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NOK Currency. Maturity 4-24 Months 02/12/20 Orkla ASA 1570193.93000000 USD 85467.63000000 USD Gjensidige Forsikring ASA 176134.84000000 USD -24978.42000000 USD Subsea 7 SA 4266408.35000000 USD -233226.49000000 USD Norsk Hydro ASA 2102607.85000000 USD -153641.55000000 USD Schibsted ASA, Class A 1997737.93000000 USD -513690.38000000 USD Leroy Seafood Group ASA 2226596.84000000 USD 86733.92000000 USD Equinor ASA 2562125.04000000 USD -254414.00000000 USD Adevinta ASA 514290.74000000 USD -210883.14000000 USD Yara International ASA 1028137.36000000 USD -11914.81000000 USD Salmar ASA 3571656.45000000 USD 697824.03000000 USD Y 2020-02-12 0 USD 0 USD 20015889 USD -532723.19 N N N N/A N/A N/A 1.00000000 NC N/A 14760.84000000 0.001461567333 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 747857.42000000 USD 734124.00000000 CHF 2020-03-18 14760.84 N N N N/A N/A N/A 1.00000000 NC N/A 15346.30000000 0.001519537558 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 547040.61000000 USD 799916.00000000 AUD 2020-03-18 15346.3 N N N N/A N/A N/A 1.00000000 NC N/A 3284.68000000 0.000325237655 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 75355.45000000 USD 690250.00000000 NOK 2020-03-18 3284.68 N N N N/A N/A N/A 1.00000000 NC N/A 16761.45000000 0.001659660817 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 647880.93000000 USD 6202750.00000000 SEK 2020-03-18 16761.45 N N N N/A N/A N/A 1.00000000 NC N/A -5083.58000000 -0.00050335851 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1061859.00000000 NOK 115893.94000000 USD 2020-03-18 -5083.58 N N N N/A N/A N/A 1.00000000 NC N/A -4066.43000000 -0.00040264383 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 227186.00000000 EUR 251972.18000000 USD 2020-03-18 -4066.43 N N N N/A N/A N/A 1.00000000 NC N/A 15517.97000000 0.001536535728 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 849558.19000000 USD 767592.00000000 EUR 2020-03-18 15517.97 N N N N/A N/A N/A 1.00000000 NC N/A -5029.20000000 -0.00049797399 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 621160.00000000 SGD 457153.76000000 USD 2020-03-18 -5029.2 N N N N/A N/A N/A 1.00000000 NC N/A -237.38000000 -0.00002350454 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 11961.00000000 CHF 12187.87000000 USD 2020-03-18 -237.38 N N N N/A N/A N/A 1.00000000 NC N/A -283.10000000 -0.00002803158 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 11596.00000000 CHF 11762.99000000 USD 2020-03-18 -283.1 N N N N/A N/A N/A 1.00000000 NC N/A -1596.67000000 -0.00015809674 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 349984.00000000 NOK 38276.98000000 USD 2020-03-18 -1596.67 N N N N/A N/A N/A 1.00000000 NC N/A -4005.67000000 -0.00039662759 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 221902.00000000 EUR 246077.88000000 USD 2020-03-18 -4005.67 N N N N/A N/A N/A 1.00000000 NC N/A 102.32000000 0.000010131372 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 70025.83000000 USD 241188.00000000 ILS 2020-03-18 102.32 N N N N/A N/A N/A 1.00000000 NC N/A -891.08000000 -0.00008823166 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 40809000.00000000 JPY 376304.30000000 USD 2020-03-18 -891.08 N N N N/A N/A N/A 1.00000000 NC N/A -212.02000000 -0.00002099348 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 330000.00000000 HKD 42112.09000000 USD 2020-03-18 -212.02 N N N N/A N/A N/A 1.00000000 NC N/A 22424.91000000 0.002220437042 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 740194.39000000 USD 734125.00000000 CHF 2020-03-18 22424.91 N N N N/A N/A N/A 1.00000000 NC N/A -33.30000000 -0.00000329725 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1243000.00000000 SEK 133157.70000000 USD 2020-03-18 -33.3 N N N N/A N/A N/A 110.00000000 NC -348270.17000000 -0.03448450791 N/A DE AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SPI 200 Index XC0006013624 2020-03-19 18158250 AUD -348270.17 N N N N/A N/A N/A 1.00000000 NC N/A -22471.29000000 -0.00222502942 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1236444.00000000 EUR 1371001.06000000 USD 2020-03-18 -22471.29 N N N N/A N/A N/A 1.00000000 NC N/A 29.36000000 0.000002907125 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 70098.79000000 USD 241188.00000000 ILS 2020-03-18 29.36 N N N N/A N/A N/A 1.00000000 NC N/A -16750.07000000 -0.00165853400 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1546500.00000000 EUR 1726155.38000000 USD 2020-03-18 -16750.07 N N N N/A N/A N/A 1.00000000 NC N/A 33302.91000000 0.003297538986 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1311963.74000000 USD 1013500.00000000 GBP 2020-03-18 33302.91 N N N N/A N/A 000000000 940052505.49000001 PA USD -7116582.46999999 -0.70465938698 N/A DE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A Rec/pay the total return of custom basket plus Fed or LIBOR +/- spread (-0.28% to 0.03%). USD Currency. Maturity 60-61 Months 04/19/23 to 01/02/25 Facebook, Inc., Class A 7945843.25000000 USD 662125.45000000 USD Norwegian Cruise Line Holdings Ltd. 8041713.57000000 USD 980096.36000000 USD Ceridian HCM Holding, Inc. 4643535.04000000 USD -1090622.38000000 USD National Fuel Gas Co. 5228163.98000000 USD 531872.98000000 USD Guidewire Software, Inc. 4161270.93000000 USD -894319.03000000 USD MAXIMUS, Inc. 4709110.17000000 USD 678220.95000000 USD Pinnacle West Capital Corp. 3077944.18000000 USD -51616.53000000 USD Associated Banc-Corp. 3333682.24000000 USD -68728.24000000 USD Adient plc 2061823.75000000 USD -547543.12000000 USD Microsoft Corp. 2281445.90000000 USD -92473.46000000 USD Six Flags Entertainment Corp. 2010778.25000000 USD -69584.09000000 USD Kimberly-Clark Corp. 5368163.85000000 USD 701233.80000000 USD Marriott International, Inc., Class A 1690867.38000000 USD 264041.21000000 USD Tesla, Inc. 8071677.35000000 USD -3686798.35000000 USD Choice Hotels International, Inc. 1604406.16000000 USD -263883.90000000 USD Floor & Decor Holdings, Inc., Class A 1570841.96000000 USD -71161.45000000 USD Erie Indemnity Co., Class A 1641574.00000000 USD 361459.81000000 USD Target Corp. 816441.28000000 USD -23841.24000000 USD State Street Corp. 291167.10000000 USD -111497.49000000 USD Marriott Vacations Worldwide Corp. 248893.08000000 USD 87468.25000000 USD Mercury General Corp. 1190912.47000000 USD -29042.98000000 USD PTC, Inc. 302855.16000000 USD -7192.89000000 USD Regions Financial Corp. 252869.76000000 USD 1311.27000000 USD Huntington Bancshares, Inc. 410583.16000000 USD -23268.12000000 USD Citigroup, Inc. 597816.87000000 USD -58289.44000000 USD AES Corp. 224929.70000000 USD 57984.39000000 USD Leidos Holdings, Inc. 139297.47000000 