比率 %
債券
			アルゼンチン
USD	25,256,000		Argentine Republic Government International Bond 6.875% 22/4/2021	27,529,040	0.14
USD	32,095,000		Argentine Republic Government International Bond 7.125% 6/7/2036	34,234,774	0.17
USD	33,051,000		Argentine Republic Government International Bond 7.5% 22/4/2026	37,182,375	0.19
USD	9,710,000		City of Buenos Aires Argentina 8.95% 19/2/2021*	10,996,575	0.06
USD	9,642,500		IRSA Propiedades Comerciales SA 8.75% 23/3/2023	10,630,856	0.05
USD	12,431,000		Provincia de Buenos Aires/Argentina 9.125% 16/3/2024	13,867,153	0.07
USD	40,455,000		YPF SA 8.5% 28/7/2025*	43,578,126	0.22
				178,018,899	0.90
			オーストラリア
AUD	102,909,000		Australia Government Bond 5.75% 15/5/2021	92,067,931	0.47
AUD	183,112,000		Australia Government Bond 5.75% 15/7/2022	169,148,575	0.85
USD	25,000,000		TFS Corp Ltd 8.75% 1/8/2023	25,656,250	0.13
				286,872,756	1.45
			ブラジル
BRL	10,534,000		Brazil Notas do Tesouro Nacional Serie B 6% 15/8/2022	9,517,403	0.05
BRL	128,722,000		Brazil Notas do Tesouro Nacional Serie F 10% 1/1/2018	39,337,601	0.20
BRL	169,234,000		Brazil Notas do Tesouro Nacional Serie F 10% 1/1/2021	49,845,602	0.25
EUR	6,158,000		Brazilian Government International Bond 2.875% 1/4/2021*	7,025,312	0.03
USD	13,111,000		Brazilian Government International Bond 4.875% 22/1/2021	13,976,326	0.07
				119,702,244	0.60
			カナダ
CAD	57,305,000		Canada Housing Trust No 1 1.25% 15/6/2021	44,092,886	0.22
CAD	86,489,000		Canadian Government Bond 0.25% 1/5/2018	65,583,572	0.33
CAD	157,541,000		Canadian Government Bond 0.5% 1/8/2018	119,937,096	0.60
CAD	53,950,000		Canadian Government Bond 0.75% 1/3/2021	41,334,332	0.21
USD	7,718,000		First Quantum Minerals Ltd 6.75% 15/2/2020	7,100,560	0.04
				278,048,446	1.40

	数量		銘柄	時価(米ドル)	純資産 比率 %
			ケイマン諸島
USD	15,612,000		Alibaba Group Holding Ltd 3.125% 28/11/2021	16,207,254	0.08
USD	11,084,000		Odebrecht Finance Ltd 4.375% 25/4/2025	3,796,270	0.02
				20,003,524	0.10
			チリ
USD	15,339,755		Inversiones Alsacia SA (Defaulted) 8% 31/12/2018	1,016,259	0.01
			フランス
USD	25,473,000		BNP Paribas SA 2.4% 12/12/2018	25,938,685	0.13
EUR	100,021,725		France Government Bond OAT 0.5% 25/5/2026*	115,159,040	0.58
				141,097,725	0.71
			ドイツ
EUR	109,729,584		Bundesobligation 9/4/2021 (Zero Coupon)*	125,480,203	0.63
USD	9,885,000		Deutsche Bank AG/London 1.875% 13/2/2018	9,838,649	0.05
USD	3,662,000		Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 5.5% 15/1/2023*	3,867,988	0.02
				139,186,840	0.70
			ハンガリー
HUF	18,162,260,000		Hungary Government Bond 5.5% 24/6/2025	79,286,597	0.40
USD	11,824,000		Hungary Government International Bond 6.25% 29/1/2020	13,316,780	0.07
USD	74,502,000		Hungary Government International Bond 6.375% 29/3/2021	86,236,065	0.43
				178,839,442	0.90
			インド
USD	19,051,000		REI Agro Ltd (Restricted) (Defaulted) 5.5% 13/11/2014	1,607,428	0.01
USD	26,296,000		Suzlon Energy Ltd (Step-up coupon) 5.75% 16/7/2019	28,136,720	0.14
				29,744,148	0.15
			インドネシア
EUR	25,171,000		Indonesia Government International Bond 2.625% 14/6/2023	29,637,017	0.15
USD	13,356,000		Indonesia Government International Bond '144A' 6.875% 17/1/2018	14,357,700	0.07
				43,994,717	0.22
			アイルランド
USD	6,848,000		GE Capital International Funding Co Unlimited Co 2.342% 15/11/2020	7,060,483	0.04

	数量		銘柄	時価(米ドル)	純資産 比率 %
			イタリア
USD	20,795,000		Intesa Sanpaolo SpA 3.875% 15/1/2019*	21,377,759	0.11
EUR	77,998,000		Italy Buoni Poliennali Del Tesoro 1.5% 1/6/2025*	90,873,912	0.46
USD	17,549,000		Telecom Italia SpA/Milano '144A' 5.303% 30/5/2024*	18,163,215	0.09
				130,414,886	0.66
			日本
JPY	4,626,000,000		Japan Government Two Year Bond 0.1% 15/3/2017	44,849,230	0.23
JPY	12,108,450,000		Japan Government Two Year Bond 0.1% 15/3/2018	117,738,081	0.59
JPY	24,450,000,000		Japan Treasury Discount Bill 5/9/2016 (Zero Coupon)	236,599,027	1.19
JPY	11,450,000,000		Japan Treasury Discount Bill 12/9/2016 (Zero Coupon)	110,801,726	0.56
JPY	23,480,000,000		Japan Treasury Discount Bill 3/10/2016 (Zero Coupon)	227,246,222	1.14
JPY	4,660,000,000		Japan Treasury Discount Bill 11/10/2016 (Zero Coupon)	45,102,494	0.23
JPY	11,680,000,000		Japan Treasury Discount Bill 17/10/2016 (Zero Coupon)	113,050,325	0.57
JPY	6,990,000,000		Japan Treasury Discount Bill 24/10/2016 (Zero Coupon)	67,660,743	0.34
JPY	23,350,000,000		Japan Treasury Discount Bill 31/10/2016 (Zero Coupon)	226,030,297	1.14
JPY	4,690,000,000		Japan Treasury Discount Bill 7/11/2016 (Zero Coupon)	45,401,091	0.23
JPY	23,270,000,000		Japan Treasury Discount Bill 21/11/2016 (Zero Coupon)	225,285,613	1.13
USD	11,458,000		Sumitomo Mitsui Banking Corp 2.45% 10/1/2019	11,669,818	0.06
				1,471,434,667	7.41
			ジャージー
USD	32,932,030		Dana Gas Sukuk Ltd 7% 31/10/2017	29,474,167	0.15
USD	10,665,000		UBS Group Funding Jersey Ltd 4.125% 24/9/2025	11,268,905	0.06
				40,743,072	0.21

