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2020-09-30
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Forward Foreign Currency Contract
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2
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2020-12-16
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2020-12-16
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ASX 90 Day Bank Accepted Bill
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DIR
AU
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ASX Clear (Futures)
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Short
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ASX 90 Day Bank Accepted Bill
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2020-12-16
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2020-12-16
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2020-12-16
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DFE
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2020-12-16
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Forward Foreign Currency Contract
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JP Morgan Chase Bank
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2020-12-16
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Forward Foreign Currency Contract
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2020-12-17
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2020-12-16
-191841.74000000
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N
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Forward Foreign Currency Contract
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2
JP Morgan Chase Bank
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2020-12-16
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N
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Forward Foreign Currency Contract
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N/A
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DFE
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N
2
Citibank
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2020-12-16
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N
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Forward Foreign Currency Contract
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0.000614011202
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DFE
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N
2
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2020-12-16
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N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
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Long
EC
CORP
IT
N
2
N
N
N
N/A
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Forward Foreign Currency Contract
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DFE
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2
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2020-12-16
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N
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N/A
Forward Foreign Currency Contract
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N/A
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DFE
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2
JP Morgan Chase Bank
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2020-12-16
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N
N/A
N/A
Forward Foreign Currency Contract
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N/A
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DFE
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2020-12-16
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N
N/A
N/A
Forward Foreign Currency Contract
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N/A
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0.008861823396
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DFE
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2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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2020-12-16
91325.63000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
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1.00000000
NC
N/A
1455.24000000
0.000141209864
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DFE
N/A
N
2
Citibank
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138000.00000000
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105130.45000000
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2020-12-16
1455.24000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
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N/A
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0.000000150404
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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2020-12-16
1.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
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N/A
31233.80000000
0.003030785767
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DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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2020-12-16
31233.80000000
N
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N
N/A
N/A
Forward Foreign Currency Contract
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N/A
-1317.08000000
-0.00012780344
N/A
DFE
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N
2
Citibank
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336500.00000000
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251485.16000000
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2020-12-16
-1317.08000000
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N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-5679.31000000
-0.00055109438
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
738000.00000000
AUD
523023.89000000
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2020-12-16
-5679.31000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
143.77000000
0.000013950786
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DFE
N/A
N
2
Citibank
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2150000.00000000
ILS
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2020-12-16
143.77000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-942.88000000
-0.00009149278
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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MXN
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2020-12-16
-942.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-189.97000000
-0.00001843382
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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97498.00000000
ILS
2020-12-16
-189.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
91131.79000000
0.008843014045
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
19848662.00000000
NOK
2219553.70000000
USD
2020-12-16
91131.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11134.46000000
0.001080437311
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
783026.39000000
USD
22733520.00000000
TWD
2020-12-16
11134.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1547.94000000
0.000150205050
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
195500.00000000
CAD
148421.16000000
USD
2020-12-16
1547.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
16476.57000000
0.001598811347
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1500000.00000000
BRL
282998.76000000
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2020-12-16
16476.57000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
769.34000000
0.000074653251
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2603613.66000000
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193140544.00000000
INR
2020-12-16
769.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
31925.24000000
0.003097879957
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3000000.00000000
BRL
564969.63000000
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2020-12-16
31925.24000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127962T5
28703000.00000000
PA
USD
28700935.11000000
2.785008088692
Long
STIV
UST
US
N
2
2020-10-29
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-26686.24000000
-0.00258951124
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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GBP
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2020-12-16
-26686.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10718.65000000
0.001040089001
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
951137.98000000
USD
6560000.00000000
CNY
2020-12-16
10718.65000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-16.92000000
-0.00000164183
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
500000.00000000
BRL
88823.81000000
USD
2020-12-16
-16.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-12606.47000000
-0.00122327446
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
617819.84000000
USD
13500000.00000000
MXN
2020-12-16
-12606.47000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11660.02000000
0.001131435261
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
782500.83000000
USD
22733520.00000000
TWD
2020-12-16
11660.02000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-106027.15000000
-0.01028839197
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3520639.54000000
USD
2644936.00000000
GBP
2020-12-16
-106027.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7398.82000000
-0.00071794781
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
458348.44000000
USD
600250.00000000
CAD
2020-12-16
-7398.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-190961.05000000
-0.01852999098
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14583095.71000000
USD
321033585.00000000
MXN
2020-12-16
-190961.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11807.16000000
0.001145713057
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
782353.69000000
USD
22733520.00000000
TWD
2020-12-16
11807.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1649.21000000
0.000160031830
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1000000.00000000
BRL
179330.67000000
USD
2020-12-16
1649.21000000
N
N
N
BPER Banca
N747OI7JINV7RUUH6190
BPER Banca
N/A
684219.00000000
NS
1593770.96000000
0.154652278684
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11456.99000000
0.001111734154
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
782703.86000000
USD
22733520.00000000
TWD
2020-12-16
11456.99000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5215.37000000
0.000506075763
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
420675.52000000
USD
9500000.00000000
MXN
2020-12-16
5215.37000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-289102.87000000
-0.02805322643
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9671882.53000000
USD
13097124.00000000
AUD
2020-12-16
-289102.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4076.26000000
0.000395541714
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
423856.00000000
EUR
501901.49000000
USD
2020-12-16
4076.26000000
N
N
N
N/A
N/A
IRS
N/A
524900000.00000000
PA
1080256.90000000
0.104823211955
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-12-14
4600368.00000000
USD
0.00000000
USD
524900000.00000000
CAD
1080256.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-165636.90000000
-0.01607265075
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9171748.46000000
USD
6976074.00000000
GBP
2020-12-16
-165636.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
17225.40000000
0.001671474401
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1302553.00000000
CHF
1434762.48000000
USD
2020-12-16
17225.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-27376.79000000
-0.00265651907
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5918744.07000000
USD
5016000.00000000
EUR
2020-12-16
-27376.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6688.18000000
0.000648990540
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1120886.96000000
USD
19062500.00000000
ZAR
2020-12-17
6688.18000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1365.14000000
-0.00013246697
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
32231.48000000
USD
287845.00000000
NOK
2020-12-16
-1365.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
64247.01000000
0.006234237380
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9413414.00000000
CAD
7136259.43000000
USD
2020-12-16
64247.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-200.61000000
-0.00001946628
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
292500.00000000
CNY
42687.05000000
USD
2020-12-16
-200.61000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10939.32000000
-0.00106150181
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
461888.94000000
USD
600250.00000000
CAD
2020-12-16
-10939.32000000
N
N
N
Nexi SpA
5493000P70CQRQG8SN85
Nexi SpA
N/A
-88755.00000000
NS
-1778848.11000000
-0.17261132279
Short
EC
CORP
IT
Y
2
N
N
N
N/A
N/A
Total Return Swap
000000000
74838000.00000000
PA
-43543.71000000
-0.00422528339
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Y
2020-10-21
0.00000000
USD
0.00000000
USD
74838000.00000000
TWD
-43543.71000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
912796TP4
3360000.00000000
PA
USD
3359714.16000000
0.326011367763
Long
STIV
UST
US
N
2
2020-11-05
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2387.04000000
0.000231627495
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
126642.51000000
USD
880000.00000000
CNY
2020-12-16
2387.04000000
N
N
N
N/A
N/A
Total Return Swap
000000000
-9045520.00000000
PA
18460.63000000
0.001791335497
N/A
DE
US
N
2
Merrill Lynch International
549300J8H1BYG1YAFY05
N/A
N/A
Y
2020-12-17
0.00000000
USD
0.00000000
USD
-9045520.00000000
ZAR
18460.63000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
99.21000000
0.000009626886
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
13500.00000000
EUR
15955.16000000
USD
2020-12-16
99.21000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4137.06000000
0.000401441469
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
423616.00000000
EUR
501680.41000000
USD
2020-12-16
4137.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64462.04000000
-0.00625510291
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
36068376.00000000
CNY
5224045.09000000
USD
2020-12-16
-64462.04000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1190.00000000
0.000115472182
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
215000000.00000000
INR
2900334.49000000
USD
2020-12-16
1190.00000000
N
N
N
N/A
N/A
MSCI Taiwan Index
N/A
1017.00000000
NC
USD
909956.69000000
0.088298054829
N/A
DE
SG
N
1
Singapore Exchange Derivatives Clearing
549300ZLWT3FK3F0FW61
Long
MSCI Taiwan Index
TAMSCI Index
2020-10-29
50138100.00000000
USD
909956.69000000
N
N
N
N/A
N/A
Total Return Swap
000000000
-12165888.00000000
PA
3686.28000000
0.000357699830
N/A
DE
US
N
2
Merrill Lynch International
549300J8H1BYG1YAFY05
N/A
N/A
Y
2020-10-28
0.00000000
USD
0.00000000
USD
-12165888.00000000
ILS
3686.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-31885.59000000
-0.00309403250
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2111229310.00000000
KRW
1778977.01000000
USD
2020-12-16
-31885.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-89590.42000000
-0.00869344651
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4616541.32000000
USD
3506546.00000000
GBP
2020-12-16
-89590.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-41158.47000000
-0.00399383056
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
825694.32000000
USD
17500000.00000000
MXN
2020-12-16
-41158.47000000
N
N
N
Buzzi Unicem SpA
5299003DX5YLKSVJ6K59
Buzzi Unicem SpA
N/A
76572.00000000
NS
1779040.53000000
0.172629994359
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
HSCEI
N/A
39.00000000
NC
11116.12000000
0.001078657681
N/A
DE
HK
N
1
HKCC & SEOCH
213800NM8ZN1F16ARD34
Long
HSCEI
HK0000004330
2020-10-29
18291000.00000000
HKD
11116.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
93306.13000000
0.009054002100
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
21890296.00000000
NOK
2440657.58000000
USD
2020-12-16
93306.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
38633.32000000
0.003748801503
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7825125.96000000
USD
828463794.00000000
JPY
2020-12-16
38633.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3265.79000000
-0.00031689739
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1077000.00000000
CNY
154648.78000000
USD
2020-12-16
-3265.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10744.61000000
0.001042608042
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1435915.49000000
USD
4950000.00000000
ILS
2020-12-16
10744.61000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
93614.38000000
0.009083913277
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
22329744.00000000
NOK
2488088.94000000
USD
2020-12-16
93614.38000000
N
N
N
N/A
N/A
Total Return Swap
000000000
34237000.00000000
PA
10427.22000000
0.001011809961
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2020-10-29
0.00000000
USD
0.00000000
USD
34237000.00000000
HKD
10427.22000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-108751.78000000
-0.01055277766
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3626837.82000000
USD
2725086.00000000
GBP
2020-12-16
-108751.78000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
13.91000000
0.000001349763
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5682.00000000
SEK
648.98000000
USD
2020-12-16
13.91000000
N
N
N
N/A
N/A
MSCI Singapore Index
N/A
-618.00000000
NC
28614.45000000
0.002776615967
N/A
DE
SG
N
1
Singapore Exchange Derivatives Clearing
549300ZLWT3FK3F0FW61
Short
MSCI Singapore Index
SIMSCI Index
2020-10-29
-17470860.00000000
SGD
28614.45000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-68759.40000000
-0.00667209916
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14079000.00000000
GBP
18107229.66000000
USD
2020-12-16
-68759.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
583456.21000000
0.056615934568
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
87755496.00000000
NOK
9993698.58000000
USD
2020-12-16
583456.21000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22197.82000000
-0.00215397540
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
910978.42000000
USD
8288350.00000000
NOK
2020-12-16
-22197.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15303.37000000
0.001484969359
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2708669.36000000
USD
24371449.00000000
SEK
2020-12-16
15303.37000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8.96000000
-0.00000086943
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9382788.62000000
USD
13097124.00000000
AUD
2020-12-16
-8.96000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-817.35000000
-0.00007931192
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
775000.00000000
CNY
112816.63000000
USD
2020-12-16
-817.35000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-102382.38000000
-0.00993472008
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4289043.75000000
USD
3242960.00000000
GBP
2020-12-16
-102382.38000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
23051.39000000
0.002236801949
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
847712.00000000
EUR
1018701.86000000
USD
2020-12-16
23051.39000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
81864323.70999999
PA
-426054.80000000
-0.04134241827
N/A
DE
GB
N
2
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
N/A
N/A
Rec/pay the total return of custom basket plus STIBOR +/- spread (-0.50% to 0.35%). SEK Currency. Maturity 7-37 Months 02/17/21
Assa Abloy AB, Class B
928634.92000000
USD
15081.77000000
USD
SKF AB, Class B
3751730.75000000
USD
-107111.34000000
USD
Securitas AB, Class B
4863650.76000000
USD
-141043.24000000
USD
Swedbank AB, Class A
266959.57000000
USD
17780.55000000
USD
Skandinaviska Enskilda Banken AB, Class A
203219.45000000
USD
12458.70000000
USD
Swedish Match AB
2830600.90000000
USD
-41030.47000000
USD
Nordea Bank Abp
1203487.46000000
USD
29954.66000000
USD
ICA Gruppen AB
1550928.69000000
USD
11177.16000000
USD
Embracer Group AB
562750.67000000
USD
9508.11000000
USD
Alfa Laval AB
496654.46000000
USD
-26170.92000000
USD
SSAB AB, Class A
944285.50000000
USD
16728.33000000
USD
Indutrade AB
1513804.83000000
USD
16839.20000000
USD
Saab AB, Class B
804483.57000000
USD
-45658.94000000
USD
Holmen AB, Class B
1537666.98000000
USD
8434.79000000
USD
Lifco AB, Class B
1405249.88000000
USD
6381.42000000
USD
Elekta AB, Class B
674104.18000000
USD
-36873.60000000
USD
Getinge AB, Class B
5787641.95000000
USD
287277.35000000
USD
Tele2 AB, Class B
1534570.54000000
USD
-6747.95000000
USD
Husqvarna AB, Class B
283558.33000000
USD
-5915.87000000
USD
Svenska Handelsbanken AB, Class A
681942.03000000
USD
36266.41000000
USD
Atlas Copco AB, Class A
1180670.02000000
USD
-25054.99000000
USD
Swedish Orphan Biovitrum AB
5047103.40000000
USD
-154982.67000000
USD
Trelleborg AB, Class B
984175.22000000
USD
-37863.27000000
USD
Svenska Cellulosa AB SCA, Class B
7677867.31000000
USD
-46853.13000000
USD
Epiroc AB, Class A
846069.35000000
USD
-6563.99000000
USD
Electrolux AB, Series B
2122198.55000000
USD
147947.16000000
USD
BillerudKorsnas AB
1772283.66000000
USD
-2724.53000000
USD
Hexpol AB
243933.39000000
USD
-1259.58000000
USD
Evolution Gaming Group AB
1083929.63000000
USD
15469.81000000
USD
AAK AB
626497.90000000
USD
5346.38000000
USD
Sandvik AB
968360.51000000
USD
-39494.84000000
USD
Sinch AB
1350437.87000000
USD
-99032.56000000
USD
Nibe Industrier AB, Class B
3014968.05000000
USD
-88746.48000000
USD
Hennes & Mauritz AB, Class B
2046061.05000000
USD
-74691.09000000
USD
Millicom International Cellular SA
2157022.53000000
USD
89874.90000000
USD
Telia Co. AB
759535.78000000
USD
22504.32000000
USD
Boliden AB
1963039.19000000
USD
-53970.36000000
USD
Essity AB, Class B
7329841.30000000
USD
-114859.06000000
USD
Telefonaktiebolaget LM Ericsson, Class B
1473430.50000000
USD
-5793.94000000
USD
Volvo AB, Class B
899444.20000000
USD
7418.07000000
USD
Sweco AB, Class B
1312256.27000000
USD
26762.03000000
USD
Axfood AB
877324.99000000
USD
5506.64000000
USD
Hexagon AB, Class B
1728346.64000000
USD
3157.26000000
USD
Skanska AB, Class B
2573600.98000000
USD
-49080.23000000
USD
Y
2021-02-17
0.00000000
USD
0.00000000
USD
81864324.00000000
USD
-419648.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2477.15000000
0.000240371359
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
85000000.00000000
INR
1148650.55000000
USD
2020-12-16
2477.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7554.80000000
0.000733083400
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1120020.34000000
USD
19062500.00000000
ZAR
2020-12-17
7554.80000000
N
N
N
Ferrari NV
549300RIVY5EX8RCON76
Ferrari NV
N/A
-45219.00000000
NS
-8298543.88000000
-0.80525292090
Short
EC
CORP
NL
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
39710.23000000
0.003853299947
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
17204314.00000000
ILS
5067749.53000000
USD
2020-12-16
39710.23000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-49353.31000000
-0.00478902053
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
10375000.00000000
CAD
7745069.50000000
USD
2020-12-16
-49353.31000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-101284.81000000
-0.00982821688
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
36068374.00000000
CNY
5187222.02000000
USD
2020-12-16
-101284.81000000
N
N
N
N/A
N/A
ETRSI
N/A
92956597.05000000
PA
192905.42000000
0.018718663799
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI Mexico Net Index
MSCI Mexico Net Index
Y
2020-12-18
0.00000000
USD
0.00000000
USD
92956597.05000000
MXN
192905.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
20.05000000
0.000001945560
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2000.00000000
CAD
1522.59000000
USD
2020-12-16
20.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4530.79000000
-0.00043964723
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1337141.76000000
USD
7500000.00000000
BRL
2020-12-16
-4530.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
124523.09000000
0.012083153790
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1006125000.00000000
HUF
3365765.84000000
USD
2020-12-16
124523.09000000
N
N
N
N/A
N/A
ETRSI
N/A
61835198.10000000
PA
1779234.18000000
0.172648785274
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI Netherlands Net Return Index
MSCI Netherlands Net Return Index
Y
2020-12-18
0.00000000
USD
0.00000000
USD
61835198.10000000
EUR
1779234.18000000
N
N
N
Freni Brembo SpA
549300BLWVJN2BAT0A44
Freni Brembo SpA
N/A
-273237.00000000
NS
-2732397.77000000
-0.26513944099
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
212882.29000000
0.020657128324
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
49621654.00000000
NOK
5533936.95000000
USD
2020-12-16
212882.29000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
31567.38000000
0.003063154851
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2572815.62000000
USD
193140544.00000000
INR
2020-12-16
31567.38000000
N
N
N
N/A
N/A
Total Return Swap
000000000
-7427640.00000000
PA
USD
-38598.18000000
-0.00374539167
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2020-10-29
0.00000000
USD
0.00000000
USD
-7427640.00000000
USD
-38598.18000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
101720.53000000
0.009870497171
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
21406189.00000000
NOK
2397159.97000000
USD
2020-12-16
101720.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-329104.58000000
-0.03193481027
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
15979512.37000000
USD
13324996.00000000
EUR
2020-12-16
-329104.58000000
N
N
N
Autogrill SpA
5299003D9N2698I3C257
Autogrill SpA
N/A
75028.00000000
NS
338760.96000000
0.032871821427
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-285.52000000
-0.00002770556
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
150000000.00000000
INR
2022373.43000000
USD
2020-12-16
-285.52000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4250.74000000
0.000412472459
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
431041.00000000
EUR
510514.86000000
USD
2020-12-16
4250.74000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
28.00000000
NC
USD
388052.68000000
0.037654865546
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Long
N/A
LME Copper Base Metal
2020-10-07
4669644.00000000
USD
388052.68000000
N
N
N
N/A
N/A
IRS
N/A
26000000.00000000
PA
-144149.48000000
-0.01398760933
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-03-17
0.00000000
USD
99723.17000000
USD
26000000.00000000
GBP
-144149.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-53987.54000000
-0.00523870511
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1919642.90000000
USD
10500000.00000000
BRL
2020-12-16
-53987.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15.68000000
0.000001521515
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2000.00000000
CAD
1518.22000000
USD
2020-12-16
15.68000000
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
N/A
-144651.00000000
NS
-1130602.51000000
-0.10970852076
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-120196.58000000
-0.01166332895
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6674873.00000000
USD
9908733.00000000
NZD
2020-12-16
-120196.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
19417.37000000
0.001884173191
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1286674.00000000
CHF
1419673.72000000
USD
2020-12-16
19417.37000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1180.48000000
0.000114548405
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
53143.89000000
USD
370500.00000000
CNY
2020-12-16
1180.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-23685.66000000
-0.00229834862
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
7765458.57000000
USD
52800000.00000000
CNY
2020-12-16
-23685.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-288.05000000
-0.00002795106
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
150000000.00000000
INR
2022370.90000000
USD
2020-12-16
-288.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8756.24000000
0.000849665668
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
517301.98000000
USD
1800000.00000000
ILS
2020-12-16
8756.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-189.93000000
-0.00001842994
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
28684.17000000
USD
97498.00000000
ILS
2020-12-16
-189.93000000
N
N
N
Telecom Italia SpA
549300W384M3RI3VXU42
Telecom Italia SpA
N/A
-2045277.00000000
NS
-819755.98000000
-0.07954538854
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
70128.01000000
0.006804902848
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7793631.26000000
USD
828463793.00000000
JPY
2020-12-16
70128.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6012.01000000
0.000583378082
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2949312.00000000
ILS
867961.91000000
USD
2020-12-16
6012.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
239982.01000000
0.023286761787
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
31456880.00000000
BRL
5829286.47000000
USD
2020-12-16
239982.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1548.13000000
0.000150223487
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
195500.00000000
CAD
148421.35000000
USD
2020-12-16
1548.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-98829.03000000
-0.00958991917
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3513441.42000000
USD
2644936.00000000
GBP
2020-12-16
-98829.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
64255.95000000
0.006235104877
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9413416.00000000
CAD
7136269.87000000
USD
2020-12-16
64255.95000000
N
N
N
N/A
N/A
IBEX 35 Index
N/A
418.00000000
NC
-1060584.96000000
-0.10291433645
N/A
DE
ES
N
1
BME Clearing
5299009QA8BBE2OOB349
Long
IBEX 35 Index
ES0SI0000005
2020-10-16
28133072.00000000
EUR
-1060584.96000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
18069.16000000
0.001753349030
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2705903.57000000
USD
24371449.00000000
SEK
2020-12-16
18069.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
583443.71000000
0.056614721625
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
87755494.00000000
NOK
9993685.86000000
USD
2020-12-16
583443.71000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-76172.29000000
-0.00739141226
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4579226.78000000
USD
3488036.00000000
GBP
2020-12-16
-76172.29000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
17258.92000000
0.001674727029
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1302554.00000000
CHF
1434797.09000000
USD
2020-12-16
17258.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-817.20000000
-0.00007929736
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
775000.00000000
CNY
112816.78000000
USD
2020-12-16
-817.20000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-107519.88000000
-0.01043323969
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3556625.21000000
USD
2671654.00000000
GBP
2020-12-16
-107519.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2151.47000000
0.000208768854
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
521850.65000000
USD
15000000.00000000
TWD
2020-12-16
2151.47000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
471.87000000
0.000045788116
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2155662.03000000
USD
20107091.00000000
NOK
2020-12-16
471.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-214378.91000000
-0.02080235351
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
11276000.00000000
GBP
14342937.14000000
USD
2020-12-16
-214378.91000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2502.14000000
0.000242796275
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
352406.76000000
USD
6000000.00000000
ZAR
2020-12-17
2502.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6084.30000000
0.000590392774
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1880919.50000000
USD
2200000000.00000000
KRW
2020-12-16
6084.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2647.51000000
-0.00025690231
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
305000000.00000000
INR
4110092.35000000
USD
2020-12-16
-2647.51000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-419.91000000
-0.00004074615
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
57044.23000000
USD
193750.00000000
ILS
2020-12-16
-419.91000000
N
N
N
N/A
N/A
SGX NIFTY 50 Index
N/A
-728.00000000
NC
USD
-72037.89000000
-0.00699022890
N/A
DE
SG
N
1
Singapore Exchange Derivatives Clearing
549300ZLWT3FK3F0FW61
Short
SGX NIFTY 50 Index
XC0006013996
2020-10-29
-16385824.00000000
USD
-72037.89000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
27965.14000000
0.002713609880
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2025790.00000000
CHF
2232583.65000000
USD
2020-12-16
27965.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-106022.79000000
-0.01028796889
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3520636.47000000
USD
2644937.00000000
GBP
2020-12-16
-106022.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-55.82000000
-0.00000541651
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
43500.00000000
CNY
6322.35000000
USD
2020-12-16
-55.82000000
N
N
N
Unipol Gruppo SpA
8156005CE5E7340CCA86
Unipol Gruppo SpA
N/A
1140439.00000000
NS
4983697.29000000
0.483595297890
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2180.29000000
-0.00021156541
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
33046.53000000
USD
287844.00000000
NOK
2020-12-16
-2180.29000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
322.00000000
NC
USD
921814.64000000
0.089448696317
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Long
N/A
LME Copper Base Metal
2020-12-16
53731737.50000000
USD
921814.64000000
N
N
N
N/A
N/A
ETRSI
N/A
41546987.38000000
PA
-105400.68000000
-0.01022760217
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI Switzerland Net Return Index
MSCI Switzerland Net Return Index
Y
2020-12-18
0.00000000
USD
0.00000000
USD
41546987.38000000
CHF
-105400.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-83.77000000
-0.00000812865
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
38499.39000000
USD
262000.00000000
CNY
2020-12-16
-83.77000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5659.78000000
0.000549199286
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
509892.35000000
USD
11500000.00000000
MXN
2020-12-16
5659.78000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-107938.45000000
-0.01047385582
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
36068376.00000000
CNY
5180568.68000000
USD
2020-12-16
-107938.45000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-31332.97000000
-0.00304040877
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1482724.76000000
USD
12985637.00000000
SEK
2020-12-16
-31332.97000000
N
N
N
Limited Purpose Cash Investment Fund
549300GUQBQJ6160QP80
Limited Purpose Cash Investment Fund
90262Y729
351729109.62380000
NS
USD
351658763.81000000
34.12336559477
Long
STIV
RF
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-50231.28000000
-0.00487421474
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4867598.31000000
USD
44924500.00000000
NOK
2020-12-16
-50231.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12551.62000000
0.001217952066
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1115023.52000000
USD
19062500.00000000
ZAR
2020-12-17
12551.62000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3725.25000000
0.000361481301
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
384742.00000000
EUR
455610.50000000
USD
2020-12-16