USD -11446.80000000 USD Foot Locker, Inc. 146368.46000000 USD 3187.83000000 USD United Bankshares, Inc. 4865902.24000000 USD -546567.97000000 USD PepsiCo, Inc. 5310859.53000000 USD 690533.51000000 USD Electronic Arts, Inc. 9332620.57000000 USD 490230.54000000 USD Micron Technology, Inc. 4117611.92000000 USD 785463.80000000 USD Intuit, Inc. 3996004.08000000 USD 61676.22000000 USD Atlassian Corp. plc, Class A 3926694.20000000 USD 193873.28000000 USD Commerce Bancshares, Inc. 3805930.86000000 USD -592338.13000000 USD Truist Financial Corp. 3713346.56000000 USD -469458.53000000 USD TEGNA, Inc. 3489545.20000000 USD 60633.20000000 USD Home BancShares, Inc. 3417478.14000000 USD -55002.45000000 USD Popular, Inc. 3823391.25000000 USD 288623.33000000 USD XPO Logistics, Inc. 3883462.20000000 USD -1181672.18000000 USD Xilinx, Inc. 3142327.80000000 USD -886147.01000000 USD Qurate Retail, Inc., Series A 3390427.98000000 USD -993343.05000000 USD Xcel Energy, Inc. 2213070.93000000 USD -199324.01000000 USD WW International, Inc. 1498252.31000000 USD -73489.41000000 USD CyrusOne, Inc. 2782541.61000000 USD -324214.24000000 USD MKS Instruments, Inc. 1362693.87000000 USD -230828.50000000 USD Black Hills Corp. 3781308.30000000 USD -1104145.84000000 USD International Business Machines Corp. 1345493.52000000 USD -41751.14000000 USD Axis Capital Holdings Ltd. 1019217.68000000 USD -32512.42000000 USD World Wrestling Entertainment, Inc., Class A 7611651.19000000 USD 469633.62000000 USD Marsh & McLennan Cos., Inc. 986869.78000000 USD -54111.04000000 USD TripAdvisor, Inc. 906022.74000000 USD 55613.09000000 USD Netflix, Inc. 2972314.02000000 USD -394780.92000000 USD Sirius XM Holdings, Inc. 1632445.10000000 USD -146163.83000000 USD Amazon.com, Inc. 5024276.96000000 USD 244224.38000000 USD Pebblebrook Hotel Trust 2250056.06000000 USD 277026.64000000 USD JB Hunt Transport Services, Inc. 855179.94000000 USD -97339.18000000 USD CIT Group, Inc. 1107531.36000000 USD -3114.66000000 USD Fidelity National Financial, Inc. 2178568.65000000 USD 383403.68000000 USD Cadence Design Systems, Inc. 3943046.64000000 USD 1321972.43000000 USD Qorvo, Inc. 4019117.17000000 USD 1495423.85000000 USD Williams-Sonoma, Inc. 724338.72000000 USD 49734.01000000 USD Wayfair, Inc., Class A 4270524.72000000 USD -51852.97000000 USD Conagra Brands, Inc. 6133000.32000000 USD -2045978.51000000 USD Altria Group, Inc. 536931.78000000 USD 4702.60000000 USD Post Holdings, Inc. 494441.20000000 USD -130521.60000000 USD Global Payments, Inc. 1985340.00000000 USD -613883.56000000 USD Visteon Corp. 3629246.67000000 USD -424311.27000000 USD Exelon Corp. 6934102.23000000 USD -381562.74000000 USD Murphy USA, Inc. 3002103.00000000 USD 826858.85000000 USD LiveRamp Holdings, Inc. 1752776.41000000 USD -57588.19000000 USD First Financial Bankshares, Inc. 1931728.50000000 USD -208530.40000000 USD Kohl's Corp. 1648691.05000000 USD 31059.98000000 USD VICI Properties, Inc. 2814000.35000000 USD -421585.14000000 USD Planet Fitness, Inc., Class A 1005566.20000000 USD -3482.62000000 USD PPL Corp. 1187628.00000000 USD -275295.49000000 USD Five Below, Inc. 480625.74000000 USD -12867.69000000 USD Bunge Ltd. 2206236.80000000 USD 111619.74000000 USD CNA Financial Corp. 364663.78000000 USD 2180.65000000 USD Assurant, Inc. 388521.12000000 USD -16350.68000000 USD Workday, Inc., Class A 340082.60000000 USD 8787.25000000 USD Harley-Davidson, Inc. 1073080.26000000 USD -65043.06000000 USD salesforce.com, Inc. 344471.52000000 USD 28188.44000000 USD Eldorado Resorts, Inc. 1331463.00000000 USD -34168.36000000 USD Tractor Supply Co. 2599033.60000000 USD -160605.76000000 USD Rollins, Inc. 1725215.32000000 USD -33447.65000000 USD Dollar General Corp. 670402.04000000 USD 74741.67000000 USD Liberty Global plc, Class C 204023.00000000 USD -2168.73000000 USD Semtech Corp. 1330487.90000000 USD 62850.87000000 USD Progressive Corp. (The) 44013.12000000 USD -2827.20000000 USD LogMeIn, Inc. 226182.12000000 USD -18502.46000000 USD IAC/InterActiveCorp 142740.03000000 USD -11578.70000000 USD Grand Canyon Education, Inc. 950715.75000000 USD -79200.87000000 USD Spotify Technology SA 158672.55000000 USD 7595.95000000 USD Ford Motor Co. 184484.10000000 USD 8728.28000000 USD Coupa Software, Inc. 4963725.00000000 USD -219620.14000000 USD Booz Allen Hamilton Holding Corp. 4420658.37000000 USD 1666909.12000000 USD General Motors Co. 2006448.60000000 USD 5390.55000000 USD Advanced Micro Devices, Inc. 3046021.20000000 USD -986595.21000000 USD RealPage, Inc. 949493.75000000 USD 95557.13000000 USD Synaptics, Inc. 118122.92000000 USD 15185.38000000 USD Aaron's, Inc. 1067785.67000000 USD 127596.60000000 USD RingCentral, Inc., Class A 4022442.16000000 USD -792778.35000000 USD Stifel Financial Corp. 2510364.15000000 USD -99649.12000000 USD Starbucks Corp. 1342098.80000000 USD -116166.65000000 USD CDK Global, Inc. 1070907.80000000 USD -43200.08000000 USD Skyworks Solutions, Inc. 3408936.88000000 USD 1129058.39000000 USD Tyson Foods, Inc., Class A 10898216.32000000 USD 2929065.46000000 USD Cinemark Holdings, Inc. 368829.60000000 USD -30207.28000000 USD CACI International, Inc., Class A 3395114.19000000 USD 446185.97000000 USD Dana, Inc. 2605894.20000000 USD 535277.28000000 USD Southwest Airlines Co. 2258361.26000000 USD 76282.69000000 USD Best Buy Co., Inc. 2804507.60000000 USD 213602.67000000 USD Zscaler, Inc. 1865952.00000000 USD -46101.22000000 USD American Airlines Group, Inc. 5045787.12000000 USD -5705.48000000 USD Omnicom Group, Inc. 1106085.04000000 USD -15563.28000000 USD Dollar Tree, Inc. 713181.15000000 USD 9309.43000000 USD MGM Resorts International 817710.06000000 USD -33212.74000000 USD Lam Research Corp. 4763780.80000000 USD 1849810.11000000 USD Advance Auto Parts, Inc. 763322.56000000 USD -9573.16000000 USD Coty, Inc., Class A 2103345.00000000 USD 72915.53000000 USD JPMorgan Chase & Co. 705085.20000000 USD 172983.60000000 USD International Game Technology plc 429159.96000000 USD -3722.74000000 USD Brink's Co. (The) 504543.52000000 USD -56672.83000000 USD Webster Financial Corp. 1415267.28000000 USD 160651.60000000 USD Southern Co. (The) 99499.40000000 USD 3764.69000000 USD Citizens Financial Group, Inc. 1348211.39000000 USD 151621.15000000 USD Fidelity National Information Services, Inc. 166908.00000000 USD 4014.56000000 USD Smartsheet, Inc., Class A 316281.72000000 USD -65931.14000000 USD Take-Two Interactive Software, Inc. 1280617.80000000 USD -17524.46000000 USD KLA Corp. 55054.53000000 USD 14254.17000000 USD Universal Display Corp. 1331212.20000000 USD 72887.56000000 USD Ulta Beauty, Inc. 229091.70000000 USD 3508.84000000 USD Bed Bath & Beyond, Inc. 