	数量		銘柄	時価(米ドル)	純資産 比率 %
			ルクセンブルグ
USD	14,832,000		Actavis Funding SCS 3% 12/3/2020	15,351,290	0.08
USD	16,588,000		Intelsat Jackson Holdings SA 7.5% 1/4/2021	12,523,940	0.06
USD	5,120,000		Intelsat Jackson Holdings SA 8% 15/2/2024	5,158,400	0.02
EUR	16,700,000		Telecom Italia Finance SA 6.125% 15/11/2016	19,499,082	0.10
				52,532,712	0.26
			メキシコ
MXN	3,104,463,100		Mexican Bonos 6.5% 10/6/2021	171,578,730	0.86
USD	8,616,000		Trust F/1401 5.25% 15/12/2024	9,219,120	0.05
				180,797,850	0.91
			オランダ
EUR	7,536,000		Constellium NV 7% 15/1/2023*	8,443,884	0.04
USD	2,300,000		Constellium NV 8% 15/1/2023	2,351,750	0.01
USD	4,520,000		Cooperatieve Rabobank UA 3.95% 9/11/2022	4,753,173	0.03
USD	9,405,000		ING Groep NV FRN 16/4/2020 (Perpetual)	9,322,707	0.05
				24,871,514	0.13
			ニュージーランド
NZD	97,073,000		New Zealand Government Bond 6% 15/5/2021	83,578,349	0.42
			ポーランド
PLN	56,875,000		Poland Government Bond 2.5% 25/7/2026	14,285,002	0.07
PLN	128,663,000		Poland Government Bond 3.25% 25/7/2025	34,420,451	0.17
PLN	110,573,000		Poland Government Bond 5.25% 25/10/2020	31,966,399	0.16
PLN	94,847,000		Poland Government Bond 5.75% 25/10/2021	28,497,510	0.15
				109,169,362	0.55
			シンガポール
SGD	20,250,000		CapitaLand Ltd 1.95% 17/10/2023	14,882,730	0.07
SGD	21,750,000		CapitaLand Ltd 2.1% 15/11/2016	15,987,149	0.08
USD	32,138,000		Global Logistic Properties Ltd 3.875% 4/6/2025	33,624,383	0.17
				64,494,262	0.32
			韓国
USD	15,106,000		Export-Import Bank of Korea 2.625% 30/12/2020*	15,683,986	0.08
USD	7,656,000		Export-Import Bank of Korea 2.875% 17/9/2018	7,874,824	0.04
				23,558,810	0.12

	数量		銘柄	時価(米ドル)	純資産 比率 %
			スペイン
EUR	36,602,000		Spain Government Bond '144A'1.95% 30/4/2026*	44,441,897	0.23
EUR	27,300,000		Telefonica Participaciones SAU 4.9% 25/9/2017	26,366,394	0.13
				70,808,291	0.36
			スイス
USD	8,505,000		UBS AG/Stamford CT 2.375% 14/8/2019	8,688,291	0.04
			トルコ
USD	15,660,000		Turkey Government International Bond 6.75% 3/4/2018	16,687,687	0.08
			英国
USD	30,772,000		HSBC Holdings Plc FRN 17/9/2024 (Perpetual)*	30,502,745	0.15
GBP	12,707,000		Lloyds Bank Plc FRN 21/1/2029 (Perpetual)	28,793,810	0.15
USD	3,809,000		Lloyds Bank Plc 2.3% 27/11/2018	3,851,649	0.02
GBP	13,589,000		Logistics UK 2015 Plc '2015-1X F'FRN 20/8/2025	16,421,596	0.08
USD	7,040,000		Standard Chartered Plc FRN 2/4/2020 (Perpetual)	6,663,360	0.03
GBP	90,145,669		United Kingdom Gilt 1.5% 22/1/2021*	124,802,947	0.63
GBP	6,268,700		United Kingdom Gilt 2% 7/9/2025*	9,286,761	0.05
GBP	15,790,207		United Kingdom Gilt 3.5% 22/1/2045	31,942,335	0.16
				252,265,203	1.27
			米国
USD	14,765,000		AbbVie Inc 2.3% 14/5/2021	14,953,431	0.08
USD	18,235,000		AbbVie Inc 2.5% 14/5/2020	18,689,991	0.09
USD	14,981,000		Ally Financial Inc 2.75% 30/1/2017	15,015,059	0.08
USD	10,278,000		Ally Financial Inc 3.5% 27/1/2019	10,483,560	0.05
USD	10,575,000		American Express Co FRN 15/3/2020 (Perpetual)	10,456,031	0.05
USD	4,131,000		American Tower Corp 3.4% 15/2/2019	4,305,882	0.02
USD	19,216,000		Anheuser-Busch InBev Finance Inc 2.65% 1/2/2021	19,829,029	0.10
USD	21,244,000		AT&T Inc 2.375% 27/11/2018	21,685,546	0.11
USD	32,771,000		AT&T Inc 3% 30/6/2022	33,833,354	0.17
USD	8,652,000		Bank of America Corp 2% 11/1/2018	8,710,457	0.04
USD	8,436,000		Bank of America Corp 2.6% 15/1/2019	8,630,306	0.04
USD	8,380,000		Bank of America Corp 6.875% 25/4/2018	9,094,165	0.05
USD	11,910,000		Berkshire Hathaway Inc 2.75% 15/3/2023	12,438,042	0.06
USD	7,344,000		Cablevision Systems Corp 5.875% 15/9/2022	6,966,665	0.04
USD	6,700,000		Capital One Bank USA NA 2.15% 21/11/2018	6,760,886	0.03

	数量		銘柄	時価(米ドル)	純資産 比率 %
			米国(続き)
USD	11,817,000		Cisco Systems Inc 2.2% 28/2/2021	12,138,222	0.06
USD	20,960,000		Citigroup Inc FRN 27/3/2020 (Perpetual)	21,248,200	0.11
USD	8,693,000		Citigroup Inc FRN 30/1/2023 (Perpetual)	8,964,656	0.05
USD	24,386,000		Citigroup Inc 1.8% 5/2/2018	24,525,134	0.12
USD	27,103,000		Cobalt International Energy Inc 2.625% 1/12/2019	12,636,774	0.06
USD	31,086,000		Cobalt International Energy Inc 3.125% 15/5/2024	12,745,260	0.06
USD	8,394,000		eBay Inc 3.8% 9/3/2022	8,977,811	0.05
USD	10,484,000		Edgewell Personal Care Co 4.7% 19/5/2021	11,197,740	0.06
USD	9,349,000		Edgewell Personal Care Co 4.7% 24/5/2022	9,769,705	0.05
USD	4,856,000		Ford Motor Credit Co LLC 2.551% 5/10/2018	4,938,290	0.03
USD	13,629,000		Ford Motor Credit Co LLC 5% 15/5/2018	14,375,208	0.07
USD	7,686,000		Forest Laboratories LLC '144A' 5% 15/12/2021	8,643,030	0.04
USD	9,112,000		Freeport-McMoRan Inc 3.875% 15/3/2023	8,064,120	0.04
USD	18,529,000		General Electric Co FRN 21/1/2021 (Perpetual)	19,875,688	0.10
USD	10,094,000		General Electric Co FRN 15/11/2067	10,472,525	0.05
USD	1,974,000		General Electric Co 5.55% 4/5/2020	2,252,275	0.01
USD	12,916,000		General Motors Financial Co Inc 3.5% 10/7/2019	13,363,953	0.07
USD	17,935,000		Goldman Sachs Group Inc/The FRN 10/5/2019 (Perpetual)	18,405,794	0.09
USD	18,811,000		Goldman Sachs Group Inc/The FRN 10/5/2020 (Perpetual)	19,022,812	0.10
USD	2,978,000		Hughes Satellite Systems Corp 7.625% 15/6/2021	3,190,182	0.02
USD	7,245,000		Hyundai Capital America 2% 19/3/2018	7,285,438	0.04
USD	7,059,000		Intel Corp 3.25% 1/8/2039	12,317,955	0.06
USD	19,941,000		JPMorgan Chase & Co FRN 1/5/2023 (Perpetual)	20,165,336	0.10
USD	37,007,000		JPMorgan Chase & Co FRN 1/10/2024 (Perpetual)	39,643,749	0.20
USD	23,455,000		JPMorgan Chase & Co 2.295% 15/8/2021	23,604,045	0.12
USD	7,086,000		JPMorgan Chase & Co 4.35% 15/8/2021	7,818,604	0.04
USD	19,085,000		Medtronic Inc 3.15% 15/3/2022	20,340,564	0.10
USD	12,594,000		Morgan Stanley FRN 15/7/2019 (Perpetual)	12,704,198	0.06
USD	11,772,000		Mylan Inc 2.55% 28/3/2019	11,928,285	0.06
USD	7,700,000		NBCUniversal Enterprise Inc'144A' 5.25% 19/3/2021 (Perpetual)	8,162,000	0.04
USD	43,325,000		Oracle Corp 1.9% 15/9/2021	43,450,837	0.22
USD	20,018,000		QUALCOMM Inc 3% 20/5/2022	21,086,631	0.11

