Forward Foreign Currency Contract

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EUR Currency. Maturity 34-61 Months 01/21/25 to 03/17/27 Unipol Gruppo SpA 1558341.79000000 USD 100453.47000000 USD A2A SpA 184631.63000000 USD 5171.72000000 USD DiaSorin SpA 669600.38000000 USD -17344.87000000 USD Terna - Rete Elettrica Nazionale 1495328.93000000 USD -148206.42000000 USD Snam SpA 964219.38000000 USD -52842.29000000 USD FinecoBank Banca Fineco SpA 2045018.93000000 USD 43499.84000000 USD Ferrari NV 1948536.99000000 USD -85260.11000000 USD Infrastrutture Wireless Italiane SpA 1761829.04000000 USD -85218.53000000 USD Atlantia SpA 634193.92000000 USD 42716.66000000 USD Buzzi Unicem SpA 1906031.96000000 USD -129044.09000000 USD Amplifon SpA 672023.56000000 USD -44064.82000000 USD Recordati Industria Chimica e Farmaceutica SpA 201409.89000000 USD -1456.67000000 USD Salvatore Ferragamo SpA 54300.82000000 USD -1568.68000000 USD Pirelli & C SpA 830461.25000000 USD 11859.25000000 USD Prysmian SpA 935180.03000000 USD 275.60000000 USD CNH Industrial NV 1374807.30000000 USD -12511.53000000 USD Enel SpA 162906.14000000 USD 8507.16000000 USD Banca Generali SpA 852593.77000000 USD -11323.06000000 USD Italgas SpA 1245838.04000000 USD 52088.61000000 USD Reply SpA 40745.30000000 USD 1580.34000000 USD Leonardo SpA 1720582.15000000 USD 31844.57000000 USD Davide Campari-Milano NV 516727.07000000 USD 31877.22000000 USD Mediobanca Banca di Credito Finanziario SpA 394660.19000000 USD 2018.17000000 USD Poste Italiane SpA 1061741.60000000 USD 13922.24000000 USD Banco BPM SpA 749905.77000000 USD -21025.79000000 USD Tenaris SA 509620.14000000 USD -42303.98000000 USD Nexi SpA 1982408.36000000 USD 38840.33000000 USD Hera SpA 1133002.36000000 USD -12760.47000000 USD Interpump Group SpA 519587.21000000 USD 12257.71000000 USD Eni SpA 1985112.55000000 USD 9136.09000000 USD Brembo SpA 175794.89000000 USD -1245.49000000 USD UniCredit SpA 1979433.54000000 USD 3024.17000000 USD Intesa Sanpaolo SpA 2555999.90000000 USD 3491.81000000 USD Stellantis NV 2183572.53000000 USD -11904.68000000 USD Moncler SpA 166945.04000000 USD 465.78000000 USD Assicurazioni Generali SpA 1377201.37000000 USD -137108.33000000 USD Azimut Holding SpA 659966.93000000 USD -10061.95000000 USD Y 2025-01-21 0.00000000 USD 0.00000000 USD 39210261.00000000 USD -412221.02000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 338.39000000 0.000088292580 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 20539.51000000 USD 183894.00000000 NOK 2022-06-15 338.39000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796G45 4319000.00000000 PA USD 4318706.05000000 1.126835011449 Long STIV UST US N 2 2022-04-21 None 0.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2784.08000000 -0.00072642101 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 146110.65000000 USD 109137.00000000 GBP 2022-06-15 -2784.08000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -1983.86000000 -0.00051762793 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 150250.96000000 USD 112899.00000000 GBP 2022-06-15 -1983.86000000 N N N N/A N/A Total Return Basket Swap 000000000 37159022.88999999 PA 33290.26000000 0.008686080986 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 (-0.35% to 0.35%). SEK Currency. Maturity 24-25 Months 02/21/24 Svenska Handelsbanken AB, Class A 1181044.32000000 USD -18763.35000000 USD Nibe Industrier AB, Class B 16515.99000000 USD -1800.11000000 USD Swedish Orphan Biovitrum AB 331313.19000000 USD 39332.02000000 USD Getinge AB, Class B 1432489.81000000 USD 155020.57000000 USD Swedish Match AB 212380.81000000 USD -894.41000000 USD BillerudKorsnas AB 974969.85000000 USD 73094.25000000 USD Essity AB, Class B 1514939.89000000 USD 57118.41000000 USD Epiroc AB, Class A 1159212.20000000 USD -6957.12000000 USD Volvo AB, Class B 133311.12000000 USD 3473.49000000 USD Nordea Bank Abp 1017960.32000000 USD 56789.90000000 USD Sweco AB, Class B 671555.05000000 USD -24273.10000000 USD H & M Hennes & Mauritz AB, Class B 1076574.63000000 USD -139900.75000000 USD SKF AB, Class B 787659.47000000 USD -44057.88000000 USD Axfood AB 136810.41000000 USD -22244.38000000 USD Assa Abloy AB, Class B 1001022.63000000 USD -39901.39000000 USD Saab AB, Class B 1253388.56000000 USD 25782.77000000 USD AAK AB 567899.41000000 USD -42462.83000000 USD Alfa Laval AB 768404.74000000 USD -32582.52000000 USD Skanska AB, Class B 821999.26000000 USD -32001.24000000 USD Hexagon AB, Class B 2475610.41000000 USD -166247.05000000 USD Husqvarna AB, Class B 284129.04000000 USD -25195.57000000 USD Beijer Ref AB 1187297.63000000 USD -158448.96000000 USD Electrolux AB, Series B 429687.58000000 USD -27655.05000000 USD Sandvik AB 719452.29000000 USD 30101.68000000 USD Atlas Copco AB, Class A 113881.70000000 USD -889.87000000 USD Tele2 AB, Class B 670310.10000000 USD -77378.92000000 USD Trelleborg AB, Class B 1053897.45000000 USD 172652.86000000 USD Telia Co. AB 1363210.01000000 USD 85964.36000000 USD Holmen AB, Class B 1199316.91000000 USD -91674.82000000 USD EQT AB 1687261.94000000 USD -411219.94000000 USD SSAB AB, Class B 1491238.98000000 USD 183861.15000000 USD Swedbank AB, Class A 312797.12000000 USD -4204.48000000 USD Svenska Cellulosa AB SCA, Class B 659113.81000000 USD -53213.87000000 USD Hexpol AB 225024.51000000 USD 3010.45000000 USD SSAB AB, Class A 689601.48000000 USD 44418.20000000 USD Millicom International Cellular SA 108986.20000000 USD 6523.87000000 USD Embracer Group AB 1478071.90000000 USD -135860.30000000 USD Telefonaktiebolaget LM Ericsson, Class B 2014963.65000000 USD 94921.82000000 USD Evolution AB 185461.65000000 USD -897.17000000 USD Securitas AB, Class B 1371210.90000000 USD -69289.80000000 USD Elekta AB, Class B 401353.79000000 USD -3293.14000000 USD Sinch AB 672223.76000000 USD 95543.77000000 USD Indutrade AB 27664.09000000 USD -4214.92000000 USD Skandinaviska Enskilda Banken AB, Class A 582639.97000000 USD -5943.89000000 USD Boliden AB 568820.24000000 USD 43588.33000000 USD Lifco AB, Class B 126344.12000000 USD -10679.17000000 USD Y 2024-02-21 0.00000000 USD 0.00000000 USD 37159023.00000000 USD -480948.10000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2374.40000000 -0.00061952747 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 455078.50000000 USD 417000.00000000 CHF 2022-06-15 -2374.40000000 N N N N/A N/A Total Return Basket Swap 000000000 43415919.17999998 PA -369889.31999999 -0.09651136968 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 (-0.75% to 0.35%). CHF Currency. Maturity 2-52 Months 05/12/22 Sulzer AG (Registered) 26996.39000000 USD 199.78000000 USD Nestle SA (Registered) 2269215.75000000 USD -23082.72000000 USD DKSH Holding AG 949014.92000000 USD -19356.75000000 USD Cie Financiere Richemont SA 423488.07000000 USD -2754.52000000 USD Dufry AG (Registered) 2284400.64000000 USD -82875.97000000 USD Helvetia Holding AG (Registered) 67234.22000000 USD -769.80000000 USD Givaudan SA (Registered) 3331146.70000000 USD -20274.58000000 USD Sika AG (Registered) 1737644.42000000 USD 25987.93000000 USD Barry Callebaut AG (Registered) 1343371.12000000 USD 18586.87000000 USD Bachem Holding AG (Registered), Class B 1275143.94000000 USD 140753.01000000 USD Roche Holding AG 515151.75000000 USD -8184.27000000 USD Schindler Holding AG 370044.50000000 USD -17880.31000000 USD Bucher Industries AG (Registered) 896132.02000000 USD -12141.04000000 USD Lonza Group AG (Registered) 810107.22000000 USD 9187.45000000 USD Kuehne + Nagel International AG (Registered) 917942.98000000 USD -85278.09000000 USD Swiss Re AG 432275.75000000 USD -10460.02000000 USD Swiss Life Holding AG (Registered) 505595.87000000 USD 7829.81000000 USD Geberit AG (Registered) 563441.38000000 USD -18983.84000000 USD Sonova Holding AG (Registered) 710155.25000000 USD -58918.28000000 USD OC Oerlikon Corp. AG (Registered) 609202.13000000 USD -14293.85000000 USD Flughafen Zurich AG (Registered) 1009434.20000000 USD -23689.41000000 USD Clariant AG (Registered) 73212.40000000 USD 422.95000000 USD BKW AG 549607.17000000 USD 14739.14000000 USD ams-OSRAM AG 784591.31000000 USD -37747.74000000 USD Alcon, Inc. 388761.65000000 USD -8030.36000000 USD Tecan Group AG (Registered) 375178.01000000 USD 30750.51000000 USD Galenica AG 1272121.27000000 USD 51420.34000000 USD Idorsia Ltd. 1678921.13000000 USD -111304.96000000 USD Swatch Group AG (The) 771468.73000000 USD 13957.78000000 USD VAT Group AG 281366.21000000 USD -7862.03000000 USD Temenos AG (Registered) 1920139.82000000 USD -19704.68000000 USD Straumann Holding AG (Registered) 269840.18000000 USD 11952.38000000 USD Credit Suisse Group AG (Registered) 42226.03000000 USD -1178.18000000 USD ABB Ltd. (Registered) 357496.72000000 USD 33548.92000000 USD dormakaba Holding AG 778608.37000000 USD -36642.20000000 USD Novartis AG (Registered) 2512682.10000000 USD 15686.54000000 USD Adecco Group AG (Registered) 1426031.43000000 USD -30669.79000000 USD Swisscom AG (Registered) 2403.22000000 USD 5.71000000 USD Stadler Rail AG 50372.04000000 USD -300.41000000 USD Zurich Insurance Group AG 573911.74000000 USD -19118.80000000 USD Logitech International SA (Registered) 655758.05000000 USD -4665.73000000 USD Partners Group Holding AG 598051.87000000 USD -26112.02000000 USD EMS-Chemie Holding AG (Registered) 895031.87000000 USD -21480.57000000 USD Georg Fischer AG (Registered) 182814.54000000 USD -6302.39000000 USD SIG Combibloc Group AG 2004512.33000000 USD -103140.08000000 USD Belimo Holding AG (Registered) 412044.30000000 USD 16296.01000000 USD Baloise Holding AG (Registered) 839047.36000000 USD 28356.75000000 USD UBS Group AG (Registered) 693188.81000000 USD 37288.37000000 USD Julius Baer Group Ltd. 1149842.93000000 USD 23046.44000000 USD Chocoladefabriken Lindt & Spruengli AG 452272.90000000 USD -21716.90000000 USD Holcim Ltd. 377275.47000000 USD 11042.46000000 USD Y 2022-05-12 0.00000000 USD 0.00000000 USD 43415919.00000000 USD -363861.14000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 34.70000000 0.000009053909 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 165000.00000000 HKD 21120.99000000 USD 2022-06-15 34.70000000 N N N N/A N/A CAC 40 10 Euro Index N/A 40.00000000 NC 125514.78000000 0.032749264923 N/A DE GB N 1 LCH Clearnet F226TOH6YD6XJB17KS62 Long CAC 40 10 Euro Index FR0003500008 2022-04-14 2663000.00000000 EUR 125514.78000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 1030.54000000 0.000268888074 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 40937.97000000 USD 133626.00000000 ILS 2022-06-15 1030.54000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796U56 6980000.00000000 PA USD 6948006.40000000 1.812870980485 Long STIV UST US N 2 2022-09-22 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796S67 42732000.00000000 PA USD 42613646.03000000 11.11873504613 Long STIV UST US N 2 2022-08-04 None 0.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -31990.03000000 -0.00834682550 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 589203.73000000 USD 67703000.00000000 JPY 2022-06-15 -31990.03000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -435.09000000 -0.00011352350 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 44092.78000000 USD 409718.00000000 SEK 2022-06-15 -435.09000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796J42 1199000.00000000 PA USD 1197949.54000000 0.312568502693 Long STIV UST US N 2 2022-06-16 None 0.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 322.79000000 0.000084222234 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 20555.00000000 USD 183893.00000000 NOK 2022-06-15 322.79000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2195.17000000 -0.00057276285 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1007775.78000000 USD 906432.00000000 EUR 2022-06-15 -2195.17000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 1076.70000000 0.000280932122 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 82434.67000000 USD 735574.00000000 NOK 2022-06-15 1076.70000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 3532.67000000 0.000921742807 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 263601.19000000 USD 334019.00000000 CAD 2022-06-15 3532.67000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2157.70000000 -0.00056298619 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 175136.63000000 USD 131716.00000000 GBP 2022-06-15 -2157.70000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -15116.63000000 -0.00394422490 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 663142.82000000 USD 4345221.00000000 DKK 2022-06-15 -15116.63000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 21692.85000000 0.005660089525 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 837131.59000000 USD 1146251.00000000 AUD 2022-06-15 21692.85000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2192.41000000 -0.00057204271 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 170228.19000000 USD 127952.00000000 GBP 2022-06-15 -2192.41000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -448.74000000 -0.00011708505 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 48075.19000000 USD 446964.00000000 SEK 2022-06-15 -448.74000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 194.24000000 0.000050681021 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 23675.42000000 USD 76000.00000000 ILS 2022-06-15 194.24000000 N N N N/A N/A Total Return Basket Swap 000000000 25237663.33999999 PA 46966.14999999 0.012254388597 N/A DE US N 2 BNP Paribas Securities Corp. 2J5703FH5U5M97R1I237 N/A N/A Rec/pay the total return of custom basket plus HIBOR +/- spread (-0.15% to 0.04%). HKD Currency. Maturity 61 Months 11/19/26 WH Group Ltd. 1097979.79000000 USD 37603.40000000 USD Xinyi Glass Holdings Ltd. 493919.19000000 USD -28891.43000000 USD Hang Lung Properties Ltd. 542190.16000000 USD -14742.26000000 USD Henderson Land Development Co. Ltd. 8302.05000000 USD -187.35000000 USD MTR Corp. Ltd. 1502629.49000000 USD -38672.84000000 USD Swire Properties Ltd. 160628.12000000 USD 4665.80000000 USD Budweiser Brewing Co. APAC Ltd. 1677336.82000000 USD 77422.45000000 USD Kerry Properties Ltd. 270440.68000000 USD 1433.24000000 USD SJM Holdings Ltd. 541091.53000000 USD -37504.64000000 USD Hang Seng Bank Ltd. 805852.34000000 USD -28685.67000000 USD Galaxy Entertainment Group Ltd. 834351.17000000 USD -58635.26000000 USD Power Assets Holdings Ltd. 332369.50000000 USD -3914.07000000 USD AIA Group Ltd. 1096398.00000000 USD -26106.41000000 USD Swire Pacific Ltd., Class A 285812.73000000 USD 13426.30000000 USD Man Wah Holdings Ltd. 592355.63000000 USD -26044.55000000 USD BOC Hong Kong Holdings Ltd. 598282.97000000 USD 16764.84000000 USD SITC International Holdings Co. Ltd. 108397.91000000 USD -10010.18000000 USD CK Asset Holdings Ltd. 570737.97000000 USD 27505.10000000 USD CK Hutchison Holdings Ltd. 2928620.32000000 USD 116778.52000000 USD Hong Kong & China Gas Co. Ltd. 82084.22000000 USD -16999.42000000 USD Bank of East Asia Ltd. (The) 221567.92000000 USD 1080.49000000 USD Wharf Real Estate Investment Co. Ltd. 1522216.78000000 USD -50340.56000000 USD Wynn Macau Ltd. 728450.66000000 USD -49692.98000000 USD New World Development Co. Ltd. 548729.48000000 USD 23021.15000000 USD HKT Trust & HKT Ltd. 331819.75000000 USD 644.22000000 USD Techtronic Industries Co. Ltd. 1834458.65000000 USD 102328.90000000 USD Sun Hung Kai Properties Ltd. 1790571.41000000 USD 686.83000000 USD CLP Holdings Ltd. 720012.40000000 USD 1111.74000000 USD Sands China Ltd. 188415.22000000 USD 6634.87000000 USD ESR Cayman Ltd. 1164564.24000000 USD 32430.82000000 USD Chow Tai Fook Jewellery Group Ltd. 291867.51000000 USD 7267.21000000 USD ASM Pacific Technology Ltd. 859759.50000000 USD -31543.99000000 USD Sino Land Co. Ltd. 505449.23000000 USD 1039.16000000 USD Y 2026-11-19 0.00000000 USD 0.00000000 USD 25237663.00000000 USD 49873.42999999 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -1969.65000000 -0.00051392027 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 150238.06000000 USD 112900.00000000 GBP 2022-06-15 -1969.65000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 4704.78000000 0.001227569268 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 257689.73000000 USD 328093.00000000 CAD 2022-06-15 4704.78000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -6879.71000000 -0.00179505111 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 194685.49000000 USD 143006.00000000 GBP 2022-06-15 -6879.71000000 N N N N/A N/A FTSE 100 Index N/A 38.00000000 NC 225572.17000000 0.058856198088 N/A DE GB N 1 ICE Clear Europe 5R6J7JCQRIPQR1EEP713 Long FTSE 100 Index GB0001383545 2022-06-17 2844680.00000000 GBP 225572.17000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -448.80000000 -0.00011710071 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 48075.25000000 USD 446964.00000000 SEK 2022-06-15 -448.80000000 N N N N/A N/A SPI 200 Index N/A 10.00000000 NC 74641.14000000 0.019475335638 N/A DE AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SPI 200 Index XC0006013624 2022-06-16 1869750.00000000 AUD 74641.14000000 N N N N/A N/A ETRSI N/A 957355.96000000 PA 59391.23000000 0.015496335375 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI France Net Return Index M7FR Index Y 2022-06-15 0.00000000 USD 0.00000000 USD 957355.96000000 EUR 59391.23000000 N N N N/A N/A Total Return Basket Swap 000000000 68775020.38000002 PA -69041.49000000 -0.01801427725 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N/A N/A Rec/pay the total return of custom basket plus CDOR +/- spread (-1.57% to 0.20%). CAD Currency. Maturity 34-62 Months 01/21/25 to 03/29/27 Bausch Health Cos., Inc. 369453.52000000 USD -12584.86000000 USD Barrick Gold Corp. 12066.33000000 USD -101.85000000 USD Stantec, Inc. 615186.53000000 USD -6496.83000000 USD Boyd Group Services, Inc. 218923.50000000 USD -20059.21000000 USD Teck Resources Ltd., Class B 482167.48000000 USD -6453.36000000 USD Descartes Systems Group, Inc. (The) 93642.26000000 USD 3433.56000000 USD West Fraser Timber Co. Ltd. 890084.77000000 USD -171457.02000000 USD SSR Mining, Inc. 211065.42000000 USD -1395.02000000 USD CAE, Inc. 1213284.02000000 USD -73027.57000000 USD Alamos Gold, Inc., Class A 55298.96000000 USD 54.37000000 USD Innergex Renewable Energy, Inc. 912398.42000000 USD -8835.84000000 USD Manulife Financial Corp. 1789183.17000000 USD 59623.10000000 USD Canadian Utilities Ltd., Class A 127084.53000000 USD -4972.19000000 USD Canada Goose Holdings, Inc. 97040.40000000 USD -7504.98000000 USD BRP, Inc. 475384.68000000 USD -63544.08000000 USD Air Canada 1134841.42000000 USD -51315.10000000 USD Canadian Pacific Railway Ltd. 1195176.24000000 USD -26443.57000000 USD Atco Ltd., Class I 1294613.45000000 USD 17012.29000000 USD CI Financial Corp. 719004.60000000 USD -22339.79000000 USD Canadian Tire Corp. Ltd., Class A 1095129.61000000 USD -12751.05000000 USD Bank of Nova Scotia (The) 461778.83000000 USD -15980.43000000 USD Franco-Nevada Corp. 1224050.30000000 USD -8618.18000000 USD Finning International, Inc. 1434363.56000000 USD -43611.88000000 USD Brookfield Renewable Corp. 845674.36000000 USD 678.21000000 USD Loblaw Cos. Ltd. 974502.90000000 USD -15760.82000000 USD ARC Resources Ltd. 844732.95000000 USD 79289.52000000 USD Brookfield Asset Management, Inc., Class A 1577331.78000000 USD -14872.70000000 USD Wheaton Precious Metals Corp. 1255956.45000000 USD 17745.52000000 USD Open Text Corp. 709612.73000000 USD -14589.68000000 USD Suncor Energy, Inc. 1888611.53000000 USD 62818.00000000 USD Saputo, Inc. 857829.04000000 USD 29834.62000000 USD Gildan Activewear, Inc. 438575.19000000 USD -6178.21000000 USD Toromont Industries Ltd. 699030.31000000 USD 9372.45000000 USD Onex Corp. 1115480.62000000 USD -24146.38000000 USD Bank of Montreal 532827.32000000 USD -16789.72000000 USD Royal Bank of Canada 687016.44000000 USD 20479.46000000 USD Fortis, Inc. 502197.19000000 USD -9859.33000000 USD Canadian Imperial Bank of Commerce 74166.50000000 USD -5077.32000000 USD Canadian National Railway Co. 328652.56000000 USD 12620.90000000 USD Algonquin Power & Utilities Corp. 1062568.59000000 USD -17507.98000000 USD Yamana Gold, Inc. 403216.93000000 USD 3989.35000000 USD Element Fleet Management Corp. 710271.89000000 USD 35539.45000000 USD Thomson Reuters Corp. 38216.98000000 USD 204.20000000 USD Cogeco Communications, Inc. 329689.11000000 USD 1265.36000000 USD Dollarama, Inc. 