927210.80000000 USD -290954.44000000 USD Vail Resorts, Inc. 56360.05000000 USD 255.92000000 USD Visa, Inc., Class A 982904.90000000 USD -33546.48000000 USD New York Times Co. (The), Class A 3568682.44000000 USD 136446.36000000 USD Mastercard, Inc., Class A 597478.59000000 USD 18236.38000000 USD Western Union Co. (The) 279583.20000000 USD -18164.88000000 USD Adtalem Global Education, Inc. 549833.31000000 USD -199228.91000000 USD Papa John's International, Inc. 5692530.45000000 USD -1149661.23000000 USD AutoZone, Inc. 587315.83000000 USD -44510.63000000 USD MSCI, Inc. 54475.98000000 USD 7600.22000000 USD Citrix Systems, Inc. 639005.80000000 USD -65386.04000000 USD Dick's Sporting Goods, Inc. 213252.41000000 USD -7478.45000000 USD Pegasystems, Inc. 104022.90000000 USD 13138.36000000 USD Discovery, Inc., Class A 3385807.10000000 USD -249078.72000000 USD EPAM Systems, Inc. 34582.08000000 USD -4758.58000000 USD Pluralsight, Inc., Class A 1658011.40000000 USD -45428.27000000 USD Cree, Inc. 872834.95000000 USD -114141.26000000 USD Cousins Properties, Inc. 238259.60000000 USD -20203.96000000 USD Dunkin' Brands Group, Inc. 1096614.18000000 USD 7803.76000000 USD First Citizens BancShares, Inc., Class A 663133.66000000 USD 100198.97000000 USD Insperity, Inc. 1039879.44000000 USD -410692.15000000 USD Washington Federal, Inc. 1990901.30000000 USD -313880.23000000 USD FedEx Corp. 353528.98000000 USD 3764.18000000 USD Spectrum Brands Holdings, Inc. 481917.84000000 USD -112814.80000000 USD JetBlue Airways Corp. 1116704.16000000 USD 28251.33000000 USD BOK Financial Corp. 482448.00000000 USD -8609.62000000 USD Fortinet, Inc. 2932163.40000000 USD 801771.37000000 USD American Express Co. 137187.98000000 USD 2325.22000000 USD Extended Stay America, Inc. 1212204.50000000 USD -58696.23000000 USD Applied Materials, Inc. 6823478.48000000 USD 2031189.35000000 USD SS&C Technologies Holdings, Inc. 568134.20000000 USD 6986.33000000 USD Trade Desk, Inc. (The), Class A 647631.54000000 USD -25070.41000000 USD Hilton Worldwide Holdings, Inc. 14861.94000000 USD 76.81000000 USD NortonLifeLock, Inc. 1665026.88000000 USD 54803.63000000 USD BancorpSouth Bank 945221.13000000 USD -8082.36000000 USD Prosperity Bancshares, Inc. 3592271.41000000 USD 91460.01000000 USD Brown-Forman Corp., Class B 633547.20000000 USD -101094.14000000 USD GoDaddy, Inc., Class A 459410.88000000 USD -29863.15000000 USD Fifth Third Bancorp 2803180.60000000 USD 316655.53000000 USD Nasdaq, Inc. 244188.00000000 USD -6169.63000000 USD Euronet Worldwide, Inc. 350255.88000000 USD 7422.03000000 USD United Airlines Holdings, Inc. 1905474.79000000 USD 121371.84000000 USD CoStar Group, Inc. 315304.10000000 USD -1276.64000000 USD O'Reilly Automotive, Inc. 309411.56000000 USD -2615.22000000 USD Ameriprise Financial, Inc. 2477544.34000000 USD 571722.59000000 USD Walt Disney Co. (The) 132047.19000000 USD 13102.56000000 USD Madison Square Garden Co. (The), Class A 242412.56000000 USD -1564.11000000 USD Akamai Technologies, Inc. 2704989.70000000 USD 440299.01000000 USD Paychex, Inc. 152512.58000000 USD -8911.21000000 USD Robert Half International, Inc. 1569024.90000000 USD -89994.68000000 USD Crown Castle International Corp. 337321.95000000 USD -616.98000000 USD Southwest Gas Holdings, Inc. 4075106.77000000 USD -153161.98000000 USD United Parcel Service, Inc., Class B 27040.86000000 USD -240.48000000 USD Signet Jewelers Ltd. 1028497.66000000 USD -191069.37000000 USD Macerich Co. 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(The) 258667.90000000 USD 32429.93000000 USD Avis Budget Group, Inc. 553850.96000000 USD 37903.38000000 USD Zions Bancorp NA 372318.32000000 USD -15317.19000000 USD News Corp., Class A 40355.56000000 USD -121.46000000 USD Wynn Resorts Ltd. 266074.92000000 USD 32562.39000000 USD Paycom Software, Inc. 236430.68000000 USD -49879.48000000 USD Science Applications International Corp. 204235.94000000 USD 9918.19000000 USD CME Group, Inc. 285223.12000000 USD 17037.79000000 USD Macy's, Inc. 161364.00000000 USD 2238.42000000 USD Boyd Gaming Corp. 60239.28000000 USD -12153.95000000 USD People's United Financial, Inc. 435631.30000000 USD 15136.37000000 USD Equifax, Inc. 3071990.88000000 USD -74211.62000000 USD Waste Connections, Inc. 106587.46000000 USD -310.43000000 USD Church & Dwight Co., Inc. 60703.42000000 USD 1716.50000000 USD CSX Corp. 166500.36000000 USD 18292.95000000 USD Bright Horizons Family Solutions, Inc. 58613.10000000 USD -3081.00000000 USD WEC Energy Group, Inc. 3564043.89000000 USD -410542.88000000 USD Unum Group 2340439.92000000 USD -640292.10000000 USD Y 2023-04-19 0 USD 0 USD 940052505 USD -718977.67 N N N N/A N/A N/A 1.00000000 NC N/A 20348.78000000 0.002014865829 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 872114.28000000 USD 1158600.00000000 CAD 2020-03-18 20348.78 N N N N/A N/A N/A 1.00000000 NC N/A -235.89000000 -0.00002335701 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 12104.00000000 CHF 12337.91000000 USD 2020-03-18 -235.89 N N N N/A N/A N/A 1.00000000 NC N/A 8493.03000000 0.000840950461 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 316269.07000000 USD 244670.00000000 GBP 2020-03-18 8493.03 N N N N/A N/A N/A 1.00000000 NC N/A -1483.20000000 -0.00014686133 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 318557.00000000 NOK 34809.98000000 USD 2020-03-18 -1483.2 N N N N/A N/A N/A 1.00000000 NC N/A -16705.52000000 -0.00165412282 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 237480500.00000000 JPY 2178313.92000000 USD 2020-03-18 -16705.52 N N N N/A N/A N/A 1.00000000 NC N/A -291.69000000 -0.00002888213 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 10186.00000000 CHF 10289.67000000 USD 2020-03-18 -291.69 N N N N/A N/A N/A 1.00000000 NC N/A 6635.62000000 0.000657036146 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 256994.17000000 USD 198614.00000000 GBP 2020-03-18 6635.62 N N N N/A N/A N/A 1.00000000 NC N/A -115.58000000 -0.00001144433 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 6500.00000000 CAD 4891.33000000 USD 2020-03-18 -115.58 N N N N/A N/A N/A 1.00000000 NC N/A 14291.94000000 0.001415138477 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 838973.26000000 USD 757112.00000000 EUR 2020-03-18 14291.94 N N N N/A N/A N/A 1.00000000 NC N/A 19023.05000000 0.001883596629 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 873440.78000000 USD 1158601.00000000 CAD 2020-03-18 19023.05 N N N N/A N/A N/A 1.00000000 NC N/A -7112.42000000 -0.00070424723 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1051500.00000000 AUD 732152.50000000 USD 2020-03-18 -7112.42 N N N N/A N/A N/A 1.00000000 NC N/A 3523.31000000 