	数量		銘柄	時価(米ドル)	純資産 比率 %
			米国(続き)
USD	7,232,000		Sabine Pass Liquefaction LLC 5.625% 15/4/2023	7,647,840	0.04
USD	4,476,000		Synchrony Financial 3.75% 15/8/2021	4,702,656	0.02
USD	11,129,000		T-Mobile USA Inc 6% 15/4/2024	11,935,852	0.06
USD	358,000,000		United States Treasury Bill 6/10/2016 (Zero Coupon)	357,912,827	1.80
USD	172,128,000		United States Treasury Bill 13/10/2016 (Zero Coupon)	172,079,116	0.87
USD	65,800,000		United States Treasury Bill 20/10/2016 (Zero Coupon)	65,778,154	0.33
USD	256,000,000		United States Treasury Bill 10/11/2016 (Zero Coupon)	255,865,216	1.29
USD	205,000,000		United States Treasury Bill 17/11/2016 (Zero Coupon)	204,889,915	1.03
USD	65,000,000		United States Treasury Bill 25/11/2016 (Zero Coupon)	64,953,005	0.33
USD	264,778,200		United States Treasury Inflation Indexed Bonds 0.125% 15/4/2021	272,313,601	1.37
USD	569,613,100		United States Treasury Inflation Indexed Bonds 0.625% 15/1/2026†	602,544,931	3.04
USD	26,316,600		United States Treasury Inflation Indexed Bonds 1% 15/2/2046†	29,695,210	0.15
USD	46,589,400		United States Treasury Note/Bond 1.125% 31/7/2021*	46,469,287	0.23
USD	1,078,086,600		United States Treasury Note/Bond 1.125% 31/8/2021	1,075,349,273	5.42
USD	216,727,600		United States Treasury Note/Bond 1.25% 31/3/2021*	217,591,125	1.10
USD	16,680,000		USB Capital IX FRN 3/10/2016 (Perpetual)	14,282,250	0.07
USD	3,656,000		Verizon Communications Inc 1.75% 15/8/2021	3,633,735	0.02
USD	8,048,000		Verizon Communications Inc 2.625% 15/8/2026	8,000,545	0.04
USD	7,091,000		Volkswagen Group of America Finance LLC 2.45% 20/11/2019	7,210,235	0.04
				4,098,022,198	20.65
債券合計				8,051,652,637	40.57
公認の証券取引所に上場されているまたは他の規制ある市場で取引されている譲渡性のある有価証券及びマネー・マーケット商品合計				19,552,325,715	98.51

その他の譲渡性のある有価証券
数量			銘柄	時価(米ドル)	純資産比率 %
普通/優先株式(証券)
			ジャージー
19,223,120			Delta Topco Ltd**	192	0.00
			米国
4,214,805			Domo, Inc (Pref)**	35,404,362	0.18
2,487,644			Dropbox, Inc**	26,145,139	0.13
4,185,730			Grand Rounds, Inc (Pref)**	11,636,329	0.06
107,909			Lookout, Inc**	915,068	0.01
1,919,121			Lookout, Inc (Pref)**	16,274,146	0.08
4,980			NCB Warrant Holding**	-	0.00
3,269,720			Palantir Technologies, Inc (Pref)**	30,016,030	0.15
2,003,248			Uber Technologies Inc Npv (Pref)**	97,698,405	0.49
				218,089,479	1.10
普通/優先株式(証券)合計				218,089,671	1.10
債券
			バミューダ
SGD	38,000,000		Celestial Nutrifoods Ltd (Restricted) (Defaulted) 12/6/2011 (Zero Coupon)**	278,689	0.00
			ケイマン諸島
USD	15,900,000		China Milk Products Group Ltd (Restricted) (Defaulted) 5/1/2012 (Zero Coupon)**	159,000	0.00
			中国
CNY	103,700,000		FU JI Food and Catering Services Holdings Ltd (Defaulted) 18/10/2010 (Zero Coupon)**	-	0.00
			スペイン
EUR	8,500,000		Telefonica S.A. 6% 24/7/2017**	8,916,585	0.05
			米国
USD	19,506,123		Delta Topco Ltd 10% 24/11/2060**	18,725,878	0.09
債券合計				28,080,152	0.14
その他の譲渡性のある有価証券合計				246,169,823	1.24
ポートフォリオ合計				19,798,495,538	99.75
その他の純資産				48,166,083	0.25
純資産合計(米ドル)				19,846,661,621	100.00

~ 当該投資は関連当事者のファンドへの投資です。
* 当該有価証券は貸付有価証券です。
†当該有価証券は、担保として差し入れられたものまたは保証が付与されたものです。
**当該有価証券は公正価値修正の対象です。
'A'、'B'、'C':議決権や転売権等に特定の規定が設けられた株式です。※
(Wts) ワラントです。※
(Pref) 優先株式(優先証券)です。※
(Defaulted) デフォルト銘柄です。※
(Restricted) 取引等の制限がかかっている銘柄です。※
(FRN) 変動利付債です。※
(Step-up coupon) ステップアップ債(利率が段階的に上昇する債券)です。※
(Perpetual) 永久債です。なお、記号の直前にある日付は発行体が債券を償還する可能性のある日を表します。※
'144A':米国の適格機関投資家向け私募証券市場において発行された証券です。※
※はアセットマネジメントOneにて追記しました。
(4)To Be Announced証券取引明細表
2016年8月31日現在

	数量		銘柄	時価(米ドル)	純資産 比率 %
TBA
			米国
USD	303,474,000		Fannie Mae Pool '3 9/16' 3% TBA	314,854,275	1.59
TBA合計				314,854,275	1.59