3725.25000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8791.72000000
-0.00085310848
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
459741.34000000
USD
600250.00000000
CAD
2020-12-16
-8791.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1648.99000000
0.000160010482
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1000000.00000000
BRL
179330.45000000
USD
2020-12-16
1648.99000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-33210.82000000
-0.00322262678
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1536131.37000000
USD
13446666.00000000
SEK
2020-12-16
-33210.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
51.06000000
0.000004954629
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
23500.00000000
ILS
6919.04000000
USD
2020-12-16
51.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15820.44000000
0.001535143478
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
847712.00000000
EUR
1011470.91000000
USD
2020-12-16
15820.44000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-16909.15000000
-0.00164078694
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
689368.45000000
USD
15000000.00000000
MXN
2020-12-16
-16909.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
156495.38000000
0.015185599266
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1006125000.00000000
HUF
3397738.13000000
USD
2020-12-16
156495.38000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7134.14000000
-0.00069226446
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
316979.91000000
USD
2889476.00000000
NOK
2020-12-16
-7134.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-300165.59000000
-0.02912670241
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
7611744.11000000
USD
5663500.00000000
GBP
2020-12-16
-300165.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1501.74000000
0.000145722013
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
295000.00000000
GBP
382346.74000000
USD
2020-12-16
1501.74000000
N
N
N
N/A
N/A
IRS
N/A
293000000.00000000
PA
170270.99000000
0.016522321750
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2023-03-15
694888.08000000
USD
0.00000000
USD
293000000.00000000
CAD
170270.99000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-49343.63000000
-0.00478808122
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
10375000.00000000
CAD
7745079.18000000
USD
2020-12-16
-49343.63000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
124527.30000000
0.012083562310
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1006125000.00000000
HUF
3365770.05000000
USD
2020-12-16
124527.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
673590.20000000
0.065362126644
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
87755494.00000000
NOK
10083832.35000000
USD
2020-12-16
673590.20000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6316.32000000
-0.00061290693
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
457265.94000000
USD
600250.00000000
CAD
2020-12-16
-6316.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-33212.74000000
-0.00322281309
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1536133.29000000
USD
13446666.00000000
SEK
2020-12-16
-33212.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11471.42000000
0.001113134375
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
782689.43000000
USD
22733520.00000000
TWD
2020-12-16
11471.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15.68000000
0.000001521515
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2000.00000000
CAD
1518.22000000
USD
2020-12-16
15.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
88302.45000000
0.008568467771
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9174999.00000000
PLN
2462449.74000000
USD
2020-12-16
88302.45000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
25362.66000000
0.002461077068
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1818016.00000000
CHF
2003865.72000000
USD
2020-12-16
25362.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-108747.24000000
-0.01055233712
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3626833.28000000
USD
2725086.00000000
GBP
2020-12-16
-108747.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
88596.80000000
0.008597030155
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9174999.00000000
PLN
2462744.09000000
USD
2020-12-16
88596.80000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-48606.23000000
-0.00471652729
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3756917.00000000
GBP
4801573.63000000
USD
2020-12-16
-48606.23000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-23675.95000000
-0.00229740640
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7765448.86000000
USD
52800000.00000000
CNY
2020-12-16
-23675.95000000
N
N
N
N/A
N/A
AEX Index
N/A
772.00000000
NC
-1276844.79000000
-0.12389920588
N/A
DE
GB
N
1
LCH Clearnet
F226TOH6YD6XJB17KS62
Long
AEX Index
NL0000000107
2020-10-16
84546352.00000000
EUR
-1276844.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
87828.82000000
0.008522508872
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21593288.00000000
NOK
2403331.36000000
USD
2020-12-16
87828.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
693.84000000
0.000067327075
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4500000.00000000
MXN
202431.63000000
USD
2020-12-16
693.84000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
27.00000000
NC
USD
63489.02000000
0.006160685481
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Long
N/A
LME Copper Base Metal
2020-11-27
4503600.00000000
USD
63489.02000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1312.69000000
-0.00012737746
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
32178.93000000
USD
287844.00000000
NOK
2020-12-16
-1312.69000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4645.78000000
0.000450805342
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1925244.47000000
USD
2250000000.00000000
KRW
2020-12-16
4645.78000000
N
N
N
Italgas SpA
815600F25FF44EF1FA76
Italgas SpA
N/A
369239.00000000
NS
2328734.17000000
0.225969762832
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
IRSIMM
N/A
5500000.00000000
PA
-1737.17000000
-0.00016856706
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-03-13
0.00000000
USD
55845.63000000
USD
5500000.00000000
AUD
-1737.17000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-45410.32000000
-0.00440641073
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9428189.98000000
USD
13097124.00000000
AUD
2020-12-16
-45410.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-78936.87000000
-0.00765967452
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4282533.58000000
USD
3256078.00000000
GBP
2020-12-16
-78936.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1323.15000000
-0.00012839245
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1150000.00000000
SGD
841223.25000000
USD
2020-12-16
-1323.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
19415.60000000
0.001884001438
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1286674.00000000
CHF
1419671.95000000
USD
2020-12-16
19415.60000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
86752.57000000
0.008418074471
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
18285178.00000000
NOK
2047518.16000000
USD
2020-12-16
86752.57000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
105239.77000000
0.010211988201
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1006125000.00000000
HUF
3346482.52000000
USD
2020-12-16
105239.77000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
811337.23000000
0.078728471373
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
106224000.00000000
NOK
12202003.69000000
USD
2020-12-16
811337.23000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-270576.92000000
-0.02625555257
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9653356.58000000
USD
13097124.00000000
AUD
2020-12-16
-270576.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1519.54000000
-0.00014744924
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
32385.78000000
USD
287844.00000000
NOK
2020-12-16
-1519.54000000
N
N
N
N/A
N/A
IRS
N/A
114000000.00000000
PA
1576336.56000000
0.152960523874
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2030-12-16
0.00000000
USD
2050534.70000000
USD
114000000.00000000
EUR
1576336.56000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
31234.51000000
0.003030854662
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3000000.00000000
BRL
564278.90000000
USD
2020-12-16
31234.51000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
40.53000000
0.000003932846
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5000.00000000
EUR
5913.11000000
USD
2020-12-16
40.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7403.19000000
-0.00071837185
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
312510.79000000
USD
2845290.00000000
NOK
2020-12-16
-7403.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3980.25000000
0.000386225340
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
423856.00000000
EUR
501805.48000000
USD
2020-12-16
3980.25000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
826.42000000
0.000080192034
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
112500.00000000
CAD
85344.26000000
USD
2020-12-16
826.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
178.47000000
0.000017317916
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
168806.25000000
USD
1152500.00000000
CNY
2020-12-16
178.47000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9678.54000000
-0.00093916146
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
460628.16000000
USD
600250.00000000
CAD
2020-12-16
-9678.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8398.21000000
0.000814924067
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2595984.79000000
USD
193140544.00000000
INR
2020-12-16
8398.21000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127962R9
9840000.00000000
PA
USD
9839703.42000000
0.954800026898
Long
STIV
UST
US
N
2
2020-10-15
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-942.55000000
-0.00009146076
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6000000.00000000
MXN
268041.17000000
USD
2020-12-16
-942.55000000
N
N
N
N/A
N/A
3 Month Euro Euribor
N/A
2486.00000000
NC
223558.85000000
0.021693133103
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Long
N/A
3 Month Euro Euribor
2021-09-13
624825025.00000000
EUR
223558.85000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11455.16000000
0.001111556579
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1116119.98000000
USD
19062500.00000000
ZAR
2020-12-17
11455.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-82298.56000000
-0.00798587761
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4585353.05000000
USD
3488036.00000000
GBP
2020-12-16
-82298.56000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
446996.77000000
0.043374531711
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
87755494.00000000
NOK
9857238.92000000
USD
2020-12-16
446996.77000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-57.74000000
-0.00000560282
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14739.18000000
USD
12500.00000000
EUR
2020-12-16
-57.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10177.55000000
-0.00098758312
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2614560.55000000
USD
193140544.00000000
INR
2020-12-16
-10177.55000000
N
N
N
N/A
N/A
ASX 90 Day Bank Accepted Bill
N/A
-818.00000000
NC
-96801.34000000
-0.00939316136
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
N/A
ASX 90 Day Bank Accepted Bill
2021-06-10
-817858837.74000000
AUD
-96801.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21182.63000000
0.002055465986
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1106392.51000000
USD
19062500.00000000
ZAR
2020-12-17
21182.63000000
N
N
N
FinecoBank Banca Fineco SpA
549300L7YCATGO57ZE10
FinecoBank Banca Fineco SpA
N/A
-95108.00000000
NS
-1309991.29000000
-0.12711559134
Short
EC
CORP
IT
N
2
N
N
N
Moncler SpA
815600EBD7FB00525B20
Moncler SpA
N/A
-34988.00000000
NS
-1431763.32000000
-0.13893179480
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-103.41000000
-0.00001003443
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
11261.30000000
USD
9500.00000000
EUR
2020-12-16
-103.41000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-190979.29000000
-0.01853176091
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14583113.99000000
USD
321033586.00000000
MXN
2020-12-16
-190979.29000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
18499.33000000
0.001795090769
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1350528.00000000
CHF
1488246.45000000
USD
2020-12-16
18499.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22196.69000000
-0.00215386575
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
910977.29000000
USD
8288350.00000000
NOK
2020-12-16
-22196.69000000
N
N
N
N/A
N/A
Brent Crude Oil
N/A
224.00000000
NC
USD
30762.20000000
0.002985023850
N/A
DCO
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Long
N/A
Brent Crude Oil
2020-10-30
9475200.00000000
USD
30762.20000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
94631.04000000
0.009182565335
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14241466.00000000
NOK
1621779.23000000
USD
2020-12-16
94631.04000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2180.35000000
-0.00021157123
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
33046.80000000
USD
287846.00000000
NOK
2020-12-16
-2180.35000000
N
N
N
N/A
N/A
IRSIMM
N/A
18067700000.00000000
PA
-101256.41000000
-0.00982546107
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2023-03-15
0.00000000
USD
109305.53000000
USD
18067700000.00000000
JPY
-101256.41000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15819.14000000
0.001535017332
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
847710.00000000
EUR
1011467.26000000
USD
2020-12-16
15819.14000000
N
N
N
N/A
N/A
S&P 500 E-Mini Index
N/A
-257.00000000
NC
USD
23969.90000000
0.002325929978
N/A
DE
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
S&P 500 E-Mini Index
US78378X1072
2020-12-18
-43073200.00000000
USD
23969.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8394.96000000
0.000814608702
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2595988.01000000
USD
193140542.00000000
INR
2020-12-16
8394.96000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-34515.33000000
-0.00334921050
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6589191.09000000
USD
9908732.00000000
NZD
2020-12-16
-34515.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-317.74000000
-0.00003083204
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
278000.00000000
GBP
358580.26000000
USD
2020-12-16
-317.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1914.59000000
-0.00018578309
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
32781.04000000
USD
287846.00000000
NOK
2020-12-16
-1914.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
22729.50000000
0.002205567209
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1650000.00000000
PLN
449687.92000000
USD
2020-12-16
22729.50000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127962Z1
23774000.00000000
PA
USD
23771469.02000000
2.306675139575
Long
STIV
UST
US
N
2
2020-11-12
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
23954.94000000
0.002324478328
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2727532.63000000
USD
24617625.00000000
SEK
2020-12-16
23954.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
673602.82000000
0.065363351231
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
87755496.00000000
NOK
10083845.19000000
USD
2020-12-16
673602.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
13.91000000
0.000001349763
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5682.00000000
SEK
648.98000000
USD
2020-12-16
13.91000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-93167.06000000
-0.00904050738
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4145915.59000000
USD
3139232.00000000
GBP
2020-12-16
-93167.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8633.92000000
0.000837796292
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5726360.34000000
USD
7827751.00000000
SGD
2020-12-16
8633.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-56439.59000000
-0.00547664088
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7668385.62000000
USD
6994500.00000000
CHF
2020-12-16
-56439.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8709.82000000
-0.00084516128
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1056714.07000000
USD
30000000.00000000
TWD
2020-12-16
-8709.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4608.33000000
0.000447171364
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
296698.00000000
EUR
353084.58000000
USD
2020-12-16
4608.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
364218.54000000
0.035342109100
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
17375702.84000000
USD
158719500.00000000
SEK
2020-12-16
364218.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-120188.23000000
-0.01166251871
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6674863.99000000
USD
9908732.00000000
NZD
2020-12-16
-120188.23000000
N
N
N
N/A
N/A
S&P/TSX 60 Index
N/A
166.00000000
NC
-61720.22000000
-0.00598904918
N/A
DE
CA
N
1
Canadian Derivatives Clearing
5493004XJK1P32XQLA57
Long
S&P/TSX 60 Index
XC0009654721
2020-12-17
31921800.00000000
CAD
-61720.22000000
N
N
N
UnipolSai Assicurazioni SpA
815600E31C4E7006AB54
UnipolSai Assicurazioni SpA
N/A
131294.00000000
NS
342368.29000000
0.033221860308
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11457.97000000
0.001111829249
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
782702.88000000
USD
22733520.00000000
TWD
2020-12-16
11457.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-78942.22000000
-0.00766019366
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4282538.93000000
USD
3256078.00000000
GBP
2020-12-16
-78942.22000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
18497.44000000
0.001794907372
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1350526.00000000
CHF
1488242.39000000
USD
2020-12-16
18497.44000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
22730.06000000
0.002205621549
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1650000.00000000
PLN
449688.48000000
USD
2020-12-16
22730.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-28852.41000000
-0.00279970652
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2111229310.00000000
KRW
1782010.19000000
USD
2020-12-16
-28852.41000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
93611.27000000
0.009083611497
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
22329744.00000000
NOK
2488085.83000000
USD
2020-12-16
93611.27000000
N
N
N
N/A
N/A
SPI 200 Index
N/A
-1618.00000000
NC
2542257.38000000
0.246689083115
N/A
DE
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
SPI 200 Index
XC0006013624
2020-12-17
-234690900.00000000
AUD
2542257.38000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6456.19000000
0.000626479287
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2949312.00000000
ILS
868406.09000000
USD
2020-12-16
6456.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-37.67000000
-0.00000365532
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9500.00000000
CAD
7099.39000000
USD
2020-12-16
-37.67000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-77689.73000000
-0.00753865773
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4579568.12000000
USD
3487125.00000000
GBP
2020-12-16
-77689.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2408.27000000
0.000233687557
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6825066.37000000
USD
719289000.00000000
JPY
2020-12-16
2408.27000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
88504.32000000
0.008588056317
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
21502718.00000000
NOK
2394294.81000000
USD
2020-12-16
88504.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4068.82000000
0.000394819770
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
275506.00000000
EUR
327654.75000000
USD
2020-12-16
4068.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-16908.29000000
-0.00164070349
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
689367.59000000
USD
15000000.00000000
MXN
2020-12-16
-16908.29000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-389762.37000000
-0.03782076608
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
17635282.54000000
USD
13358265.00000000
GBP
2020-12-16
-389762.37000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
239989.30000000
0.023287469176
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
31456880.00000000
BRL
5829293.76000000
USD
2020-12-16
239989.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4532.46000000
-0.00043980928
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1337143.43000000
USD
7500000.00000000
BRL
2020-12-16
-4532.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-102387.74000000
-0.00993524019
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4289049.11000000
USD
3242960.00000000
GBP
2020-12-16
-102387.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
98761.39000000
0.009583355697
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
715589022.00000000
HUF
2404039.30000000
USD
2020-12-16
98761.39000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
-89.00000000
NC
USD
-734361.30000000
-0.07125907754
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Short
N/A
LME Copper Base Metal
2020-10-09
-14845088.75000000
USD
-734361.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
66601.98000000
0.006462752949
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6488073.78000000
USD
9908732.00000000
NZD
2020-12-16
66601.98000000
N
N
N
Saipem SpA
549300PHV8MBDHWB8X12
Saipem SpA
N/A
-116793.00000000
NS
-200880.20000000
-0.01949250014
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4607.89000000
0.000447128669
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
296699.00000000
EUR
353085.32000000
USD
2020-12-16
4607.89000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12550.22000000
0.001217816216
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1115024.92000000
USD
19062500.00000000
ZAR
2020-12-17
12550.22000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-192.96000000
-0.00001872395
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
28323.05000000
USD
96252.00000000
ILS
2020-12-16
-192.96000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2680.59000000
0.000260112250
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
293076.82000000
USD
5000000.00000000
ZAR
2020-12-17
2680.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
88299.37000000
0.008568168902
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9174999.00000000
PLN
2462446.66000000
USD
2020-12-16
88299.37000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127962F5
52136000.00000000
PA
USD
52108755.29000000
5.056396400261
Long
STIV
UST
US
N
2
2021-03-25
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
342318.28000000
0.033217007566
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
16140000.00000000
CHF
17907091.88000000
USD
2020-12-16
342318.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
26.82000000
0.000002602490
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
11362.00000000
SEK
1296.74000000
USD
2020-12-16
26.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10672.72000000
0.001035632163
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1576125.93000000
USD
1850000000.00000000
KRW
2020-12-16
10672.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6813.43000000
-0.00066114423
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
253381.84000000
USD
5500000.00000000
MXN
2020-12-16
-6813.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1147.20000000
0.000111319065
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
119744.69000000
USD
824500.00000000
CNY
2020-12-16
1147.20000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-17.03000000
-0.00000165251
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
500000.00000000
BRL
88823.70000000
USD
2020-12-16
-17.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
100687.42000000
0.009770248880
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
26189773.00000000
ILS
7754768.14000000
USD
2020-12-16
100687.42000000
N
N
N
Tenaris SA
549300Y7C05BKC4HZB40
Tenaris SA
N/A
-65583.00000000
NS
-326739.07000000
-0.03170527194
Short
EC
CORP
LU
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-419.98000000
-0.00004075294
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
57044.30000000
USD
193750.00000000
ILS
2020-12-16
-419.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1775.58000000
-0.00017229420
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
32642.03000000
USD
287846.00000000
NOK
2020-12-16
-1775.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
20.05000000
0.000001945560
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2000.00000000
CAD
1522.59000000
USD
2020-12-16
20.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-317.29000000
-0.00003078837
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
278000.00000000
GBP
358580.71000000
USD
2020-12-16
-317.29000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
88599.88000000
0.008597329024
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9174999.00000000
PLN
2462747.17000000
USD
2020-12-16
88599.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
57277.60000000
0.005557957560
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2547105.40000000
USD
193140544.00000000
INR
2020-12-16
57277.60000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2272.67000000
-0.00022052955
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1401707.30000000
USD
1191500.00000000
EUR
2020-12-16
-2272.67000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
34306.24000000
0.003328921358
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2570076.76000000
USD
193140544.00000000
INR
2020-12-16
34306.24000000
N
N
N
N/A
N/A
Total Return Swap
000000000
5249150.00000000
PA
USD
100980.35000000
0.009798673474
N/A
DCO
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2020-11-20
0.00000000
USD
0.00000000
USD
5249150.00000000
USD
100980.35000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
94881.42000000
0.009206861071
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21390400.00000000
NOK
2388627.77000000
USD
2020-12-16
94881.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
93178.85000000
0.009041651428
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9413416.00000000
CAD
7165192.77000000
USD
2020-12-16
93178.85000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6457.27000000
0.000626584085
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2949312.00000000
ILS
868407.17000000
USD
2020-12-16
6457.27000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15306.75000000
0.001485297339
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2708665.98000000
USD
24371449.00000000
SEK
2020-12-16
15306.75000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3265.98000000
-0.00031691583
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1077000.00000000
CNY
154648.59000000
USD
2020-12-16
-3265.98000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127964D8
49213000.00000000
PA
USD
49193861.56000000
4.773548382083
Long
STIV
UST
US
N
2
2021-02-18
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-82304.29000000
-0.00798643363
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4585358.78000000
USD
3488036.00000000
GBP
2020-12-16
-82304.29000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11808.13000000
0.001145807181
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
782352.72000000
USD
22733520.00000000
TWD
2020-12-16
11808.13000000
N
N
N
Banco Espirito Santo SA
635400JV7IJL16OWIT96
Banco Espirito Santo SA (Registered)
N/A
-216618.00000000
NS
-2.54000000
-0.00000024647
Short
EC
CORP
PT
N
3
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6546.65000000
-0.00063525711
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
608366.88000000
USD
5384500.00000000
SEK
2020-12-16
-6546.65000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-637.19000000
-0.00006183001
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
15000000.00000000
INR
201628.70000000
USD
2020-12-16
-637.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-348210.40000000
-0.03378875206
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
31545000.00000000
AUD
22250627.67000000
USD
2020-12-16
-348210.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4684.94000000
0.000454605250
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
425291.37000000
USD
2932500.00000000
CNY
2020-12-16
4684.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4998.77000000
-0.00048505788
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2097716.86000000
USD
19515705.00000000
NOK
2020-12-16
-4998.77000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1001.78000000
0.000097208170
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2000000.00000000
BRL
356364.71000000
USD
2020-12-16
1001.78000000
N
N
N
N/A
N/A
IRS
N/A
148100000.00000000
PA
USD
-590771.07000000
-0.05732573528
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2030-12-16
4538895.49000000
USD
0.00000000
USD
148100000.00000000
USD
-590771.07000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
23655.18000000
0.002295390982
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1920338.00000000
CAD
1466346.87000000
USD
2020-12-16
23655.18000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4052.23000000
0.000393209952
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1123522.91000000
USD
19062500.00000000
ZAR
2020-12-17
4052.23000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10717.46000000
0.001039973529
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
951139.17000000
USD
6560000.00000000
CNY
2020-12-16
10717.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
364196.82000000
0.035340001490
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
17375724.56000000
USD
158719500.00000000
SEK
2020-12-16
364196.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
86755.13000000
0.008418322882
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
18285178.00000000
NOK
2047520.72000000
USD
2020-12-16
86755.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5535.82000000
0.000537170772
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
500000.00000000
BRL
94376.55000000
USD
2020-12-16
5535.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5465.46000000
-0.00053034335
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2098183.66000000
USD
19515706.00000000
NOK
2020-12-16
-5465.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
474.56000000
0.000046049142
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2155659.34000000
USD
20107091.00000000
NOK
2020-12-16
474.56000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-14779.70000000
-0.00143415480
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21000000.00000000
MXN
926663.32000000
USD
2020-12-16
-14779.70000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1879.27000000
-0.00018235580
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1896114.59000000
USD
17664748.00000000
NOK
2020-12-16
-1879.27000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1178.21000000
-0.00011432813
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
32044.55000000
USD
287845.00000000
NOK
2020-12-16
-1178.21000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10174.28000000
-0.00098726581
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2614557.28000000
USD
193140544.00000000
INR
2020-12-16
-10174.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2278.11000000
-0.00022105742
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
45000000.00000000
INR
604519.57000000
USD
2020-12-16
-2278.11000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21779.32000000
0.002113366067
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2784737.95000000
USD
25109977.00000000
SEK
2020-12-16
21779.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-28850.18000000
-0.00279949013
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2111229310.00000000
KRW
1782012.42000000
USD
2020-12-16
-28850.18000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
27967.93000000
0.002713880609
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2025790.00000000
CHF
2232586.44000000
USD
2020-12-16
27967.93000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2688.39000000
0.000260869127
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
50000000.00000000
INR
676908.04000000
USD
2020-12-16
2688.39000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
2.00000000
NC
USD
29276.91000000
0.002840898070
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Long
N/A
LME Copper Base Metal
2020-10-02
333400.00000000
USD
29276.91000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-192.92000000
-0.00001872007
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
28323.01000000
USD
96252.00000000
ILS
2020-12-16
-192.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12169.68000000
0.001180890347
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3500000.00000000
BRL
634054.80000000
USD
2020-12-16
12169.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
23653.35000000
0.002295213407
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1920338.00000000
CAD
1466345.04000000
USD
2020-12-16
23653.35000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-107944.91000000
-0.01047448267
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
36068374.00000000
CNY
5180561.92000000
USD
2020-12-16
-107944.91000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64371.72000000
-0.00624633867
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1788402.45000000
USD
16077500.00000000
NOK
2020-12-16
-64371.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64468.56000000
-0.00625573558
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
36068374.00000000
CNY
5224038.27000000
USD
2020-12-16
-64468.56000000
N
N
N
N/A
N/A
IRSIMM
N/A
26700000.00000000
PA
13995.37000000
0.001358046994
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2023-03-09
0.00000000
USD
59024.74000000
USD
26700000.00000000
AUD
13995.37000000
N
N
N
N/A
N/A
Total Return Swap
000000000
-2157120.00000000
PA
14361.60000000
0.001393584286
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2020-12-18
0.00000000
USD
0.00000000
USD
-2157120.00000000
PLN
14361.60000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
42811.39000000
0.004154222396
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4500000.00000000
BRL
842377.97000000
USD
2020-12-16
42811.39000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9709.72000000
0.000942187027
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1350745.58000000
USD
9278500.00000000
CNY
2020-12-16
9709.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1212.73000000
-0.00011767779
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
768500.00000000
CNY
111468.19000000
USD
2020-12-16
-1212.73000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
184201468.53000000
PA
-200614.68000000
-0.01946673529
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 (-4.96% to 0.35%). CAD Currency. Maturity 54-62 Months 02/25/25 to 10/01/25
Cameco Corp.
3696484.85000000
USD
228586.27000000
USD
CAE, Inc.
1238407.48000000
USD
39694.99000000
USD
Air Canada
3826920.08000000
USD
791814.32000000
USD
Intact Financial Corp.
1453051.41000000
USD
-11410.27000000
USD
Cronos Group, Inc.
594782.22000000
USD
-18716.55000000
USD
Empire Co. Ltd., Class A
1248364.09000000
USD
39856.64000000
USD
BCE, Inc.
75268.90000000
USD
-716.78000000
USD
Methanex Corp.
417643.87000000
USD
-13786.57000000
USD
Royal Bank of Canada
30822.81000000
USD
-810.99000000
USD
Imperial Oil Ltd.