0.000348865972 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 75116.71000000 USD 690249.00000000 NOK 2020-03-18 3523.31 N N N N/A N/A N/A 33.00000000 NC -59335.39000000 -0.00587518513 N/A DE DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Long DAX Index DE0008469008 2020-03-20 10928362.5 EUR -59335.39 N N N N/A N/A N/A 1.00000000 NC N/A -324.61000000 -0.00003214175 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 11888.00000000 CHF 12024.81000000 USD 2020-03-18 -324.61 N N N N/A N/A 000000000 63958965.99000000 PA -2189833.31999999 -0.21682972288 N/A DE GB N 2 Morgan Stanley International 4PQUHN3JPFGFNF3BB653 N/A N/A Rec/pay the total return of custom basket plus CIBOR +/- spread (-0.35% to 0.35%). DKK Currency. Maturity 2-24 Months 02/12/20 H Lundbeck A/S 3690085.98000000 USD -962924.65000000 USD Chr Hansen Holding A/S 4793466.53000000 USD 691429.97000000 USD Novo Nordisk A/S, Class B 6897649.70000000 USD 416427.41000000 USD Carlsberg A/S, Class B 8536893.88000000 USD 2072024.33000000 USD Rockwool International A/S, Class B 2415146.76000000 USD -123658.76000000 USD AP Moller - Maersk A/S, Class B 9447628.32000000 USD -1468452.86000000 USD Pandora A/S 5653354.39000000 USD -390805.18000000 USD Genmab A/S 7777008.24000000 USD -2056265.79000000 USD GN Store Nord A/S 6396926.60000000 USD 1619628.99000000 USD Coloplast A/S, Class B 198497.70000000 USD 8127.99000000 USD Dfds A/S 1699853.48000000 USD -286803.33000000 USD FLSmidth & Co. A/S 489670.63000000 USD 9722.21000000 USD DSV PANALPINA A/S 3638922.53000000 USD -653260.03000000 USD Novozymes A/S, Class B 2323861.25000000 USD -293508.07000000 USD Y 2020-02-12 0 USD 0 USD 63958966 USD -1418317.72 N N N N/A N/A N/A 35688.09000000 PA 2134.39000000 0.000211339917 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI United Kingdom Net Return Index MSCI United Kingdom Net Return Index Y 2020-03-20 0 USD 0 USD 35688.09 GBP 2134.39 N N N N/A N/A N/A 1.00000000 NC N/A 28546.80000000 0.002826605420 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2596519.00000000 USD 2329251.00000000 EUR 2020-03-18 28546.8 N N N N/A N/A N/A 1.00000000 NC N/A -2489.81000000 -0.00024653237 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 217942.00000000 EUR 243130.82000000 USD 2020-03-18 -2489.81 N N N N/A N/A N/A 1.00000000 NC N/A 20022.95000000 0.001982603269 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 742595.31000000 USD 734124.00000000 CHF 2020-03-18 20022.95 N N N N/A N/A N/A 1.00000000 NC N/A -21.37000000 -0.00000211598 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1500.00000000 CAD 1134.07000000 USD 2020-03-18 -21.37 N N N N/A N/A N/A 1.00000000 NC N/A 6172.20000000 0.000611149900 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 240448.96000000 USD 185800.00000000 GBP 2020-03-18 6172.2 N N N N/A N/A N/A 2108.00000000 NC USD 5851014.96000000 0.579347268490 N/A DE US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long S&P 500 E-Mini Index US78378X1072 2020-03-20 340557940 USD 5851014.96 N N N N/A N/A N/A 1.00000000 NC N/A 9318.67000000 0.000922702479 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 882485.42000000 USD 791308.00000000 EUR 2020-03-18 9318.67 N N N N/A N/A N/A 1.00000000 NC N/A -286.52000000 -0.00002837021 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 11959.00000000 CHF 12136.66000000 USD 2020-03-18 -286.52 N N N N/A N/A N/A 1.00000000 NC N/A 13710.47000000 0.001357563328 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 548676.44000000 USD 799916.00000000 AUD 2020-03-18 13710.47 N N N N/A N/A N/A 1.00000000 NC N/A 14016.87000000 0.001387901996 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 901411.39000000 USD 812270.00000000 EUR 2020-03-18 14016.87 N N N N/A N/A N/A 1.00000000 NC N/A -960.32000000 -0.00009508756 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 46016.00000000 CHF 46841.74000000 USD 2020-03-18 -960.32 N N N N/A N/A N/A 1.00000000 NC N/A 81.83000000 0.000008102523 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2158000.00000000 HKD 276855.84000000 USD 2020-03-18 81.83 N N N N/A N/A N/A 1.00000000 NC N/A -3812.64000000 -0.00037751442 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 195485.00000000 EUR 216498.95000000 USD 2020-03-18 -3812.64 N N N N/A N/A N/A 1.00000000 NC N/A 17738.06000000 0.001756361362 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 544648.85000000 USD 799916.00000000 AUD 2020-03-18 17738.06 N N N N/A N/A N/A 1.00000000 NC N/A -258.98000000 -0.00002564330 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 12106.00000000 CHF 12316.90000000 USD 2020-03-18 -258.98 N N N N/A N/A N/A 6306.76000000 PA 145.47000000 0.000014403936 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Switzerland Net Return Index MSCI Switzerland Net Return Index Y 2020-03-20 0 USD 0 USD 6306.76 CHF 145.47 N N N United States of America 254900HROIFWPRGM1V77 912796TV1 14068000.00000000 PA USD 13988597.54000000 1.385102555746 Long STIV UST US N 2 2020-05-14 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 17584.08000000 0.001741114795 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 544802.83000000 USD 799916.00000000 AUD 2020-03-18 17584.08 N N N N/A N/A N/A 1.00000000 NC N/A 3964.64000000 0.000392564943 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 309100.40000000 USD 420750.00000000 SGD 2020-03-18 3964.64 N N N N/A N/A 000000000 101673582.90000001 PA -1593585.58000000 -0.15779133350 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N/A N/A Rec/pay the total return of custom basket plus CDOR +/- spread (-1.29% to 0.20%). CAD Currency. Maturity 13 Months 01/14/21 Constellation Software, Inc. 607003.97000000 USD 12187.61000000 USD Keyera Corp. 2199988.82000000 USD -6843.12000000 USD SNC-Lavalin Group, Inc. 5351029.76000000 USD -220629.04000000 USD Vermilion Energy, Inc. 1233695.89000000 USD -41907.41000000 USD Encana Corp. 237370.73000000 USD -6583.79000000 USD Shaw Communications, Inc., Class B 210000.50000000 USD 73.17000000 USD Canadian Tire Corp. Ltd., Class A 592555.93000000 USD -13526.64000000 USD Finning International, Inc. 1678892.84000000 USD 24292.53000000 USD Manulife Financial Corp. 397972.97000000 USD 3725.39000000 USD ARC Resources Ltd. 308264.20000000 USD -10468.72000000 USD Shopify, Inc., Class A 460815.29000000 USD 3846.14000000 USD PrairieSky Royalty Ltd. 2085520.70000000 USD 2648.23000000 USD Franco-Nevada Corp. 329197.12000000 USD -15998.77000000 USD Air Canada 9926217.03000000 USD -305320.26000000 USD CI Financial Corp. 877729.01000000 USD 5120.36000000 USD West Fraser Timber Co. Ltd. 802065.57000000 USD -8817.51000000 USD Alimentation Couche-Tard, Inc., Class