To Be Announced(「TBA」)取引は、主にパススルー機関の発行体の設立国によって分類されています。

(5)外国為替予約取引明細表
2016年8月31日現在

通貨	買建金額	通貨	売建金額	契約相手	満期日	未実現利益/(損失)(米ドル)
EUR	36,231,000	USD	40,615,313	JP Morgan	1/9/2016	(241,514)
GBP	35,980,000	USD	46,959,117	HSBC Bank Plc	1/9/2016	167,487
USD	41,042,114	EUR	36,231,000	JP Morgan	1/9/2016	668,315
USD	51,597,011	GBP	35,980,000	HSBC Bank Plc	1/9/2016	4,470,407
CAD	65,726,000	USD	51,214,400	JP Morgan	2/9/2016	(1,103,561)
GBP	36,012,000	USD	47,504,510	Goldman Sachs	2/9/2016	(335,992)
USD	51,879,247	GBP	36,012,000	Goldman Sachs	2/9/2016	4,710,730
USD	225,813,900	JPY	24,450,000,000	Goldman Sachs	6/9/2016	(10,828,607)
EUR	25,001,000	USD	27,508,625	Morgan Stanley	8/9/2016	358,650
JPY	5,091,497,100	USD	50,550,000	Morgan Stanley	8/9/2016	(1,266,606)
USD	50,400,882	JPY	5,091,497,100	Morgan Stanley	8/9/2016	1,117,488
BRL	108,749,414	USD	33,792,000	Deutsche Bank	9/9/2016	(203,504)
EUR	28,566,000	USD	31,451,166	Deutsche Bank	9/9/2016	391,264
GBP	35,979,000	USD	47,020,236	BNP Paribas	9/9/2016	113,664
USD	34,138,884	BRL	108,749,414	Deutsche Bank	9/9/2016	550,388
USD	51,797,275	GBP	35,979,000	BNP Paribas	9/9/2016	4,663,376
AUD	19,594,000	USD	14,719,130	Brown Brothers Harriman & Co	12/9/2016	(6,016)
USD	14,281,675	AUD	19,594,000	Brown Brothers Harriman & Co	12/9/2016	(431,439)
USD	16,157,755	CHF	15,734,000	JP Morgan	12/9/2016	134,738
USD	101,327,434	JPY	11,450,000,000	Credit Suisse	12/9/2016	(9,524,438)
GBP	35,953,000	USD	47,303,437	JP Morgan	15/9/2016	(196,229)
JPY	5,096,509,000	USD	50,660,871	Goldman Sachs	15/9/2016	(1,312,575)
USD	50,819,566	GBP	35,953,000	JP Morgan	15/9/2016	3,712,357
USD	50,472,978	JPY	5,096,509,000	Goldman Sachs	15/9/2016	1,124,682
GBP	16,575,444	USD	21,869,144	Morgan Stanley	16/9/2016	(150,698)
USD	50,749,717	GBP	34,549,000	Morgan Stanley	16/9/2016	5,480,911
EUR	44,664,000	USD	50,456,028	HSBC Bank Plc	23/9/2016	(637,677)
GBP	20,718,000	USD	27,336,427	Credit Suisse	23/9/2016	(185,126)
USD	28,333,626	GBP	20,718,000	Credit Suisse	23/9/2016	1,182,324
USD	20,093,000	MXN	366,369,734	Goldman Sachs	29/9/2016	688,043
GBP	20,684,000	USD	27,281,369	HSBC Bank Plc	30/9/2016	(169,678)
USD	19,689,579	AUD	26,726,000	Deutsche Bank	30/9/2016	(369,426)
USD	28,208,632	GBP	20,684,000	HSBC Bank Plc	30/9/2016	1,096,941
USD	28,365,624	GBP	20,684,000	Credit Suisse	30/9/2016	1,253,933
USD	228,798,612	JPY	23,480,000,000	Deutsche Bank	3/10/2016	1,254,601
USD	44,079,532	JPY	4,660,000,000	JP Morgan	11/10/2016	(1,095,004)
USD	66,176,888	JPY	6,990,000,000	Morgan Stanley	24/10/2016	(1,620,522)
USD	47,906,777	MXN	885,437,000	Goldman Sachs	27/10/2016	1,140,061
USD	223,734,010	JPY	23,350,000,000	Morgan Stanley	31/10/2016	(2,806,406)
CNH	367,728,000	USD	55,983,558	Deutsche Bank	4/11/2016	(1,199,488)

通貨	買建金額	通貨	売建金額	契約相手	満期日	未実現利益/(損失)(米ドル)
USD	56,590,080	CNH	367,728,000	Deutsche Bank	4/11/2016	1,806,010
USD	51,895,536	NZD	76,688,000	Morgan Stanley	8/11/2016	(3,551,023)
USD	52,458,992	AUD	70,729,000	Goldman Sachs	9/11/2016	(575,204)
NOK	170,715,479	USD	20,099,000	Morgan Stanley	10/11/2016	402,471
USD	52,297,117	AUD	71,787,000	Deutsche Bank	10/11/2016	(1,529,120)
USD	51,807,653	NZD	77,661,000	JP Morgan	10/11/2016	(4,338,421)
EUR	17,979,000	PLN	77,286,327	BNP Paribas	17/11/2016	331,442
USD	232,655,795	JPY	23,270,000,000	Deutsche Bank	21/11/2016	6,694,128
EUR	33,639,000	USD	38,201,794	Credit Suisse	25/11/2016	(579,493)
BRL	78,731,000	USD	22,097,449	Deutsche Bank	2/12/2016	1,605,976
USD	21,107,507	BRL	78,731,000	Deutsche Bank	2/12/2016	(2,595,918)
TWD	1,489,132,850	USD	45,607,573	Citibank	9/1/2017	1,541,699
TWD	1,482,002,119	USD	45,417,696	JP Morgan	9/1/2017	1,505,800
USD	44,465,000	TWD	1,489,132,850	Citibank	9/1/2017	(2,684,271)
USD	44,451,000	TWD	1,482,002,119	JP Morgan	9/1/2017	(2,472,496)
USD	21,449,000	AED	79,417,067	BNP Paribas	19/1/2017	(159,052)
USD	21,438,000	AED	79,438,509	Goldman Sachs	19/1/2017	(175,886)
USD	21,197,000	AED	78,496,730	BNP Paribas	25/1/2017	(160,163)
EUR	18,763,000	JPY	2,333,976,477	HSBC Bank Plc	13/2/2017	(1,692,664)
JPY	2,432,566,661	EUR	18,763,000	HSBC Bank Plc	13/2/2017	2,654,009
USD	910,041	JPY	98,590,184	HSBC Bank Plc	13/2/2017	(51,304)
未実現純損失						(3,427,626)

通貨	買建金額	通貨	売建金額	契約相手	満期日	未実現利益/(損失)(米ドル)
AUD Hedged Share Class
AUD	197,764,107	USD	150,856,218	BNY Mellon	14/9/2016	(2,363,928)
USD	3,671,989	AUD	4,808,231	BNY Mellon	14/9/2016	61,703
未実現純損失						(2,302,225)
CHF Hedged Share Class
CHF	53,229,516	USD	54,307,088	BNY Mellon	14/9/2016	(92,771)
USD	1,190,890	CHF	1,153,002	BNY Mellon	14/9/2016	16,545
未実現純損失						(76,226)
CNH Hedged Share Class
CNY	12,653,064	USD	1,895,435	BNY Mellon	14/9/2016	(6,023)
USD	308,199	CNY	2,050,432	BNY Mellon	14/9/2016	2,020
未実現純損失						(4,003)
EUR Hedged Share Class
EUR	2,442,239,564	USD	2,710,620,169	BNY Mellon	14/9/2016	12,345,468
USD	39,342,334	EUR	35,055,181	BNY Mellon	14/9/2016	257,459
未実現純利益						12,602,927
GBP Hedged Share Class
GBP	115,133,836	USD	150,526,252	BNY Mellon	14/9/2016	323,129
USD	3,510,879	GBP	2,692,088	BNY Mellon	14/9/2016	(16,316)
未実現純利益						306,813
HKD Hedged Share Class
HKD	127,839,218	USD	16,488,608	BNY Mellon	14/9/2016	(5,628)
USD	985,873	HKD	7,643,105	BNY Mellon	14/9/2016	407
未実現純損失						(5,221)
JPY Hedged Share Class
JPY	234,479,278	USD	2,317,779	BNY Mellon	14/9/2016	(47,452)
USD	6,596	JPY	672,427	BNY Mellon	14/9/2016	85
未実現純損失						(47,367)
PLN Hedged Share Class
PLN	48,633,374	USD	12,564,933	BNY Mellon	14/9/2016	(109,631)
USD	358,518	PLN	1,377,583	BNY Mellon	14/9/2016	5,711
未実現純損失						(103,920)
SGD Hedged Share Class
SGD	312,734,038	USD	232,039,960	BNY Mellon	14/9/2016	(2,689,145)
USD	3,356,835	SGD	4,544,479	BNY Mellon	14/9/2016	24,035
未実現純損失						(2,665,110)
未実現純利益合計 (米ドル原資産エクスポージャー-6,560,763,112米ドル)						4,278,042

(6)先物取引明細表
2016年8月31日現在

契約数量	通貨	銘柄	満期日	原資産エクスポージャー(米ドル)	未実現利益/(損失)(米ドル)
(37)	CAD	S&P/TSX 60 Index	September 2016	4,818,192	(250,162)
(1,691)	EUR	STOXX Europe 600 Index	September 2016	32,486,294	(2,311,289)
(2,551)	EUR	EURO STOXX 50 Index	September 2016	86,503,108	(4,594,735)
(53)	GBP	FTSE 100 Index	September 2016	4,728,155	(180,173)
515	JPY	TOPIX Index	September 2016	66,206,446	799,411
(256)	JPY	Nikkei 225 (Yen)	September 2016	20,926,647	(254,620)
(125)	USD	NASDAQ 100 E-Mini Index	September 2016	11,935,000	45,129
(336)	USD	Russell 2000 Mini Index	September 2016	41,768,160	(1,497,380)
(3,881)	USD	S&P 500 E Mini Index	September 2016	421,331,063	(178,567)
合計				690,703,065	(8,422,386)