1063599.25000000 USD -6433.61000000 USD Cenovus Energy, Inc. 348819.74000000 USD 22395.59000000 USD Fairfax Financial Holdings Ltd. 2126041.60000000 USD 210108.77000000 USD Parkland Corp. 428977.98000000 USD 48101.97000000 USD CCL Industries, Inc., Class B 77100.83000000 USD -1602.20000000 USD Pan American Silver Corp. 458217.56000000 USD 10194.37000000 USD First Quantum Minerals Ltd. 742422.59000000 USD -46052.14000000 USD iA Financial Corp., Inc. 581376.33000000 USD 3992.57000000 USD Kinaxis, Inc. 575873.30000000 USD 20632.55000000 USD Emera, Inc. 1189036.83000000 USD -35864.61000000 USD National Bank of Canada 277183.76000000 USD -11962.52000000 USD Canadian Natural Resources Ltd. 225514.72000000 USD -851.95000000 USD Intact Financial Corp. 532225.28000000 USD 5102.56000000 USD Capital Power Corp. 718950.03000000 USD -13567.22000000 USD Shopify, Inc., Class A 793970.15000000 USD -15400.96000000 USD Whitecap Resources, Inc. 775398.68000000 USD 44445.67000000 USD Tourmaline Oil Corp. 840905.17000000 USD 89074.99000000 USD BCE, Inc. 1305787.95000000 USD -21543.47000000 USD Restaurant Brands International, Inc. 801181.87000000 USD -0.21000000 USD Pembina Pipeline Corp. 334160.84000000 USD 8917.96000000 USD CGI, Inc. 469769.41000000 USD -22356.90000000 USD TransAlta Renewables, Inc. 350427.45000000 USD 5515.28000000 USD Enbridge, Inc. 112370.16000000 USD 2110.50000000 USD WSP Global, Inc. 380485.52000000 USD 7588.25000000 USD Ballard Power Systems, Inc. 2038466.46000000 USD 881.39000000 USD Ritchie Bros Auctioneers, Inc. 446176.35000000 USD 13528.19000000 USD Lightspeed Commerce, Inc. 721058.54000000 USD -59846.43000000 USD Nutrien Ltd. 620905.12000000 USD 24804.23000000 USD AltaGas Ltd. 115771.71000000 USD 485.35000000 USD Quebecor, Inc., Class B 829008.04000000 USD 20890.53000000 USD Lundin Mining Corp. 885334.18000000 USD 22799.70000000 USD Cameco Corp. 758897.23000000 USD -44909.63000000 USD Rogers Communications, Inc., Class B 1299676.93000000 USD -51105.41000000 USD Metro, Inc. 801423.09000000 USD -17447.44000000 USD Northland Power, Inc. 94978.14000000 USD 1317.44000000 USD BlackBerry Ltd. 306607.39000000 USD -20917.74000000 USD Alimentation Couche-Tard, Inc. 149162.52000000 USD 9639.86000000 USD SNC-Lavalin Group, Inc. 896005.60000000 USD -19219.81000000 USD George Weston Ltd. 204297.93000000 USD -3924.99000000 USD IGM Financial, Inc. 189802.22000000 USD -7290.35000000 USD Kinross Gold Corp. 1082608.17000000 USD 22327.24000000 USD Sun Life Financial, Inc. 92404.11000000 USD 117.93000000 USD Nuvei Corp. 137749.87000000 USD 13715.54000000 USD TFI International, Inc. 569387.59000000 USD 5980.86000000 USD Agnico Eagle Mines Ltd. 380006.40000000 USD 3102.34000000 USD Constellation Software, Inc. 562390.91000000 USD 6287.37000000 USD TMX Group Ltd. 592116.99000000 USD 26050.89000000 USD Magna International, Inc. 1081261.38000000 USD 38243.75000000 USD GFL Environmental, Inc. 550112.58000000 USD -39188.33000000 USD Imperial Oil Ltd. 1403721.96000000 USD 132541.14000000 USD Boralex, Inc., Class A 956416.56000000 USD -36749.52000000 USD Empire Co. 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DKK Currency. Maturity 24-25 Months 02/21/24 Novo Nordisk A/S, Class B 351160.51000000 USD 14732.13000000 USD Ambu A/S, Class B 812210.22000000 USD 49253.50000000 USD DSV A/S 137225.42000000 USD 10164.35000000 USD ISS A/S 1108714.45000000 USD 48541.18000000 USD ROCKWOOL International A/S, Class B 902520.33000000 USD 2015.31000000 USD Chr Hansen Holding A/S 1027463.68000000 USD -38129.56000000 USD SimCorp A/S 637682.33000000 USD 41681.14000000 USD Coloplast A/S, Class B 100403.72000000 USD -9086.69000000 USD GN Store Nord A/S 270619.39000000 USD -13473.70000000 USD Tryg A/S 1005412.59000000 USD -130077.37000000 USD Novozymes A/S, Class B 1472416.16000000 USD -186302.62000000 USD Demant A/S 499116.62000000 USD 76818.10000000 USD Royal Unibrew A/S 285508.81000000 USD 2388.38000000 USD Pandora A/S 1146887.83000000 USD 110907.16000000 USD AP Moller - Maersk A/S, Class B 2614318.26000000 USD -46809.87000000 USD H Lundbeck A/S 826781.40000000 USD -22096.65000000 USD Genmab A/S 1201917.74000000 USD 102235.11000000 USD Orsted A/S 1259100.19000000 USD 16555.86000000 USD Vestas Wind Systems A/S 2677359.76000000 USD 149612.50000000 USD Carlsberg A/S, Class B 1245047.20000000 USD 35322.37000000 USD Y 2024-02-21 0.00000000 USD 0.00000000 USD 19581867.00000000 USD 214250.63000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2563.60000000 -0.00066889346 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 97861.11000000 USD 639000.00000000 DKK 2022-06-15 -2563.60000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 79.66000000 0.000020784854 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 165000.00000000 HKD 21165.95000000 USD 2022-06-15 79.66000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -15117.46000000 -0.00394444146 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 663143.80000000 USD 4345222.00000000 DKK 2022-06-15 -15117.46000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -1236.33000000 -0.00032258271 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 92658.45000000 USD 69614.00000000 GBP 2022-06-15 -1236.33000000 N N N N/A N/A Total Return Basket Swap 000000000 63621050.52999998 PA -707755.48000000 -0.18466726958 N/A DE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A Rec/pay the total return of custom basket plus ESTR +/- spread (-0.04% to 0.03%). EUR Currency. Maturity 34-61 Months 01/13/25 to 03/30/27 Edenred 486191.09000000 USD -43279.56000000 USD Bureau Veritas SA 385210.58000000 USD -12759.14000000 USD STMicroelectronics NV 1734169.82000000 USD 147534.06000000 USD Vinci SA 764558.14000000 USD 12647.80000000 USD Orange SA 2318017.37000000 USD 48725.41000000 USD Thales SA 526365.38000000 USD 11100.47000000 USD Atos SE 2065083.30000000 USD -93723.42000000 USD Korian SA 196608.79000000 USD 16193.39000000 USD Teleperformance 17902.22000000 USD 1380.67000000 USD LVMH Moet Hennessy Louis Vuitton SE 445410.74000000 USD -29446.17000000 USD Arkema SA 766132.60000000 USD -6464.89000000 USD EssilorLuxottica SA 1524027.64000000 USD -88271.91000000 USD Pernod Ricard SA 1271907.84000000 USD -88152.43000000 USD Eutelsat Communications SA 980734.57000000 USD 60039.32000000 USD BioMerieux 305463.54000000 USD 12161.02000000 USD Capgemini SE 832358.66000000 USD 82075.16000000 USD La Francaise des Jeux SAEM 1222432.75000000 USD 18946.97000000 USD Eurofins Scientific SE 1195086.16000000 USD 61428.92000000 USD Hermes International 380728.40000000 USD -42325.02000000 USD Renault SA 858047.68000000 USD -1877.51000000 USD SCOR SE 535259.54000000 USD -50432.39000000 USD Air Liquide SA 3136394.74000000 USD -226663.07000000 USD Sanofi 377877.75000000 USD 7633.22000000 USD Legrand SA 