B 3640779.97000000 USD -76663.60000000 USD TC Energy Corp. 5382182.40000000 USD -19700.71000000 USD National Bank of Canada 1738290.62000000 USD 2281.17000000 USD Wheaton Precious Metals Corp. 810084.60000000 USD -43168.56000000 USD Tourmaline Oil Corp. 256133.89000000 USD 11848.81000000 USD Brookfield Asset Management, Inc., Class A 186686.64000000 USD 2007.90000000 USD Cenovus Energy, Inc. 1242043.20000000 USD -27930.50000000 USD Quebecor, Inc., Class B 1350150.98000000 USD 767.91000000 USD Open Text Corp. 885300.54000000 USD -4317.62000000 USD Seven Generations Energy Ltd., Class A 253157.48000000 USD -1705.98000000 USD Element Fleet Management Corp. 2497421.37000000 USD 4248.16000000 USD Pembina Pipeline Corp. 3755626.28000000 USD 40338.66000000 USD Cameco Corp. 2313358.76000000 USD -9729.39000000 USD Inter Pipeline Ltd. 3948071.37000000 USD -11864.28000000 USD Bausch Health Cos., Inc. 176217.85000000 USD 1170.57000000 USD Agnico Eagle Mines Ltd. 1358960.93000000 USD -41017.09000000 USD Magna International, Inc. 5692052.21000000 USD -226936.50000000 USD Canada Goose Holdings, Inc. 1671370.13000000 USD 72363.75000000 USD Enbridge, Inc. 6623613.52000000 USD -52897.84000000 USD BRP, Inc. 3713200.60000000 USD -107916.68000000 USD Gildan Activewear, Inc. 485495.81000000 USD 2208.27000000 USD Canadian Imperial Bank of Commerce 1774662.17000000 USD -27129.82000000 USD Thomson Reuters Corp. 2163534.75000000 USD -32492.47000000 USD First Quantum Minerals Ltd. 1917705.35000000 USD 32657.39000000 USD Atco Ltd., Class I 742860.99000000 USD -1365.30000000 USD Power Financial Corp. 425344.82000000 USD -6780.21000000 USD Methanex Corp. 2301790.57000000 USD -60947.30000000 USD Teck Resources Ltd., Class B 3001816.89000000 USD -1594.60000000 USD Empire Co. Ltd., Class A 3485676.75000000 USD -40050.56000000 USD Stars Group, Inc. (The) 2621995.87000000 USD -105725.44000000 USD CGI, Inc. 1261728.54000000 USD -9629.38000000 USD Bombardier, Inc., Class B 2137422.79000000 USD -43983.19000000 USD Linamar Corp. 2114646.31000000 USD 9267.06000000 USD AltaGas Ltd. 2445877.62000000 USD 24673.97000000 USD Y 2021-01-14 0 USD 0 USD 101673583 USD -1327915.3 N N N N/A N/A 000000000 270883139.92000002 PA -1865452.00000000 -0.18471060629 N/A DE DE N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A N/A Rec/pay the total return of custom basket plus GBP1W +/- spread (-0.30% to 0.02%). GBP Currency. Maturity 111 Months 08/19/22 Barclays plc 6552008.34000000 USD 888261.77000000 USD HSBC Holdings plc 4325325.00000000 USD 295129.11000000 USD Hays plc 2405446.97000000 USD 365888.31000000 USD St James's Place plc 8118899.88000000 USD -1007313.62000000 USD ASOS plc 4973497.20000000 USD -871926.62000000 USD Schroders plc 1610683.47000000 USD -308212.82000000 USD Direct Line Insurance Group plc 552234.79000000 USD -1028.15000000 USD InterContinental Hotels Group plc 1869316.50000000 USD -45141.46000000 USD Coca-Cola HBC AG 2500882.31000000 USD -99301.46000000 USD Meggitt plc 4977216.23000000 USD 776189.08000000 USD Lloyds Banking Group plc 3614465.86000000 USD -714628.33000000 USD Tesco plc 4179607.78000000 USD -103801.36000000 USD DS Smith plc 2896229.92000000 USD -254373.64000000 USD Vodafone Group plc 1814286.58000000 USD 107221.32000000 USD Dunelm Group plc 2133199.00000000 USD 570817.73000000 USD Micro Focus International plc 1453221.02000000 USD 598054.20000000 USD Aviva plc 3279347.87000000 USD 218958.15000000 USD Aggreko plc 1931337.42000000 USD 42080.16000000 USD Sage Group plc (The) 632672.30000000 USD 31498.17000000 USD Close Brothers Group plc 2010005.70000000 USD 83966.26000000 USD Pearson plc 1175291.58000000 USD 106731.90000000 USD National Grid plc 3552358.15000000 USD -197579.34000000 USD RSA Insurance Group plc 177212.32000000 USD -13924.83000000 USD Capita plc 1783421.63000000 USD -80324.99000000 USD Hikma Pharmaceuticals plc 174636.64000000 USD -1936.95000000 USD Berkeley Group Holdings plc 5180003.11000000 USD 969090.31000000 USD Admiral Group plc 2303643.26000000 USD -152872.48000000 USD Croda International plc 1051059.86000000 USD -29796.79000000 USD Britvic plc 1870161.78000000 USD -26555.94000000 USD Taylor Wimpey plc 4986607.03000000 USD 623738.99000000 USD Rio Tinto plc 1595718.90000000 USD 140853.19000000 USD TUI AG 4439886.03000000 USD -674308.38000000 USD Burberry Group plc 3251515.99000000 USD 336583.59000000 USD Virgin Money UK 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plus AUD1M or BBSW +/- spread (-0.02% to 0.02%). AUD Currency. Maturity 61 Months 09/21/21 Brambles Ltd. 264543.24000000 USD -7573.66000000 USD Medibank Pvt Ltd. 222834.39000000 USD -15554.81000000 USD Aurizon Holdings Ltd. 7555341.25000000 USD 763808.11000000 USD Evolution Mining Ltd. 205645.91000000 USD -43433.93000000 USD Transurban Group 1456364.69000000 USD -262553.83000000 USD James Hardie Industries plc 5545914.46000000 USD -1868573.92000000 USD AMP Ltd. 961154.63000000 USD 17737.91000000 USD Origin Energy Ltd. 333110.74000000 USD -35020.07000000 USD CIMIC Group Ltd. 3590346.14000000 USD -338781.06000000 USD Alumina Ltd. 1113003.88000000 USD 17857.96000000 USD Flight Centre Travel Group Ltd. 260060.23000000 USD 7297.50000000 USD WorleyParsons Ltd. 3982340.86000000 USD -368855.08000000 USD Computershare Ltd. 300807.69000000 USD -12800.47000000 USD AGL Energy Ltd. 3249639.88000000 USD -120558.44000000 USD Treasury Wine Estates Ltd. 319738.47000000 USD -15149.59000000 USD Ramsay Health Care Ltd. 3334789.07000000 USD -536343.71000000 USD Sydney Airport 1237047.47000000 USD -235922.39000000 USD Bendigo & Adelaide Bank Ltd. 950420.75000000 USD -46.10000000 USD Fortescue Metals Group Ltd. 2773935.15000000 USD 534839.42000000 USD Telstra Corp. Ltd. 2946602.49000000 USD -36666.13000000 USD BlueScope Steel Ltd. 3719854.89000000 USD 653796.14000000 USD SEEK Ltd. 5321415.56000000 USD -670082.14000000 USD South32 Ltd. 1653895.68000000 USD -621747.70000000 USD Iluka Resources Ltd. 1240312.39000000 USD 11051.97000000 USD Harvey Norman Holdings Ltd. 585022.09000000 USD -1011.86000000 USD Beach Energy Ltd. 623386.16000000 USD 2292.39000000 USD Challenger Ltd. 3839978.99000000 USD 1381252.56000000 USD APA Group 1278805.04000000 USD -344350.24000000 USD REA Group Ltd. 1126969.93000000 USD -337189.70000000 USD Incitec Pivot Ltd. 366459.40000000 USD -9776.61000000 USD Y 2021-09-21 0 USD 0 USD 60359742 USD -2492057.44 N N N N/A N/A N/A 1.00000000 NC N/A 3597.23000000 0.000356185275 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 75042.90000000 USD 690250.00000000 NOK 2020-03-18 3597.23 N N N N/A N/A N/A 1.00000000 NC N/A 8368.47000000 0.000828616961 