(7)金利スワップ明細表
2016年8月31日現在

	額面価額		銘柄	契約相手	満期日	未実現利益/(損失)(米ドル)	時価 (米ドル)
EUR	31,347,000		Fund receives Floating EUR EURIBOR 6 Month; and pays Fixed 0.016%	Goldman Sachs	9/4/2021	(270,905)	(270,905)
GBP	118,887,210		Fund receives Floating GBP LIBOR 6 Month; and pays Fixed 0.537%	UBS	2/7/2020	(276,667)	(276,667)
GBP	117,000,000		Fund receives Floating GBP LIBOR 6 Month; and pays Fixed 0.563%	UBS	2/7/2020	(351,701)	(351,701)
GBP	117,000,000		Fund receives Floating GBP LIBOR 6 Month; and pays Fixed 0.568%	UBS	2/7/2020	(366,975)	(366,975)
GBP	117,000,000		Fund receives Floating GBP LIBOR 6 Month; and pays Fixed 0.584%	UBS	2/7/2020	(415,853)	(415,853)
USD	151,853,232		Fund receives Fixed 0.972%; and pays Floating USD LIBOR 3 Month	UBS	5/7/2020	(713,500)	(713,500)
USD	153,000,000		Fund receives Fixed 0.998%; and pays Floating USD LIBOR 3 Month	UBS	5/7/2020	(641,870)	(641,870)
USD	153,000,000		Fund receives Fixed 1.0005%; and pays Floating USD LIBOR 3 Month	UBS	5/7/2020	(634,465)	(634,465)
USD	153,000,000		Fund receives Fixed 1.042%; and pays Floating USD LIBOR 3 Month	UBS	5/7/2020	(511,532)	(511,532)
GBP	116,793,000		Fund receives Floating GBP LIBOR 6 Month; and pays Fixed 0.604%	UBS	16/7/2020	(468,264)	(468,264)

	額面価額		銘柄	契約相手	満期日	未実現利益/(損失)(米ドル)	時価 (米ドル)
GBP	116,792,900		Fund receives Floating GBP LIBOR 6 Month; and pays Fixed 0.608%	UBS	16/7/2020	(480,465)	(480,465)
GBP	116,793,000		Fund receives Floating GBP LIBOR 6 Month; and pays Fixed 0.6375%	UBS	16/7/2020	(570,451)	(570,451)
GBP	116,792,800		Fund receives Floating GBP LIBOR 6 Month; and pays Fixed 0.64%	UBS	16/7/2020	(578,076)	(578,076)
USD	151,831,000		Fund receives Fixed 1.167%; and pays Floating USD LIBOR 3 Month	UBS	19/7/2020	(149,603)	(149,603)
USD	151,831,000		Fund receives Fixed 1.1915%; and pays Floating USD LIBOR 3 Month	UBS	19/7/2020	(76,773)	(76,773)
USD	151,830,800		Fund receives Fixed 1.203%; and pays Floating USD LIBOR 3 Month	UBS	19/7/2020	(42,587)	(42,587)
USD	175,188,900		Fund receives Fixed 1.244%; and pays Floating USD LIBOR 3 Month	UBS	19/7/2020	91,492	91,492
USD	234,642,882		Fund receives Floating USD LIBOR 3 Month; and pays Fixed 1.4175%	UBS	28/6/2022	(216,453)	(216,453)
USD	117,321,441		Fund receives Floating USD LIBOR 3 Month; and pays Fixed 1.4225%	UBS	28/6/2022	(124,906)	(124,906)
合計(米ドル原資産エクスポージャー-2,856,186,035米ドル )						(6,799,554)	(6,799,554)

(8)クレジット・デフォルト・スワップ明細表
2016年8月31日現在

	額面価額			銘柄	契約相手	満期日	未実現利益/(損失)(米ドル)	時価 (米ドル)
USD	(92,521,000)			Fund provides default protection on CDX.NA.IG.26.V1 and receives Fixed 1%	Barclays	20/6/2021	391,181	1,197,885
USD	(86,027,217)			Fund provides default protection on CDX.NA.IG.26.V1 and receives Fixed 1%	Barclays	20/6/2021	488,485	1,113,809
USD	(200,000,337)			Fund provides default protection on CDX.NA.IG.26.V1 and receives Fixed 1%	Barclays	20/6/2021	99,295	2,589,438
USD	(38,622,486)			Fund provides default protection on CDX.NA.IG.26.V1 and receives Fixed 1%	Barclays	20/6/2021	72,654	500,052
EUR	(34,905,287)			Fund provides default protection on ITRAXX.EUR.25.V1 and receives Fixed 1%	BNP Paribas	20/6/2021	71,349	602,186
EUR	(46,085,000)			Fund provides default protection on ITRAXX.EUR.25.V1 and receives Fixed 1%	BNP Paribas	20/6/2021	77,168	795,058
EUR	(24,037,000)			Fund provides default protection on ITRAXX.XO.25.V1 and receives Fixed 5%	BNP Paribas	20/6/2021	(194,345)	2,226,330
EUR	(17,285,482)			Fund provides default protection on ITRAXX.XO.25.V1 and receives Fixed 5%	BNP Paribas	20/6/2021	(187,005)	1,600,998
EUR	(23,918,000)			Fund provides default protection on ITRAXX.XO.25.V1 and receives Fixed 5%	Citigroup	20/6/2021	(218,300)	2,215,308
USD	(116,670,865)		Fund provides default protection on CDX.NA.HY.26.V1 and receives Fixed 5%		Credit Suisse	20/6/2021	(264,550)	5,340,837

	額面価額		銘柄	契約相手	満期日	未実現利益/(損失)(米ドル)	時価 (米ドル)
USD	(2,502,668)		Fund provides default protection on CDX.NA.HY.26.V1 and receives Fixed 5%	Credit Suisse	20/6/2021	31,365	114,564
USD	(12,066,503)		Fund provides default protection on CDX.NA.HY.26.V1 and receives Fixed 5%	Credit Suisse	20/6/2021	153,637	552,368
USD	(110,740,205)		Fund provides default protection on CDX.NA.IG.26.V1 and receives Fixed 1%	Credit Suisse	20/6/2021	(146,840)	1,433,772
EUR	(24,000,000)		Fund provides default protection on ITRAXX.XO.25.V1 and receives Fixed 5%	Credit Suisse	20/6/2021	1,046,380	2,222,903
EUR	(11,839,619)		Fund provides default protection on ITRAXX.XO.25.V1 and receives Fixed 5%	Goldman Sachs	20/6/2021	(133,870)	1,096,597
EUR	(21,036,000)		Fund provides default protection on ITRAXX.XO.25.V1 and receives Fixed 5%	HSBC Bank Plc	20/6/2021	27,623	1,948,375
EUR	(21,035,531)		Fund provides default protection on ITRAXX.XO.25.V1 and receives Fixed 5%	HSBC Bank Plc	20/6/2021	30,485	1,948,331
USD	(16,261,255)		Fund provides default protection on CDX.NA.HY.26.V1 and receives Fixed 5%	JP Morgan	20/6/2021	85,900	744,391
USD	(69,259,046)		Fund provides default protection on CDX.NA.HY.26.V1 and receives Fixed 5%	JP Morgan	20/6/2021	1,851,953	3,170,468
合計(米ドル原資産エクスポージャー-1,030,067,395米ドル )						3,282,565	31,413,670