101826.95000000 USD 1245.17000000 USD Orpea SA 138035.59000000 USD -8087.87000000 USD Worldline SA 144218.86000000 USD 3742.56000000 USD Kering SA 591553.81000000 USD -10377.33000000 USD Valeo 952916.87000000 USD -124201.70000000 USD TotalEnergies SE 79643.71000000 USD 830.37000000 USD Remy Cointreau SA 1580318.15000000 USD -116823.35000000 USD Dassault Aviation SA 617297.73000000 USD -58337.88000000 USD Dassault Systemes SE 175684.04000000 USD -9298.62000000 USD Electricite de France SA 512392.47000000 USD 13605.51000000 USD Ipsen SA 1601736.54000000 USD 169257.58000000 USD Engie SA 787479.16000000 USD -42151.06000000 USD Bouygues SA 1769148.12000000 USD -3269.73000000 USD SEB SA 589779.70000000 USD 25093.14000000 USD Aeroports de Paris 1991848.79000000 USD -208772.42000000 USD Safran SA 1660188.55000000 USD -30335.15000000 USD L'Oreal SA 2296411.39000000 USD -51681.32000000 USD SES SA 630616.61000000 USD 73550.37000000 USD Faurecia SE 620959.48000000 USD 68240.21000000 USD Danone SA 943771.40000000 USD 22190.42000000 USD Alstom SA 1512270.26000000 USD -33842.18000000 USD Getlink SE 1255543.48000000 USD -141830.22000000 USD Cie de Saint-Gobain 1774896.77000000 USD -38422.92000000 USD Casino Guichard Perrachon SA 387500.29000000 USD 45832.18000000 USD Schneider Electric SE 3424291.78000000 USD -142152.31000000 USD Cie Generale des Etablissements Michelin SCA 344887.17000000 USD -12331.00000000 USD Sartorius Stedim Biotech 438892.52000000 USD -58179.29000000 USD AXA SA 335952.22000000 USD -26775.92000000 USD Accor SA 1353789.53000000 USD -97642.47000000 USD Bollore SE 326083.33000000 USD 21093.73000000 USD SOITEC 1548322.56000000 USD -240985.55000000 USD Rubis SCA 1315096.12000000 USD -13580.37000000 USD Eiffage SA 1147838.90000000 USD 41918.54000000 USD Rexel SA 894217.82000000 USD 62818.16000000 USD Veolia Environnement SA 550850.66000000 USD 15292.94000000 USD Amundi SA 1154747.40000000 USD 55184.45000000 USD Carrefour SA 992415.76000000 USD 105560.06000000 USD Vivendi SE 812848.32000000 USD 37878.99000000 USD Cie Plastic Omnium SA 43265.48000000 USD -1534.41000000 USD Ubisoft Entertainment SA 517119.23000000 USD 9918.14000000 USD CNP Assurances 111488.79000000 USD 286.79000000 USD Airbus SE 217685.96000000 USD 10524.86000000 USD Sodexo SA 1646072.19000000 USD 69949.80000000 USD Publicis Groupe SA 1403176.77000000 USD 21547.96000000 USD Y 2025-01-13 0.00000000 USD 0.00000000 USD 63621051.00000000 USD -798580.24000000 N N N N/A N/A Total Return Basket Swap 000000000 558665209.00999916 PA USD -5845522.13999999 -1.52521123949 N/A DE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A Rec/pay the total return of custom basket plus OBFR +/- spread (-2.27% to 0.02%). USD Currency. Maturity 35-61 Months 01/13/25 to 04/01/27 Old Dominion Freight Line, Inc. 499392.96000000 USD 13693.68000000 USD GameStop Corp., Class A 3149528.06000000 USD -1610799.61000000 USD Planet Fitness, Inc., Class A 276334.08000000 USD -13214.84000000 USD Ross Stores, Inc. 471839.36000000 USD 13734.46000000 USD Datadog, Inc., Class A 125265.69000000 USD -12251.47000000 USD Urban Edge Properties 814882.40000000 USD 24318.48000000 USD SEI Investments Co. 446517.36000000 USD 22841.28000000 USD Liberty Broadband Corp., Class C 1874317.32000000 USD 28948.59000000 USD First Hawaiian, Inc. 528961.74000000 USD 1653.75000000 USD Floor & Decor Holdings, Inc., Class A 393660.00000000 USD 35283.60000000 USD Zscaler, Inc. 98683.52000000 USD 4769.73000000 USD Upstart Holdings, Inc. 87053.82000000 USD 4114.83000000 USD Crown Castle International Corp. 1597528.40000000 USD 92078.56000000 USD Liberty Media Corp.-Liberty SiriusXM 548119.78000000 USD 11146.98000000 USD RingCentral, Inc., Class A 400389.36000000 USD -20327.89000000 USD nCino, Inc. 824640.54000000 USD -43797.73000000 USD Avangrid, Inc. 930032.52000000 USD -32128.88000000 USD Lincoln National Corp. 353336.16000000 USD 17635.71000000 USD DTE Energy Co. 544837.41000000 USD 20447.53000000 USD XPO Logistics, Inc. 614359.20000000 USD 23291.64000000 USD Intel Corp. 1022819.28000000 USD 39831.34000000 USD DraftKings, Inc., Class A 406202.61000000 USD -38724.90000000 USD Capital One Financial Corp. 2020553.10000000 USD -12125.12000000 USD Pinnacle Financial Partners, Inc. 146223.04000000 USD 5208.64000000 USD RLI Corp. 1581566.48000000 USD -88206.32000000 USD Kimberly-Clark Corp. 409383.84000000 USD -6871.38000000 USD Western Union Co. (The) 115063.60000000 USD -7580.81000000 USD Rollins, Inc. 264452.25000000 USD -17579.85000000 USD BellRing Brands, Inc. 79856.80000000 USD 5863.36000000 USD Altria Group, Inc. 440728.75000000 USD -3144.33000000 USD TripAdvisor, Inc. 1001812.80000000 USD 120305.03000000 USD Mid-America Apartment Communities, Inc. 611803.45000000 USD 6572.25000000 USD LPL Financial Holdings, Inc. 635909.08000000 USD -96945.85000000 USD Werner Enterprises, Inc. 518896.00000000 USD -24932.32000000 USD FedEx Corp. 180715.59000000 USD 9470.56000000 USD Urban Outfitters, Inc. 1983715.11000000 USD -70056.21000000 USD Scientific Games Corp. 380582.50000000 USD -6737.12000000 USD OneMain Holdings, Inc. 756711.01000000 USD 59215.31000000 USD Knight-Swift Transportation Holdings, Inc. 1123390.98000000 USD -33394.50000000 USD Physicians Realty Trust 666379.68000000 USD 30134.53000000 USD PayPal Holdings, Inc. 341861.40000000 USD -20793.09000000 USD Kinsale Capital Group, Inc. 361867.74000000 USD 26042.67000000 USD Keurig Dr Pepper, Inc. 953185.00000000 USD 6790.50000000 USD UGI Corp. 915062.08000000 USD 35643.31000000 USD Ulta Beauty, Inc. 2630243.10000000 USD 156103.31000000 USD Texas Capital Bancshares, Inc. 1310450.46000000 USD -77989.14000000 USD Qurate Retail, Inc., Series A 38222.80000000 USD -2087.80000000 USD Avis Budget Group, Inc. 693005.60000000 USD 7145.36000000 USD Simon Property Group, Inc. 2067333.84000000 USD 13495.42000000 USD FNB Corp. 1304635.50000000 USD -30389.10000000 USD Duck Creek Technologies, Inc. 336821.24000000 USD 7749.54000000 USD Healthcare Trust of America, Inc., Class A 811455.28000000 USD 14240.60000000 USD Evercore, Inc., Class A 1014681.80000000 USD -17554.56000000 USD Kraft Heinz Co. (The) 2516154.42000000 USD 77292.38000000 USD MDU Resources Group, Inc. 1111624.80000000 USD 30449.76000000 USD Hormel Foods Corp. 4468518.00000000 USD -147769.63000000 USD Nexstar Media Group, Inc., Class A 1076597.76000000 USD 39783.84000000 USD Sea Ltd. 1117880.28000000 USD -203152.24000000 USD Wells Fargo & Co. 2140429.74000000 USD -42377.23000000 USD Visa, Inc., Class A 211568.58000000 USD 9703.70000000 USD CNO Financial Group, Inc. 1079647.79000000 USD 71098.56000000 USD International Business Machines Corp. 836028.60000000 USD -30474.53000000 USD Webster Financial Corp. 1941752.00000000 USD -45010.62000000 USD Williams-Sonoma, Inc. 1196685.00000000 USD -9903.60000000 USD NextEra Energy, Inc. 2157648.41000000 USD -111817.69000000 USD CBRE Group, Inc., Class A 192008.96000000 USD 8102.57000000 USD FirstEnergy Corp. 440256.00000000 USD 17088.00000000 USD CenterPoint Energy, Inc. 1287860.48000000 USD -94992.32000000 USD Broadcom, Inc. 981041.44000000 USD 46077.11000000 USD Southwest Airlines Co. 1304979.40000000 USD -125512.55000000 USD Equinix, Inc. 42272.34000000 USD 1998.63000000 USD OGE Energy Corp. 1146366.58000000 USD 55940.89000000 USD Genuine Parts Co. 1704168.46000000 USD 52026.08000000 USD Ceridian HCM Holding, Inc. 783610.68000000 USD -30166.16000000 USD Gaming and Leisure Properties, Inc. 626750.15000000 USD 19498.30000000 USD Jamf Holding Corp. 984600.85000000 USD -20379.72000000 USD BlackRock, Inc. 136786.43000000 USD -12694.68000000 USD Jack Henry & Associates, Inc. 391144.25000000 USD -37952.72000000 USD Citizens Financial Group, Inc. 586026.24000000 USD -34982.15000000 USD Microsoft Corp. 597813.09000000 USD 36450.28000000 USD Iron Mountain, Inc. 1388685.42000000 USD -121274.21000000 USD NXP Semiconductors NV 396811.52000000 USD 6916.68000000 USD Wolfspeed, Inc. 1382829.70000000 USD -180033.91000000 USD Applied Materials, Inc. 1216777.60000000 USD 51530.67000000 USD Leidos Holdings, Inc. 565160.64000000 USD -25648.36000000 USD Hudson Pacific Properties, Inc. 1482238.50000000 USD 24438.47000000 USD Lamar Advertising Co., Class A 889241.72000000 USD 49177.73000000 USD W R Berkley Corp. 470857.89000000 USD 38678.37000000 USD Digital Realty Trust, Inc. 265875.00000000 USD -11906.25000000 USD Bank of New York Mellon Corp. (The) 695564.45000000 USD -35738.25000000 USD Fidelity National Information Services, Inc. 986425.66000000 USD 82906.12000000 USD McDonald's Corp. 79871.44000000 USD -8013.63000000 USD Alexandria Real Estate Equities, Inc. 1175300.00000000 USD -52793.60000000 USD Ford Motor Co. 1322548.01000000 USD 42233.94000000 USD QUALCOMM, Inc. 821560.32000000 USD -23075.67000000 USD Campbell Soup Co. 74565.61000000 USD -1986.56000000 USD Jones Lang LaSalle, Inc. 450424.26000000 USD 33688.71000000 USD Voya Financial, Inc. 614467.35000000 USD -30839.13000000 USD National Storage Affiliates Trust 602684.28000000 USD 18760.98000000 USD Synovus Financial Corp. 862645.00000000 USD 18901.13000000 USD Assurant, Inc. 8546.01000000 USD 613.82000000 USD SLM Corp. 317187.36000000 USD 11747.68000000 USD IAA, Inc. 1095097.50000000 USD 66000.58000000 USD SunPower Corp. 268521.48000000 USD -17359.18000000 USD Norfolk Southern Corp. 803179.52000000 USD -59623.88000000 USD AutoZone, Inc. 1408715.62000000 USD 103031.86000000 USD Vistra Corp. 330150.00000000 USD 7242.00000000 USD Dominion Energy, Inc. 1893471.48000000 USD -86263.23000000 USD Insperity, Inc. 269627.70000000 USD 29129.99000000 USD Federal Realty Investment Trust 743162.16000000 USD -16254.96000000 USD Archer-Daniels-Midland Co. 1542001.84000000 USD 144872.32000000 USD Morgan Stanley 184763.60000000 USD -553.97000000 USD NiSource, Inc. 871638.00000000 USD 58931.50000000 USD Zions Bancorp NA 1261636.64000000 USD 8274.92000000 USD WP Carey, Inc. 449712.92000000 USD -7939.99000000 USD Western Alliance Bancorp 4058.18000000 USD 90.65000000 USD JB Hunt Transport Services, Inc. 1109163.96000000 USD -8809.37000000 USD Envestnet, Inc. 603559.52000000 USD -3486.44000000 USD Aon plc, Class A 1894189.71000000 USD -201442.71000000 USD Bunge Ltd. 409886.19000000 USD -8832.10000000 USD Home Depot, Inc. (The) 1398469.76000000 USD 83488.64000000 USD KeyCorp 303651.84000000 USD -12753.92000000 USD Prologis, Inc. 1895936.68000000 USD -128763.00000000 USD Aptiv plc 1239237.92000000 USD -154435.44000000 USD General Mills, Inc. 723181.88000000 USD -48279.75000000 USD National Retail Properties, Inc. 1058606.64000000 USD 41929.68000000 USD American Financial Group, Inc. 307549.44000000 USD -16330.45000000 USD Tradeweb Markets, Inc., Class A 452969.85000000 USD -16175.48000000 USD Lear Corp. 324820.02000000 USD -6879.11000000 USD CACI International, Inc., Class A 1149005.64000000 USD 27384.52000000 USD Palo Alto Networks, Inc. 1090637.52000000 USD -122584.68000000 USD Etsy, Inc. 970378.24000000 USD 131169.88000000 USD VeriSign, Inc. 1065805.86000000 USD 73436.55000000 USD Citigroup, Inc. 2978705.40000000 USD -142241.55000000 USD Dropbox, Inc., Class A 780642.00000000 USD 63329.34000000 USD Loews Corp. 4083.66000000 USD 238.77000000 USD Leslie's, Inc. 578864.00000000 USD 41406.19000000 USD Bank OZK 599849.60000000 USD -7417.84000000 USD Foot Locker, Inc. 528007.32000000 USD 19848.83000000 USD Kilroy Realty Corp. 1720596.30000000 USD 76776.15000000 USD Aflac, Inc. 946339.83000000 USD -55022.01000000 USD Constellation Brands, Inc., Class A 654569.44000000 USD -44335.20000000 USD H&R Block, Inc. 1728378.96000000 USD -83172.42000000 USD Associated Banc-Corp. 1162102.84000000 USD -8345.79000000 USD Reynolds Consumer Products, Inc. 520256.88000000 USD 9220.64000000 USD Gap, Inc. 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USD -3546588.34999999 -0.92537437781 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N/A N/A Rec/pay the total return of custom basket plus OBFR +/- spread (-1.32% to 0.20%). USD Currency. Maturity 35-62 Months 01/22/25 to 03/29/27 Targa Resources Corp. 414934.06000000 USD 43104.32000000 USD Amphenol Corp., Class A 2310457.05000000 USD 17477.91000000 USD Oak Street Health, Inc. 1119955.20000000 USD -177076.25000000 USD Owens Corning 2653683.00000000 USD -160671.08000000 USD Laboratory Corp. of America Holdings 1247639.12000000 USD -50490.44000000 USD Calix, Inc. 226607.71000000 USD -540.77000000 USD West Pharmaceutical Services, Inc. 1010346.60000000 USD -13456.20000000 USD ConocoPhillips 654300.00000000 USD -3776.55000000 USD Oshkosh Corp. 256154.25000000 USD 21632.50000000 USD Raytheon Technologies Corp. 122252.38000000 USD 1722.52000000 USD Gates Industrial Corp. plc 841251.60000000 USD -51949.80000000 USD Hess Corp. 1125739.68000000 USD -104118.30000000 USD Arrowhead Pharmaceuticals, Inc. 45346.14000000 USD -690.20000000 USD Marathon Petroleum Corp. 1130652.00000000 USD 110420.40000000 USD Sotera Health Co. 529088.82000000 USD -17831.71000000 USD Lumentum Holdings, Inc. 322665.60000000 USD -17620.98000000 USD Crane Co. 397062.76000000 USD 1100.10000000 USD ResMed, Inc. 714191.95000000 USD 49210.95000000 USD Viasat, Inc. 752544.80000000 USD 16963.10000000 USD Teleflex, Inc. 986072.57000000 USD 21620.62000000 USD Donaldson Co., Inc. 1082428.92000000 USD -14173.92000000 USD GATX Corp. 915601.92000000 USD 11507.20000000 USD Bruker Corp. 923155.10000000 USD -44363.13000000 USD IDEXX Laboratories, Inc. 72211.92000000 USD -2636.04000000 USD Ultragenyx Pharmaceutical, Inc. 711240.28000000 USD -36825.44000000 USD Catalent, Inc. 1483398.40000000 USD -59656.96000000 USD DaVita, Inc. 373489.22000000 USD -1816.10000000 USD AMETEK, Inc. 439627.18000000 USD 1465.16000000 USD Kinder Morgan, Inc. 759614.70000000 USD 54229.50000000 USD AmerisourceBergen Corp. 789021.00000000 USD 12801.00000000 USD Halliburton Co. 1273492.36000000 USD 66583.44000000 USD Hologic, Inc. 1358331.24000000 USD 51631.44000000 USD Abbott Laboratories 1708644.96000000 USD -40998.24000000 USD Dolby Laboratories, Inc., Class A 143455.48000000 USD 9225.02000000 USD Haemonetics Corp. 39449.28000000 USD -4399.20000000 USD Eli Lilly & Co. 1862836.85000000 USD -5594.30000000 USD AGCO Corp. 953283.84000000 USD 94525.44000000 USD Trex Co., Inc. 1268120.63000000 USD 259913.29000000 USD Middleby Corp. 