366133.38000000
USD
-54060.14000000
USD
Finning International, Inc.
454783.88000000
USD
10560.22000000
USD
Canadian Pacific Railway Ltd.
1462870.68000000
USD
-21861.74000000
USD
Fortis, Inc.
1019745.77000000
USD
-39742.45000000
USD
Cenovus Energy, Inc.
150073.65000000
USD
7828.68000000
USD
Inter Pipeline Ltd.
2494622.33000000
USD
177242.71000000
USD
National Bank of Canada
4068686.63000000
USD
-282451.03000000
USD
Equinox Gold Corp.
1474456.01000000
USD
-78798.66000000
USD
Enbridge, Inc.
3041155.87000000
USD
128792.84000000
USD
Metro, Inc.
1046384.38000000
USD
-60464.21000000
USD
SSR Mining, Inc.
849141.98000000
USD
-158408.76000000
USD
Boralex, Inc., Class A
1352663.85000000
USD
-130653.63000000
USD
Tourmaline Oil Corp.
3945659.81000000
USD
15245.99000000
USD
CCL Industries, Inc., Class B
2807612.27000000
USD
-191003.92000000
USD
Boyd Group Services, Inc.
1211268.18000000
USD
-58319.13000000
USD
Rogers Communications, Inc., Class B
1488385.13000000
USD
2438.25000000
USD
CGI, Inc.
3150861.76000000
USD
35062.58000000
USD
Manulife Financial Corp.
3208353.03000000
USD
-123246.69000000
USD
Thomson Reuters Corp.
2384236.43000000
USD
-101873.37000000
USD
Quebecor, Inc., Class B
1645849.96000000
USD
-7705.79000000
USD
Pan American Silver Corp.
1045405.70000000
USD
85816.87000000
USD
Stantec, Inc.
1967286.67000000
USD
-9613.23000000
USD
Saputo, Inc.
17533.40000000
USD
441.80000000
USD
Parkland Corp.
650441.65000000
USD
-9382.49000000
USD
Bank of Nova Scotia (The)
2264067.23000000
USD
5499.68000000
USD
Hydro One Ltd.
2045009.54000000
USD
51524.11000000
USD
WSP Global, Inc.
2042006.86000000
USD
24584.44000000
USD
Yamana Gold, Inc.
1080067.40000000
USD
-74005.04000000
USD
Magna International, Inc.
5406665.22000000
USD
-107796.34000000
USD
Descartes Systems Group, Inc. (The)
349757.05000000
USD
-31186.00000000
USD
Agnico Eagle Mines Ltd.
1749084.73000000
USD
77385.61000000
USD
TFI International, Inc.
2670741.55000000
USD
-20481.20000000
USD
Suncor Energy, Inc.
607428.32000000
USD
59346.08000000
USD
Open Text Corp.
1093392.90000000
USD
17645.32000000
USD
Bank of Montreal
940826.07000000
USD
-35716.49000000
USD
Canadian Natural Resources Ltd.
1984890.05000000
USD
204864.92000000
USD
Pembina Pipeline Corp.
1531500.78000000
USD
176957.63000000
USD
Gildan Activewear, Inc.
1283297.69000000
USD
107.59000000
USD
Genworth MI Canada, Inc.
472899.32000000
USD
-23134.28000000
USD
Premium Brands Holdings Corp.
420149.04000000
USD
-13697.70000000
USD
First Quantum Minerals Ltd.
1101056.05000000
USD
221025.28000000
USD
Canadian National Railway Co.
2119668.38000000
USD
-17374.21000000
USD
Toronto-Dominion Bank (The)
1706087.53000000
USD
-22872.20000000
USD
Cogeco Communications, Inc.
473562.58000000
USD
-18103.27000000
USD
Barrick Gold Corp.
240373.40000000
USD
5023.46000000
USD
Seven Generations Energy Ltd., Class A
825278.06000000
USD
-160330.90000000
USD
BlackBerry Ltd.
813198.30000000
USD
15534.75000000
USD
Linamar Corp.
2791277.18000000
USD
14943.41000000
USD
Shopify, Inc., Class A
775157.54000000
USD
-97541.78000000
USD
TransAlta Renewables, Inc.
832246.98000000
USD
-36602.65000000
USD
Keyera Corp.
1381632.53000000
USD
-87528.68000000
USD
TC Energy Corp.
1808589.91000000
USD
129355.47000000
USD
Kinross Gold Corp.
3470165.78000000
USD
-162721.32000000
USD
Restaurant Brands International, Inc.
4074280.95000000
USD
-156266.52000000
USD
Alimentation Couche-Tard, Inc., Class B
2213000.46000000
USD
114173.23000000
USD
PrairieSky Royalty Ltd.
1120931.04000000
USD
82254.88000000
USD
Kinaxis, Inc.
184447.10000000
USD
14356.05000000
USD
Shaw Communications, Inc., Class B
1050673.20000000
USD
-19230.06000000
USD
IGM Financial, Inc.
1327196.91000000
USD
-51838.85000000
USD
Brookfield Asset Management, Inc., Class A
510467.97000000
USD
2413.79000000
USD
Algonquin Power & Utilities Corp.
4182599.08000000
USD
-138020.74000000
USD
Husky Energy, Inc.
707674.84000000
USD
-79832.59000000
USD
Northland Power, Inc.
569011.15000000
USD
-33850.31000000
USD
Emera, Inc.
343099.70000000
USD
-4117.57000000
USD
Gibson Energy, Inc.
1117952.75000000
USD
-133816.49000000
USD
Centerra Gold, Inc.
1484866.95000000
USD
-63861.88000000
USD
Ovintiv, Inc.
278819.33000000
USD
-54552.05000000
USD
Canadian Utilities Ltd., Class A
999346.99000000
USD
5423.58000000
USD
Canada Goose Holdings, Inc.
4812094.76000000
USD
-564458.04000000
USD
AltaGas Ltd.
361064.86000000
USD
-12695.87000000
USD
Sun Life Financial, Inc.
122.25000000
USD
2.04000000
USD
Constellation Software, Inc.
262245.27000000
USD
1844.67000000
USD
Ballard Power Systems, Inc.
984520.84000000
USD
29235.44000000
USD
iA Financial Corp., Inc.
2575730.99000000
USD
30157.59000000
USD
Franco-Nevada Corp.
2418190.34000000
USD
82911.97000000
USD
Loblaw Cos. Ltd.
1735617.43000000
USD
43250.07000000
USD
Canadian Imperial Bank of Commerce
3118165.66000000
USD
-90683.75000000
USD
Dollarama, Inc.
5271929.29000000
USD
-182324.90000000
USD
Ritchie Bros Auctioneers, Inc.
1839816.26000000
USD
-84132.49000000
USD
Fairfax Financial Holdings Ltd.
1495901.77000000
USD
-26754.85000000
USD
George Weston Ltd.
931341.71000000
USD
20049.65000000
USD
CI Financial Corp.
2596040.76000000
USD
-171871.41000000
USD
BRP, Inc.
3681679.06000000
USD
113966.66000000
USD
Bausch Health Cos., Inc.
307915.51000000
USD
-31937.51000000
USD
West Fraser Timber Co. Ltd.
5302849.84000000
USD
776862.88000000
USD
Nutrien Ltd.
1406735.14000000
USD
-43430.24000000
USD
Capital Power Corp.
497061.92000000
USD
-4568.58000000
USD
Endeavour Mining Corp.
1412014.98000000
USD
-167363.34000000
USD
Lightspeed POS, Inc.
450900.71000000
USD
-18788.95000000
USD
Teck Resources Ltd., Class B
2426915.31000000
USD
-135090.02000000
USD
Element Fleet Management Corp.
3394754.56000000
USD
15152.80000000
USD
Onex Corp.
2528921.93000000
USD
95452.11000000
USD
Toromont Industries Ltd.
483268.13000000
USD
-16693.69000000
USD
TMX Group Ltd.
949545.28000000
USD
-17210.13000000
USD
Wheaton Precious Metals Corp.
2675902.67000000
USD
160933.65000000
USD
TransAlta Corp.
274199.39000000
USD
2966.45000000
USD
Canadian Tire Corp. Ltd., Class A
6852907.00000000
USD
161953.07000000
USD
Lundin Mining Corp.
384783.10000000
USD
51542.12000000
USD
Maple Leaf Foods, Inc.
380717.81000000
USD
-5945.74000000
USD
Innergex Renewable Energy, Inc.
1358783.33000000
USD
-74371.19000000
USD
Atco Ltd., Class I
2699026.17000000
USD
-55118.22000000
USD
Y
2025-02-25
0.00000000
USD
0.00000000
USD
184201469.00000000
USD
-348861.80000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
144394.98000000
0.014011431534
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9413416.00000000
CAD
7216408.90000000
USD
2020-12-16
144394.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6593.34000000
-0.00063978769
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2150915.84000000
USD
2500000000.00000000
KRW
2020-12-16
-6593.34000000
N
N
N
N/A
N/A
Total Return Swap
000000000
-1823148.00000000
PA
USD
-3719.15000000
-0.00036088938
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Y
2020-10-29
0.00000000
USD
0.00000000
USD
-1823148.00000000
USD
-3719.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-34507.10000000
-0.00334841189
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6589182.86000000
USD
9908732.00000000
NZD
2020-12-16
-34507.10000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7403.58000000
-0.00071840970
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
312511.18000000
USD
2845290.00000000
NOK
2020-12-16
-7403.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11727.35000000
0.001137968657
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
782433.50000000
USD
22733520.00000000
TWD
2020-12-16
11727.35000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
23958.35000000
0.002324809219
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2727529.22000000
USD
24617625.00000000
SEK
2020-12-16
23958.35000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-34415.33000000
-0.00333950695
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2111229310.00000000
KRW
1776447.27000000
USD
2020-12-16
-34415.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-143979.64000000
-0.01397112883
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9526759.30000000
USD
13097124.00000000
AUD
2020-12-16
-143979.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-348182.59000000
-0.03378605351
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
31545000.00000000
AUD
22250655.48000000
USD
2020-12-16
-348182.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10159.86000000
-0.00098586656
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2614542.83000000
USD
193140542.00000000
INR
2020-12-16
-10159.86000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32580.29000000
-0.00316144302
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1372326.58000000
USD
11986742.00000000
SEK
2020-12-16
-32580.29000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4684.41000000
0.000454553821
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
425291.90000000
USD
2932500.00000000
CNY
2020-12-16
4684.41000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
157.70000000
0.000015302490
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1500000.00000000
BRL
266679.89000000
USD
2020-12-16
157.70000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10674.69000000
0.001035823323
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1576123.96000000
USD
1850000000.00000000
KRW
2020-12-16
10674.69000000
N
N
N
Pirelli & C SpA
815600A0C9AFC1F2A709
Pirelli & C SpA
N/A
-313017.00000000
NS
-1341195.25000000
-0.13014348157
Short
EC
CORP
IT
Y
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-263602.67000000
-0.02557880310
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9646382.33000000
USD
13097124.00000000
AUD
2020-12-16
-263602.67000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1501.26000000
0.000145675436
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
295000.00000000
GBP
382346.26000000
USD
2020-12-16
1501.26000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-698927.35000000
-0.06782072833
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
17944448.81000000
USD
13358266.00000000
GBP
2020-12-16
-698927.35000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64.08000000
-0.00000621803
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
41778.75000000
USD
284500.00000000
CNY
2020-12-16
-64.08000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5149.68000000
-0.00049970150
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
624706.35000000
USD
527500.00000000
EUR
2020-12-16
-5149.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
99282.05000000
0.009633878173
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14385320.00000000
NOK
1641856.06000000
USD
2020-12-16
99282.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4250.08000000
0.000412408415
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
431039.00000000
EUR
510511.85000000
USD
2020-12-16
4250.08000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-54468.41000000
-0.00528536655
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
68000000.00000000
MXN
2994013.75000000
USD
2020-12-16
-54468.41000000
N
N
N
Prysmian SpA
529900X0H1IO3RS1A464
Prysmian SpA
N/A
38844.00000000
NS
1127550.90000000
0.109412406420
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Canada 10 Year Bond
N/A
758.00000000
NC
-78246.12000000
-0.00759264728
N/A
DIR
CA
N
1
Canadian Derivatives Clearing
5493004XJK1P32XQLA57
Long
Canada
Canada 10 Year Bond
2020-12-18
115071980.00000000
CAD
-78246.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
99.19000000
0.000009624946
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
13500.00000000
EUR
15955.14000000
USD
2020-12-16
99.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
53424.99000000
0.005184117824
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9413416.00000000
CAD
7125438.91000000
USD
2020-12-16
53424.99000000
N
N
N
N/A
N/A
IRS
N/A
722000000.00000000
PA
USD
-491195.92000000
-0.04766341602
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-12-16
0.00000000
USD
7312809.59000000
USD
722000000.00000000
USD
-491195.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1455.11000000
0.000141197250
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
138000.00000000
CAD
105130.32000000
USD
2020-12-16
1455.11000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-51692.05000000
-0.00501596121
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4415180.00000000
GBP
5648305.35000000
USD
2020-12-16
-51692.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2502.58000000
0.000242838970
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
352406.32000000
USD
6000000.00000000
ZAR
2020-12-17
2502.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9708.03000000
0.000942023037
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1350747.27000000
USD
9278500.00000000
CNY
2020-12-16
9708.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7056.75000000
0.000684754895
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5386211.00000000
DKK
856633.15000000
USD
2020-12-16
7056.75000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64938.66000000
-0.00630135194
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4567993.15000000
USD
3488036.00000000
GBP
2020-12-16
-64938.66000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127964F3
49000000.00000000
PA
USD
48979038.78000000
4.752702957443
Long
STIV
UST
US
N
2
2021-03-04
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-20.69000000
-0.00000200766
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9382800.35000000
USD
13097124.00000000
AUD
2020-12-16
-20.69000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6512.73000000
-0.00063196567
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
297529.33000000
USD
2713884.00000000
NOK
2020-12-16
-6512.73000000
N
N
N
N/A
N/A
IRS
N/A
61600000.00000000
PA
43054.64000000
0.004177826269
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-03-17
455277.87000000
USD
0.00000000
USD
61600000.00000000
CAD
43054.64000000
N
N
N
N/A
N/A
FTSE 100 Index
N/A
-149.00000000
NC
436765.70000000
0.042381755252
N/A
DE
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
FTSE 100 Index
GB0001383545
2020-12-18
-8703835.00000000
GBP
436765.70000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
142918.33000000
0.013868144140
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9413416.00000000
CAD
7214932.25000000
USD
2020-12-16
142918.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6686.78000000
0.000648854691
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1120888.36000000
USD
19062500.00000000
ZAR
2020-12-17
6686.78000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-57.76000000
-0.00000560476
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14739.20000000
USD
12500.00000000
EUR
2020-12-16
-57.76000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3724.68000000
0.000361425991
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
384742.00000000
EUR
455609.93000000
USD
2020-12-16
3724.68000000
N
N
N
N/A
N/A
3 Month Canadian Bankers Acceptance
N/A
1836.00000000
NC
88885.71000000
0.008625064666
N/A
DIR
CA
N
1
Canadian Derivatives Clearing
5493004XJK1P32XQLA57
Long
N/A
3 Month Canadian Bankers Acceptance
2021-03-15
456682050.00000000
CAD
88885.71000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
78372.72000000
0.007604931975
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9413416.00000000
CAD
7150386.64000000
USD
2020-12-16
78372.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64932.95000000
-0.00630079787
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4567987.44000000
USD
3488036.00000000
GBP
2020-12-16
-64932.95000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
101059.26000000
0.009806330541
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14673026.00000000
NOK
1674484.71000000
USD
2020-12-16
101059.26000000
N
N
N
N/A
N/A
Japan 10 Year Bond
N/A
624.00000000
NC
1534863.83000000
0.148936198949
N/A
DIR
JP
N
1
Japan Securities Clearing
549300JHM7D8P3TS4S86
Long
Japan
Japan 10 Year Bond
2020-12-14
94916640000.00000000
JPY
1534863.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9506.92000000
-0.00092250823
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
946769.90000000
USD
798000.00000000
EUR
2020-12-16
-9506.92000000
N
N
N
Snam SpA
8156002278562044AF79
Snam SpA
N/A
-386991.00000000
NS
-1990207.16000000
-0.19312064284
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9679.12000000
-0.00093921774
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
460628.74000000
USD
600250.00000000
CAD
2020-12-16
-9679.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1180.41000000
0.000114541612
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
53143.96000000
USD
370500.00000000
CNY
2020-12-16
1180.41000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
507985995.49000001
PA
-453466.57000000
-0.04400233165
N/A
DE
GB
N
2
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
N/A
N/A
Rec/pay the total return of custom basket plus EONIA +/- spread (-1.50% to 0.35%). EUR Currency. Maturity 1-37 Months 11/11/20
Adyen NV
2676346.64000000
USD
-224311.36000000
USD
Knorr-Bremse AG
1438693.13000000
USD
16732.47000000
USD
Koninklijke DSM NV
2117986.09000000
USD
-67665.73000000
USD
adidas AG
4110731.68000000
USD
61980.53000000
USD
Wartsila OYJ Abp
965234.61000000
USD
-42079.88000000
USD
Continental AG
1213508.49000000
USD
17902.05000000
USD
Societe Generale SA
211108.51000000
USD
538.56000000
USD
APERAM SA
900162.94000000
USD
-52194.72000000
USD
Publicis Groupe SA
2616428.92000000
USD
-152089.49000000
USD
Banco de Sabadell SA
420293.20000000
USD
-70414.17000000
USD
Red Electrica Corp. SA
2869063.73000000
USD
-36814.40000000
USD
Eurofins Scientific SE
1556608.14000000
USD
32584.89000000
USD
Neste OYJ
3154844.73000000
USD
-258695.49000000
USD
KBC Group NV
423483.80000000
USD
44235.93000000
USD
Stora Enso OYJ, Class R
901152.64000000
USD
-28389.03000000
USD
Evotec SE
2676167.14000000
USD
17323.45000000
USD
La Francaise des Jeux SAEM
365066.94000000
USD
-2281.45000000
USD
Valeo SA
1707836.98000000
USD
108359.74000000
USD
Software AG
3016683.60000000
USD
-37332.76000000
USD
Signify NV
4874524.18000000
USD
-44805.47000000
USD
Koninklijke Ahold Delhaize NV
11348561.74000000
USD
-84283.72000000
USD
Ageas SA/NV
6478805.50000000
USD
-534771.38000000
USD
Bollore SA
567722.99000000
USD
15088.94000000
USD
Imerys SA
2113373.49000000
USD
179217.47000000
USD
Randstad NV
6769786.60000000
USD
-374887.92000000
USD
ASM International NV
3048760.55000000
USD
87185.75000000
USD
Orion OYJ, Class B
333003.88000000
USD
-3923.66000000
USD
Edenred
6875450.08000000
USD
744066.40000000
USD
Hannover Rueck SE
3929873.16000000
USD
-73698.56000000
USD
Carrefour SA
3040102.48000000
USD
-46315.67000000
USD
Deutsche Bank AG (Registered)
350292.57000000
USD
29038.29000000
USD
Nokian Renkaat OYJ
3738702.15000000
USD
52208.57000000
USD
Sampo OYJ, Class A
2712361.35000000
USD
100783.05000000
USD
Commerzbank AG
2366612.98000000
USD
244678.64000000
USD
Iberdrola SA
3490568.44000000
USD
-14012.02000000
USD
Natixis SA
1629746.82000000
USD
-202200.69000000
USD
Atos SE
2024010.03000000
USD
-72767.22000000
USD
Credit Agricole SA
2340827.53000000
USD
-261891.00000000
USD
Siemens Healthineers AG
343037.60000000
USD
-2544.67000000
USD
K+S AG (Registered)
470838.49000000
USD
-1299.45000000
USD
Bankinter SA
419806.30000000
USD
85696.39000000
USD
Banco Santander SA
1157760.71000000
USD
-98497.88000000
USD
METRO AG
418770.24000000
USD
-10485.57000000
USD
Fresenius Medical Care AG & Co. KGaA
215991.38000000
USD
1787.54000000
USD
HUGO BOSS AG
1074367.99000000
USD
-172875.36000000
USD
Siemens Energy AG
106624.95000000
USD
261610.54000000
USD
Infineon Technologies AG
547509.10000000
USD
1146.79000000
USD
CTS Eventim AG & Co. KGaA
2787085.03000000
USD
131789.15000000
USD
Zalando SE
22610.04000000
USD
-1229.25000000
USD
Carl Zeiss Meditec AG
1401178.51000000
USD
-94816.58000000
USD
Electricite de France SA
7721762.77000000
USD
188718.26000000
USD
Ferrovial SA
11033341.15000000
USD
1043755.71000000
USD
Rheinmetall AG
1405769.80000000
USD
-95453.98000000
USD
SCOR SE
959433.64000000
USD
-15831.72000000
USD
OSRAM Licht AG
110231.56000000
USD
-14198.54000000
USD
Peugeot SA
11904167.66000000
USD
-570324.47000000
USD
LVMH Moet Hennessy Louis Vuitton SE
1980155.94000000
USD
104719.42000000
USD
Daimler AG (Registered)
3068452.31000000
USD
27670.32000000
USD
Grifols SA
1352756.62000000
USD
-23190.80000000
USD
Henkel AG & Co. KGaA (Preference)
3188109.90000000
USD
-48985.61000000
USD
Naturgy Energy Group SA
944495.04000000
USD
-34531.13000000
USD
Uniper SE
1392424.85000000
USD
26367.33000000
USD
L'Oreal SA
2637603.08000000
USD
23703.72000000
USD
OCI NV
2962103.34000000
USD
-14806.43000000
USD
Koninklijke Philips NV
767452.75000000
USD
15766.18000000
USD
Elisa OYJ
3930483.76000000
USD
38510.38000000
USD
Cie Plastic Omnium SA
188562.40000000
USD
3374.17000000
USD
Eiffage SA
1308120.64000000
USD
110256.27000000
USD
Orpea
4878252.76000000
USD
226650.02000000
USD
ArcelorMittal SA
1455716.44000000
USD
-15089.65000000
USD
Rational AG
1922385.09000000
USD
-179083.45000000
USD
Cellnex Telecom SA
14127333.36000000
USD
358263.40000000
USD
Delivery Hero SE
2548588.98000000
USD
-175494.08000000
USD
HeidelbergCement AG
3888962.39000000
USD
-270459.34000000
USD
Solvay SA
827546.59000000
USD
-84396.85000000
USD
Arkema SA
1197225.80000000
USD
-98261.04000000
USD
Remy Cointreau SA
8793109.13000000
USD
-281077.75000000
USD
Muenchener Rueckversicherungs-Gesellschaft AG (Registered)
322347.68000000
USD
-34671.86000000
USD
FUCHS PETROLUB SE (Preference)
817955.91000000
USD
-27626.08000000
USD
Alstom SA
1521968.10000000
USD
102331.25000000
USD
Legrand SA
2286572.74000000
USD
78943.41000000
USD
Danone SA
755989.66000000
USD
33703.54000000
USD
Boskalis Westminster
1990649.22000000
USD
140522.65000000
USD
Aurubis AG
2359694.24000000
USD
-149631.93000000
USD
Airbus SE
6065173.45000000
USD
911962.86000000
USD
Deutsche Post AG (Registered)
5254854.06000000
USD
-116938.85000000
USD
Eutelsat Communications SA
3437323.51000000
USD
-330897.97000000
USD
Acciona SA
1626688.38000000
USD
-166681.69000000
USD
Renault SA
3448581.95000000
USD
220594.66000000
USD
Hermes International
2672468.22000000
USD
81754.07000000
USD
Fraport AG Frankfurt Airport Services Worldwide
1721718.81000000
USD
-244172.31000000
USD
Anheuser-Busch InBev SA/NV
7972371.10000000
USD
538643.47000000
USD
Vinci SA
2929828.00000000
USD
236809.36000000
USD
STMicroelectronics NV
968313.76000000
USD
2430.92000000
USD
ACS Actividades de Construccion y Servicios SA
1413492.89000000
USD
-139448.74000000
USD
SAP SE
323582.42000000
USD
-5555.82000000
USD
Volkswagen AG (Preference)
760144.70000000
USD
-58090.66000000
USD
Vivendi SA
1935136.08000000
USD
-36272.10000000
USD
Rubis SCA
2600101.02000000
USD
-309613.70000000
USD
Mapfre SA
2234874.28000000
USD
-232872.95000000
USD
Banco Bilbao Vizcaya Argentaria SA
991995.88000000
USD
-15035.94000000
USD
TOTAL SE
1017707.43000000
USD
-77974.38000000
USD
JCDecaux SA
174783.63000000
USD
15216.94000000
USD
Nokia OYJ
3069060.02000000
USD
-126004.57000000
USD
Rexel SA
2502152.96000000
USD
-171168.52000000
USD
ProSiebenSat.1 Media SE
4732631.64000000
USD
95508.15000000
USD
Evonik Industries AG
2583557.07000000
USD
-142550.62000000
USD
AXA SA
1403607.86000000
USD
-87176.38000000
USD
Siemens AG (Registered)
929108.97000000
USD
-244844.49000000
USD
Proximus SADP
3935767.05000000
USD
-291022.38000000
USD
Air France-KLM
634348.89000000
USD
-110068.44000000
USD
HelloFresh SE
3065454.28000000
USD
598435.44000000
USD
Engie SA
7206011.91000000
USD
-266804.17000000
USD
Fortum OYJ
2512836.63000000
USD
-29952.65000000
USD
Scout24 AG
1869363.04000000
USD
43055.52000000
USD
Nemetschek SE
685011.56000000
USD
17091.03000000
USD
Iliad SA
4987575.72000000
USD
384866.81000000
USD
Aena SME SA
1941959.68000000
USD
70954.43000000
USD
Stroeer SE & Co. KGaA
1524982.43000000
USD
106547.04000000
USD
Dassault Systemes SE
1538929.44000000
USD
-9105.81000000
USD
Heineken NV
780854.10000000
USD
25054.02000000
USD
Koninklijke KPN NV
3185115.88000000
USD
228050.07000000
USD
Aegon NV
22518.32000000
USD
328.86000000
USD
RWE AG
5253922.24000000
USD
-159839.02000000
USD
Telenet Group Holding NV
2807548.31000000
USD
-93010.55000000
USD
Kering SA
1651060.14000000
USD
90076.89000000
USD
CompuGroup Medical SE & Co. KgaA
408266.87000000
USD
-10347.79000000
USD
Aalberts NV
756014.95000000
USD
-43677.07000000
USD
CaixaBank SA
985461.23000000
USD
-138561.30000000
USD
Accor SA
4766592.60000000
USD
143976.05000000
USD
ABN AMRO Bank NV
2704698.16000000
USD
173928.62000000
USD
Repsol SA
4410418.13000000
USD
-562757.19000000
USD
Elia Group SA/NV
1293293.27000000
USD
15194.10000000
USD
Bayerische Motoren Werke AG
245455.95000000
USD
-11614.51000000
USD
IMCD NV
3132148.74000000
USD
48677.55000000
USD
Galapagos NV
2561356.57000000
USD
36293.08000000
USD
Deutsche Lufthansa AG (Registered)
1880079.70000000
USD
-386623.69000000
USD
GEA Group AG
589377.31000000
USD
13706.30000000
USD
KION Group AG
202628.60000000
USD
-5964.60000000
USD
Brenntag AG
2881021.71000000
USD
-141778.73000000
USD
Bechtle AG
248882.49000000
USD
-5631.17000000
USD
Endesa SA
5042506.68000000
USD
-111710.61000000
USD
NN Group NV
2516734.16000000
USD
-93407.48000000
USD
Veolia Environnement SA
501212.27000000
USD
13384.99000000
USD
Altice Europe NV
839604.70000000
USD
16010.29000000
USD
Sodexo SA
2414382.54000000
USD
-223380.46000000
USD
Neles OYJ
1187727.84000000
USD
-16994.77000000
USD
Teleperformance
600264.27000000
USD
-5403.22000000
USD
EssilorLuxottica SA
1044438.63000000
USD
-37492.80000000
USD
Bankia SA
508483.52000000
USD
74851.96000000
USD
Suez SA
911269.11000000
USD
41292.77000000
USD