(9)トータル・リターン・スワップ明細表
2016年8月31日現在

	額面価額		銘柄	契約相手	満期日	未実現利益/(損失)(米ドル)	時価 (米ドル)
JPY	2,680,000		Fund receives NIKKEI Dividend December 16; and pays Fixed 0%	BNP Paribas	31/3/2017	942,616	1,107,373
JPY	2,680,000		Fund receives NIKKEI Dividend December 16; and pays Fixed 0%	BNP Paribas	31/3/2017	1,022,951	1,237,043
EUR	92,200		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	15/12/2017	(153,991)	(171,878)
EUR	92,700		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	15/12/2017	(73,917)	(61,980)
JPY	3,600,000		Fund receives NIKKEI Dividend December 17; and pays Fixed 0%	BNP Paribas	2/4/2018	876,260	(186,375)
JPY	3,600,000		Fund receives NIKKEI Dividend December 17; and pays Fixed 0%	BNP Paribas	2/4/2018	1,026,428	(73,505)
USD	292,250		Fund receives S&P 500 Annual Dividend Index; and pays Fixed 0%	BNP Paribas	21/12/2018	438,375	438,375
EUR	50,600		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	21/12/2018	(197,121)	(265,013)
EUR	46,400		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	21/12/2018	(165,363)	(186,140)
EUR	92,700		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	21/12/2018	(506,542)	(524,246)
JPY	1,800,000		Fund receives NIKKEI Dividend December 18; and pays Fixed 0%	BNP Paribas	29/3/2019	233,400	(327,463)
JPY	3,540,000		Fund receives NIKKEI Dividend December 18; and pays Fixed 0%	BNP Paribas	29/3/2019	264,108	(298,026)
JPY	1,800,000		Fund receives NIKKEI Dividend December 18; and pays Fixed 0%	BNP Paribas	29/3/2019	118,021	(183,762)

	額面価額		銘柄	契約相手	満期日	未実現利益/(損失)(米ドル)	時価 (米ドル)
EUR	31,100		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	20/12/2019	70,117	41,587
EUR	59,900		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	20/12/2019	(20,582)	-
EUR	65,800		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	20/12/2019	89,460	43,994
JPY	1,800,000		Fund receives NIKKEI Dividend December 19; and pays Fixed 0%	BNP Paribas	31/3/2020	209,874	(269,983)
JPY	2,990,000		Fund receives NIKKEI Dividend December 19; and pays Fixed 0%	BNP Paribas	31/3/2020	265,510	(170,708)
JPY	2,400,000		Fund receives NIKKEI Dividend December 19; and pays Fixed 0%	BNP Paribas	31/3/2020	328,770	(346,042)
EUR	34,500		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	18/12/2020	11,258	19,222
EUR	18,400		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	18/12/2020	(14,339)	8,202
EUR	16,100		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	18/12/2020	(8,114)	10,765
EUR	18,500		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	18/12/2020	(4,568)	(4,123)
EUR	13,800		Fund receives EURO STOXX 50 Dividend; and pays Fixed 0%	BNP Paribas	18/12/2020	(10,977)	12,302
USD	144,750		Fund receives S&P 500 Annual Dividend Index; and pays Fixed 0%	BNP Paribas	17/12/2021	390,825	390,825
USD	116,500		Fund receives S&P 500 Annual Dividend Index; and pays Fixed 0%	Goldman Sachs	17/12/2020	259,213	259,213
合計(米ドル原資産エクスポージャー-188,332,149米ドル)						5,391,672	499,657

(10)通貨スワップ明細表
2016年8月31日現在

	額面価額		銘柄	契約相手	満期日	未実現損失(米ドル)	時価 (米ドル)
JPY	(4,626,000,000)		Fund pays JPY 0.1% Fixed; and receives USD 1.23% Fixed	Bank of America	15/3/2017	(6,540,558)	(6,540,558)
JPY	(4,870,300,000)		Fund pays JPY 0.1% Fixed; and receives USD 1.8375% Fixed	Bank of America	15/3/2018	(4,012,528)	(4,012,529)
JPY	(7,238,150,000)		Fund pays JPY 0.1% Fixed; and receives USD 1.963% Fixed	Bank of America	15/3/2018	(6,310,367)	(6,310,367)
合計(米ドル原資産エクスポージャー-16,321,688米ドル )						(16,863,453)	(16,863,454)

(11)売建コールオプション明細表
2016年8月31日現在

コールに係る契約数量		銘柄	契約相手	行使価格	満期日	未実現利益/(損失)(米ドル)	時価(米ドル)
(71,787,000)		OTC AUD/USD	Deutsche Bank	AUD 0.79	10/11/2016	233,339	(162,080)
(117,340,241)		OTC USD/JPY	Deutsche Bank	USD 115	15/11/2016	378,305	(146,206)
(70,729,000)		OTC AUD/USD	Goldman Sachs	AUD 0.8	9/11/2016	366,415	(87,443)
(118,115,401)		OTC USD/JPY	JP Morgan	USD 117	4/10/2016	484,037	(33,308)
(77,661,000)		OTC NZD/USD	JP Morgan	NZD 0.725	10/11/2016	(517,162)	(1,106,452)
(76,688,000)		OTC NZD/USD	Morgan Stanley	NZD 0.73	8/11/2016	(288,406)	(893,755)
(599,038)		Johnson & Johnson	Barclays	USD 110	20/1/2017	(3,935,206)	(6,541,021)
(8,819)		Safety FirstTrust Series2009-2	Citibank	EUR 125	16/9/2016	21,809	(12)
(79,410)		S&P 500 Index	Credit Suisse	USD 2,240	16/9/2016	561,403	(56,963)
(35,763)		Alexion Pharmaceuticals Inc	Credit Suisse	USD 125	18/11/2016	(105,422)	(349,683)
(1,769,017)		General Electric	Deutsche Bank	USD 32.5	20/1/2017	935,871	(965,822)
(738,189)		QUALCOMM Inc	Deutsche Bank	USD 70	19/5/2017	(831,849)	(1,385,490)
(127,409)		Unilever NV	Goldman Sachs	EUR 43	16/9/2016	150,033	(5,631)
(593,125)		SPDR Gold Trust	JP Morgan	USD 137	16/9/2016	672,713	(9,381)
(607,700)		SPDR Gold Trust	JP Morgan	USD 140	16/9/2016	1,090,100	(3,760)
(293,636)		SPDR Gold Trust	JP Morgan	USD 150	21/10/2016	182,761	(13,917)
(593,125)		SPDR Gold Trust	JP Morgan	USD 145	16/12/2016	575,456	(296,438)
(7,849)		SX5E Index Link	Morgan Stanley	EUR 3,450	17/3/2017	(52,671)	(254,288)
(592,507)		SPDR Gold Trust	Societe Generale	USD 145	20/1/2017	(51,725)	(496,105)
(2,083,304)		General Electric	UBS	USD 31	16/9/2016	822,218	(969,423)

コールに係る契約数量		銘柄	契約相手	行使価格	満期日	未実現利益/(損失)(米ドル)	時価(米ドル)
(690,538)		Apple Inc	UBS	USD 130	15/9/2017	719,112	(1,668,134)
(2,315)		Altria Group Inc	Exchange Traded	USD 67.5	16/9/2016	319,574	(23,150)
(2,315)		Altria Group Inc	Exchange Traded	USD 67.5	16/12/2016	252,924	(297,477)
(69)		Biogen Inc	Exchange Traded	USD 325	21/10/2016	(28,802)	(64,515)
(2,663)		Mondelez International Inc	Exchange Traded	USD 43	16/9/2016	181,962	(564,556)
(6,066)		SPDR Gold Shares	Exchange Traded	USD 145	30/9/2016	1,061,281	(24,264)
(5,827)		SPDR Gold Shares	Exchange Traded	USD 145	18/11/2016	237,495	(168,983)
(1,359)		Tiffany & Co	Exchange Traded	USD 75	17/2/2017	111,531	(468,855)
(1,359)		Tiffany & Co	Exchange Traded	USD 72.5	17/2/2017	(128,418)	(608,153)
(1,884)		Williams-Sonoma Inc	Exchange Traded	USD 55	18/11/2016	158,813	(447,450)
合計(米ドル原資産エクスポージャー-283,292,068米ドル)						3,577,491	(18,112,715)