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(The) 275377.00000000 USD 3380.91000000 USD Allison Transmission Holdings, Inc. 1631881.16000000 USD -11638.48000000 USD LHC Group, Inc. 1036215.60000000 USD -125524.18000000 USD Virgin Galactic Holdings, Inc. 938570.36000000 USD -84547.33000000 USD Sunrun, Inc. 383512.36000000 USD 11238.92000000 USD LivaNova plc 80766.21000000 USD -2763.60000000 USD Merck & Co., Inc. 1778515.80000000 USD 67412.36000000 USD AbbVie, Inc. 823032.47000000 USD -16835.24000000 USD Charles River Laboratories International, Inc. 185716.38000000 USD 3505.39000000 USD HCA Healthcare, Inc. 584696.46000000 USD -32439.52000000 USD Adaptive Biotechnologies Corp. 130860.64000000 USD -13764.88000000 USD Bio-Rad Laboratories, Inc., Class A 1562400.02000000 USD -31903.96000000 USD ABIOMED, Inc. 241142.72000000 USD 17173.52000000 USD Cooper Cos., Inc. 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(The) 2403147.89000000 USD -135226.52000000 USD Medtronic plc 3026272.20000000 USD 33003.96000000 USD Schlumberger NV 51885.36000000 USD -2260.80000000 USD Northrop Grumman Corp. 773690.60000000 USD -30829.80000000 USD Armstrong World Industries, Inc. 788307.58000000 USD -11998.46000000 USD CVS Health Corp. 1652658.09000000 USD -120018.15000000 USD Littelfuse, Inc. 64597.19000000 USD -958.30000000 USD Moderna, Inc. 1079381.16000000 USD 25064.00000000 USD Sensata Technologies Holding plc 207010.35000000 USD 13434.30000000 USD IQVIA Holdings, Inc. 1897540.47000000 USD 65980.14000000 USD Dexcom, Inc. 1286162.40000000 USD -142971.18000000 USD Zebra Technologies Corp., Class A 240359.70000000 USD -3282.65000000 USD Globus Medical, Inc., Class A 358349.46000000 USD 21467.94000000 USD Veeva Systems, Inc., Class A 133212.42000000 USD 11757.66000000 USD United Rentals, Inc. 665308.33000000 USD 15808.12000000 USD Ionis Pharmaceuticals, Inc. 700167.12000000 USD -43098.84000000 USD Stanley Black & 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USD Medpace Holdings, Inc. 1328514.39000000 USD 2030.25000000 USD Neogen Corp. 276110.52000000 USD 37871.19000000 USD Fortune Brands Home & Security, Inc. 1229705.40000000 USD -198825.55000000 USD Flowserve Corp. 1566604.20000000 USD 81603.06000000 USD Western Digital Corp. 1787201.40000000 USD 28436.84000000 USD HEICO Corp. 1401359.58000000 USD -48008.02000000 USD Danaher Corp. 840390.45000000 USD 34179.45000000 USD Zimvie, Inc. 45.68000000 USD -0.46000000 USD Equitrans Midstream Corp. 59054.68000000 USD 4897.90000000 USD A O Smith Corp. 718443.05000000 USD -45200.67000000 USD ONEOK, Inc. 1142793.40000000 USD -60998.60000000 USD Trinity Industries, Inc. 1410615.44000000 USD -41054.00000000 USD Iovance Biotherapeutics, Inc. 459390.15000000 USD -54630.18000000 USD NetApp, Inc. 175047.00000000 USD 7191.69000000 USD Ciena Corp. 773820.69000000 USD 25526.00000000 USD Tenet Healthcare Corp. 410716.88000000 USD -13712.86000000 USD Curtiss-Wright Corp. 177639.28000000 USD 1573.39000000 USD Zimmer Biomet Holdings, Inc. 65484.80000000 USD -2877.44000000 USD Pentair plc 16208.79000000 USD 819.26000000 USD Alnylam Pharmaceuticals, Inc. 101729.67000000 USD -130.83000000 USD Patterson Cos., Inc. 730785.12000000 USD 31606.40000000 USD Exelixis, Inc. 33800.97000000 USD 2862.72000000 USD Fluor Corp. 771502.79000000 USD 5378.20000000 USD Masimo Corp. 1258629.92000000 USD -102565.28000000 USD Allegion plc 853649.28000000 USD -62285.76000000 USD Valmont Industries, Inc. 503923.20000000 USD 380.16000000 USD Devon Energy Corp. 84141.99000000 USD -2291.03000000 USD Dover Corp. 328234.80000000 USD 899.56000000 USD Simpson Manufacturing Co., Inc. 207721.20000000 USD -20040.60000000 USD Waters Corp. 336152.37000000 USD -22093.20000000 USD Novocure Ltd. 833222.45000000 USD -61045.99000000 USD Woodward, Inc. 167379.40000000 USD 67.00000000 USD Nektar Therapeutics 208075.56000000 USD 5790.60000000 USD nVent Electric plc 1437909.54000000 USD -23565.51000000 USD Marathon Oil Corp. 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HealthEquity, Inc. 1406528.64000000 USD -223159.20000000 USD ITT, Inc. 544219.56000000 USD 35962.92000000 USD Roper Technologies, Inc. 205892.28000000 USD -4469.00000000 USD Carrier Global Corp. 1557928.68000000 USD 42455.00000000 USD EMCOR Group, Inc. 1495613.77000000 USD -67324.53000000 USD Mettler-Toledo International, Inc. 126333.48000000 USD -664.00000000 USD Carlisle Cos., Inc. 737514.08000000 USD 9416.86000000 USD BioMarin Pharmaceutical, Inc. 445252.50000000 USD 18364.50000000 USD Pfizer, Inc. 3352469.89000000 USD -159949.79000000 USD Regeneron Pharmaceuticals, Inc. 816452.98000000 USD 15419.11000000 USD Y 2025-01-22 0.00000000 USD 0.00000000 USD 249904969.00000000 USD -3454386.64000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -36.07000000 -0.00000941136 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 30366.65000000 USD 284646.00000000 SEK 2022-06-15 -36.07000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 194.21000000 0.000050673193 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 23675.45000000 USD 76000.00000000 ILS 2022-06-15 194.21000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 381.89000000 0.000099642582 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 41586.30000000 USD 133625.00000000 ILS 2022-06-15 381.89000000 N N N Goldman Sachs Financial Square Funds - Treasury Instruments Fund N/A Goldman Sachs Financial Square Funds - Treasury Instruments Fund N/A 1178066.33000000 NS USD 1178066.33000000 0.307380583694 Long STIV RF US N 1 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 217.93000000 0.000056862206 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1025000.00000000 HKD 131208.53000000 USD 2022-06-15 217.93000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -173.29000000 -0.00004521475 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 209500.00000000 SEK 22150.08000000 USD 2022-06-15 -173.29000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 9.81000000 0.000002559621 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2188.71000000 USD 7000.00000000 ILS 2022-06-15 