LANXESS AG
454582.99000000
USD
-30551.37000000
USD
Getlink SE
2432141.83000000
USD
127045.87000000
USD
BioMerieux
1835161.29000000
USD
-136570.92000000
USD
Colruyt SA
1620014.54000000
USD
39121.64000000
USD
QIAGEN NV
172213.05000000
USD
-7230.06000000
USD
Telefonica SA
883053.88000000
USD
18024.65000000
USD
Acerinox SA
1081907.76000000
USD
-13147.44000000
USD
Industria de Diseno Textil SA
2087416.50000000
USD
165591.46000000
USD
Kesko OYJ, Class B
2333664.49000000
USD
148768.59000000
USD
BNP Paribas SA
3907575.25000000
USD
-538464.44000000
USD
Bureau Veritas SA
1038253.57000000
USD
54969.08000000
USD
Argenx SE
1740857.31000000
USD
-167806.91000000
USD
Amadeus IT Group SA
2160962.85000000
USD
175725.39000000
USD
Aeroports de Paris
2493614.76000000
USD
133073.84000000
USD
Wolters Kluwer NV
1561888.32000000
USD
-3793.55000000
USD
Bouygues SA
682833.35000000
USD
-43719.50000000
USD
BASF SE
535580.98000000
USD
-33380.10000000
USD
SES SA
1134634.57000000
USD
-40751.96000000
USD
E.ON SE
4022091.02000000
USD
151692.08000000
USD
Cie de Saint-Gobain
9270345.27000000
USD
-203711.69000000
USD
Safran SA
2785634.97000000
USD
469070.04000000
USD
Huhtamaki OYJ
961855.82000000
USD
-7509.83000000
USD
HOCHTIEF AG
1378002.07000000
USD
-94417.12000000
USD
ASR Nederland NV
6151968.15000000
USD
-276000.48000000
USD
Ubisoft Entertainment SA
1280358.94000000
USD
-75168.11000000
USD
Schneider Electric SE
1770265.39000000
USD
15405.24000000
USD
Puma SE
1369552.76000000
USD
-13238.91000000
USD
Duerr AG
617753.36000000
USD
-7534.73000000
USD
bpost SA
85604.36000000
USD
-14448.79000000
USD
Allianz SE (Registered)
1301092.30000000
USD
-124751.55000000
USD
Capgemini SE
943869.28000000
USD
-70097.82000000
USD
Ipsen SA
414476.79000000
USD
-23094.92000000
USD
Faurecia SE
627471.01000000
USD
5909.76000000
USD
MorphoSys AG
421250.20000000
USD
29814.80000000
USD
Just Eat Takeaway.com NV
883819.58000000
USD
-35750.41000000
USD
UCB SA
551968.23000000
USD
6509.88000000
USD
Telefonica Deutschland Holding AG
255518.64000000
USD
-25893.48000000
USD
thyssenkrupp AG
2807111.30000000
USD
875219.85000000
USD
Sartorius Stedim Biotech
5146379.69000000
USD
-20228.10000000
USD
Prosus NV
1841716.13000000
USD
24945.40000000
USD
United Internet AG (Registered)
3286204.88000000
USD
822233.19000000
USD
Worldline SA
1318074.76000000
USD
121679.93000000
USD
Akzo Nobel NV
1524547.59000000
USD
-8325.33000000
USD
CNP Assurances
3225543.44000000
USD
-173486.62000000
USD
UPM-Kymmene OYJ
1205454.15000000
USD
-61579.29000000
USD
Casino Guichard Perrachon SA
1091974.23000000
USD
-80420.29000000
USD
Koninklijke Vopak NV
2936880.51000000
USD
34766.44000000
USD
Cie Generale des Etablissements Michelin SCA
167676.92000000
USD
-6343.86000000
USD
Covestro AG
779059.76000000
USD
-42281.72000000
USD
Kone OYJ, Class B
1073836.93000000
USD
-32672.96000000
USD
Symrise AG
2691732.07000000
USD
655.48000000
USD
Merck KGaA
1425412.04000000
USD
-3582.98000000
USD
Bayer AG (Registered)
2772824.95000000
USD
-216347.38000000
USD
Orange SA
5742347.83000000
USD
-502434.86000000
USD
Societe BIC SA
1558969.20000000
USD
-108423.87000000
USD
ASML Holding NV
2467781.79000000
USD
-57419.22000000
USD
Valmet OYJ
1552821.32000000
USD
-170982.64000000
USD
MTU Aero Engines AG
2441637.45000000
USD
298820.94000000
USD
Dialog Semiconductor plc
5381713.07000000
USD
136966.31000000
USD
SBM Offshore NV
3036443.79000000
USD
198703.44000000
USD
Sartorius AG (Preference)
2779768.97000000
USD
-127332.79000000
USD
Enagas SA
2227803.71000000
USD
-78352.73000000
USD
Sanofi
5486798.89000000
USD
-165204.62000000
USD
Deutsche Telekom AG (Registered)
1733303.20000000
USD
121090.37000000
USD
SEB SA
3739809.83000000
USD
39201.97000000
USD
Korian SA
376999.86000000
USD
35531.87000000
USD
Air Liquide SA
1815570.47000000
USD
67497.87000000
USD
Thales SA
213376.22000000
USD
14370.50000000
USD
Umicore SA
2449210.82000000
USD
332184.02000000
USD
Pernod Ricard SA
2543322.51000000
USD
75373.88000000
USD
Y
2020-11-11
0.00000000
USD
0.00000000
USD
507985995.00000000
USD
-561719.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-12607.25000000
-0.00122335014
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
617820.62000000
USD
13500000.00000000
MXN
2020-12-16
-12607.25000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3725.84000000
0.000361538552
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
275508.00000000
EUR
327314.12000000
USD
2020-12-16
3725.84000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4694.90000000
-0.00045557172
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1608500.00000000
CNY
231150.59000000
USD
2020-12-16
-4694.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2152.13000000
0.000208832898
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
521849.99000000
USD
15000000.00000000
TWD
2020-12-16
2152.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8791.14000000
-0.00085305220
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
459740.76000000
USD
600250.00000000
CAD
2020-12-16
-8791.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
114204.40000000
0.011081875086
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9413416.00000000
CAD
7186218.32000000
USD
2020-12-16
114204.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4136.41000000
0.000401378396
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
423615.00000000
EUR
501678.59000000
USD
2020-12-16
4136.41000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
66593.87000000
0.006461965991
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6488081.89000000
USD
9908732.00000000
NZD
2020-12-16
66593.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-30018.34000000
-0.00291284306
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1737523.28000000
USD
1569000.00000000
CHF
2020-12-16
-30018.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
22482.35000000
0.002181584898
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1863856.00000000
CAD
1422740.83000000
USD
2020-12-16
22482.35000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1162.33000000
0.000112787211
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
209976.93000000
USD
1440000.00000000
CNY
2020-12-16
1162.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1365.09000000
-0.00013246211
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
32231.33000000
USD
287844.00000000
NOK
2020-12-16
-1365.09000000
N
N
N
Davide Campari-Milano NV
213800ED5AN2J56N6Z02
Davide Campari-Milano NV
N/A
-623176.00000000
NS
-6801615.06000000
-0.65999776263
Short
EC
CORP
NL
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
87552.09000000
0.008495656252
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6467123.67000000
USD
9908732.00000000
NZD
2020-12-16
87552.09000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1317.39000000
-0.00012783352
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
336500.00000000
CAD
251484.85000000
USD
2020-12-16
-1317.39000000
N
N
N
N/A
N/A
ASX 90 Day Bank Accepted Bill
N/A
-590.00000000
NC
-40955.04000000
-0.00397409064
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
N/A
ASX 90 Day Bank Accepted Bill
2021-09-09
-589869096.70000000
AUD
-40955.04000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-31493.55000000
-0.00305599072
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2111229312.00000000
KRW
1779369.06000000
USD
2020-12-16
-31493.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4694.61000000
-0.00045554358
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1608500.00000000
CNY
231150.88000000
USD
2020-12-16
-4694.61000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22431.54000000
-0.00217665452
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
425907.12000000
USD
9000000.00000000
MXN
2020-12-16
-22431.54000000
N
N
N
N/A
N/A
OMXS30 Index
N/A
2233.00000000
NC
368595.61000000
0.035766840047
N/A
DE
US
N
1
NASDAQ OMX Commodities Clearing
5493008EIVLUXM0PQX05
Long
OMXS30 Index
SE0000337842
2020-10-16
408918125.00000000
SEK
368595.61000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7341.18000000
0.000712354688
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
31456878.00000000
BRL
5596645.28000000
USD
2020-12-16
7341.18000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6813.11000000
-0.00066111317
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
253381.52000000
USD
5500000.00000000
MXN
2020-12-16
-6813.11000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2487.15000000
-0.00024134171
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
91327.88000000
USD
500000.00000000
BRL
2020-12-16
-2487.15000000
N
N
N
A2A SpA
81560076E3944316DB24
A2A SpA
N/A
3675331.00000000
NS
5338466.59000000
0.518020495756
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
693.59000000
0.000067302816
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4500000.00000000
MXN
202431.38000000
USD
2020-12-16
693.59000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
16105794.21000000
PA
-479091.93000000
-0.04648889993
N/A
DE
GB
N
2
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
N/A
N/A
Rec/pay the total return of custom basket plus NIBOR +/- spread (-0.35% to 0.35%). NOK Currency. Maturity 7-37 Months 02/17/21
TOMRA Systems ASA
2438319.55000000
USD
-185828.29000000
USD
Salmar ASA
694475.97000000
USD
36690.61000000
USD
Adevinta ASA
1516522.90000000
USD
24824.41000000
USD
Gjensidige Forsikring ASA
844686.25000000
USD
36645.89000000
USD
Orkla ASA
291591.86000000
USD
-10757.10000000
USD
Bakkafrost P/F
843446.04000000
USD
-11104.41000000
USD
Schibsted ASA, Class A
1574932.38000000
USD
-99106.50000000
USD
Norsk Hydro ASA
702439.06000000
USD
-45433.49000000
USD
DNB ASA
471997.28000000
USD
-23397.96000000
USD
Leroy Seafood Group ASA
355618.51000000
USD
-16266.58000000
USD
Telenor ASA
2142616.59000000
USD
-74526.68000000
USD
Yara International ASA
1752137.68000000
USD
18284.99000000
USD
Subsea 7 SA
497387.24000000
USD
6324.77000000
USD
Mowi ASA
1859466.95000000
USD
-74766.96000000
USD
Equinor ASA
120155.95000000
USD
11413.55000000
USD
Y
2021-02-17
0.00000000
USD
0.00000000
USD
16105794.00000000
USD
-407003.75000000
N
N
N
N/A
N/A
Soybean
N/A
812.00000000
NC
USD
5938905.42000000
0.576284346460
N/A
DCO
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
Soybean
2020-11-13
41554100.00000000
USD
5938905.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1048.03000000
0.000101696060
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
15000000.00000000
HUF
49370.69000000
USD
2020-12-16
1048.03000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
1222921503.63000010
PA
USD
3057717.49000000
0.296706985676
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Rec/pay the total return of custom basket plus Fed +/- spread (-0.14% to 0.02%). USD Currency. Maturity 53-61 Months 01/13/25 to 10/01/25
Everest Re Group Ltd.
3139503.22000000
USD
-255082.65000000
USD
Churchill Downs, Inc.
1333003.34000000
USD
85421.77000000
USD
Eaton Vance Corp.
430522.75000000
USD
-3724.05000000
USD
JetBlue Airways Corp.
737549.01000000
USD
-59889.24000000
USD
Navient Corp.
1145228.50000000
USD
-30763.33000000
USD
Hilton Worldwide Holdings, Inc.
760969.08000000
USD
45219.33000000
USD
Extended Stay America, Inc.
1257773.35000000
USD
-35224.26000000
USD
Neurocrine Biosciences, Inc.
359157.60000000
USD
-35344.92000000
USD
Mercury General Corp.
2471278.32000000
USD
201310.32000000
USD
Eli Lilly and Co.
548710.14000000
USD
-14642.65000000
USD
PPL Corp.
461944.17000000
USD
-9167.58000000
USD
Procter & Gamble Co. (The)
6139466.28000000
USD
37104.48000000
USD
BlackRock, Inc.
618777.90000000
USD
-7767.04000000
USD
Agios Pharmaceuticals, Inc.
3981040.00000000
USD
519524.96000000
USD
Nexstar Media Group, Inc., Class A
187863.77000000
USD
15124.36000000
USD
Bio-Rad Laboratories, Inc., Class A
6873659.10000000
USD
186289.95000000
USD
PulteGroup, Inc.
6184806.90000000
USD
223235.87000000
USD
American Express Co.
6536600.75000000
USD
231485.81000000
USD
Ciena Corp.
2943966.06000000
USD
-112043.94000000
USD
PerkinElmer, Inc.
3240919.22000000
USD
290755.72000000
USD
Netflix, Inc.
2025621.53000000
USD
-27780.44000000
USD
Bank of New York Mellon Corp. (The)
1857553.62000000
USD
-83844.15000000
USD
IQVIA Holdings, Inc.
1409842.72000000
USD
-30677.92000000
USD
Brighthouse Financial, Inc.
2679078.87000000
USD
-334172.68000000
USD
Coherent, Inc.
2468747.15000000
USD
-31824.65000000
USD
Chemours Co. (The)
2693856.21000000
USD
24284.29000000
USD
Franklin Resources, Inc.
1530869.45000000
USD
-3761.35000000
USD
Sonoco Products Co.
1589962.31000000
USD
-71256.51000000
USD
Regeneron Pharmaceuticals, Inc.
4253208.44000000
USD
-85611.64000000
USD
IHS Markit Ltd.
549884.04000000
USD
-3361.92000000
USD
ALLETE, Inc.
268685.82000000
USD
1869.48000000
USD
Hershey Co. (The)
1446443.94000000
USD
13366.58000000
USD
Graphic Packaging Holding Co.
2660051.10000000
USD
-3170.77000000
USD
Merck & Co., Inc.
973998.90000000
USD
-22662.06000000
USD
Agilent Technologies, Inc.
2308295.92000000
USD
68832.68000000
USD
Lincoln National Corp.
3226.99000000
USD
455.26000000
USD
Littelfuse, Inc.
684532.40000000
USD
-347.40000000
USD
LPL Financial Holdings, Inc.
1002690.26000000
USD
-48650.16000000
USD
Horizon Therapeutics plc
1417815.36000000
USD
94362.84000000
USD
Nielsen Holdings plc
1208547.22000000
USD
57955.72000000
USD
Worthington Industries, Inc.
57989.16000000
USD
-359.53000000
USD
Healthcare Services Group, Inc.
1234357.96000000
USD
42147.54000000
USD
SEI Investments Co.
617871.04000000
USD
4629.16000000
USD
Athene Holding Ltd., Class A
525104.64000000
USD
35746.56000000
USD
FTI Consulting, Inc.
3240668.57000000
USD
-162459.94000000
USD
Hain Celestial Group, Inc. (The)
3929922.50000000
USD
-142073.00000000
USD
AbbVie, Inc.
6135241.55000000
USD
-252599.55000000
USD
Principal Financial Group, Inc.
882355.97000000
USD
34619.38000000
USD
PVH Corp.
3232130.16000000
USD
-252244.76000000
USD
Xcel Energy, Inc.
2419283.57000000
USD
55390.06000000
USD
UMB Financial Corp.
762007.48000000
USD
50841.96000000
USD
Carpenter Technology Corp.
916880.24000000
USD
75959.95000000
USD
Assurant, Inc.
2019083.64000000
USD
-665.76000000
USD
Pinnacle West Capital Corp.
288433.95000000
USD
7428.48000000
USD
PepsiCo, Inc.
336382.20000000
USD
3616.23000000
USD
Synchrony Financial
4466198.37000000
USD
28230.77000000
USD
Harley-Davidson, Inc.
1210460.04000000
USD
212101.80000000
USD
Jefferies Financial Group, Inc.
787518.00000000
USD
34563.29000000
USD
Belden, Inc.
797792.32000000
USD
-22683.02000000
USD
Arconic Corp.
914476.20000000
USD
-95740.48000000
USD
Reliance Steel & Aluminum Co.
3005690.24000000
USD
-110754.56000000
USD
Perrigo Co. plc
1370688.96000000
USD
-71012.94000000
USD
NetApp, Inc.
1351587.20000000
USD
59331.19000000
USD
Avis Budget Group, Inc.
276281.04000000
USD
-14552.39000000
USD
Liberty Media Corp-Liberty SiriusXM
642711.32000000
USD
42355.22000000
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Y
2025-01-13
0.00000000
USD
0.00000000
USD
1222921504.00000000
USD
3203816.81000000
N
N
N
N/A
N/A
Total Return Swap
000000000
-204307920.00000000
PA
3074235.61000000
0.298309828846
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2020-10-14
0.00000000
USD
0.00000000
USD
-204307920.00000000
BRL
3074235.61000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6013.10000000
0.000583483850
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2949312.00000000
ILS
867963.00000000
USD
2020-12-16
6013.10000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
91328.73000000
0.008862124206
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
22329744.00000000
NOK
2485803.29000000
USD
2020-12-16
91328.73000000
N
N
N
N/A
N/A
ETRSI
N/A
17037852.63000000
PA
363400.11000000
0.035262692379
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI Italy Net Return Index
MSCI Italy Net Return Index
Y
2020-12-16
0.00000000
USD
0.00000000
USD
17037852.63000000
EUR
363400.11000000
N
N
N
Salvatore Ferragamo SpA
5493005GRP0FEE3NRI35
Salvatore Ferragamo SpA
N/A
-32378.00000000
NS
-476509.58000000
-0.04623832044
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
WTI Crude Oil
N/A
52.00000000
NC
USD
127613.39000000
0.012383022435
N/A
DCO
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
WTI Crude Oil
2020-10-20
2091440.00000000
USD
127613.39000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12991.83000000
0.001260668040
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
7850767.46000000
USD
828463795.00000000
JPY
2020-12-16
12991.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5150.46000000
-0.00049977719
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
624707.13000000
USD
527500.00000000
EUR
2020-12-16
-5150.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1522.19000000
0.000147706388
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4000000.00000000
BRL
712248.04000000
USD
2020-12-16
1522.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1234.80000000
-0.00011981937
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
32101.04000000
USD
287844.00000000
NOK
2020-12-16
-1234.80000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-83.73000000
-0.00000812477
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
38499.35000000
USD
262000.00000000
CNY
2020-12-16
-83.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-39561.05000000
-0.00383882419
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1852930.53000000
USD
16224260.00000000
SEK
2020-12-16
-39561.05000000
N
N
N
Terna Rete Elettrica Nazionale SpA
8156009E94ED54DE7C31
Terna Rete Elettrica Nazionale SpA
N/A
721531.00000000
NS
5048411.08000000
0.489874829477
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-27369.39000000
-0.00265580101
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5918736.67000000
USD
5016000.00000000
EUR
2020-12-16
-27369.39000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4076.88000000
0.000395601876
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
423856.00000000
EUR
501902.11000000
USD
2020-12-16
4076.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7427.84000000
-0.00072076378
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
164335.01000000
USD
3500000.00000000
MXN
2020-12-16
-7427.84000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-77248.43000000
-0.00749583599
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4579128.11000000
USD
3487126.00000000
GBP
2020-12-16
-77248.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-389784.44000000
-0.03782290765
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
17635305.90000000
USD
13358266.00000000
GBP
2020-12-16
-389784.44000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
39585.25000000
0.003841172457
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
290535978.00000000
HUF
975550.10000000
USD
2020-12-16
39585.25000000
N
N
N
N/A
N/A
FTSE/JSE Top 40 Index
N/A
-559.00000000
NC
358944.24000000
0.034830315038
N/A
DE
ZA
N
1
JSE Clear
213800PJDCEXAVMM3J32
Short
FTSE/JSE Top 40 Index
TOP40 Index
2020-12-17
-281635380.00000000
ZAR
358944.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7044.64000000
-0.00068357979
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
608864.87000000
USD
5384500.00000000
SEK
2020-12-16
-7044.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21288.09000000
0.002065699344
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1882684.00000000
CAD
1435691.48000000
USD
2020-12-16
21288.09000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
42810.34000000
0.004154120509
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4500000.00000000
BRL
842376.92000000
USD
2020-12-16
42810.34000000
N
N
N
Assicurazioni Generali SpA
549300X5UKJVE386ZB61
Assicurazioni Generali SpA
N/A
215259.00000000
NS
3033951.05000000
0.294400798530
Long
EC
CORP
IT
N
2
N
N
N
Hera SpA
8156009414FD99443B48
Hera SpA
N/A
598682.00000000
NS
2207523.05000000
0.214207987532
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-58886.82000000
-0.00571410894
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3798769.24000000
USD
2896888.00000000
GBP
2020-12-16
-58886.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5462.84000000
-0.00053008912
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2098181.04000000
USD
19515706.00000000
NOK
2020-12-16
-5462.84000000
N
N
N
N/A
N/A
ETRSI
N/A
47266132.62000000
PA
501756.94000000
0.048688209324
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI Australia Net Return Index
MSCI Australia Net Return Index
Y
2020-12-16
0.00000000
USD
0.00000000
USD
47266132.62000000
AUD
501756.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-383.49000000
-0.00003721212
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
26203.49000000
USD
20000.00000000
GBP
2020-12-16
-383.49000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
14426.06000000
0.001399839191
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2500000.00000000
BRL
458629.72000000
USD
2020-12-16
14426.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
63078.12000000
0.006120813616
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
31456879.00000000
BRL
5652382.40000000
USD
2020-12-16
63078.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7625.08000000
0.000739903051
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
31456878.00000000
BRL
5596929.18000000
USD
2020-12-16
7625.08000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1999.85000000
-0.00019405634
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1031274.65000000
USD
1200000000.00000000
KRW
2020-12-16
-1999.85000000
N
N
N
N/A
N/A
3 Month Sterling
N/A
-4717.00000000
NC
-656253.71000000
-0.06367987257
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
N/A
3 Month Sterling
2021-03-17
-589389150.00000000
GBP
-656253.71000000
N
N
N
N/A
N/A
Total Return Swap
000000000
113029000.00000000
PA
37122.05000000
0.003602154742
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Y
2020-10-29
0.00000000
USD
0.00000000
USD
113029000.00000000
HKD
37122.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22832.15000000
-0.00221552789
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3911000.00000000
GBP
5026268.87000000
USD
2020-12-16
-22832.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11659.04000000
0.001131340166
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
782501.78000000
USD
22733519.00000000
TWD
2020-12-16
11659.04000000
N
N
N
N/A
N/A
CAC 40 10 Euro Index
N/A
1277.00000000
NC
-3495539.82000000
-0.33919127149
N/A
DE
GB
N
1
LCH Clearnet
F226TOH6YD6XJB17KS62
Long
CAC 40 10 Euro Index
FR0003500008
2020-10-16
61308770.00000000
EUR
-3495539.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
98768.58000000
0.009584053382
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14918434.00000000
NOK
1698509.75000000
USD
2020-12-16
98768.58000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
912796XE4
89099000.00000000
PA
USD
89062162.91000000
8.642186853848
Long
STIV
UST
US
N
2
2021-02-25
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127964N6
34421000.00000000
PA
USD
34404133.71000000
3.338420518341
Long
STIV
UST
US
N
2
2021-03-18
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8755.60000000
0.000849603566
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
517302.62000000
USD
1800000.00000000
ILS
2020-12-16
8755.60000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
-5.00000000
NC
USD
-64389.75000000
-0.00624808822
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Short
N/A
LME Copper Base Metal
2020-10-01
-821750.00000000
USD
-64389.75000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-38049.16000000
-0.00369211727
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14430183.82000000
USD
321033585.00000000
MXN
2020-12-16
-38049.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-29316.34000000
-0.00284472417
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2111229310.00000000
KRW
1781546.26000000
USD
2020-12-16
-29316.34000000
N
N
N
Banco BPM SpA
815600E4E6DCD2D25E30
Banco BPM SpA
N/A
949409.00000000
NS
1605918.15000000
0.155830986704
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12067.93000000
0.001171016990
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1115507.21000000
USD
19062500.00000000
ZAR
2020-12-17
12067.93000000
N
N
N
N/A
N/A
Total Return Swap
000000000
77487500.00000000
PA
1430.94000000
0.000138851903
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2020-12-10
0.00000000
USD
0.00000000
USD
77487500.00000000
KRW
1430.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
96577.32000000
0.009371423486
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14241466.00000000
NOK
1623725.51000000
USD
2020-12-16
96577.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2265.07000000
0.000219792081
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
268916.92000000
USD
1849500.00000000
CNY
2020-12-16
2265.07000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2919.89000000
-0.00028333283
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
453869.51000000
USD
600250.00000000
CAD
2020-12-16
-2919.89000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
31925.24000000
0.003097879957
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3000000.00000000
BRL
564969.63000000
USD
2020-12-16
31925.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
18194.82000000
0.001765542505
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1302552.00000000
CHF
1435730.82000000
USD
2020-12-16
18194.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
18065.78000000
0.001753021050
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2705906.95000000
USD
24371449.00000000
SEK
2020-12-16
18065.78000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1234.85000000
-0.00011982422
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
32101.19000000
USD
287845.00000000
NOK
2020-12-16
-1234.85000000
N
N
N
SNC-Lavalin Group, Inc.