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 316393.63000000 USD 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871167.85000000 USD 786070.00000000 EUR 2020-03-18 14733.01 N N N N/A N/A N/A 1.00000000 NC N/A 537.14000000 0.000053185745 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 69591.01000000 USD 241188.00000000 ILS 2020-03-18 537.14 N N N N/A N/A N/A 1.00000000 NC N/A -7145.82000000 -0.00070755438 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1411843.00000000 NOK 153705.35000000 USD 2020-03-18 -7145.82 N N N N/A N/A N/A 1.00000000 NC N/A -2508.25000000 -0.00024835824 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 226000.00000000 SGD 165650.27000000 USD 2020-03-18 -2508.25 N N N N/A N/A N/A 1.00000000 NC N/A -921.14000000 -0.00009120809 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 46426.00000000 CHF 47306.84000000 USD 2020-03-18 -921.14 N N N N/A N/A N/A 1.00000000 NC N/A -202.43000000 -0.00002004391 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 10186.00000000 CHF 10378.93000000 USD 2020-03-18 -202.43 N N N N/A N/A N/A 1.00000000 NC N/A -5915.32000000 -0.00058571453 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 317500.00000000 CAD 238653.14000000 USD 2020-03-18 -5915.32 N N N N/A N/A N/A 1.00000000 NC N/A 8913.69000000 0.000882602760 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 331253.61000000 USD 256276.00000000 GBP 2020-03-18 8913.69 N N N N/A N/A N/A 1.00000000 NC N/A 389.86000000 0.000038602589 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 69738.29000000 USD 241188.00000000 ILS 2020-03-18 389.86 N N N N/A N/A N/A 1.00000000 NC N/A -5909.76000000 -0.00058516399 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1094000.00000000 CAD 836792.28000000 USD 2020-03-18 -5909.76 N N N N/A N/A N/A 1.00000000 NC N/A -13607.25000000 -0.00134734284 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1235172.00000000 EUR 1378431.55000000 USD 2020-03-18 -13607.25 N N N N/A N/A N/A 1.00000000 NC N/A 3225.10000000 0.000319338249 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 75415.03000000 USD 690250.00000000 NOK 2020-03-18 3225.1 N N N N/A N/A N/A 1.00000000 NC N/A -1483.24000000 -0.00014686529 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 318556.00000000 NOK 34809.82000000 USD 2020-03-18 -1483.24 N N N N/A N/A N/A 1.00000000 NC N/A -7382.63000000 -0.00073100249 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1411843.00000000 NOK 153468.54000000 USD 2020-03-18 -7382.63 N N N N/A N/A N/A 1.00000000 NC N/A -5929.12000000 -0.00058708095 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 621160.00000000 SGD 456253.84000000 USD 2020-03-18 -5929.12 N N N N/A N/A N/A 1.00000000 NC N/A -13712.66000000 -0.00135778017 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1790500.00000000 EUR 2004180.78000000 USD 2020-03-18 -13712.66 N N N N/A N/A N/A 1.00000000 NC N/A -1694.59000000 -0.00016779244 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 349984.00000000 NOK 38179.06000000 USD 2020-03-18 -1694.59 N N N N/A N/A N/A 1.00000000 NC N/A -350.00000000 -0.00003465578 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 309000.00000000 NOK 34854.35000000 USD 2020-03-18 -350 N N N N/A N/A N/A 1.00000000 NC N/A -3534.17000000 -0.00034994129 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 204731.00000000 EUR 227197.66000000 USD 2020-03-18 -3534.17 N N N United States of America 254900HROIFWPRGM1V77 912796SH3 11497000.00000000 PA USD 11456552.63000000 1.134388224586 Long STIV UST US N 2 2020-03-26 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 17920.06000000 0.001774382373 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 874544.54000000 USD 1158602.00000000 CAD 2020-03-18 17920.06 N N N N/A N/A N/A 1.00000000 NC N/A 803.15000000 0.000079525135 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 76959.85000000 USD 69000.00000000 EUR 2020-03-18 803.15 N N N N/A N/A 000000000 653092804.07000005 PA USD -5623060.37999999 -0.55677599424 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N/A N/A Rec/pay the total return of custom basket plus Federal Funds +/- spread (-4.79% to 0.20%). USD Currency. Maturity 13 Months 01/14/21 Cognex Corp. 5719554.48000000 USD -34701.08000000 USD Bluebird Bio, Inc. 5373897.75000000 USD 374794.92000000 USD Edwards Lifesciences Corp. 1199810.47000000 USD -10509.99000000 USD Molina Healthcare, Inc. 999899.61000000 USD 16948.70000000 USD Devon Energy Corp. 474523.84000000 USD 23205.44000000 USD Dycom Industries, Inc. 2457505.15000000 USD -19284.77000000 USD Kosmos Energy Ltd. 216474.60000000 USD 7215.82000000 USD Flex Ltd. 6570413.70000000 USD -46857.15000000 USD McDermott International, Inc. 485022.06000000 USD -289178.10000000 USD Dell Technologies, Inc., Class C 1092345.84000000 USD 28980.51000000 USD Avanos Medical, Inc. 2228008.10000000 USD -68757.52000000 USD NuVasive, Inc. 191803.20000000 USD 2331.20000000 USD Alkermes plc 1856808.00000000 USD 0.00000000 USD EQT Corp. 1190694.20000000 USD -83020.88000000 USD SYNNEX Corp. 212520.00000000 USD -33.00000000 USD DENTSPLY SIRONA, Inc. 964010.65000000 USD -13457.65000000 USD Premier, Inc., Class A 4899626.48000000 USD 195312.46000000 USD Agios Pharmaceuticals, Inc. 4174973.50000000 USD -53334.74000000 USD Occidental Petroleum Corp. 2555596.94000000 USD -134964.71000000 USD nVent Electric plc 4081212.26000000 USD 74987.09000000 USD Murphy Oil Corp. 2900001.20000000 USD -143917.97000000 USD National Oilwell Varco, Inc. 3313188.15000000 USD -177232.42000000 USD Catalent, Inc. 3673012.00000000 USD -215292.00000000 USD Owens Corning 1362766.24000000 USD -12556.20000000 USD ConocoPhillips 2179935.66000000 USD 51991.40000000 USD Equitrans Midstream Corp. 7020786.88000000 USD -578058.80000000 USD Seagate Technology plc 389487.00000000 USD -4582.20000000 USD Anthem, Inc. 2567859.06000000 USD 75242.70000000 USD Thermo Fisher Scientific, Inc. 3550179.36000000 USD 57590.56000000 USD Penumbra, Inc. 4971795.82000000 USD -179780.04000000 USD Hologic, Inc. 3009906.50000000 USD -17457.86000000 USD Charles River Laboratories International, Inc. 6993658.32000000 USD 229825.64000000 USD Avnet, Inc. 5655554.40000000 USD 74625.60000000 USD ONEOK, Inc. 5030465.93000000 USD -118332.62000000 USD Centennial Resource Development, Inc., Class A 1198451.10000000 USD 70039.35000000 USD Sage Therapeutics, Inc. 3908150.03000000 USD -26296.90000000 USD EMCOR Group, Inc. 3277760.30000000 USD -43678.15000000 USD Southwestern Energy Co. 57649.24000000 USD 1714.04000000 USD Concho Resources, Inc. 4017624.03000000 USD -295919.55000000 USD Gilead Sciences, Inc. 9429247.80000000 USD -101577.00000000 USD World