(12)売建プットオプション明細表
2016年8月31日現在

プットに係る契約数量		銘柄	契約相手	行使価格	満期日	未実現利益/(損失)(米ドル)		時価(米ドル)
(71,787,000)		OTC AUD/USD	Deutsche Bank	AUD 0.67	10/11/2016	541,689		(46,155)
(117,340,241)		OTC USD/JPY	Deutsche Bank	USD 98	15/11/2016	13,025		(904,576)
(118,840,000)		OTC USD/JPY	Goldman Sachs	USD 100.5	8/9/2016	974,250		(78,315)
(70,729,000)		OTC AUD/USD	Goldman Sachs	AUD 0.685	9/11/2016	583,345		(82,024)
(118,115,401)		OTC USD/JPY	JP Morgan	USD 100	4/10/2016	432,421		(682,589)
(77,661,000)		OTC NZD/USD	JP Morgan	NZD 0.615	10/11/2016	564,627		(24,663)
(76,688,000)		OTC NZD/USD	Morgan Stanley	NZD 0.62	8/11/2016	399,683		(26,022)
(80,228)		S&P 500 Index	BNP Paribas	USD 1,950	30/11/2016	200,499		(1,226,757)
(15,387)		SX5E Index Link	Citibank	EUR 2,350	16/6/2017	787,570		(1,048,434)
(160,414)		S&P 500 Index	Credit Suisse	USD 1,955	18/11/2016	388,273		(2,039,031)
(738,189)		QUALCOMM Inc	Deutsche Bank	USD 40	19/5/2017	2,042,208		(393,815)
(6,554)		SX5E Index Link	Deutsche Bank	EUR 2,586.07	21/9/2018	644,396		(1,744,970)
(51,881)		S&P 500 Index	Morgan Stanley	USD 2,000	16/9/2016	294,117		(43,110)
(208,000)		Prudential Financial Inc	Morgan Stanley	USD 77.5	20/1/2017	399,139		(855,110)
(4,112)		SX5E Index Link	Morgan Stanley	EUR 2,375	17/3/2017	359,784		(163,676)
(4,117)		SX5E Index Link	Morgan Stanley	EUR 2,375	17/3/2017	407,321		(141,198)
(7,849)		SX5E Index Link	Morgan Stanley	EUR 2,400	17/3/2017	135,761		(333,217)
(80,228)		S&P 500 Index	Societe Generale	USD 1,965	30/11/2016	147,104		(1,337,114)
(169,700)		Metlife Inc	UBS	USD 46	20/1/2017	(113,257)		(683,428)
(186,339)		Metlife Inc	UBS	USD 45	20/1/2017	15,512		(641,110)
(690,538)		Apple Inc	UBS	USD 100	15/9/2017	(871,544)		(5,781,583)
(69)		Biogen Inc	Exchange Traded	USD 260	21/10/2016	37,391		(17,940)
合計(米ドル原資産エクスポージャー-226,407,135米ドル)						8,383,314	(18,294,837)

(13)買建プットオプション明細表
2016年8月31日現在

プットに係る契約数量		銘柄	契約相手	行使価格	満期日	未実現利益/(損失)(米ドル)	時価(米ドル)
689,372		CBOE Volatility Index	Barclays	USD 15	21/9/2016	(247,034)	852,514
1,150,507		CBOE Volatility Index	Barclays	USD 16	19/10/2016	(462,326)	1,643,102
80,228		S&P 500 Index	BNP Paribas	USD 2,125	30/11/2016	(415,718)	3,491,385
230,305		CBOE Volatility Index	Citibank	USD 15	21/9/2016	(98,190)	284,808
79,410		S&P 500 Index	Credit Suisse	USD 2,130	16/9/2016	(1,544,601)	559,764
160,414		S&P 500 Index	Credit Suisse	USD 2,130	18/11/2016	(712,361)	6,321,071
1,932,445		Gentex Corp	Morgan Stanley	USD 12.5	16/9/2016	(2,314,304)	1,543
51,881		S&P 500 Index	Morgan Stanley	USD 2,125	16/9/2016	(921,612)	331,314
230,218		CBOE Volatility Index	Societe Generale	USD 16	21/9/2016	109,422	443,238
80,228		S&P 500 Index	Societe Generale	USD 2,140	30/11/2016	(211,914)	3,843,852
合計(米ドル原資産エクスポージャー-357,578,498米ドル)						(6,818,638)	17,772,591

(14)買建コールオプション明細表
2016年8月31日現在

コールに係る契約数量		銘柄	契約相手	行使価格	満期日	未実現利益/(損失)(米ドル)	時価(米ドル)
117,340,241		OTC USD/JPY	Deutsche Bank	USD 108.5	15/11/2016	(1,473,324)	756,141
118,840,000		OTC USD/JPY	Goldman Sachs	USD 110.5	8/9/2016	(2,119,749)	17,113
118,115,401		OTC USD/JPY	JP Morgan	USD 110	4/10/2016	(2,009,497)	218,159
411,802		Apple Inc	Citibank	USD 100	16/9/2016	(684,141)	2,692,636
230,305		CBOE Volatility Index	Citibank	USD 22	19/10/2016	(91,322)	206,554
15,387		SX5E Index Link	Citibank	EUR 3,150	16/6/2017	(1,218,764)	2,069,352
94,574		STOXX Europe 600 Index	Credit Suisse	EUR 345	16/9/2016	(598,846)	427,916
121,552		STOXX Europe 600 Index	Credit Suisse	EUR 355.6145	17/3/2017	(1,886,250)	1,552,674
738,189		QUALCOMM Inc	Deutsche Bank	USD 52.5	19/5/2017	5,555,610	8,785,556
6,554		SX5E Index Link	Deutsche Bank	EUR 3,426.55	21/9/2018	(1,543,056)	846,310
613,267		Aflac Inc	Goldman Sachs	USD 85	19/1/2018	(540,103)	764,070
390,520		Allstate Corp/The	Goldman Sachs	USD 80	19/1/2018	(605,723)	451,220
852,698		BB&T Corp	Goldman Sachs	USD 40	19/1/2018	167,796	1,907,300
872,875		Capital One Financial Corp	Goldman Sachs	USD 80	19/1/2018	1,042,035	3,815,858
1,196,200		Charles Schwab Corp/The	Goldman Sachs	USD 40	19/1/2018	381,255	1,265,605
524,564		CIT Group Inc	Goldman Sachs	USD 42	19/1/2018	495,404	1,437,101
1,196,200		Citigroup	Goldman Sachs	USD 55	19/1/2018	640,523	3,475,876
419,751		CME Group Inc/IL	Goldman Sachs	USD 115	19/1/2018	1,179,547	2,567,831
733,547		Comerica Inc	Goldman Sachs	USD 55	19/1/2018	639,937	2,061,405
1,086,389		E*TRADE Financial Corp	Goldman Sachs	USD 35	19/1/2018	300,481	1,519,084
1,196,200		Fifth Third Bancorp	Goldman Sachs	USD 25	19/1/2018	222,492	814,372
1,079,976		Franklin Resources Inc	Goldman Sachs	USD 45	19/1/2018	591,689	1,790,678
1,196,200		JP Morgan	Goldman Sachs	USD 70	19/1/2018	1,800,252	6,316,744