UL01OYG5OMLM5G6CFM03
SNC-Lavalin Group, Inc.
78460T105
-259557.00000000
NS
-4161722.77000000
-0.40383463231
Short
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
658.22000000
0.000063870672
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
41276.38000000
USD
286000.00000000
CNY
2020-12-16
658.22000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
-5.00000000
NC
USD
-18294.40000000
-0.00177520529
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Short
N/A
LME Copper Base Metal
2020-11-25
-834031.25000000
USD
-18294.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-26737.57000000
-0.00259449207
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3925978.00000000
GBP
5041700.04000000
USD
2020-12-16
-26737.57000000
N
N
N
N/A
N/A
IRSIMM
N/A
17055500000.00000000
PA
266163.99000000
0.025827341939
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2030-12-18
0.00000000
USD
796191.27000000
USD
17055500000.00000000
JPY
266163.99000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32458.67000000
-0.00314964157
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1483154.25000000
USD
12979408.00000000
SEK
2020-12-16
-32458.67000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2264.73000000
0.000219759089
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
268917.26000000
USD
1849500.00000000
CNY
2020-12-16
2264.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4053.63000000
0.000393345801
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1123521.51000000
USD
19062500.00000000
ZAR
2020-12-17
4053.63000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2687.55000000
0.000260787617
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
50000000.00000000
INR
676907.20000000
USD
2020-12-16
2687.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5535.93000000
0.000537181446
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
500000.00000000
BRL
94376.66000000
USD
2020-12-16
5535.93000000
N
N
N
N/A
N/A
DAX Index
N/A
-290.00000000
NC
3362953.08000000
0.326325657815
N/A
DE
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
DAX Index
DE0008469008
2020-12-18
-92647750.00000000
EUR
3362953.08000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4068.39000000
0.000394778045
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
275505.00000000
EUR
327653.15000000
USD
2020-12-16
4068.39000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
94633.07000000
0.009182762317
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14241467.00000000
NOK
1621781.37000000
USD
2020-12-16
94633.07000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-26679.74000000
-0.00258888051
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4044947.00000000
GBP
5195346.85000000
USD
2020-12-16
-26679.74000000
N
N
N
N/A
N/A
ASX 90 Day Bank Accepted Bill
N/A
-121.00000000
NC
-18245.25000000
-0.00177043600
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
N/A
ASX 90 Day Bank Accepted Bill
2020-12-10
-120979119.03000000
AUD
-18245.25000000
N
N
N
DiaSorin SpA
8156002878BDF0EE4348
DiaSorin SpA
N/A
7964.00000000
NS
1602292.92000000
0.155479210888
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7043.88000000
-0.00068350604
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
608864.11000000
USD
5384500.00000000
SEK
2020-12-16
-7043.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
447009.10000000
0.043375728158
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
87755496.00000000
NOK
9857251.47000000
USD
2020-12-16
447009.10000000
N
N
N
N/A
N/A
Silver
N/A
122.00000000
NC
USD
-2195936.67000000
-0.21308369796
N/A
DCO
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
Silver
2020-12-29
14331340.00000000
USD
-2195936.67000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
39584.04000000
0.003841055044
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
290535978.00000000
HUF
975548.89000000
USD
2020-12-16
39584.04000000
N
N
N
N/A
N/A
Copper
N/A
33.00000000
NC
USD
51566.71000000
0.005003798792
N/A
DCO
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
Copper
2020-12-29
2501812.50000000
USD
51566.71000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
101996.25000000
0.009897251785
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
21406190.00000000
NOK
2397435.80000000
USD
2020-12-16
101996.25000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
86787869.54999999
PA
-1641343.43000000
-0.15926849461
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Rec/pay the total return of custom basket plus HONIX +/- spread (-0.08% to 0.02%). HKD Currency. Maturity 53-61 Months 01/13/25 to 09/22/25
Vitasoy International Holdings Ltd.
2035528.76000000
USD
-223695.29000000
USD
Hang Seng Bank Ltd.
245925.39000000
USD
14960.66000000
USD
Sino Land Co. Ltd.
428478.54000000
USD
-23941.76000000
USD
Swire Pacific Ltd., Class A
728642.67000000
USD
-47777.39000000
USD
BOC Hong Kong Holdings Ltd.
1733744.67000000
USD
-149635.64000000
USD
Hong Kong & China Gas Co. Ltd.
12735712.42000000
USD
230547.56000000
USD
Wharf Real Estate Investment Co. Ltd.
4156448.94000000
USD
4291.17000000
USD
Xinyi Glass Holdings Ltd.
1864677.65000000
USD
-246726.80000000
USD
Hang Lung Properties Ltd.
2604633.28000000
USD
73749.77000000
USD
MTR Corp. Ltd.
3034877.79000000
USD
117347.60000000
USD
ASM Pacific Technology Ltd.
1386110.38000000
USD
-6786.38000000
USD
CK Asset Holdings Ltd.
5245412.39000000
USD
-407128.01000000
USD
Melco International Development Ltd.
1964799.60000000
USD
-367035.60000000
USD
Sun Hung Kai Properties Ltd.
4130131.92000000
USD
-9460.73000000
USD
Budweiser Brewing Co. APAC Ltd.
4551053.00000000
USD
498385.38000000
USD
Sands China Ltd.
137993.13000000
USD
11985.26000000
USD
Kerry Properties Ltd.
920718.19000000
USD
-26243.44000000
USD
Yue Yuen Industrial Holdings Ltd.
2982877.45000000
USD
23431.41000000
USD
HKT Trust & HKT Ltd.
35837.30000000
USD
1509.55000000
USD
AIA Group Ltd.
4486960.03000000
USD
233779.83000000
USD
Hysan Development Co. Ltd.
580430.18000000
USD
-27204.61000000
USD
CK Hutchison Holdings Ltd.
7747396.23000000
USD
-290607.07000000
USD
New World Development Co. Ltd.
2904618.17000000
USD
-102809.74000000
USD
Wynn Macau Ltd.
120039.40000000
USD
10713.61000000
USD
Galaxy Entertainment Group Ltd.
175778.18000000
USD
-17291.53000000
USD
WH Group Ltd.
4932580.20000000
USD
-163387.99000000
USD
Power Assets Holdings Ltd.
1209639.23000000
USD
41497.86000000
USD
NWS Holdings Ltd.
1300757.95000000
USD
-95157.34000000
USD
SJM Holdings Ltd.
1033725.03000000
USD
-98179.91000000
USD
CLP Holdings Ltd.
2581751.18000000
USD
-111637.51000000
USD
Techtronic Industries Co. Ltd.
1229852.91000000
USD
-97182.81000000
USD
Henderson Land Development Co. Ltd.
1531958.64000000
USD
-21877.04000000
USD
Swire Properties Ltd.
2762455.81000000
USD
51966.40000000
USD
Minth Group Ltd.
3266322.94000000
USD
-452256.49000000
USD
Y
2025-01-13
0.00000000
USD
0.00000000
USD
86787870.00000000
USD
-1671856.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
87831.84000000
0.008522801919
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
21593289.00000000
NOK
2403334.48000000
USD
2020-12-16
87831.84000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-105413.78000000
-0.01022887333
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9488193.44000000
USD
13097124.00000000
AUD
2020-12-16
-105413.78000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
17057.16000000
0.001655149157
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2259734.31000000
USD
1938495.00000000
EUR
2020-12-16
17057.16000000
N
N
N
N/A
N/A
Total Return Swap
000000000
-8963350.00000000
PA
USD
-1245180.80000000
-0.12082667643
N/A
DCO
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2020-11-20
0.00000000
USD
0.00000000
USD
-8963350.00000000
USD
-1245180.80000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11726.38000000
0.001137874533
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
782434.47000000
USD
22733520.00000000
TWD
2020-12-16
11726.38000000
N
N
N
N/A
N/A
IRSIMM
N/A
228700000.00000000
PA
276617.73000000
0.026841725280
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-12-08
0.00000000
USD
622009.34000000
USD
228700000.00000000
AUD
276617.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-81075.23000000
-0.00786717124
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4284669.36000000
USD
3256076.00000000
GBP
2020-12-16
-81075.23000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
178.68000000
0.000017338293
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
168806.04000000
USD
1152500.00000000
CNY
2020-12-16
178.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2652.64000000
-0.00025740011
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
305000000.00000000
INR
4110087.22000000
USD
2020-12-16
-2652.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-75248.76000000
-0.00730179711
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4577128.44000000
USD
3487126.00000000
GBP
2020-12-16
-75248.76000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5659.15000000
0.000549138154
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
509892.98000000
USD
11500000.00000000
MXN
2020-12-16
5659.15000000
N
N
N
N/A
N/A
EURO STOXX 50 Index
N/A
-5050.00000000
NC
4506697.07000000
0.437309367974
N/A
DE
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
EURO STOXX 50 Index
EU0009658145
2020-12-18
-161297000.00000000
EUR
4506697.07000000
N
N
N
N/A
N/A
ETRSI
N/A
1570762.59000000
PA
24599.43000000
0.002387016703
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI United Kingdom Net Return Index
MSCI United Kingdom Net Return Index
Y
2020-12-16
0.00000000
USD
0.00000000
USD
1570762.59000000
GBP
24599.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
101849.57000000
0.009883018626
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
15295782.00000000
NOK
1742054.71000000
USD
2020-12-16
101849.57000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-75254.48000000
-0.00730235216
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4577134.16000000
USD
3487126.00000000
GBP
2020-12-16
-75254.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3725.42000000
0.000361497797
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
275507.00000000
EUR
327312.53000000
USD
2020-12-16
3725.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
811352.48000000
0.078729951164
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
106224000.00000000
NOK
12202018.94000000
USD
2020-12-16
811352.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
157.37000000
0.000015270468
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1500000.00000000
BRL
266679.56000000
USD
2020-12-16
157.37000000
N
N
N
N/A
N/A
IRS
N/A
131000000.00000000
PA
-18982.77000000
-0.00184200158
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2023-03-17
533658.11000000
USD
0.00000000
USD
131000000.00000000
GBP
-18982.77000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-200.56000000
-0.00001946142
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
292500.00000000
CNY
42687.10000000
USD
2020-12-16
-200.56000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
87442921.67000000
PA
-618407.66000000
-0.06000746416
N/A
DE
GB
N
2
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
N/A
N/A
Rec/pay the total return of custom basket plus SARON +/- spread (-0.35% to 0.35%). CHF Currency. Maturity 10-40 Months 05/18/21
Clariant AG (Registered)
1116771.51000000
USD
59935.34000000
USD
VAT Group AG
1499719.62000000
USD
-73586.10000000
USD
Cie Financiere Richemont SA (Registered)
991767.34000000
USD
-36165.80000000
USD
Swatch Group AG (The)
851227.74000000
USD
-7856.85000000
USD
LafargeHolcim Ltd. (Registered)
1023370.81000000
USD
-49828.72000000
USD
Swiss Life Holding AG (Registered)
1503349.74000000
USD
-100005.54000000
USD
Banque Cantonale Vaudoise (Registered)
1591937.03000000
USD
68518.43000000
USD
Bucher Industries AG (Registered)
560328.67000000
USD
11811.92000000
USD
Logitech International SA (Registered)
3767525.57000000
USD
-353625.94000000
USD
Barry Callebaut AG (Registered)
1797482.16000000
USD
-30854.56000000
USD
Swiss Re AG
1745059.35000000
USD
158262.89000000
USD
Nestle SA (Registered)
1551083.93000000
USD
-2790.05000000
USD
Dufry AG (Registered)
25443.00000000
USD
-2028.77000000
USD
Vifor Pharma AG
269192.74000000
USD
23311.88000000
USD
Galenica AG
842924.60000000
USD
20888.57000000
USD
Tecan Group AG (Registered)
92998.01000000
USD
-3947.44000000
USD
Flughafen Zurich AG (Registered)
2467071.44000000
USD
-163912.16000000
USD
Roche Holding AG
4574629.14000000
USD
-309237.73000000
USD
UBS Group AG (Registered)
1817820.44000000
USD
-141880.49000000
USD
DKSH Holding AG
1471669.08000000
USD
-8126.46000000
USD
Kuehne + Nagel International AG (Registered)
2799204.33000000
USD
-18313.42000000
USD
Baloise Holding AG (Registered)
619373.40000000
USD
-46725.88000000
USD
Idorsia Ltd.
4767008.40000000
USD
209090.52000000
USD
Partners Group Holding AG
1433974.52000000
USD
16388.86000000
USD
Temenos AG (Registered)
1863518.41000000
USD
201314.15000000
USD
Zurich Insurance Group AG
339997.42000000
USD
-21004.11000000
USD
Sika AG (Registered)
2174361.21000000
USD
-33861.38000000
USD
Adecco Group AG (Registered)
2940876.56000000
USD
-244229.85000000
USD
Emmi AG (Registered)
349684.88000000
USD
-5597.64000000
USD
BKW AG
647694.87000000
USD
-10999.36000000
USD
Geberit AG (Registered)
2328634.05000000
USD
-67545.25000000
USD
Givaudan SA (Registered)
2746127.44000000
USD
55804.78000000
USD
Chocoladefabriken Lindt & Spruengli AG
2363472.97000000
USD
13873.88000000
USD
dormakaba Holding AG
1333385.09000000
USD
-43419.77000000
USD
Julius Baer Group Ltd.
211682.42000000
USD
6239.18000000
USD
ABB Ltd. (Registered)
1622118.25000000
USD
20085.46000000
USD
Straumann Holding AG (Registered)
987323.06000000
USD
-1512.78000000
USD
SIG Combibloc Group AG
2639357.23000000
USD
-58820.41000000
USD
Swisscom AG (Registered)
2445363.13000000
USD
-63290.07000000
USD
Sulzer AG (Registered)
920586.23000000
USD
-82923.12000000
USD
OC Oerlikon Corp. AG (Registered)
1008385.43000000
USD
86064.92000000
USD
ams AG
4655646.02000000
USD
567298.14000000
USD
Lonza Group AG (Registered)
498028.39000000
USD
3279.39000000
USD
Novartis AG (Registered)
1657128.99000000
USD
-48255.27000000
USD
EMS-Chemie Holding AG (Registered)
2194052.51000000
USD
46252.92000000
USD
Sonova Holding AG (Registered)
3753332.59000000
USD
174128.25000000
USD
Schindler Holding AG
1756082.22000000
USD
2739.20000000
USD
Belimo Holding AG (Registered)
1494904.32000000
USD
2585.92000000
USD
Helvetia Holding AG (Registered)
1731862.06000000
USD
-97291.33000000
USD
Georg Fischer AG (Registered)
1020739.79000000
USD
-2893.49000000
USD
Credit Suisse Group AG (Registered)
2577643.56000000
USD
-217329.18000000
USD
Y
2021-05-18
0.00000000
USD
0.00000000
USD
87442922.00000000
USD
-599984.29000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1256.10000000
-0.00012188622
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
35000000.00000000
INR
470697.65000000
USD
2020-12-16
-1256.10000000
N
N
N
N/A
N/A
Total Return Swap
000000000
135956400.00000000
PA
-4272851.24000000
-0.41461803316
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2020-12-18
0.00000000
USD
0.00000000
USD
135956400.00000000
CHF
-4272851.24000000
N
N
N
N/A
N/A
Long Gilt
N/A
-1272.00000000
NC
746330.84000000
0.072420547214
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
United Kingdom of Great Britain and Northern Ireland
Long Gilt
2020-12-29
-173131920.00000000
GBP
746330.84000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-109340.25000000
-0.01060988011
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3558445.58000000
USD
2671654.00000000
GBP
2020-12-16
-109340.25000000
N
N
N
N/A
N/A
3 Month Euro Euribor
N/A
3216.00000000
NC
490938.06000000
0.047638394460
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Long
N/A
3 Month Euro Euribor
2021-06-14
808221000.00000000
EUR
490938.06000000
N
N
N
Mediobanca Banca di Credito Finanziario SpA
PSNL19R2RXX5U3QWHI44
Mediobanca Banca di Credito Finanziario SpA
N/A
53436.00000000
NS
418720.20000000
0.040630702080
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
IRS
N/A
56700000.00000000
PA
USD
-242195.81000000
-0.02350157886
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-03-17
201304.48000000
USD
0.00000000
USD
56700000.00000000
USD
-242195.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21286.30000000
0.002065525651
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1882684.00000000
CAD
1435689.69000000
USD
2020-12-16
21286.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-16396.18000000
-0.00159101066
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
375041.14000000
USD
8000000.00000000
MXN
2020-12-16
-16396.18000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
22484.12000000
0.002181756651
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1863856.00000000
CAD
1422742.60000000
USD
2020-12-16
22484.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2680.96000000
0.000260148153
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
293076.45000000
USD
5000000.00000000
ZAR
2020-12-17
2680.96000000
N
N
N
N/A
N/A
100 oz Gold
N/A
-264.00000000
NC
USD
759184.78000000
0.073667835037
N/A
DCO
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
100 oz Gold
2020-12-29
-50041200.00000000
USD
759184.78000000
N
N
N
N/A
N/A
ETRSI
N/A
7670039.32000000
PA
-100011.64000000
-0.00970467426
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI Canada Net Return Index
MSCI Canada Net Return Index
Y
2020-12-18
0.00000000
USD
0.00000000
USD
7670039.32000000
CAD
-100011.64000000
N
N
N
N/A
N/A
Total Return Swap
000000000
-11938500.00000000
PA
USD
-1665027.00000000
-0.16156664042
N/A
DCO
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Y
2020-11-20
0.00000000
USD
0.00000000
USD
-11938500.00000000
USD
-1665027.00000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
25360.16000000
0.002460834480
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1818016.00000000
CHF
2003863.22000000
USD
2020-12-16
25360.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1002.22000000
0.000097250866
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2000000.00000000
BRL
356365.15000000
USD
2020-12-16
1002.22000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
104608.78000000
0.010150759803
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
23035818.00000000
NOK
2574797.43000000
USD
2020-12-16
104608.78000000
N
N
N
N/A
N/A
Total Return Swap
000000000
-2048228.00000000
PA
USD
-3122.63000000
-0.00030300580
N/A
DE
US
N
2
Merrill Lynch International
549300J8H1BYG1YAFY05
N/A
N/A
Y
2020-10-29
0.00000000
USD
0.00000000
USD
-2048228.00000000
USD
-3122.63000000
N
N
N
N/A
N/A
IRSIMM
N/A
84375900000.00000000
PA
-534294.50000000
-0.05184550602
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-12-21
0.00000000
USD
433950.81000000
USD
84375900000.00000000
JPY
-534294.50000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8626.75000000
0.000837100548
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5726366.77000000
USD
7827750.00000000
SGD
2020-12-16
8626.75000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-961.31000000
-0.00009328114
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1121881.53000000
USD
1694500.00000000
NZD
2020-12-16
-961.31000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2014.46000000
-0.00019547402
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1809874.20000000
USD
16859250.00000000
NOK
2020-12-16
-2014.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3919.98000000
-0.00038037701
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
454869.60000000
USD
600250.00000000
CAD
2020-12-16
-3919.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-81069.88000000
-0.00786665210
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4284664.01000000
USD
3256076.00000000
GBP
2020-12-16
-81069.88000000
N
N
N
N/A
N/A
Euro-Bund
N/A
-3153.00000000
NC
-6002653.98000000
-0.58247021652
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
Federal Republic of Germany
Euro-Bund
2020-12-08
-550261560.00000000
EUR
-6002653.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
31564.16000000
0.003062842397
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2572818.81000000
USD
193140542.00000000
INR
2020-12-16
31564.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-58891.57000000
-0.00571456986
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3798773.99000000
USD
2896888.00000000
GBP
2020-12-16
-58891.57000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
34303.03000000
0.003328609874
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2570079.94000000
USD
193140542.00000000
INR
2020-12-16
34303.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-330826.36000000
-0.03210188396
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
16732088.01000000
USD
22894000.00000000
AUD
2020-12-16
-330826.36000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-99734.58000000
-0.00967778962
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
36068374.00000000
CNY
5188772.25000000
USD
2020-12-16
-99734.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
93303.08000000
0.009053706142
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21890296.00000000
NOK
2440654.53000000
USD
2020-12-16
93303.08000000
N
N
N
N/A
N/A
ETRSI
N/A
63210433.42000000
PA
-3194.76000000
-0.00031000496
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI Sweden Net Return Index
MSCI Sweden Net Return Index
Y
2020-12-18
0.00000000
USD
0.00000000
USD
63210433.42000000
SEK
-3194.76000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4539.75000000
-0.00044051667
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
455489.37000000
USD
600250.00000000
CAD
2020-12-16
-4539.75000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21961.01000000
0.002130996437
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1882682.00000000
CAD
1436362.89000000
USD
2020-12-16
21961.01000000
N
N
N
Azimut Holding SpA
81560025690EF8540635
Azimut Holding SpA
N/A
69967.00000000
NS
1263389.44000000
0.122593559968
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2399.74000000
0.000232859845
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6825074.90000000
USD
719289000.00000000
JPY
2020-12-16
2399.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
38623.53000000
0.003747851526
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
7825135.77000000
USD
828463796.00000000
JPY
2020-12-16
38623.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-34413.11000000
-0.00333929153
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2111229310.00000000
KRW
1776449.49000000
USD
2020-12-16
-34413.11000000
N
N
N
N/A
N/A
ETRSI
N/A
320871501.33000000
PA
-3396.56000000
-0.00032958672
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI South Africa Net Return Index
MSCI South Africa Net Return Index
Y
2020-12-17
0.00000000
USD
0.00000000
USD
320871501.33000000
ZAR
-3396.56000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
57274.41000000
0.005557648017
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2547108.56000000
USD
193140542.00000000
INR
2020-12-16
57274.41000000
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
N/A
-573568.00000000
NS
-4436175.11000000
-0.43046623801
Short
EC
CORP
NL
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-49138.30000000
-0.00476815694
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5814485.13000000
USD
8715500.00000000
NZD
2020-12-16
-49138.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5541.79000000
0.000537750073
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
287560.56000000
USD
1999000.00000000
CNY
2020-12-16
5541.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10939.90000000
-0.00106155809
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
461889.52000000
USD
600250.00000000
CAD
2020-12-16
-10939.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3875.48000000
0.000376058936
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
416670.00000000
EUR
493260.65000000
USD
2020-12-16
3875.48000000
N
N
N
N/A
N/A
IRS
N/A
287100000.00000000
PA
-223702.03000000
-0.02170702663
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2030-12-16
0.00000000
USD
12308957.84000000
USD
287100000.00000000
GBP
-223702.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5220.42000000
0.000506565792
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
424095.00000000
EUR
503326.36000000
USD
2020-12-16
5220.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-82000.47000000
-0.00795695232
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4393380.19000000
USD
3339566.00000000
GBP
2020-12-16
-82000.47000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64.35000000
-0.00000624423
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
251000.00000000
CNY
36738.40000000
USD
2020-12-16
-64.35000000
N
N
N
N/A
N/A
IRSIMM
N/A
166600000.00000000
PA
426823.78000000
0.041417036594
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-12-08
511299.07000000
USD
0.00000000
USD
166600000.00000000
AUD
426823.78000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6512.36000000
-0.00063192976
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
297528.96000000
USD
2713884.00000000
NOK
2020-12-16
-6512.36000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-329084.81000000
-0.03193289187
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
15979501.99000000
USD
13325004.00000000
EUR
2020-12-16
-329084.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2016.73000000
-0.00019569429
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1809876.47000000
USD
16859250.00000000
NOK
2020-12-16
-2016.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2274.43000000
-0.00022070033
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1401709.06000000
USD
1191500.00000000
EUR
2020-12-16
-2274.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
478.22000000
0.000046404291
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
56778.64000000
USD
390500.00000000
CNY
2020-12-16
478.22000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2487.26000000
-0.00024135238
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
91327.99000000
USD
500000.00000000
BRL
2020-12-16
-2487.26000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-330805.44000000
-0.03209985398
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
16732067.09000000
USD
22894000.00000000
AUD
2020-12-16
-330805.44000000
N
N
N
Enel SpA
WOCMU6HCI0OJWNPRZS33
Enel SpA
N/A
439070.00000000
NS
3809334.22000000
0.369640451594
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10863.69000000
0.001054163023
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
783297.13000000
USD
22733519.00000000
TWD
2020-12-16
10863.69000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1840.06000000
0.000178551045
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
917187.65000000
USD
20500000.00000000
MXN
2020-12-16
1840.06000000
N
N
N
N/A
N/A
FTSE Bursa Malaysia KLCI Index
N/A
588.00000000
NC
-26594.40000000
-0.00258059951
N/A
DE
MY
N
1
Bursa Malaysia Derivatives Clearing
549300RY3Q0YLHMEXM25
Long
FTSE Bursa Malaysia KLCI Index
MYX020000000
2020-10-30
44202900.00000000
MYR
-26594.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
101851.76000000
0.009883231133
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
15295783.00000000
NOK
1742057.01000000
USD
2020-12-16
101851.76000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6847.60000000
-0.00066445993
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
105000000.00000000
INR
1409013.66000000
USD
2020-12-16
-6847.60000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
38162.52000000
0.003703117214
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1089412.62000000
USD
19062500.00000000
ZAR
2020-12-17
38162.52000000
N
N
N
N/A
N/A
IRSIMM
N/A
3616100000.00000000
PA
66640.87000000
0.006466526657
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-03-19
0.00000000
USD
206471.46000000
USD
3616100000.00000000
JPY
66640.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3876.11000000
0.000376120069
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
416671.00000000
EUR
493262.45000000
USD
2020-12-16
3876.11000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7632.08000000
0.000740582299
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
31456880.00000000
BRL
5596936.54000000
USD
2020-12-16
7632.08000000
N
N
N
N/A
N/A
3 Month Canadian Bankers Acceptance
N/A
1419.00000000
NC
37536.25000000
0.003642346824
N/A
DIR
CA
N
1
Canadian Derivatives Clearing
5493004XJK1P32XQLA57
Long
N/A
3 Month Canadian Bankers Acceptance
2021-09-13
352887562.50000000
CAD
37536.25000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1.55000000
0.000000150404
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
500.00000000
CAD
377.18000000
USD
2020-12-16
1.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
100677.73000000
0.009769308607
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
26189773.00000000
ILS
7754758.45000000
USD
2020-12-16
100677.73000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
32121645.71000000
PA
251003.43000000
0.024356230212
N/A
DE
US
N
2
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N/A
N/A
Rec/pay the total return of custom basket plus SIBOR +/- spread (-2.00% to 0.40%). SGD Currency. Maturity 54-61 Months 02/25/25 to 08/28/25
Singapore Telecommunications Ltd.