Fuel Services Corp. 4667172.38000000 USD -7524.23000000 USD Ubiquiti, Inc. 1929863.76000000 USD -23381.12000000 USD Baker Hughes Co. 3854444.44000000 USD -135349.20000000 USD Pentair plc 2341663.50000000 USD 18378.00000000 USD Matador Resources Co. 4216426.89000000 USD -241676.11000000 USD Williams Cos., Inc. (The) 1556909.64000000 USD -42007.68000000 USD Medtronic plc 3647077.15000000 USD -11251.45000000 USD Teledyne Technologies, Inc. 4624229.76000000 USD 119028.48000000 USD Cabot Oil & Gas Corp. 1524001.76000000 USD 23435.05000000 USD Cantel Medical Corp. 2080702.30000000 USD 2126.48000000 USD Apple, Inc. 286015.10000000 USD 13548.34000000 USD Trinity Industries, Inc. 1892296.65000000 USD 44424.12000000 USD Lumentum Holdings, Inc. 2673837.40000000 USD -111606.58000000 USD IDEX Corp. 414004.00000000 USD 7221.00000000 USD Spirit AeroSystems Holdings, Inc., Class A 7500299.44000000 USD -298447.70000000 USD Varian Medical Systems, Inc. 3827595.53000000 USD -2425.77000000 USD ABIOMED, Inc. 128966.04000000 USD 4853.52000000 USD HEICO Corp. 1964293.20000000 USD 32695.20000000 USD Inogen, Inc. 3440757.15000000 USD -160128.90000000 USD Middleby Corp. (The) 905401.84000000 USD 16368.66000000 USD Oasis Petroleum, Inc. 1376583.90000000 USD -139347.45000000 USD Curtiss-Wright Corp. 8138933.52000000 USD 75098.40000000 USD GrafTech International Ltd. 1344724.50000000 USD -3471.75000000 USD CommScope Holding Co., Inc. 155153.46000000 USD 3608.22000000 USD Corning, Inc. 338723.96000000 USD -9308.80000000 USD WESCO International, Inc. 6415842.31000000 USD 418072.23000000 USD AGCO Corp. 1917345.00000000 USD -26557.40000000 USD Merck & Co., Inc. 1268115.85000000 USD 16815.61000000 USD Patterson-UTI Energy, Inc. 680337.00000000 USD -32397.00000000 USD Allscripts Healthcare Solutions, Inc. 179889.32000000 USD -4490.36000000 USD Amgen, Inc. 3648594.45000000 USD -13167.45000000 USD Bristol-Myers Squibb Co. 263114.81000000 USD -4262.96000000 USD Regeneron Pharmaceuticals, Inc. 6071136.12000000 USD 66616.28000000 USD Lockheed Martin Corp. 3666012.70000000 USD 82946.15000000 USD Jacobs Engineering Group, Inc. 878806.89000000 USD -14283.18000000 USD Goldman Sachs Group, Inc. 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SA 9375221.44000000 USD -257928.39000000 USD Symrise AG 199181.35000000 USD -17877.29000000 USD Nokian Renkaat OYJ 581997.07000000 USD -6626.43000000 USD Ferrovial SA 11033979.45000000 USD -3962367.04000000 USD Software AG 2140305.47000000 USD -599149.87000000 USD K+S AG (Registered) 896019.13000000 USD 64174.83000000 USD Outokumpu OYJ 2322246.05000000 USD 296012.09000000 USD Delivery Hero SE 8791676.13000000 USD -4032393.29000000 USD Ageas 10315386.87000000 USD 2039019.77000000 USD Rheinmetall AG 5196368.29000000 USD -319807.15000000 USD Sartorius AG (Preference) 3813941.50000000 USD -654921.18000000 USD CaixaBank SA 1391113.25000000 USD -68460.01000000 USD Koninklijke Philips NV 2769946.64000000 USD 473026.80000000 USD Unilever NV 1593453.41000000 USD -108495.38000000 USD LANXESS AG 627320.29000000 USD -79177.07000000 USD FUCHS PETROLUB SE (Preference) 658355.58000000 USD -186250.79000000 USD Kone OYJ, Class B 2487288.14000000 USD 270268.53000000 USD Adyen NV 3688520.51000000 USD -496747.60000000 USD Zalando SE 6726779.85000000 USD -2141998.61000000 USD Deutsche Lufthansa AG (Registered) 10847475.35000000 USD -6808822.31000000 USD Dialog Semiconductor plc 5475116.60000000 USD 1437536.63000000 USD HOCHTIEF AG 4553198.90000000 USD -87372.67000000 USD SBM Offshore NV 4631408.17000000 USD -623982.26000000 USD Mapfre SA 1907063.88000000 USD -249917.18000000 USD Y 2020-12-16 0 USD 0 USD 364681085 USD -17353762.28 N N N N/A N/A N/A 1.00000000 NC N/A -19001.84000000 -0.00188149648 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 755500.00000000 GBP 983809.17000000 USD 2020-03-18 -19001.84 N N N N/A N/A N/A 1.00000000 NC N/A -5629.97000000 -0.00055746016 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 681000.00000000 CAD 518940.50000000 USD 2020-03-18 -5629.97 N N N N/A N/A 000000000 191778437.78999999 PA USD -1605290.33000000 -0.15895029737 N/A DE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 N/A N/A Rec/pay the total return of custom basket plus LIBOR +/- spread (-0.75% to 0.20%). USD Currency. Maturity 13-14 Months 01/25/21 to 02/25/21 Steel Dynamics, Inc. 5332604.28000000 USD -124542.32000000 USD Tupperware Brands Corp. 2828637.24000000 USD 44305.64000000 USD Under Armour, Inc., Class A 6012964.80000000 USD -155891.68000000 USD AT&T, Inc. 996383.68000000 USD -8668.64000000 USD Sealed Air Corp. 1131649.96000000 USD 23297.84000000 USD Eastman Chemical Co. 5331740.94000000 USD -33634.50000000 USD International Flavors & Fragrances, Inc. 9990792.72000000 USD -506431.44000000 USD Whirlpool Corp. 171724.92000000 USD -1094.16000000 USD Valvoline, Inc. 644954.84000000 USD 968.69000000 USD Freeport-McMoRan, Inc. 5441008.32000000 USD -58059.54000000 USD Toll Brothers, Inc. 3315679.20000000 USD 0.00000000 USD Element Solutions, Inc. 2244872.64000000 USD -69191.28000000 USD Silgan Holdings, Inc. 1829555.28000000 USD 35319.60000000 USD Avery Dennison Corp. 725004.44000000 USD 3491.46000000 USD Corteva, Inc. 177153.08000000 USD -3797.16000000 USD Alcoa Corp. 1105162.29000000 USD 28772.24000000 USD Hasbro, Inc. 1050185.84000000 USD -20782.96000000 USD Sysco Corp. 105727.44000000 USD -1816.92000000 USD VF Corp. 767182.68000000 USD -24325.68000000 USD Ingevity Corp. 501823.34000000 USD 7293.61000000 USD Minerals Technologies, Inc. 504435.39000000 USD 3238.61000000 USD Capri Holdings Ltd. 1783207.30000000 USD 17174.94000000 USD Celanese Corp. 1683050.40000000 USD 27613.40000000 USD Walmart, Inc. 1548485.20000000 USD -13290.60000000 USD Mattel, Inc. 3181567.10000000 USD -117401.00000000 USD Allegheny Technologies, Inc. 4223337.86000000 USD 73591.56000000 USD KB Home 2619050.48000000 USD -67253.12000000 USD Carpenter Technology Corp. 1802185.34000000 USD -1810.15000000 USD Sprouts Farmers Market, Inc. 400216.05000000 USD 11789.31000000 USD PulteGroup, Inc. 4667096.80000000 USD -14434.32000000 USD Compass Minerals International, Inc. 3882481.44000000 USD -123556.66000000 USD Amcor plc 7384739.16000000 USD -46441.84000000 USD DR Horton, Inc. 1081480.50000000 USD -820.08000000 USD PVH Corp. 4265935.50000000 USD -71403.20000000 USD Verizon Communications, Inc. 321183.40000000 USD 2824.74000000 USD Leggett & Platt, Inc. 3068861.25000000 USD 40582.57000000 USD Hanesbrands, Inc. 1731049.65000000 USD 4350.57000000 USD Carter's, Inc. 1749330.66000000 USD -16798.95000000 USD TRI Pointe Group, Inc. 657195.56000000 USD 2109.10000000 USD Helen of Troy