EFTA01372368.pdf

(b) Asset Type End of year (i) Exchange-Traded Equity Securities (ii) Non Exchange-Traded Equity Securities (Hi) U.S. Government/Agency Bonds (iv) U.S. State and Local Bonds (v) Sovereign Bonds % (vi) Investment Grade Corporate Bonds % (vii) Non-Investment Grade Corporate Bonds % (viii) Derivatives % (ix) Securities Issued by Registered Investment Companies or Business Development Companies % (x) Securities Issued by Pooled Investment Vehicles (other than Registered Investment Companies or Business Development 0 Companies) (xi) Cash and Cash Equivalents % (xii) Other Generally describe any assets included in "Other" SECTION 5.K.(2) Separately Managed Accounts - Use of Borrowingsand Derivatives r No information is required to be reported in this Section 5.K.(2) per the instructions of this Section 5.K.(2) If your regulatory assets under management attributable to separately managed accounts are at least $10 billion, you should complete Question (a). If your regulatory assets under management attributable to separately managed accounts are at least $500 million but less than $10 billion, you should complete Question (b). (a) In the table below, provide the following information regarding the separately managed accounts you advise. If you are a subadviser to a separately managed account, you should only provide information with respect to the portion of the account that you subadvise. End of year refers to the date used to calculate your regulatory assets under management for purposes of your annual updating amendment. Mid-year is the date six months before the end of year date. In column 1, indicate the regulatory assets under management attributable to separately managed accounts associated with each level of gross notional exposure. For purposes of this table, the gross notional exposure of an account is the percentage obtained by dividing (i) the sum of (a) the dollar amount of any borrowings and (b) the gross notional value of all derivatives, by (ii) the regulatory assets under management of the account. In column 2, provide the dollar amount of borrowings for the accounts included in column 1. In column 3, provide aggregate gross notional value of derivatives divided by the aggregate regulatory assets under management of the accounts included in column 1 with respect to each category of derivatives specified in 3(a) through (f). You may, but are not required to, complete the table with respect to any separately managed account with regulatory assets under management of less than $10,000,000. Any regulatory assets under management reported in Item S.D.(3)(d), (e), and (f) should not be reported below. (i) Mid-Year Gross Notional (1) Regulatory Assets (2) Exposure Under Management Borrowings (3) Derivative Exposures (a) Interest (b) Foreign Rate Exchange (c) Credit (d) Equity (e) Commodity (f) Other Derivative Derivative Derivative Derivative Derivative Derivative — — — — — — — — — — % % ok Less than 10% $ $ I % % % 10-149% $ $ % % % % % — ....__ I % .. 150% or more $ $ % % % % 0A, I % Optional: Use the space below to provide a narrative description of the strategies and/or manner in which borrowings and derivatives are used in the management of the separately managed accounts that you advise. (ii) End of Year Gross Notional (1) Regulatory Assets (2) Exposure Under Management Borrowings (3) Derivative Exposures (a) Interest (b) Foreign CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0066063 CONFIDENTIAL SDNY_GM_00212247 EFTA01372368