6974275.37000000
USD
301040.95000000
USD
Yangzijiang Shipbuilding Holdings Ltd.
3552280.68000000
USD
-10820.65000000
USD
Singapore Press Holdings Ltd.
383432.40000000
USD
-5700.13000000
USD
UOL Group Ltd.
316932.08000000
USD
3820.80000000
USD
SATS Ltd.
676854.38000000
USD
909.89000000
USD
ComfortDelGro Corp. Ltd.
2567211.06000000
USD
-147413.00000000
USD
Genting Singapore Ltd.
1893038.37000000
USD
-44113.27000000
USD
Wilmar International Ltd.
2524098.58000000
USD
46495.42000000
USD
CapitaLand Ltd.
1518316.56000000
USD
6168.72000000
USD
Jardine Cycle & Carriage Ltd.
1080471.84000000
USD
-18675.89000000
USD
Singapore Technologies Engineering Ltd.
743600.15000000
USD
-25766.37000000
USD
Singapore Airlines Ltd.
3312981.03000000
USD
31144.62000000
USD
Keppel Corp. Ltd.
821870.13000000
USD
-48693.54000000
USD
City Developments Ltd.
2455012.50000000
USD
113558.85000000
USD
Venture Corp. Ltd.
3301270.58000000
USD
47571.06000000
USD
Y
2025-02-25
0.00000000
USD
0.00000000
USD
32121646.00000000
USD
249527.46000000
N
N
N
Goldman Sachs Financial Square Funds - Treasury Instruments Fund
549300DAH6N80PM31E83
Goldman Sachs Financial Square Funds - Treasury Instruments Fund
38142B500
104581554.60000000
NS
USD
104581554.60000000
10.14811797499
Long
STIV
RF
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
104605.56000000
0.010150447349
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
23035818.00000000
NOK
2574794.21000000
USD
2020-12-16
104605.56000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1540.32000000
-0.00014946564
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
179221.78000000
USD
1000000.00000000
BRL
2020-12-16
-1540.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-103.40000000
-0.00001003346
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
11261.29000000
USD
9500.00000000
EUR
2020-12-16
-103.40000000
N
N
N
N/A
N/A
FTSE/MIB Index
N/A
-1023.00000000
NC
3827055.86000000
0.371360078866
N/A
DE
IT
N
1
Cassa di Compensazione e Garanzia
8156006407E264D2C725
Short
FTSE/MIB Index
IT0003465736
2020-12-18
-97005975.00000000
EUR
3827055.86000000
N
N
N
Infrastrutture Wireless Italiane SpA
81560066183FE361C071
Infrastrutture Wireless Italiane SpA
N/A
-302294.00000000
NS
-3334996.93000000
-0.32361292028
Short
EC
CORP
IT
Y
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-51556.23000000
-0.00500278186
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3787912.93000000
USD
2894157.00000000
GBP
2020-12-16
-51556.23000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6086.65000000
0.000590620807
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1880917.15000000
USD
2200000000.00000000
KRW
2020-12-16
6086.65000000
N
N
N
N/A
N/A
3 Month Sterling
N/A
-3753.00000000
NC
-83478.13000000
-0.00810033772
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
N/A
3 Month Sterling
2021-09-15
-469265737.50000000
GBP
-83478.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-698904.87000000
-0.06781854698
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
17944425.04000000
USD
13358265.00000000
GBP
2020-12-16
-698904.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7348.18000000
0.000713033936
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
31456879.00000000
BRL
5596652.46000000
USD
2020-12-16
7348.18000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-33075.03000000
-0.00320945034
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1541798.40000000
USD
13498584.00000000
SEK
2020-12-16
-33075.03000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127964M8
49000000.00000000
PA
USD
48977538.40000000
4.752557367398
Long
STIV
UST
US
N
2
2021-03-11
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10742.81000000
0.001042433378
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1435917.29000000
USD
4950000.00000000
ILS
2020-12-16
10742.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-76166.56000000
-0.00739085625
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4579221.05000000
USD
3488036.00000000
GBP
2020-12-16
-76166.56000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127962S7
13003000.00000000
PA
USD
13002374.17000000
1.261691199149
Long
STIV
UST
US
N
2
2020-10-22
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-30310.23000000
-0.00294116673
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2111229310.00000000
KRW
1780552.37000000
USD
2020-12-16
-30310.23000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
790977096.78999996
PA
USD
3920028.73
0.380381742933
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 (-1.19% to 0.25%). USD Currency. Maturity 13-14 Months 03/25/21 to 11/26/21
Universal Health Services, Inc., Class B
3554562.28000000
USD
49347.23000000
USD
Williams-Sonoma, Inc.
4140614.52000000
USD
163903.14000000
USD
General Electric Co.
3192582.19000000
USD
-61494.36000000
USD
Hubbell, Inc.
3881466.60000000
USD
85662.30000000
USD
Chevron Corp.
1604592.00000000
USD
-3788.62000000
USD
Nuance Communications, Inc.
2681652.43000000
USD
4039.85000000
USD
United Rentals, Inc.
3466966.00000000
USD
126360.48000000
USD
Sensata Technologies Holding plc
2667173.64000000
USD
-96448.56000000
USD
VMware, Inc., Class A
1340584.77000000
USD
18848.62000000
USD
Take-Two Interactive Software, Inc.
594792.00000000
USD
-2016.00000000
USD
Marathon Oil Corp.
28441.86000000
USD
1301.87000000
USD
Monolithic Power Systems, Inc.
571522.84000000
USD
-29494.92000000
USD
NewMarket Corp.
615491.36000000
USD
-7929.18000000
USD
Home Depot, Inc. (The)
225500.52000000
USD
7437.92000000
USD
Ulta Beauty, Inc.
1481179.74000000
USD
-47282.95000000
USD
Kennametal, Inc.
122589.84000000
USD
-2245.08000000
USD
Danaher Corp.
45003.97000000
USD
1216.29000000
USD
Workday, Inc., Class A
408316.74000000
USD
1233.70000000
USD
Interpublic Group of Cos., Inc. (The)
2123391.26000000
USD
-35488.12000000
USD
Deere & Co.
601947.08000000
USD
-6464.08000000
USD
Honeywell International, Inc.
2845119.24000000
USD
-53926.08000000
USD
HealthEquity, Inc.
5626710.21000000
USD
-416225.40000000
USD
Curtiss-Wright Corp.
3040742.30000000
USD
-1956.30000000
USD
Devon Energy Corp.
4042447.20000000
USD
-52362.74000000
USD
Aspen Technology, Inc.
1987209.82000000
USD
-18209.68000000
USD
Hill-Rom Holdings, Inc.
2654114.82000000
USD
46401.72000000
USD
Western Union Co. (The)
1597220.76000000
USD
-10434.48000000
USD
Pluralsight, Inc., Class A
2177205.87000000
USD
-15802.91000000
USD
Trinity Industries, Inc.
1792830.00000000
USD
-6435.80000000
USD
Johnson Controls International plc
1849238.65000000
USD
16296.84000000
USD
Cognizant Technology Solutions Corp., Class A
2350769.46000000
USD
45376.42000000
USD
Kosmos Energy Ltd.
1205502.09000000
USD
39588.35000000
USD
Marvell Technology Group Ltd.
1418838.30000000
USD
-58969.35000000
USD
Tiffany & Co.
1062112.80000000
USD
-1833.60000000
USD
Fortive Corp.
633305.10000000
USD
-16952.40000000
USD
PayPal Holdings, Inc.
1018645.10000000
USD
-49753.69000000
USD
LivaNova plc
672634.38000000
USD
-44038.88000000
USD
Howmet Aerospace, Inc.
1603264.08000000
USD
4794.45000000
USD
HubSpot, Inc.
879320.07000000
USD
5416.20000000
USD
L Brands, Inc.
155550.90000000
USD
7237.20000000
USD
Fair Isaac Corp.
2059264.58000000
USD
25076.38000000
USD
Aaron's, Inc.
1856420.50000000
USD
31786.90000000
USD
Premier, Inc., Class A
2591074.92000000
USD
-71031.60000000
USD
Masco Corp.
3555719.61000000
USD
6248.66000000
USD
ABIOMED, Inc.
754988.50000000
USD
28939.50000000
USD
American Eagle Outfitters, Inc.
1043956.90000000
USD
33130.30000000
USD
Quest Diagnostics, Inc.
197609.74000000
USD
4815.54000000
USD
Yelp, Inc.
4037688.20000000
USD
64503.63000000
USD
AutoNation, Inc.
4651435.47000000
USD
90515.37000000
USD
CDK Global, Inc.
2844160.32000000
USD
-1304.96000000
USD
Perspecta, Inc.
1102289.85000000
USD
9067.68000000
USD
Graco, Inc.
922274.55000000
USD
-12627.72000000
USD
CNX Resources Corp.
602017.12000000
USD
57488.31000000
USD
J2 Global, Inc.
2973898.86000000
USD
-8162.97000000
USD
Owens Corning
4874706.83000000
USD
133184.84000000
USD
Penske Automotive Group, Inc.
3222626.22000000
USD
91282.95000000
USD
EPAM Systems, Inc.
707659.92000000
USD
-722.37000000
USD
Spirit AeroSystems Holdings, Inc., Class A
1891756.40000000
USD
89035.60000000
USD
Marathon Petroleum Corp.
1393473.96000000
USD
-30685.25000000
USD
Tenet Healthcare Corp.
1842098.07000000
USD
77167.99000000
USD
PagerDuty, Inc.
3431529.58000000
USD
-48412.73000000
USD
State Street Corp.
742989.59000000
USD
10394.09000000
USD
TripAdvisor, Inc.
981517.77000000
USD
13527.81000000
USD
Synaptics, Inc.
3949265.36000000
USD
105529.99000000
USD
Amdocs Ltd.
4296679.22000000
USD
-8232.62000000
USD
Toro Co. (The)
898013.15000000
USD
-10590.03000000
USD
Twitter, Inc.
844343.00000000
USD
-11526.74000000
USD
Semtech Corp.
975099.52000000
USD
-31944.82000000
USD
KBR, Inc.
1369818.32000000
USD
7964.06000000
USD
Ollie's Bargain Outlet Holdings, Inc.
3440454.45000000
USD
7089.66000000
USD
Rockwell Automation, Inc.
610180.20000000
USD
-13852.65000000
USD
Tractor Supply Co.
243104.64000000
USD
-7004.48000000
USD
Manhattan Associates, Inc.
2311908.39000000
USD
29295.31000000
USD
RingCentral, Inc., Class A
1540012.88000000
USD
-28432.56000000
USD
Global Payments, Inc.
150055.10000000
USD
2180.10000000
USD
Five Below, Inc.
5322951.00000000
USD
102267.72000000
USD
AGCO Corp.
1555139.53000000
USD
57791.64000000
USD
IAC/InterActiveCorp
1916120.66000000
USD
71666.56000000
USD
Occidental Petroleum Corp.
3318975.66000000
USD
73987.44000000
USD
Acadia Healthcare Co., Inc.
766362.08000000
USD
-31715.12000000
USD
Euronet Worldwide, Inc.
609823.40000000
USD
23228.18000000
USD
Alteryx, Inc., Class A
2622777.90000000
USD
-35101.61000000
USD
Eaton Corp. plc
3976823.31000000
USD
80682.39000000
USD
General Dynamics Corp.
1890953.80000000
USD
3005.20000000
USD
Transocean Ltd.
855218.79000000
USD
16615.09000000
USD
ANSYS, Inc.
4138477.81000000
USD
190590.29000000
USD
Targa Resources Corp.
4053463.42000000
USD
42981.28000000
USD
Jack Henry & Associates, Inc.
422734.00000000
USD
-4134.00000000
USD
Pegasystems, Inc.
597332.40000000
USD
-10758.30000000
USD
Adobe, Inc.
3871454.42000000
USD
81609.42000000
USD
International Business Machines Corp.
1737204.26000000
USD
38836.16000000
USD
EnerSys
1699478.40000000
USD
81277.20000000
USD
Accenture plc, Class A
1836394.74000000
USD
92311.36000000
USD
Quidel Corp.
1931860.28000000
USD
199103.66000000
USD
Jacobs Engineering Group, Inc.
3104548.05000000
USD
-78642.75000000
USD
Concho Resources, Inc.
1618674.56000000
USD
-15042.08000000
USD
Teladoc Health, Inc.
3708006.12000000
USD
4059.12000000
USD
Best Buy Co., Inc.
4856473.02000000
USD
232154.16000000
USD
ACI Worldwide, Inc.
766183.86000000
USD
26096.58000000
USD
Floor & Decor Holdings, Inc., Class A
2094100.80000000
USD
-71109.84000000
USD
Woodward, Inc.
897711.84000000
USD
46251.87000000
USD
EOG Resources, Inc.
490149.72000000
USD
-20593.38000000
USD
Broadcom, Inc.
490374.72000000
USD
-10121.92000000
USD
Teledyne Technologies, Inc.
804064.32000000
USD
4587.84000000
USD
Sabre Corp.
1733547.90000000
USD
-122493.40000000
USD
Ross Stores, Inc.
1169766.20000000
USD
-64991.73000000
USD
WW Grainger, Inc.
848399.06000000
USD
-22281.86000000
USD
Nordstrom, Inc.
2174243.76000000
USD
0.00000000
USD
Equitrans Midstream Corp.
1811176.02000000
USD
0.00000000
USD
FleetCor Technologies, Inc.
552868.20000000
USD
2763.18000000
USD
SolarEdge Technologies, Inc.
2898336.00000000
USD
449248.85000000
USD
Akamai Technologies, Inc.
1459901.78000000
USD
-12282.51000000
USD
Haemonetics Corp.
274314.00000000
USD
-408.72000000
USD
Baxter International, Inc.
1718253.72000000
USD
16665.48000000
USD
Parsley Energy, Inc., Class A
1852549.92000000
USD
-67293.48000000
USD
Qorvo, Inc.
3487011.29000000
USD
91358.02000000
USD
salesforce.com, Inc.
172154.20000000
USD
3443.06000000
USD
Veeva Systems, Inc., Class A
7939399.65000000
USD
204139.05000000
USD
Cirrus Logic, Inc.
285515.85000000
USD
18752.19000000
USD
Quanta Services, Inc.
5575884.24000000
USD
121306.60000000
USD
Crane Co.
1171788.75000000
USD
11921.25000000
USD
Fortune Brands Home & Security, Inc.
6058563.00000000
USD
236684.50000000
USD
Silicon Laboratories, Inc.
423299.10000000
USD
-4974.90000000
USD
Stryker Corp.
1702174.53000000
USD
27447.84000000
USD
Microchip Technology, Inc.
200073.72000000
USD
7223.37000000
USD
Humana, Inc.
5737757.07000000
USD
180773.52000000
USD
Regal Beloit Corp.
5343643.62000000
USD
47248.58000000
USD
Guardant Health, Inc.
3014483.04000000
USD
539.36000000
USD
Align Technology, Inc.
2087574.72000000
USD
60135.11000000
USD
Burlington Stores, Inc.
2529548.66000000
USD
-82604.02000000
USD
Pinterest, Inc., Class A
4126550.61000000
USD
-149688.19000000
USD
Cigna Corp.
3058697.55000000
USD
125662.80000000
USD
Medtronic plc
1852997.52000000
USD
13551.56000000
USD
Cree, Inc.
4625866.76000000
USD
-269975.28000000
USD
TJX Cos., Inc. (The)
1157074.80000000
USD
-51356.24000000
USD
Zynga, Inc., Class A
779413.44000000
USD
13673.92000000
USD
NVIDIA Corp.
88218.86000000
USD
-4282.01000000
USD
Gartner, Inc.
276514.35000000
USD
1549.10000000
USD
DENTSPLY SIRONA, Inc.
1545986.69000000
USD
12727.08000000
USD
Zscaler, Inc.
1057003.97000000
USD
-18181.46000000
USD
Timken Co. (The)
2487125.62000000
USD
29357.44000000
USD
Stanley Black & Decker, Inc.
244597.60000000
USD
3423.16000000
USD
Mercury Systems, Inc.
2544561.00000000
USD
23419.99000000
USD
Valmont Industries, Inc.
1324876.42000000
USD
-58252.74000000
USD
Teradata Corp.
1540626.30000000
USD
-20360.70000000
USD
Citrix Systems, Inc.
1870652.64000000
USD
21462.72000000
USD
Hess Corp.
6795935.34000000
USD
-72565.57000000
USD
Electronic Arts, Inc.
4746402.36000000
USD
-28388.88000000
USD
Skyworks Solutions, Inc.
4812558.00000000
USD
248070.00000000
USD
SYNNEX Corp.
415838.14000000
USD
35806.14000000
USD
ONEOK, Inc.
2508057.24000000
USD
-93641.86000000
USD
Apache Corp.
6047021.15000000
USD
295013.57000000
USD
Carlisle Cos., Inc.
3555949.83000000
USD
103450.04000000
USD
STERIS plc
2773230.60000000
USD
94125.20000000
USD
WESCO International, Inc.
1768767.62000000
USD
94827.16000000
USD
Emerson Electric Co.
2183743.28000000
USD
41296.96000000
USD
Carrier Global Corp.
1505224.98000000
USD
2464.35000000
USD
Slack Technologies, Inc., Class A
7626010.62000000
USD
111984.80000000
USD
eBay, Inc.
7666671.30000000
USD
-55918.14000000
USD
Microsoft Corp.
1728071.28000000
USD
16031.97000000
USD
Enphase Energy, Inc.
1793276.67000000
USD
-194765.61000000
USD
World Fuel Services Corp.
4265928.42000000
USD
-21943.40000000
USD
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0.00000000
USD
0.00000000
USD
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USD
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N
N
N
N/A
N/A
LME Copper Base Metal
N/A
89.00000000
NC
USD
765924.85000000
0.074321860747
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Long
N/A
LME Copper Base Metal
2020-10-09
14845088.75000000
USD
765924.85000000
N
N
N
N/A
N/A
MEX BOLSA Index
N/A
97.00000000
NC
34784.54000000
0.003375333413
N/A
DE
MX
N
1
Asigna Compensacion y Liquidacion
549300T5G56HZH1I6F15
Long
MEX BOLSA Index
MEXBOL Index
2020-12-18
36339110.00000000
MXN
34784.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1540.54000000
-0.00014948698
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
179222.00000000
USD
1000000.00000000
BRL
2020-12-16
-1540.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
53416.07000000
0.005183252268
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9413414.00000000
CAD
7125428.49000000
USD
2020-12-16
53416.07000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-43732.20000000
-0.00424357360
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1020980.25000000
USD
5500000.00000000
BRL
2020-12-16
-43732.20000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4996.15000000
-0.00048480365
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2097714.24000000
USD
19515705.00000000
NOK
2020-12-16
-4996.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1775.53000000
-0.00017228934
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
32641.77000000
USD
287844.00000000
NOK
2020-12-16
-1775.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
51.05000000
0.000004953659
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
23500.00000000
ILS
6919.03000000
USD
2020-12-16
51.05000000
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N
N/A
N/A
Forward Foreign Currency Contract
N/A
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DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3513445.81000000
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2644936.00000000
GBP
2020-12-16
-98833.42000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11453.76000000
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DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1116121.38000000
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19062500.00000000
ZAR
2020-12-17
11453.76000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-165625.41000000
-0.01607153581
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9171735.68000000
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6976073.00000000
GBP
2020-12-16
-165625.41000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-50225.19000000
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N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4867592.22000000
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44924500.00000000
NOK
2020-12-16
-50225.19000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-49131.03000000
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N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5814477.86000000
USD
8715500.00000000
NZD
2020-12-16
-49131.03000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
70118.27000000
0.006803957723
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DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
7793641.01000000
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828463794.00000000
JPY
2020-12-16
70118.27000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1193.62000000
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DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
215000000.00000000
INR
2900338.11000000
USD
2020-12-16
1193.62000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6547.41000000
-0.00063533086
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
608367.64000000
USD
5384500.00000000
SEK
2020-12-16
-6547.41000000
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N
N
N/A
N/A
3 Month Euro Euribor
N/A
3216.00000000
NC
556234.39000000
0.053974453076
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Long
N/A
3 Month Euro Euribor
2021-03-15
808140600.00000000
EUR
556234.39000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6845.84000000
-0.00066428914
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
105000000.00000000
INR
1409015.42000000
USD
2020-12-16
-6845.84000000
N
N
N
N/A
N/A
3 Month Sterling
N/A
-4809.00000000
NC
-670338.49000000
-0.06504659550
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
N/A
3 Month Sterling
2021-06-16
-601155056.25000000
GBP
-670338.49000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-23511.81000000
-0.00228147901
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2111229310.00000000
KRW
1787350.79000000
USD
2020-12-16
-23511.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
87544.01000000
0.008494872206
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6467131.75000000
USD
9908732.00000000
NZD
2020-12-16
87544.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
19306.78000000
0.001873442041
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1863856.00000000
CAD
1419565.26000000
USD
2020-12-16
19306.78000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21775.84000000
0.002113028384
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2784741.43000000
USD
25109977.00000000
SEK
2020-12-16
21775.84000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1881.64000000
-0.00018258577
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1896116.96000000
USD
17664748.00000000
NOK
2020-12-16
-1881.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
96575.29000000
0.009371226504
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14241466.00000000
NOK
1623723.48000000
USD
2020-12-16
96575.29000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
56003762.85000000
PA
-983334.35000000
-0.09541828892
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 5-37 Months 02/17/21
Ambu A/S, Class B
1365111.65000000
USD
-91422.50000000
USD
Genmab A/S
30484.07000000
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774.68000000
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ROCKWOOL International A/S, Class B
4143913.52000000
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202356.02000000
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Vestas Wind Systems A/S
126214.70000000
USD
6406.53000000
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Danske Bank A/S
222788.49000000
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-7052.54000000
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GN Store Nord A/S
4592831.72000000
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-35901.21000000
USD
Carlsberg A/S, Class B
6150202.18000000
USD
-230013.85000000
USD
Chr Hansen Holding A/S
2396397.86000000
USD
-1065.90000000
USD
DSV PANALPINA A/S
2457053.78000000
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-78482.09000000
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Tryg A/S
1690892.55000000
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-37302.39000000
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SimCorp A/S
839316.75000000
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-21436.71000000
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ISS A/S
648634.54000000
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41559.54000000
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Jyske Bank A/S (Registered)
294003.58000000
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24605.55000000
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Royal Unibrew A/S
724693.20000000
USD
-9973.66000000
USD
AP Moller - Maersk A/S, Class B
7053893.05000000
USD
-237363.02000000
USD
Orsted A/S
4260432.65000000
USD
-66031.99000000
USD
Novozymes A/S, Class B
2408126.27000000
USD
81091.81000000
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Coloplast A/S, Class B
1015914.97000000
USD
15833.17000000
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FLSmidth & Co. A/S
816381.35000000
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-74258.18000000
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Demant A/S
1093186.18000000
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64549.82000000
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Pandora A/S
7882930.09000000
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-527290.52000000
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H Lundbeck A/S
2418971.72000000
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-48201.53000000
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Novo Nordisk A/S, Class B
3371387.98000000
USD
36578.54000000
USD
Y
2021-02-17
0.00000000
USD
0.00000000
USD
56003763.00000000
USD
-992040.38000000
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
3886.00000000
NC
USD
-24812.13000000
-0.00240765614
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 10 Year Note
2020-12-21
542218437.50000000
USD
-24812.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-55.81000000
-0.00000541554
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
43500.00000000
CNY
6322.36000000
USD
2020-12-16
-55.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1162.59000000
0.000112812441
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
209976.67000000
USD
1440000.00000000
CNY
2020-12-16
1162.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
101717.53000000
0.009870206065
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21406188.00000000
NOK
2397156.86000000
USD
2020-12-16
101717.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
38161.16000000
0.003702985246
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1089413.98000000
USD
19062500.00000000
ZAR
2020-12-17
38161.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-214360.98000000
-0.02080061367
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
11276000.00000000
GBP
14342955.07000000
USD
2020-12-16
-214360.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
94884.42000000
0.009207152177
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
21390401.00000000
NOK
2388630.87000000
USD
2020-12-16
94884.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-14778.54000000
-0.00143404224
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
21000000.00000000
MXN
926664.48000000
USD
2020-12-16
-14778.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-68782.04000000
-0.00667429604
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14079000.00000000
GBP
18107207.02000000
USD
2020-12-16
-68782.04000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-383.45000000
-0.00003720824
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
26203.45000000
USD
20000.00000000
GBP
2020-12-16
-383.45000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
342295.90000000
0.033214835912
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
16140000.00000000
CHF
17907069.50000000
USD
2020-12-16
342295.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7195.44000000
-0.00069821274
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
8431000.00000000
CNY
1228995.61000000
USD
2020-12-16
-7195.44000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
88501.33000000
0.008587766181
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21502718.00000000
NOK
2394291.82000000
USD
2020-12-16
88501.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3052.79000000
-0.00029622884
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1069141.57000000
USD
6000000.00000000
BRL
2020-12-16
-3052.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1287.97000000
-0.00012497874
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
180500.00000000
EUR
210711.99000000
USD
2020-12-16
-1287.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-636.94000000
-0.00006180575
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
15000000.00000000
INR
201628.95000000
USD
2020-12-16
-636.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6326.57000000
0.000613901552
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3086834.00000000
ILS
908467.90000000
USD
2020-12-16
6326.57000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
54637.99000000
0.005301821822
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2549745.01000000
USD
193140544.00000000
INR
2020-12-16
54637.99000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
14.64000000
0.000001420598
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
14500.00000000
EUR
17045.11000000
USD
2020-12-16
14.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1256.69000000
-0.00012194347
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
35000000.00000000
INR
470697.06000000
USD
2020-12-16
-1256.69000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
40.53000000
0.000003932846
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5000.00000000
EUR
5913.11000000
USD
2020-12-16
40.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
23194.10000000
0.002250649878
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2000000.00000000
BRL
378557.03000000
USD
2020-12-16
23194.10000000
N
N
N
N/A
N/A
IRS
N/A
574700000.00000000
PA
-822123.37000000
-0.07977510929
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-12-16
1036829.99000000
USD
0.00000000
USD
574700000.00000000
EUR
-822123.37000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
19271.96000000
0.001870063267
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2500000.00000000
BRL
463475.62000000
USD
2020-12-16
19271.96000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
99650.21000000
0.009669602743
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
21938874.00000000
NOK
2452210.80000000
USD
2020-12-16
99650.21000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
144385.95000000
0.014010555304
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9413416.00000000
CAD
7216399.87000000
USD
2020-12-16
144385.95000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
26.83000000
0.000002603461
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
11364.00000000
SEK
1296.97000000
USD
2020-12-16
26.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-15836.90000000
-0.00153674068
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9398616.56000000
USD
13097124.00000000
AUD
2020-12-16
-15836.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22825.87000000
-0.00221491851
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3911000.00000000
GBP
5026275.15000000
USD
2020-12-16
-22825.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
708.83000000
0.000068781636
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
84500.00000000
EUR
99955.35000000
USD
2020-12-16
708.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
826.53000000
0.000080202708
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
112500.00000000
CAD
85344.37000000
USD
2020-12-16
826.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
29772.55000000
0.002888992719
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2500000.00000000
BRL
473976.21000000
USD
2020-12-16
29772.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2746.46000000
0.000266503975
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
187718.75000000
USD
1299000.00000000
CNY
2020-12-16
2746.46000000
N
N
N
N/A
N/A
Australia 10 Year Bond
N/A
2301.00000000
NC
2042775.01000000
0.198221587708
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
Australia
Australia 10 Year Bond
2020-12-15
343752878.82000000
AUD
2042775.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
176.31000000
0.000017108319
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
91390.68000000
USD
624500.00000000
CNY
2020-12-16
176.31000000
N
N
N
N/A
N/A
ETRSI
N/A
15522796.15000000
PA
-442275.64000000
-0.04291641474
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
MSCI Spain Net Return Index
MSCI Spain Net Return Index
Y
2020-12-18
0.00000000
USD
0.00000000
USD
15522796.15000000
EUR
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N
N
N/A
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2532219.90000000
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7H6GLXDRUGQFU57RNE97
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156011.70000000
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2475443.34000000
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2160068.02000000
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1553.56000000
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Rolls-Royce Holdings plc
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1284303.87000000
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Wm Morrison Supermarkets plc
1816011.83000000
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3254625.95000000
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2167046.69000000
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138019.90000000
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B&M European Value Retail SA
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1152641.13000000
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19135.52000000
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GVC Holdings plc
1251296.72000000
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81654.95000000
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1416417.07000000
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15894.80000000
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Auto Trader Group plc
2271374.83000000
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53063.23000000
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1823798.09000000
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Next plc
1704311.07000000
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ITV plc
1423703.69000000
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18427.83000000
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Halma plc
3228500.90000000
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Intertek Group plc
1372781.48000000
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4504.10000000
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ConvaTec Group plc
209049.53000000
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9251.07000000
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Rio Tinto plc
675255.72000000
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46937.07000000
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Ocado Group plc
3309502.51000000
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Admiral Group plc
1481146.47000000
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103537.41000000
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1297106.31000000
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58105.78000000
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NMC Health plc
0.93000000
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2294116.82000000
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48516.99000000
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990941.87000000
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25061.91000000
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2400698.39000000
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254632.43000000
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Close Brothers Group plc
1446312.08000000
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Coca-Cola HBC AG
3044059.03000000
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GlaxoSmithKline plc
1039661.67000000
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177348.66000000
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1162659.55000000
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32484.01000000
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5534332.28000000
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112386.71000000
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1454158.63000000
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17185.12000000
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1780108.93000000
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106535.64000000
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Lloyds Banking Group plc
16775.50000000
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7649035.26000000
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276426.88000000
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2106953.11000000
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3326092.18000000
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562749.40000000
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1270982.61000000
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87697.33000000
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116278.29000000
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250947.89000000
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4435125.92000000
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25831.92000000
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1169539.00000000
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77500.12000000
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Spectris plc
533839.80000000
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Berkeley Group Holdings plc
940399.57000000
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2093591.41000000
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Virgin Money UK plc
858573.19000000
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195628.83000000
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Evraz plc
2966345.75000000
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45445.08000000
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DS Smith plc
3939818.06000000
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68358.82000000
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Old Mutual Ltd.