Ltd. 403628.55000000 USD 35313.85000000 USD CenturyLink, Inc. 4602879.19000000 USD 10453.17000000 USD Sherwin-Williams Co. (The) 230498.30000000 USD -4317.35000000 USD Chemours Co. (The) 2186104.14000000 USD -55589.16000000 USD LyondellBasell Industries NV, Class A 6280085.60000000 USD -45864.30000000 USD O-I Glass, Inc. 1136284.78000000 USD -40003.32000000 USD Reliance Steel & Aluminum Co. 3690404.40000000 USD -33280.20000000 USD Garmin Ltd. 2996848.08000000 USD 2764.62000000 USD Brunswick Corp. 1798260.38000000 USD 1778.50000000 USD Columbia Sportswear Co. 1179737.25000000 USD 9655.50000000 USD Martin Marietta Materials, Inc. 54250.16000000 USD -989.40000000 USD Linde plc 762820.70000000 USD -16374.31000000 USD Walgreens Boots Alliance, Inc. 178766.72000000 USD 5336.32000000 USD NIKE, Inc., Class B 4114908.27000000 USD 30056.58000000 USD FMC Corp. 54801.18000000 USD 247.05000000 USD GCI Liberty, Inc., Class A 4164846.40000000 USD -166946.56000000 USD Worthington Industries, Inc. 277460.04000000 USD -8679.25000000 USD Lennar Corp., Class A 263217.22000000 USD 2123.10000000 USD NVR, Inc. 578878.32000000 USD 11044.32000000 USD Sensient Technologies Corp. 110436.39000000 USD -2924.25000000 USD International Paper Co. 6043463.85000000 USD -31496.88000000 USD United States Steel Corp. 3817843.05000000 USD 736131.00000000 USD Westrock Co. 930717.90000000 USD 16701.30000000 USD T-Mobile US, Inc. 106023.84000000 USD 2852.72000000 USD Domtar Corp. 1374116.16000000 USD -28387.86000000 USD Olin Corp. 199185.75000000 USD -2078.46000000 USD Newmont Goldcorp Corp. 1966807.70000000 USD -111807.02000000 USD Deckers Outdoor Corp. 4655132.48000000 USD 71952.48000000 USD Mosaic Co. (The) 1428175.08000000 USD -49231.11000000 USD Axalta Coating Systems Ltd. 430403.20000000 USD -473.47000000 USD Royal Gold, Inc. 3524589.75000000 USD -186824.88000000 USD Newell Brands, Inc. 5624694.56000000 USD -187201.88000000 USD Huntsman Corp. 775584.32000000 USD -18940.18000000 USD Tapestry, Inc. 170908.89000000 USD -6527.11000000 USD Kroger Co. (The) 638620.71000000 USD 5900.58000000 USD Skechers U.S.A., Inc., Class A 5767376.65000000 USD 14688.85000000 USD Ralph Lauren Corp. 5944929.52000000 USD -89260.16000000 USD Casey's General Stores, Inc. 508609.01000000 USD -6717.90000000 USD Nucor Corp. 955803.24000000 USD -12907.08000000 USD Costco Wholesale Corp. 59959.68000000 USD 418.20000000 USD PolyOne Corp. 1583331.23000000 USD 184198.36000000 USD Albemarle Corp. 5830783.20000000 USD -330496.20000000 USD Mohawk Industries, Inc. 1002256.62000000 USD -2572.15000000 USD Sonoco Products Co. 541654.72000000 USD 3159.36000000 USD Polaris, Inc. 291777.30000000 USD 4992.06000000 USD Tempur Sealy International, Inc. 1150584.96000000 USD -17278.51000000 USD Cabot Corp. 1655644.32000000 USD 11497.53000000 USD PPG Industries, Inc. 105590.59000000 USD -1455.44000000 USD Lululemon Athletica, Inc. 3012405.01000000 USD 84366.51000000 USD US Foods Holding Corp. 356651.46000000 USD 15495.48000000 USD Y 2021-01-25 0 USD 0 USD 191778438 USD 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241188.00000000 ILS 2020-03-18 -56.31 N N N N/A N/A N/A 1.00000000 NC N/A -1400.84000000 -0.00013870633 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 46427.00000000 CHF 46828.18000000 USD 2020-03-18 -1400.84 N N N United States of America 254900HROIFWPRGM1V77 912796TZ2 87714000.00000000 PA USD 87111365.35000000 8.625466165271 Long STIV UST US N 2 2020-06-11 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2656.48000000 -0.00026303546 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 219262.00000000 EUR 244451.79000000 USD 2020-03-18 -2656.48 N N N N/A N/A N/A 1.00000000 NC N/A -3533.87000000 -0.00034991158 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 204730.00000000 EUR 227196.83000000 USD 2020-03-18 -3533.87 N N N N/A N/A N/A 1.00000000 NC N/A -3390.32000000 -0.00033569776 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 179764.00000000 EUR 199203.70000000 USD 2020-03-18 -3390.32 N N N N/A N/A N/A 1.00000000 NC N/A 35440.18000000 0.003509164071 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1309826.47000000 USD 1013500.00000000 GBP 2020-03-18 35440.18 N N N N/A N/A N/A 1.00000000 NC N/A 7140.76000000 0.000707053362 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 5917561.06000000 USD 640997126.00000000 JPY 2020-03-18 7140.76 N N N N/A N/A N/A 1.00000000 NC N/A -22686.39000000 -0.00224632788 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 5947388.20000000 USD 640997125.00000000 JPY 2020-03-18 -22686.39 N N N N/A N/A N/A 1.00000000 NC N/A -1045.25000000 -0.00010349704 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 46426.00000000 CHF 47182.73000000 USD 2020-03-18 -1045.25 N N N N/A N/A N/A 1.00000000 NC N/A -5029.79000000 -0.00049803241 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 621162.00000000 SGD 457154.66000000 USD 2020-03-18 -5029.79 N N N N/A N/A N/A 1.00000000 NC N/A -4227.45000000 -0.00041858748 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 229830.00000000 EUR 254790.95000000 USD 2020-03-18 -4227.45 N N 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N/A 1.00000000 NC N/A 20912.20000000 0.002070653729 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 871550.86000000 USD 1158600.00000000 CAD 2020-03-18 20912.2 N N N N/A N/A N/A 1.00000000 NC N/A 5899.37000000 0.000584135217 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 233822.24000000 USD 180602.00000000 GBP 2020-03-18 5899.37 N N N N/A N/A N/A 1.00000000 NC N/A 29710.50000000 0.002941830970 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2595354.17000000 USD 2329250.00000000 EUR 2020-03-18 29710.5 N N N N/A N/A N/A 1.00000000 NC N/A -2508.45000000 -0.00024837804 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 226000.00000000 SGD 165650.07000000 USD 2020-03-18 -2508.45 N N N N/A N/A N/A 1.00000000 NC N/A -746.99000000 -0.00007396436 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 776500.00000000 DKK 116422.27000000 USD 2020-03-18 -746.99 N N N N/A N/A N/A 1.00000000 NC N/A 22424.02000000 0.002220348917 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 740196.32000000 USD 734126.00000000 CHF 2020-03-18 22424.02 N N N N/A N/A N/A 1.00000000 NC N/A 12464.72000000 0.001234213471 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 750155.62000000 USD 734126.00000000 CHF 2020-03-18 12464.72 N N N N/A N/A N/A 1.00000000 NC N/A 81.49000000 0.000008068858 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2158000.00000000 HKD 276855.50000000 USD 2020-03-18 81.49 N N N 2020-01-30 AQR Funds Heather Bonner Heather Bonner Principal Financial Officer