コールに係る契約数量		銘柄	契約相手	行使価格	満期日	未実現利益/(損失)(米ドル)	時価(米ドル)
1,196,200		KeyCorp	Goldman Sachs	USD 15	19/1/2018	47,965	563,527
726,581		Lincoln National Corp	Goldman Sachs	USD 55	19/1/2018	1,127,771	2,463,081
1,196,200		Manulife Financial Corp	Goldman Sachs	CAD 22	19/1/2018	(304,883)	316,524
1,196,200		Metlife Inc	Goldman Sachs	USD 52.5	19/1/2018	211,627	1,756,879
1,196,200		Morgan Stanley	Goldman Sachs	USD 35	19/1/2018	1,933,154	3,150,527
1,196,200		Regions Financial Corp	Goldman Sachs	USD 12	19/1/2018	9,785	358,238
809,316		State Street Corp	Goldman Sachs	USD 72.5	19/1/2018	3,904,077	5,456,184
1,196,200		SunTrust Bank Inc	Goldman Sachs	USD 55	19/1/2018	(525,672)	1,010,728
1,196,200		Synchrony Financial	Goldman Sachs	USD 35	19/1/2018	(276,849)	1,238,138
1,019,566		TD Ameritrade Holding Corp	Goldman Sachs	USD 40	19/1/2018	626,172	1,614,947
369,950		Travelers Cos Inc/The	Goldman Sachs	USD 135	19/1/2018	(490,906)	928,592
1,196,200		Wells Fargo & Co	Goldman Sachs	USD 55	19/1/2018	297,037	2,997,219
980,759		Zions Bancorporation	Goldman Sachs	USD 35	19/1/2018	523,495	1,448,351
607,700		SPDR Gold Trust	JP Morgan	USD 120	16/9/2016	(404,400)	3,132,414
593,125		SPDR Gold Trust	JP Morgan	USD 125	16/9/2016	(1,560,676)	862,239
415,188		SPDR Gold Trust	JP Morgan	USD 100	16/9/2016	1,267,706	10,356,171
293,636		SPDR Gold Trust	JP Morgan	USD 127	21/10/2016	(559,762)	599,572
593,125		SPDR Gold Trust	JP Morgan	USD 125	16/12/2016	(645,917)	2,580,683
320,288		SPDR Gold Trust	JP Morgan	USD 100	16/12/2016	851,350	8,045,018
416,000		Prudential Financial Inc	Morgan Stanley	USD 87.5	20/1/2017	(2,874,673)	595,461
7,849		SX5E Index Link	Morgan Stanley	EUR 3,125	17/3/2017	161,850	1,108,572
4,117		SX5E Index Link	Morgan Stanley	EUR 3,025	17/3/2017	(125,832)	814,912
4,112		SX5E Index Link	Morgan Stanley	EUR 3,025	17/3/2017	(176,106)	813,922
230,218		CBOE Volatility Index	Societe Generale	USD 22	16/11/2016	(161,649)	356,342

コールに係る契約数量		銘柄	契約相手	行使価格	満期日	未実現利益/(損失)(米ドル)		時価(米ドル)
592,507		SPDR Gold Trust	Societe Generale	USD 121	20/1/2017	1,778,076	4,275,789
372,678		Metlife Inc	UBS	USD 50	20/1/2017	(1,666,196)	132,700
339,400		Metlife Inc	UBS	USD 52.5	20/1/2017	(1,356,768)	50,174
690,538		Apple Inc	UBS	USD 110	15/9/2017	(1,598,517)		5,586,817
69		Biogen Inc	Exchange Traded	USD 285	21/10/2016	73,184		205,965
6,066		SPDR Gold Shares	Exchange Traded	USD 125	30/9/2016	(2,068,751)		1,376,982
5,827		SPDR Gold Shares	Exchange Traded	USD 130	18/11/2016	(1,120,187)		1,124,611
合計(米ドル原資産エクスポージャー-959,096,869米ドル)						(2,858,249)		111,080,834

(15)買建スワップション明細表
2016年8月31日現在

	額面価額			銘柄	契約相手	満期日	未実現損失(米ドル)	時価 (米ドル)
USD	467,155,000			Fund purchases a call option to enter into an Interest Rate Swap.If exercised Fund receives 1.14% Fixed semi-annually from 17/5/2017; and pays Floating USD LIBOR 3 Month BBA quarterly from 17/2/2017	Deutsche Bank	15/11/2016	(1,355,217)	2,148,446
JPY	3,384,694,000			Fund purchases a put option (expiring 4/4/2018) to enter into an Interest Rate Swap (Deutsche Bank). If exercised Fund receives Floating JPY LIBOR 6 Month BBA semi-annually from 6/10/2018; and pays 1.07% Fixed semi-annually from 6/10/2018	Deutsche Bank	4/4/2018	(683,241)	30,591
GBP	235,700,000			Fund purchases a put option to enter into an Interest Rate Swap.If exercised Fund receives Floating GBP LIBOR 6 Month BBA semi-annually from 15/3/2017; and pays 1.62% Fixed semi-annually from 15/3/2017	Goldman Sachs	15/9/2016	(1,470,631)	-
GBP	235,700,000		Fund purchases a put option to enter into an Interest Rate Swap.If exercised Fund receives Floating GBP LIBOR 6 Month BBA semi-annually from 15/3/2017; and pays 1.22% Fixed semi-annually from 15/3/2017		Goldman Sachs	15/9/2016	(5,581,616)	99

	額面価額			銘柄	契約相手	満期日	未実現損失(米ドル)	時価 (米ドル)
USD	234,840,000		Fund purchases a put option to enter into an Interest Rate Swap.If exercised Fund receives Floating USD LIBOR 3 Month BBA quarterly from 20/12/2016; and pays 1.475% Fixed semi-annually from 20/3/2017		Goldman Sachs	16/9/2016	(2,791,778)	895,210
USD	234,840,000			Fund purchases a put option to enter into an Interest Rate Swap.If exercised Fund receives Floating USD LIBOR 3 Month BBA quarterly from 20/12/2016; and pays 1.875% Fixed semi-annually from 20/3/2017	Goldman Sachs	16/9/2016	(867,583)	1,325
合計(米ドル原資産エクスポージャー-588,548,559米ドル )							(12,750,066)	3,075,671

(16)売建スワップション明細表
2016年8月31日現在

	額面価額		銘柄	契約相手	満期日	未実現利益(米ドル)	時価 (米ドル)
USD	(467,155,000)		Fund writes a call option to enter into an Interest Rate Swap. If exercised Fund receives Floating USD LIBOR 3 Month BBA quarterly from 17/2/2017; and pays 0.94% Fixed semi-annually from 17/5/2017	Deutsche Bank	15/11/2016	1,039,420	(759,127)
USD	(467,155,000)		Fund writes a put option to enter into an Interest Rate Swap. If exercised Fund receives 1.44% Fixed semi-annually from 17/5/2017; and pays Floating USD LIBOR 3 Month BBA quarterly from 17/2/2017	Deutsche Bank	15/11/2016	566,659	(1,150,136)
GBP	(471,400,000)		Fund writes a put option to enter into an Interest Rate Swap. If exercised Fund receives 1.42% Fixed semi-annually from 15/3/2017; and pays Floating GBP LIBOR 6 Month BBA semi-annually from 15/3/2017	Goldman Sachs	15/9/2016	5,849,096	(6)
USD	(469,680,000)		Fund writes a put option to enter into an Interest Rate Swap. If exercised Fund receives 1.675% Fixed semi-annually from 20/3/2017; and pays Floating USD LIBOR 3 Month BBA quarterly from 20/12/2016	Goldman Sachs	16/9/2016	3,508,838	(131,182)
USD	(233,477,800)		Fund writes a put option to enter into an Interest Rate Swap. If exercised Fund receives 1.25% Fixed semi-annually from 20/4/2017; and pays Floating USD LIBOR 3 Month BBA quarterly from 20/1/2017	Goldman Sachs	18/10/2016	173,474	(953,056)
合計(米ドル原資産エクスポージャー-963,999,008米ドル )						11,137,487	(2,993,507)

金融デリバティブ商品の概要	時価 米ドル
スワップ
クレジット・デフォルト・スワップ	31,413,670
通貨スワップ	(16,863,454)
金利スワップ	(6,799,554)
トータル・リターン・スワップ	499,657
スワップの時価	8,250,319
買建オプション/スワップション
買建コールオプション	111,080,834
買建プットオプション	17,772,591
買建スワップション	3,075,671
買建オプション/スワップションの時価	131,929,096
売建オプション/スワップション
売建コールオプション	(18,112,715)
売建プットオプション	(18,294,837)
売建スワップション	(2,993,507)
売建オプション/スワップションの時価	(39,401,059)
To Be Announced証券時価	314,854,275

	未実現利益/(損失) 米ドル
先物取引	(8,422,386)
外国為替予約	4,278,042