750659.24000000
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11292.97000000
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Compass Group plc
1004100.40000000
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John Wood Group plc
1793332.58000000
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Aggreko plc
1925956.65000000
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1689318.30000000
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Burberry Group plc
1898528.10000000
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65300.13000000
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Legal & General Group plc
1264716.10000000
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39420.99000000
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Investec plc
2275713.98000000
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70814.75000000
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boohoo Group plc
5119136.52000000
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777715.80000000
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Glencore plc
1796041.85000000
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270313.40000000
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1903123.05000000
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2927094.52000000
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130943.82000000
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Capita plc
471189.91000000
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Howden Joinery Group plc
295090.05000000
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6399.95000000
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ASOS plc
1747940.60000000
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46720.96000000
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G4S plc
572714.93000000
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28280.68000000
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Aviva plc
3221567.92000000
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Associated British Foods plc
680950.56000000
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Unilever plc
1220734.14000000
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11040.70000000
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Imperial Brands plc
2333190.47000000
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HSBC Holdings plc
2212570.04000000
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55081.99000000
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Persimmon plc
1598965.86000000
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17930.95000000
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Weir Group plc (The)
3002945.21000000
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200390.50000000
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Smith & Nephew plc
850432.14000000
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Tate & Lyle plc
3470290.69000000
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Intermediate Capital Group plc
1080236.11000000
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42236.93000000
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WPP plc
1019993.34000000
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Avast plc
1271327.91000000
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11567.50000000
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National Grid plc
1023416.76000000
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RELX plc
45584.53000000
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Centrica plc
1165724.08000000
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United Utilities Group plc
3433989.13000000
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12351.58000000
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Sage Group plc (The)
811518.05000000
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BAE Systems plc
3149283.29000000
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Rotork plc
591343.13000000
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36918.05000000
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Standard Life Aberdeen plc
2488048.58000000
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19904.63000000
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BHP Group plc
1573841.98000000
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99928.65000000
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William Hill plc
2018951.49000000
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421575.84000000
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Hiscox Ltd.
4605984.65000000
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99025.01000000
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Hikma Pharmaceuticals plc
901850.00000000
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Taylor Wimpey plc
1966334.64000000
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31710.61000000
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Beazley plc
1776550.09000000
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571689.98000000
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Anglo American plc
2436658.35000000
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Pennon Group plc
719557.90000000
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Balfour Beatty plc
756484.59000000
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Pearson plc
129827.33000000
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Informa plc
1557793.51000000
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77927.19000000
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RSA Insurance Group plc
2864795.09000000
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308065.19000000
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J Sainsbury plc
1365757.82000000
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Schroders plc
616800.46000000
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19949.34000000
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Barratt Developments plc
1294685.75000000
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Quilter plc
399492.90000000
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26594.85000000
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St James's Place plc
2465942.78000000
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111849.81000000
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Hargreaves Lansdown plc
4974227.18000000
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224686.18000000
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SSE plc
2825862.91000000
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Barclays plc
689728.76000000
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2025-01-21
0.00000000
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241852535.00000000
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2421712.12000000
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N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-300156.08000000
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DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7611734.60000000
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5663500.00000000
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2020-12-16
-300156.08000000
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N
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N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-89584.63000000
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DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
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2020-12-16
-89584.63000000
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N/A
Forward Foreign Currency Contract
N/A
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N/A
-51699.11000000
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DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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5648298.29000000
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2020-12-16
-51699.11000000
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N/A
N/A
Forward Foreign Currency Contract
N/A
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N/A
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N/A
N
2
Citibank
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282999.12000000
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2020-12-16
16476.93000000
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N/A
Total Return Swap
000000000
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69521.68000000
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Citibank
E57ODZWZ7FF32TWEFA76
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N/A
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2020-10-30
0.00000000
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0.00000000
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27015720.00000000
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N/A
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N/A
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DFE
N/A
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2
Citibank
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2020-12-16
-6315.75000000
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N/A
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Forward Foreign Currency Contract
N/A
1.00000000
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N/A
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N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
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3487126.00000000
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2020-12-16
-77242.70000000
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N
N/A
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N/A
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2020-12-16
478.29000000
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5215.90000000
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JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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2020-12-16
-82005.96000000
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N/A
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N/A
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7H6GLXDRUGQFU57RNE97
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2020-12-16
95585.77000000
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N/A
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N/A
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N/A
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JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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3397733.89000000
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2020-12-16
156491.14000000
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N/A
N/A
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N/A
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N/A
122676.70000000
0.011903988510
N/A
DFE
N/A
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2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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4135017.19000000
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2020-12-16
122676.70000000
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N/A
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N/A
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N/A
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Citibank
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3500000.00000000
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2020-12-16
-7427.63000000
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N
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N/A
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N/A
1.00000000
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N/A
122681.87000000
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N/A
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Citibank
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4135022.36000000
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2020-12-16
122681.87000000
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N/A
N/A
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N/A
1.00000000
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N/A
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N/A
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JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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2020-12-16
-21602.52000000
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N
N
N/A
N/A
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N/A
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N/A
10864.66000000
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DFE
N/A
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Citibank
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22733520.00000000
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2020-12-16
10864.66000000
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N/A
N/A
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N/A
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N/A
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DFE
N/A
N
2
Citibank
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1778979.23000000
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2020-12-16
-31883.37000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-3920.55000000
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DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
454870.17000000
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600250.00000000
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2020-12-16
-3920.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
105243.95000000
0.010212393809
N/A
DFE
N/A
N
2
Citibank
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HUF
3346486.70000000
USD
2020-12-16
105243.95000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-1212.87000000
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N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
768500.00000000
CNY
111468.05000000
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2020-12-16
-1212.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-54464.67000000
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N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
68000000.00000000
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2994017.49000000
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2020-12-16
-54464.67000000
N
N
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N/A
N/A
IRS
N/A
107700000.00000000
PA
-100518.17000000
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N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
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2030-12-16
0.00000000
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3203160.68000000
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107700000.00000000
CAD
-100518.17000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
2386.88000000
0.000231611969
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
126642.67000000
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880000.00000000
CNY
2020-12-16
2386.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-16395.71000000
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N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
375040.67000000
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8000000.00000000
MXN
2020-12-16
-16395.71000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
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N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
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KRW
1787353.02000000
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2020-12-16
-23509.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
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N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
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9119784.00000000
SEK
2020-12-16
-21601.21000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-64.13000000
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DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
41778.80000000
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284500.00000000
CNY
2020-12-16
-64.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
19272.54000000
0.001870119547
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DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2500000.00000000
BRL
463476.20000000
USD
2020-12-16
19272.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
13001.65000000
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DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7850757.62000000
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828463793.00000000
JPY
2020-12-16
13001.65000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
-6596.03000000
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N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2150918.53000000
USD
2500000000.00000000
KRW
2020-12-16
-6596.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-26731.27000000
-0.00259388075
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3925978.00000000
GBP
5041706.34000000
USD
2020-12-16
-26731.27000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11133.48000000
0.001080342216
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
783027.34000000
USD
22733519.00000000
TWD
2020-12-16
11133.48000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
-28.00000000
NC
USD
-404792.60000000
-0.03927923117
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Short
N/A
LME Copper Base Metal
2020-10-07
-4669644.00000000
USD
-404792.60000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
93169.90000000
0.009040782961
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9413416.00000000
CAD
7165183.82000000
USD
2020-12-16
93169.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12170.47000000
0.001180967005
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3500000.00000000
BRL
634055.59000000
USD
2020-12-16
12170.47000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-43733.48000000
-0.00424369781
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1020981.53000000
USD
5500000.00000000
BRL
2020-12-16
-43733.48000000
N
N
N
N/A
N/A
Total Return Swap
000000000
445170000.00000000
PA
184617.51000000
0.017914442741
N/A
DE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2020-10-29
0.00000000
USD
0.00000000
USD
445170000.00000000
HKD
184617.51000000
N
N
N
Amplifon SpA
ZYXJDNVM2JI3VBM8G556
Amplifon SpA
N/A
-107103.00000000
NS
-3830046.93000000
-0.37165031868
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
3 Month Canadian Bankers Acceptance
N/A
928.00000000
NC
51388.14000000
0.004986471172
N/A
DIR
CA
N
1
Canadian Derivatives Clearing
5493004XJK1P32XQLA57
Long
N/A
3 Month Canadian Bankers Acceptance
2020-12-14
230805200.00000000
CAD
51388.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
31924.54000000
0.003097812032
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3000000.00000000
BRL
564968.93000000
USD
2020-12-16
31924.54000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
5.00000000
NC
USD
20063.81000000
0.001946900786
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Long
N/A
LME Copper Base Metal
2020-11-25
834031.25000000
USD
20063.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-30142.80000000
-0.00292492009
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2111229308.00000000
KRW
1780719.80000000
USD
2020-12-16
-30142.80000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
16321.88000000
0.001583800933
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
693495.92000000
USD
12000000.00000000
ZAR
2020-12-17
16321.88000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
5.00000000
NC
USD
66516.50000000
0.006454458358
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Long
N/A
LME Copper Base Metal
2020-10-01
821750.00000000
USD
66516.50000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-571.54000000
-0.00005545963
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
157478.71000000
USD
3500000.00000000
MXN
2020-12-16
-571.54000000
N
N
N
Atlantia SpA
8156008DEC771409C487
Atlantia SpA
N/A
-254553.00000000
NS
-3986622.84000000
-0.38684373221
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-270589.03000000
-0.02625672767
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9653370.12000000
USD
13097126.00000000
AUD
2020-12-16
-270589.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-39655.54000000
-0.00384799307
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3925978.00000000
GBP
5028782.07000000
USD
2020-12-16
-39655.54000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
874495140.54999995
PA
-20140635.53999999
-1.95435558720
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Rec/pay the total return of custom basket plus TONAT +/- spread (-0.38% to 0.01%). JPY Currency. Maturity 53-61 Months 01/14/25 to 10/01/25
Kyowa Exeo Corp.
1692120.85000000
USD
-57205.33000000
USD
Ito En Ltd.
2424820.39000000
USD
-278437.80000000
USD
Takeda Pharmaceutical Co. Ltd.
965059.29000000
USD
11541.77000000
USD
Canon, Inc.
3609235.12000000
USD
-17286.06000000
USD
USS Co. Ltd.
1003818.84000000
USD
-24598.54000000
USD
Sugi Holdings Co. Ltd.
2474634.05000000
USD
22098.78000000
USD
Rinnai Corp.
1599676.67000000
USD
-82759.67000000
USD
Oji Holdings Corp.
2430334.86000000
USD
-57904.02000000
USD
MISUMI Group, Inc.
4864407.74000000
USD
-159513.11000000
USD
Yamaha Corp.
1606687.87000000
USD
-69367.80000000
USD
Eisai Co. Ltd.
1945378.54000000
USD
-76281.52000000
USD
Lasertec Corp.
2622145.11000000
USD
-251567.85000000
USD
Shimizu Corp.
5326921.59000000
USD
26757.34000000
USD
Shimadzu Corp.
1616171.18000000
USD
30238.51000000
USD
Komatsu Ltd.
992729.97000000
USD
-6473.84000000
USD
Toshiba Corp.
4201427.57000000
USD
483504.77000000
USD
Yakult Honsha Co. Ltd.
3664659.56000000
USD
-160189.55000000
USD
Aisin Seiki Co. Ltd.
1833263.35000000
USD
-57739.90000000
USD
Izumi Co. Ltd.
1677342.62000000
USD
4999.98000000
USD
Chugai Pharmaceutical Co. Ltd.
103213.62000000
USD
764.22000000
USD
Japan Post Insurance Co. Ltd.
1717811.42000000
USD
14057.03000000
USD
Nikon Corp.
1541842.13000000
USD
-81678.16000000
USD
Toray Industries, Inc.
1189044.20000000
USD
-44270.87000000
USD
Murata Manufacturing Co. Ltd.
1137975.49000000
USD
-57736.87000000
USD
Mizuho Financial Group, Inc.
949980.26000000
USD
53128.82000000
USD
Nifco, Inc.
1111798.46000000
USD
18173.05000000
USD
Mani, Inc.
1139498.58000000
USD
-43270.28000000
USD
Kobe Bussan Co. Ltd.
1652134.78000000
USD
-24517.43000000
USD
DeNA Co. Ltd.
1052697.77000000
USD
91076.63000000
USD
Ono Pharmaceutical Co. Ltd.
1975302.65000000
USD
-72357.86000000
USD
Daiwa Securities Group, Inc.
593034.10000000
USD
25814.66000000
USD
Suzuken Co. Ltd.
3719429.34000000
USD
-6408.98000000
USD
Hisamitsu Pharmaceutical Co., Inc.
460122.77000000
USD
-34296.88000000
USD
Z Holdings Corp.
9351.20000000
USD
173.01000000
USD
Nexon Co. Ltd.
6011449.42000000
USD
211601.07000000
USD
Welcia Holdings Co. Ltd.
896679.71000000
USD
-69770.61000000
USD
Otsuka Holdings Co. Ltd.
910854.43000000
USD
3064.96000000
USD
Toyo Seikan Group Holdings Ltd.
3185374.15000000
USD
-286619.65000000
USD
Unicharm Corp.
3958013.06000000
USD
-177773.62000000
USD
Pan Pacific International Holdings Corp.
5204930.25000000
USD
-236263.12000000
USD
Fancl Corp.
1955969.45000000
USD
60852.80000000
USD
TIS, Inc.
802870.90000000
USD
59132.47000000
USD
GungHo Online Entertainment, Inc.
5140852.83000000
USD
230175.64000000
USD
Aeon Co. Ltd.
8115987.60000000
USD
-545100.59000000
USD
Calbee, Inc.
2921598.08000000
USD
-175639.74000000
USD
Kirin Holdings Co. Ltd.
582260.79000000
USD
-2006.46000000
USD
Justsystems Corp.
800385.57000000
USD
38574.70000000
USD
JSR Corp.
477739.82000000
USD
-15392.82000000
USD
Inpex Corp.
651992.18000000
USD
40540.31000000
USD
Kagome Co. Ltd.
989295.42000000
USD
-102240.10000000
USD
FamilyMart Co. Ltd.
302197.30000000
USD
-2124.73000000
USD
Taisei Corp.
5713387.06000000
USD
55786.30000000
USD
Tokio Marine Holdings, Inc.
603813.10000000
USD
-27372.59000000
USD
Obic Co. Ltd.
474829.24000000
USD
-5509.05000000
USD
T&D Holdings, Inc.
1224404.42000000
USD
-66372.10000000
USD
Brother Industries Ltd.
4061158.55000000
USD
-129779.57000000
USD
Mitsubishi Materials Corp.
506463.86000000
USD
44977.64000000
USD
Takashimaya Co. Ltd.
2183096.92000000
USD
-28898.19000000
USD
Yaoko Co. Ltd.
972912.66000000
USD
-2841.46000000
USD
Sumitomo Chemical Co. Ltd.
1259777.98000000
USD
-75417.62000000
USD
SHO-BOND Holdings Co. Ltd.
1327364.30000000
USD
-35278.26000000
USD
Koito Manufacturing Co. Ltd.
668436.73000000
USD
-12254.74000000
USD
Alfresa Holdings Corp.
5346475.04000000
USD
349509.54000000
USD
Itochu Techno-Solutions Corp.
227612.71000000
USD
1300.20000000
USD
Taiyo Nippon Sanso Corp.
275233.29000000
USD
19399.76000000
USD
Daifuku Co. Ltd.
6015869.24000000
USD
-810911.58000000
USD
MEIJI Holdings Co. Ltd.
626363.26000000
USD
-10603.10000000
USD
Japan Airlines Co. Ltd.
2605649.27000000
USD
-288206.62000000
USD
Toyota Motor Corp.
2794177.72000000
USD
-45448.19000000
USD
Kikkoman Corp.
8193483.00000000
USD
-98964.53000000
USD
Nitori Holdings Co. Ltd.
2281970.62000000
USD
-94774.65000000
USD
CyberAgent, Inc.
9682640.71000000
USD
-1577551.43000000
USD
ABC-Mart, Inc.
916365.85000000
USD
28138.27000000
USD
Nisshin Seifun Group, Inc.
536444.03000000
USD
9910.27000000
USD
Odakyu Electric Railway Co. Ltd.
6322171.90000000
USD
-197358.23000000
USD
Hitachi Metals Ltd.
1656117.68000000
USD
36349.93000000
USD
MS&AD Insurance Group Holdings, Inc.
3397539.36000000
USD
-92973.74000000
USD
Yamaha Motor Co. Ltd.
143853.71000000
USD
-14311.81000000
USD
Zenkoku Hosho Co. Ltd.
2481814.54000000
USD
-158674.34000000
USD
Daicel Corp.
955723.24000000
USD
-51327.93000000
USD
JFE Holdings, Inc.
395600.59000000
USD
67789.05000000
USD
Taisho Pharmaceutical Holdings Co. Ltd.
1040537.64000000
USD
68267.50000000
USD
Mitsubishi UFJ Financial Group, Inc.
395496.06000000
USD
-19603.24000000
USD
Keio Corp.
4147689.36000000
USD
-51932.07000000
USD
PeptiDream, Inc.
5068311.85000000
USD
-739097.53000000
USD
TDK Corp.
3002801.91000000
USD
-11517.19000000
USD
Keikyu Corp.
3181457.90000000
USD
-124196.81000000
USD
SCSK Corp.
542705.36000000
USD
33159.03000000
USD
Shikoku Electric Power Co., Inc.
583347.12000000
USD
10115.85000000
USD
Hirose Electric Co. Ltd.
1774635.99000000
USD
-165065.81000000
USD
Alps Alpine Co. Ltd.
1990939.35000000
USD
-277416.45000000
USD
Acom Co. Ltd.
2686052.12000000
USD
-247883.81000000
USD
Pola Orbis Holdings, Inc.
316769.36000000
USD
411.51000000
USD
NOK Corp.
449659.41000000
USD
-32947.11000000
USD
Sumitomo Corp.
1300679.96000000
USD
-69182.43000000
USD
Nichirei Corp.
386105.50000000
USD
-9996.77000000
USD
Kawasaki Heavy Industries Ltd.
559279.08000000
USD
-30694.75000000
USD
Nippo Corp.
691434.86000000
USD
50721.23000000
USD
Sharp Corp.
3665847.99000000
USD
22667.16000000
USD
Kaneka Corp.
1336309.73000000
USD
36000.17000000
USD
Nintendo Co. Ltd.
793367.76000000
USD
-25011.51000000
USD
Marubeni Corp.
3791939.06000000
USD
-274870.25000000
USD
Mitsubishi UFJ Lease & Finance Co. Ltd.
1833917.48000000
USD
-71186.51000000
USD
Nihon M&A Center, Inc.
1853584.68000000
USD
-269168.96000000
USD
Toho Gas Co. Ltd.
544289.01000000
USD
-42658.10000000
USD
Seino Holdings Co. Ltd.
2187873.10000000
USD
-35248.79000000
USD
M3, Inc.
5127884.42000000
USD
221631.06000000
USD
Nomura Holdings, Inc.
1567943.45000000
USD
-167234.74000000
USD
TBS Holdings, Inc.
777531.32000000
USD
21295.62000000
USD
West Japan Railway Co.
815237.17000000
USD
63655.59000000
USD
Seven Bank Ltd.
972328.78000000
USD
12468.00000000
USD
Hino Motors Ltd.
1988141.67000000
USD
-13569.52000000
USD
Fast Retailing Co. Ltd.
2450843.81000000
USD
9382.79000000
USD
Ricoh Co. Ltd.
1421597.08000000
USD
76016.82000000
USD
Mitsui Chemicals, Inc.
5305248.51000000
USD
-166324.14000000
USD
Sankyu, Inc.
2752511.26000000
USD
-99907.71000000
USD
Iida Group Holdings Co. Ltd.
2179811.73000000
USD
30330.88000000
USD
Nitto Denko Corp.
2045671.29000000
USD
98537.61000000
USD
Bandai Namco Holdings, Inc.
3223883.14000000
USD
443125.92000000
USD
Chugoku Electric Power Co., Inc. (The)
2976921.58000000
USD
-37644.10000000
USD
Mitsubishi Corp.
2127854.08000000
USD
-26571.96000000
USD
Mitsubishi Chemical Holdings Corp.
2509831.77000000
USD
-163627.61000000
USD
NTT Data Corp.
2716870.85000000
USD
262931.42000000
USD
Sumitomo Mitsui Trust Holdings, Inc.
867283.68000000
USD
-55351.31000000
USD
Santen Pharmaceutical Co. Ltd.
1386230.61000000
USD
-86323.72000000
USD
Coca-Cola Bottlers Japan Holdings, Inc.
13392.03000000
USD
-70.57000000
USD
Nankai Electric Railway Co. Ltd.
188653.04000000
USD
-2650.77000000
USD
NOF Corp.
287693.24000000
USD
-5296.31000000
USD
Credit Saison Co. Ltd.
1992072.24000000
USD
-117156.03000000
USD
Nagoya Railroad Co. Ltd.
956758.42000000
USD
19400.80000000
USD
Sony Corp.
1831744.63000000
USD
-1134.30000000
USD
Tokyo Century Corp.
997457.00000000
USD
-25759.78000000
USD
COMSYS Holdings Corp.
1819303.52000000
USD
-30244.69000000
USD
Mazda Motor Corp.
1107451.96000000
USD
-90414.87000000
USD
Yokogawa Electric Corp.
125464.25000000
USD
5020.61000000
USD
Osaka Gas Co. Ltd.
5873822.97000000
USD
72789.21000000
USD
Resona Holdings, Inc.
3064444.12000000
USD
-210431.29000000
USD
NEC Networks & System Integration Corp.
1172566.56000000
USD
91533.65000000
USD
Mitsui & Co. Ltd.
1805914.38000000
USD
-106853.30000000
USD
Tokyu Corp.
1611911.38000000
USD
80275.51000000
USD
Panasonic Corp.
1956602.40000000
USD
-134536.85000000
USD
Recruit Holdings Co. Ltd.
3042196.58000000
USD
-106483.92000000
USD
Astellas Pharma, Inc.
2589275.89000000
USD
-71014.82000000
USD
Nabtesco Corp.
2174753.13000000
USD
-240804.51000000
USD
Taiyo Yuden Co. Ltd.
1061485.37000000
USD
99688.50000000
USD
Sumitomo Electric Industries Ltd.
1236054.21000000
USD
-55433.60000000
USD
House Foods Group, Inc.
526062.02000000
USD
-37726.89000000
USD
Keisei Electric Railway Co. Ltd.
1581664.79000000
USD
45721.93000000
USD
Marui Group Co. Ltd.
5616702.22000000
USD
-269663.67000000
USD
Yamazaki Baking Co. Ltd.
1028428.37000000
USD
57288.89000000
USD
LINE Corp.
4667670.40000000
USD
10133.72000000
USD
Air Water, Inc.
807424.99000000
USD
-5977.07000000
USD
Disco Corp.
1515929.88000000
USD
-112721.40000000
USD
Square Enix Holdings Co. Ltd.
1098610.04000000
USD
-41016.47000000
USD
Seibu Holdings, Inc.
1830596.52000000
USD
190662.90000000
USD
Ezaki Glico Co. Ltd.
572375.59000000
USD
-24418.92000000
USD
Omron Corp.
1907741.27000000
USD
-49946.83000000
USD
GMO internet, Inc.
901225.44000000
USD
-27234.29000000
USD
ITOCHU Corp.
5879101.28000000
USD
-118356.71000000
USD
Pigeon Corp.
8583273.01000000
USD
249436.06000000
USD
Hitachi Ltd.
3578944.90000000
USD
-43962.01000000
USD
Seven & i Holdings Co. Ltd.
1683999.85000000
USD
-700.55000000
USD
Yokohama Rubber Co. Ltd. (The)
1474786.90000000
USD
-177707.70000000
USD
NSK Ltd.
1083091.54000000
USD
-99706.41000000
USD
Hakuhodo DY Holdings, Inc.
1337102.35000000
USD
-38423.39000000
USD
Toyo Suisan Kaisha Ltd.
866022.08000000
USD
1644.30000000
USD
Japan Post Holdings Co. Ltd.
1429955.97000000
USD
-74546.79000000
USD
Konica Minolta, Inc.
259238.49000000
USD
-18071.55000000
USD
Bank of Kyoto Ltd. (The)
3307105.03000000
USD
-200221.57000000
USD
Tokyo Electron Ltd.
1123395.28000000
USD
-62267.04000000
USD
NET One Systems Co. Ltd.
686065.90000000
USD
-90424.02000000
USD
Kansai Paint Co. Ltd.
4861631.31000000
USD
-89656.38000000
USD
Makita Corp.
1742078.49000000
USD
-102683.89000000
USD
Yamato Holdings Co. Ltd.
5065652.24000000
USD
-299331.00000000
USD
Toyota Tsusho Corp.
2598868.93000000
USD
-157999.40000000
USD
Anritsu Corp.
884179.91000000
USD
-69977.78000000
USD
NS Solutions Corp.
1053804.10000000
USD
59893.02000000
USD
Tohoku Electric Power Co., Inc.
2056534.99000000
USD
-3843.80000000
USD
Benefit One, Inc.
1927893.22000000
USD
-127229.35000000
USD
East Japan Railway Co.
1549767.84000000
USD
95762.16000000
USD
FUJIFILM Holdings Corp.
1592127.09000000
USD
-54706.82000000
USD
Tokyo Gas Co. Ltd.
7980330.02000000
USD
281392.16000000
USD
Sushiro Global Holdings Ltd.
966505.04000000
USD
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USD
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0.00000000
USD
0.00000000
USD
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USD
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N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-107524.32000000
-0.01043367053
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3556629.65000000
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2671654.00000000
GBP
2020-12-16
-107524.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
99647.15000000
0.009669305815
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21938874.00000000
NOK
2452207.74000000
USD
2020-12-16
99647.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
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-0.00305620517
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2111229310.00000000
KRW
1779366.84000000
USD
2020-12-16
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N
N
N
N/A
N/A
SET50 Index
N/A
304.00000000
NC
-30176.87000000
-0.00292822609
N/A
DE
TH
N
1
Clearing Company (Thailand)
5493006L9QU2265UKZ88
Long
SET50 Index
SET50 Index
2020-12-29
47338880.00000000
THB
-30176.87000000
N
N
N
Recordati Industria Chimica e Farmaceutica SpA
815600FBF92FD3531704
Recordati Industria Chimica e Farmaceutica SpA
N/A
-36697.00000000
NS
-1879805.07000000
-0.18240772661
Short
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-109335.77000000
-0.01060944539
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3558439.80000000
USD
2671653.00000000
GBP
2020-12-16
-109335.77000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2919.32000000
-0.00028327752
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
453868.94000000
USD
600250.00000000
CAD
2020-12-16
-2919.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8711.14000000
-0.00084528937
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1056715.39000000
USD
30000000.00000000
TWD
2020-12-16
-8711.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-39563.36000000
-0.00383904835
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1852932.84000000
USD
16224260.00000000
SEK
2020-12-16
-39563.36000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-263614.75000000
-0.02557997529
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9646395.13000000
USD
13097125.00000000
AUD
2020-12-16
-263614.75000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7399.40000000
-0.00071800409
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
458349.02000000
USD
600250.00000000
CAD
2020-12-16
-7399.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-30308.00000000
-0.00294095034
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2111229310.00000000
KRW
1780554.60000000
USD
2020-12-16
-30308.00000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64.40000000
-0.00000624908
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
251000.00000000
CNY
36738.35000000
USD
2020-12-16
-64.40000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
144114986.47999999
PA
-1556903.05000000
-0.15107478453
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Rec/pay the total return of custom basket plus RBA +/- spread (-0.04% to 0.04%). AUD Currency. Maturity 1-61 Months 10/01/20 to 10/01/25
Flight Centre Travel Group Ltd.
2241199.94000000
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Ampol Ltd.
640969.13000000
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Commonwealth Bank of Australia
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28779.21000000
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WiseTech Global Ltd.
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27792.11000000
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Star Entertainment Grp Ltd. (The)
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NEXTDC Ltd.
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REA Group Ltd.
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467797.95000000
USD
-59062.50000000
USD
Altium Ltd.
387991.27000000
USD
-28043.50000000
USD
Treasury Wine Estates Ltd.
2298528.17000000
USD
-22711.45000000
USD
AGL Energy Ltd.
9960328.42000000
USD
-900242.93000000
USD
Oil Search Ltd.
1037200.76000000
USD
105522.33000000
USD
Northern Star Resources Ltd.
568650.37000000
USD
21988.44000000
USD
Domino's Pizza Enterprises Ltd.
1200.72000000
USD
13.91000000
USD
Westpac Banking Corp.
700789.43000000
USD
3988.48000000
USD
QBE Insurance Group Ltd.
3782602.98000000
USD
342482.40000000
USD
Woolworths Group Ltd.
1874938.83000000
USD
15924.68000000
USD
South32 Ltd.
1168976.38000000
USD
-44175.54000000
USD
Woodside Petroleum Ltd.
457968.00000000
USD
-16562.70000000
USD
Fortescue Metals Group Ltd.
8126194.58000000
USD
-753366.93000000
USD
Cochlear Ltd.
1504977.93000000
USD
-76079.96000000
USD
Evolution Mining Ltd.
873226.26000000
USD
12996.70000000
USD
APA Group
7203112.50000000
USD
-109830.24000000
USD
Saracen Mineral Holdings Ltd.
393865.90000000
USD
-18477.77000000
USD
Iluka Resources Ltd.
464199.97000000
USD
32105.53000000
USD
Spark Infrastructure Group
1471916.09000000
USD
21869.38000000
USD
Boral Ltd.
1087111.90000000
USD
133602.24000000
USD
Alumina Ltd.
1003912.97000000
USD
60094.29000000
USD
Wesfarmers Ltd.
1098004.57000000
USD
-15665.52000000
USD
Challenger Ltd.
3105939.78000000
USD
-41113.53000000
USD
Brambles Ltd.
270251.53000000
USD
3898.40000000
USD
Beach Energy Ltd.
5035308.71000000
USD
-10884.10000000
USD
Sydney Airport
2916871.56000000
USD
-213340.05000000
USD
Tabcorp Holdings Ltd.
1934834.66000000
USD
-97617.99000000
USD
carsales.com Ltd.
1600323.01000000
USD
64048.55000000
USD
Atlas Arteria Ltd.
2178929.94000000
USD
-10725.74000000
USD
Telstra Corp. Ltd.
902088.20000000
USD
-20598.56000000
USD
National Australia Bank Ltd.
1312238.51000000
USD
-39327.13000000
USD
Qantas Airways Ltd.
1337674.12000000
USD
-55909.28000000
USD
TPG Telecom Ltd.
126156.24000000
USD
162.55000000
USD
Incitec Pivot Ltd.
1194598.37000000
USD
-37806.78000000
USD
Transurban Group
4252778.36000000
USD
-150579.87000000
USD
Aurizon Holdings Ltd.
1347447.79000000
USD
7499.00000000
USD
Washington H Soul Pattinson & Co. Ltd.
943957.97000000
USD
-109358.49000000
USD
JB Hi-Fi Ltd.
4214368.12000000
USD
34407.41000000
USD
Aristocrat Leisure Ltd.
1566769.69000000
USD
93168.69000000
USD
SEEK Ltd.
2414425.90000000
USD
-268215.56000000
USD
CIMIC Group Ltd.
254942.30000000
USD
-12648.81000000
USD
Newcrest Mining Ltd.
939735.86000000
USD
-12172.28000000
USD
Orora Ltd.
503600.00000000
USD
37227.94000000
USD
Ramsay Health Care Ltd.
1846789.76000000
USD
-64896.96000000
USD
Medibank Pvt Ltd.
4840279.01000000
USD
-34240.31000000
USD
Coles Group Ltd.
997598.66000000
USD
-7354.50000000
USD
AMP Ltd.
3798753.83000000
USD
573417.50000000
USD
AusNet Services
1739156.79000000
USD
-37960.33000000
USD
Magellan Financial Group Ltd.
1615980.92000000
USD
-16573.05000000
USD
Macquarie Group Ltd.
416864.81000000
USD
16975.40000000
USD
Computershare Ltd.
865571.62000000
USD
-636.30000000
USD
Viva Energy Group Ltd.
379880.85000000
USD
22317.90000000
USD
Suncorp Group Ltd.
544560.07000000
USD
34059.97000000
USD
CSL Ltd.
2693837.90000000
USD
-67463.99000000
USD
Crown Resorts Ltd.
1122102.86000000
USD
-43819.15000000
USD
Worley Ltd.
2031594.31000000
USD
16806.95000000
USD
Y
2020-10-01
0.00000000
USD
0.00000000
USD
144114986.00000000
USD
-1878980.34000000
N
N
N
Poste Italiane SpA
815600354DEDBD0BA991
Poste Italiane SpA
N/A
553888.00000000
NS
4908443.61000000
0.476293023357
Long
EC
CORP
IT
Y
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9508.11000000
-0.00092262371
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
946771.09000000
USD
798000.00000000
EUR
2020-12-16
-9508.11000000
N
N
N
N/A
N/A
3 Month Sterling
N/A
-1442.00000000
NC
-246429.12000000
-0.02391235999
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
N/A
3 Month Sterling
2020-12-16
-180105800.00000000
GBP
-246429.12000000
N
N
N
Leonardo SpA
529900X4EEX1U9LN3U39
Leonardo SpA
N/A
689152.00000000
NS
4025094.01000000
0.390576799419
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
142927.34000000
0.013869018429
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9413416.00000000
CAD
7214941.26000000
USD
2020-12-16
142927.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-507662.74000000
-0.04926128127
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
17753184.20000000
USD
13358266.00000000
GBP
2020-12-16
-507662.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
101057.16000000
0.009806126767
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14673026.00000000
NOK
1674482.61000000
USD
2020-12-16
101057.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5462.58000000
0.000530063896
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
462967.00000000
EUR
549224.27000000
USD
2020-12-16
5462.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
766.09000000
0.000074337886
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2603616.88000000
USD
193140542.00000000
INR
2020-12-16
766.09000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
39703.89000000
0.003852684742
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
17204315.00000000
ILS
5067743.49000000
USD
2020-12-16
39703.89000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-30145.03000000
-0.00292513648
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2111229310.00000000
KRW
1780717.57000000
USD
2020-12-16
-30145.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
13.73000000
0.000001332296
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5682.00000000
SEK
648.80000000
USD
2020-12-16
13.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1048.09000000
0.000101701882
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
15000000.00000000
HUF
49370.75000000
USD
2020-12-16
1048.09000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4539.18000000
-0.00044046136
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
455488.80000000
USD
600250.00000000
CAD
2020-12-16
-4539.18000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-888.64000000
-0.00008622958
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
211514.72000000
USD
1436500.00000000
CNY
2020-12-16
-888.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
18193.02000000
0.001765367841
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1302552.00000000
CHF
1435729.02000000
USD
2020-12-16
18193.02000000
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
N/A
61776.00000000
NS
510407.27000000
0.049527597969
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-29318.57000000
-0.00284494056
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2111229310.00000000
KRW
1781544.03000000
USD
2020-12-16
-29318.57000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7057.83000000
0.000684859694
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5386212.00000000
DKK
856634.38000000
USD
2020-12-16
7057.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-39661.83000000
-0.00384860343
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3925978.00000000
GBP
5028775.78000000
USD
2020-12-16
-39661.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-33076.96000000
-0.00320963762
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1541800.33000000
USD
13498584.00000000
SEK
2020-12-16
-33076.96000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
17257.13000000
0.001674553336
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1302554.00000000
CHF
1434795.30000000
USD
2020-12-16
17257.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1519.60000000
-0.00014745506
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
32386.05000000
USD
287846.00000000
NOK
2020-12-16
-1519.60000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1914.53000000
-0.00018577727
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
32780.77000000
USD
287844.00000000
NOK
2020-12-16
-1914.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
54634.80000000
0.005301512279
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2549748.17000000
USD
193140542.00000000
INR
2020-12-16
54634.80000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
13.72000000
0.000001331326
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5681.00000000
SEK
648.68000000
USD
2020-12-16
13.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-105401.92000000
-0.01022772249
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9488181.58000000
USD
13097124.00000000
AUD
2020-12-16
-105401.92000000
N
N
N
N/A
N/A
3 Month Canadian Bankers Acceptance
N/A
1838.00000000
NC
99772.41000000
0.009681460475
N/A
DIR
CA
N
1
Canadian Derivatives Clearing
5493004XJK1P32XQLA57
Long
N/A
3 Month Canadian Bankers Acceptance
2021-06-14
457156550.00000000
CAD
99772.41000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
98766.46000000
0.009583847666
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14918434.00000000
NOK
1698507.63000000
USD
2020-12-16
98766.46000000
N
N
N
N/A
N/A
Total Return Basket Swap
000000000
4139914.52000000
PA
USD
-150805.48000000
-0.01463347727
N/A
DE
US
N
2
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N/A
N/A
Rec/pay the total return of custom basket plus Fed +/- spread (-0.20% to 0.20%). USD Currency. Maturity 54 Months 02/25/25
Y
2025-02-25
0.00000000
USD
0.00000000
USD
4139915.00000000
USD
-141871.00000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64373.96000000
-0.00624655603
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1788404.69000000
USD
16077500.00000000
NOK
2020-12-16
-64373.96000000
N
N
N
N/A
N/A
3 Month Euro Euribor
N/A
621.00000000
NC
89622.45000000
0.008696554562
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Long
N/A
3 Month Euro Euribor
2020-12-14
156034012.50000000
EUR
89622.45000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
91129.01000000
0.008842744286
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
19848662.00000000
NOK
2219550.92000000
USD
2020-12-16
91129.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-99728.11000000
-0.00967716180
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
36068376.00000000
CNY
5188779.02000000
USD
2020-12-16
-99728.11000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
16322.74000000
0.001583884384
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
693495.06000000
USD
12000000.00000000
ZAR
2020-12-17
16322.74000000
N
N
N
N/A
N/A
TOPIX Index
N/A
1706.00000000
NC
4793273.64000000
0.465117453753
N/A
DE
JP
N
1
Japan Securities Clearing
549300JHM7D8P3TS4S86
Long
TOPIX Index
JP9010100007
2020-12-10
27731030000.00000000
JPY
4793273.64000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
-27.00000000
NC
USD
-59808.51000000
-0.00580354554
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Short
N/A
LME Copper Base Metal
2020-11-27
-4503600.00000000
USD
-59808.51000000
N
N
N
N/A
N/A
KOSPI 200 Index
N/A
398.00000000
NC
-455413.41000000
-0.04419124414
N/A
DE
KR
N
1
Market Operation Department of KOFEX
549300TJ3RRV6Q1UEW14
Long
KOSPI 200 Index
KRD020020016
2020-12-10
30840025000.00000000
KRW
-455413.41000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
63085.19000000
0.006121499656
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
31456880.00000000
BRL
5652389.65000000
USD
2020-12-16
63085.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32578.57000000
-0.00316127612
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1372324.86000000
USD
11986742.00000000
SEK
2020-12-16
-32578.57000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
14425.49000000
0.001399783880
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2500000.00000000
BRL
458629.15000000
USD
2020-12-16
14425.49000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
212875.38000000
0.020656457809
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
49621654.00000000
NOK
5533930.04000000
USD
2020-12-16
212875.38000000
N
N
N
N/A
N/A
LME Copper Base Metal
N/A
-2.00000000
NC
USD
-28754.90000000
-0.00279024459
N/A
DCO
GB
N
1
LME Clear
213800L8AQD59D3JRW81
Short
N/A
LME Copper Base Metal
2020-10-02
-333400.00000000
USD
-28754.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1147.05000000
0.000111304510
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
119744.84000000
USD
824500.00000000
CNY
2020-12-16
1147.05000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-571.34000000
-0.00005544023
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
157478.51000000
USD
3500000.00000000
MXN
2020-12-16
-571.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-30016.17000000
-0.00291263249
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1737521.11000000
USD
1569000.00000000
CHF
2020-12-16
-30016.17000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-143991.56000000
-0.01397228549
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9526771.94000000
USD
13097125.00000000
AUD
2020-12-16
-143991.56000000
N
N
N
N/A
N/A
Natural Gas
N/A
-1203.00000000
NC
USD
3500809.88000000
0.339702654126
N/A
DCO
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
Natural Gas
2020-10-28
-30399810.00000000
USD
3500809.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
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N/A
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DFE
N/A
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2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9398628.31000000
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13097124.00000000
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2020-12-16
-15848.65000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
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DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21390402.00000000
NOK
2392177.10000000
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2020-12-16
98430.54000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
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DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
41276.32000000
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286000.00000000
CNY
2020-12-16
658.28000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
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-0.00069836217
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
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1228994.07000000
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2020-12-16
-7196.98000000
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N
N
N/A
N/A
IRSIMM
N/A
81500000.00000000
PA
-477857.31000000
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DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2030-12-12
0.00000000
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595941.52000000
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81500000.00000000
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N
N
N/A
N/A
IRS
N/A
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PA
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DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-12-16
10011567.38000000
USD
0.00000000
USD
1440300000.00000000
GBP
5364614.12000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22432.07000000
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N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
425907.65000000
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9000000.00000000
MXN
2020-12-16
-22432.07000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-41157.44000000
-0.00399373061
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
825693.29000000
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17500000.00000000
MXN
2020-12-16
-41157.44000000
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N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10675.46000000
0.001035898040
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
783485.39000000
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22733520.00000000
TWD
2020-12-16
10675.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-93161.88000000
-0.00904000473
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4145910.41000000
USD
3139232.00000000
GBP
2020-12-16
-93161.88000000
N
N
N
N/A
N/A
IRS
N/A
279500000.00000000
PA
USD
39323.87000000
0.003815809331
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2023-03-17
0.00000000
USD
232115.67000000
USD
279500000.00000000
USD
39323.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2278.87000000
-0.00022113117
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
45000000.00000000
INR
604518.81000000
USD
2020-12-16
-2278.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
99280.00000000
0.009633679250
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14385320.00000000
NOK
1641854.01000000
USD
2020-12-16
99280.00000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1312.75000000
-0.00012738328
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
32179.20000000
USD
287846.00000000
NOK
2020-12-16
-1312.75000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
114195.42000000
0.011081003708
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9413416.00000000
CAD
7186209.34000000
USD
2020-12-16
114195.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
101993.26000000
0.009896961649
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21406190.00000000
NOK
2397432.81000000
USD
2020-12-16
101993.26000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
31924.54000000
0.003097812032
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3000000.00000000
BRL
564968.93000000
USD
2020-12-16
31924.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
23050.07000000
0.002236673862
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
847710.00000000
EUR
1018698.19000000
USD
2020-12-16
23050.07000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10674.48000000
0.001035802946
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
783486.34000000
USD
22733519.00000000
TWD
2020-12-16
10674.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32456.81000000
-0.00314946109
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1483152.39000000
USD
12979408.00000000
SEK
2020-12-16
-32456.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1841.20000000
0.000178661666
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
917186.51000000
USD
20500000.00000000
MXN
2020-12-16
1841.20000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5463.30000000
0.000530133761
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
462970.00000000
EUR
549228.51000000
USD
2020-12-16
5463.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7133.74000000
-0.00069222565
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
316979.51000000
USD
2889476.00000000
NOK
2020-12-16
-7133.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-191831.44000000
-0.01861444966
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
8239369.16000000
USD
72001512.00000000
SEK
2020-12-16
-191831.44000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
97111.73000000
0.009423280200
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
23052820.00000000
NOK
2569123.55000000
USD
2020-12-16
97111.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
142.98000000
0.000013874128
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2150000.00000000
ILS
628490.29000000
USD
2020-12-16
142.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1998.56000000
-0.00019393116
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1031273.36000000
USD
1200000000.00000000
KRW
2020-12-16
-1998.56000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7840.95000000
0.000760850093
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
847712.00000000
EUR
1003491.42000000
USD
2020-12-16
7840.95000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21962.81000000
0.002131171101
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1882682.00000000
CAD
1436364.69000000
USD
2020-12-16
21962.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
176.43000000
0.000017119964
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
91390.56000000
USD
624500.00000000
CNY
2020-12-16
176.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2746.70000000
0.000266527264
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
187718.51000000
USD
1299000.00000000
CNY
2020-12-16
2746.70000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-77695.48000000
-0.00753921568
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4579575.16000000
USD
3487126.00000000
GBP
2020-12-16
-77695.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-37.66000000
-0.00000365435
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9500.00000000
CAD
7099.40000000
USD
2020-12-16
-37.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4648.19000000
0.000451039197
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1925242.06000000
USD
2250000000.00000000
KRW
2020-12-16
4648.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1322.09000000
-0.00012828959
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1150000.00000000
SGD
841224.31000000
USD
2020-12-16
-1322.09000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
14.62000000
0.000001418658
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14500.00000000
EUR
17045.09000000
USD
2020-12-16
14.62000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7553.40000000
0.000732947550
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1120021.74000000
USD
19062500.00000000
ZAR
2020-12-17
7553.40000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-101278.34000000
-0.00982758906
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
36068376.00000000
CNY
5187228.79000000
USD
2020-12-16
-101278.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
29773.14000000
0.002889049970
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2500000.00000000
BRL
473976.80000000
USD
2020-12-16
29773.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-507640.51000000
-0.04925912417
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
17753160.68000000
USD
13358265.00000000
GBP
2020-12-16
-507640.51000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
95595.48000000
0.009276150202
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7768163.81000000
USD
828463795.00000000
JPY
2020-12-16
95595.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3979.59000000
0.000386161297
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
423853.00000000
EUR
501801.30000000
USD
2020-12-16
3979.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5678.66000000
-0.00055103131
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
738000.00000000
AUD
523024.54000000
USD
2020-12-16
-5678.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-31331.11000000
-0.00304022828
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1482722.79000000
USD
12985636.00000000
SEK
2020-12-16
-31331.11000000
N
N
N
2020-10-30
AQR Funds
Heather Bonner
Heather Bonner
Principal Financial Officer
XXXX