9.81000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2118.42000000 -0.00055273727 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 175096.04000000 USD 131715.00000000 GBP 2022-06-15 -2118.42000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796S42 30202000.00000000 PA USD 30140538.93000000 7.864257056873 Long STIV UST US N 2 2022-07-21 None 0.00000000 N N N N N N N/A N/A Total Return Basket Swap 000000000 94772024.21000000 PA -2731013.89999999 -0.71257502678 N/A DE US N 2 BNP Paribas Securities Corp. 2J5703FH5U5M97R1I237 N/A N/A Rec/pay the total return of custom basket plus SONIA +/- spread (-0.75% to 0.03%). GBP Currency. Maturity 61 Months 11/19/26 Direct Line Insurance Group plc 839510.19000000 USD -19094.58000000 USD HSBC Holdings plc 503139.52000000 USD -18853.06000000 USD J Sainsbury plc 552817.19000000 USD 25810.06000000 USD Rentokil Initial plc 1541297.44000000 USD -49053.38000000 USD NatWest Group plc 146891.07000000 USD 1616.35000000 USD GlaxoSmithKline plc 1708497.17000000 USD 30383.38000000 USD Shell plc 1103420.21000000 USD 64470.79000000 USD BP plc 1255794.16000000 USD 17775.16000000 USD Tate & Lyle plc 489735.76000000 USD 1649.56000000 USD Hargreaves Lansdown plc 1016557.74000000 USD 55423.00000000 USD BT Group plc 1619194.47000000 USD -14994.15000000 USD Renishaw plc 12013.32000000 USD 655.85000000 USD AstraZeneca plc 4332203.01000000 USD -229353.23000000 USD Melrose Industries plc 62535.15000000 USD 4583.35000000 USD Evraz plc 133896.19000000 USD -274240.99000000 USD Vodafone Group plc 993229.85000000 USD -9148.97000000 USD Admiral Group plc 970195.41000000 USD 16215.70000000 USD Mondi plc 473214.50000000 USD -17939.63000000 USD Smith & Nephew plc 762448.02000000 USD -29563.64000000 USD Royal Mail plc 2176085.43000000 USD -242193.24000000 USD United Utilities Group plc 1864029.58000000 USD -74510.01000000 USD Abcam plc 882732.85000000 USD -26852.79000000 USD Quilter plc 59129.46000000 USD -1027.89000000 USD British American Tobacco plc 1139216.55000000 USD 26221.35000000 USD Anglo American plc 764886.26000000 USD 58636.28000000 USD Barratt Developments plc 971460.77000000 USD -79555.38000000 USD SSE plc 956826.56000000 USD 32123.66000000 USD Ashmore Group plc 215831.05000000 USD -18176.68000000 USD Bunzl plc 561550.35000000 USD -15670.65000000 USD Sage Group plc (The) 1311528.99000000 USD 6163.26000000 USD Hays plc 144835.44000000 USD -7709.84000000 USD Hikma Pharmaceuticals plc 304122.92000000 USD -929.90000000 USD Hiscox Ltd. 514773.69000000 USD -19641.70000000 USD WH Smith plc 259752.24000000 USD 9413.29000000 USD Diageo plc 299630.09000000 USD 13141.89000000 USD 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67703000.00000000 JPY 2022-06-15 -31989.29000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 218.09000000 0.000056903953 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1025000.00000000 HKD 131208.69000000 USD 2022-06-15 218.09000000 N N N N/A N/A ETRSI N/A 2754472.10000000 PA 128379.34000000 0.033496684743 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Australia Net Return Index M7AU Index Y 2022-06-15 0.00000000 USD 0.00000000 USD 2754472.10000000 AUD 128379.34000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2477.36000000 -0.00064639175 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 175454.98000000 USD 131715.00000000 GBP 2022-06-15 -2477.36000000 N N N N/A N/A Total Return Basket Swap 000000000 320980132.45999992 PA -367403.27999999 -0.09586271314 N/A DE US N 2 BNP Paribas Securities Corp. 2J5703FH5U5M97R1I237 N/A N/A Rec/pay the total return of custom basket plus MUTSC +/- spread (-0.25% to 0.03%). 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Ltd. 1393249.59000000 USD -95959.80000000 USD FANUC Corp. 17550.99000000 USD -239.66000000 USD Nippon Paint Holdings Co. Ltd. 2754565.27000000 USD 3479.81000000 USD Dai-ichi Life Holdings, Inc. 1542348.01000000 USD -11256.88000000 USD Nippon Yusen KK 419877.28000000 USD -50132.84000000 USD ABC-Mart, Inc. 346773.36000000 USD -14875.25000000 USD Sysmex Corp. 803945.35000000 USD -13657.81000000 USD Persol Holdings Co. Ltd. 127715.96000000 USD -15212.41000000 USD Honda Motor Co. Ltd. 2038065.99000000 USD -52550.34000000 USD Kyowa Kirin Co. Ltd. 1367918.83000000 USD 45334.39000000 USD Nissan Motor Co. Ltd. 191507.40000000 USD -5246.99000000 USD Fujitsu General Ltd. 19457.65000000 USD -332.29000000 USD NH Foods Ltd. 1144656.77000000 USD -21052.01000000 USD Koei Tecmo Holdings Co. Ltd. 1351063.68000000 USD 35300.03000000 USD Astellas Pharma, Inc. 1270304.02000000 USD 5367.75000000 USD Nexon Co. Ltd. 2076579.59000000 USD -60277.92000000 USD Toyota Motor Corp. 5393363.38000000 USD -391987.34000000 USD Mitsui & Co. Ltd. 770924.55000000 USD 46786.62000000 USD Fuji Electric Co. Ltd. 199363.32000000 USD -2162.42000000 USD Makita Corp. 454351.66000000 USD 13253.29000000 USD Nitori Holdings Co. Ltd. 2226886.49000000 USD 197828.26000000 USD Yaskawa Electric Corp. 3246613.91000000 USD -40066.22000000 USD MonotaRO Co. Ltd. 2275007.58000000 USD -28431.92000000 USD Coca-Cola Bottlers Japan Holdings, Inc. 44779.28000000 USD -108.57000000 USD NSK Ltd. 101268.32000000 USD -2335.83000000 USD Capcom Co. Ltd. 21819.89000000 USD 518.55000000 USD Open House Group Co. Ltd. 168160.72000000 USD -3152.59000000 USD Haseko Corp. 25268.79000000 USD -1377.91000000 USD West Japan Railway Co. 812142.20000000 USD 15412.83000000 USD Ibiden Co. Ltd. 989664.33000000 USD -41382.14000000 USD Obayashi Corp. 176887.60000000 USD -4567.90000000 USD Shinsei Bank Ltd. 1820277.99000000 USD 63247.98000000 USD Asahi Group Holdings Ltd. 280437.74000000 USD -7078.25000000 USD Tokio Marine Holdings, Inc. 2735082.84000000 USD -49935.53000000 USD Mizuho Financial Group, Inc. 5599607.86000000 USD -159733.41000000 USD Stanley Electric Co. Ltd. 402724.14000000 USD 28595.34000000 USD USS Co. Ltd. 107543.39000000 USD 815.56000000 USD Kuraray Co. Ltd. 1620884.76000000 USD 15120.70000000 USD Terumo Corp. 136163.33000000 USD -2260.68000000 USD Shizuoka Bank Ltd. (The) 849941.84000000 USD 24161.02000000 USD NGK Insulators Ltd. 1781706.15000000 USD 30167.66000000 USD Kansai Paint Co. Ltd. 785040.68000000 USD 67893.64000000 USD Sundrug Co. Ltd. 1339547.50000000 USD -47279.36000000 USD Mitsubishi Chemical Holdings Corp. 706972.98000000 USD 13042.48000000 USD MEIJI Holdings Co. Ltd. 10846.39000000 USD 227.13000000 USD AEON Financial Service Co. Ltd. 29730.11000000 USD 1029.53000000 USD GMO Payment Gateway, Inc. 376941.81000000 USD -38538.22000000 USD Rakuten Group, Inc. 2293556.92000000 USD -712.40000000 USD Nitto Denko Corp. 1763526.81000000 USD 75935.05000000 USD Shin-Etsu Chemical Co. Ltd. 379833.35000000 USD 4943.01000000 USD Unicharm Corp. 696961.93000000 USD -4822.15000000 USD Nagoya Railroad Co. Ltd. 502552.09000000 USD -449.41000000 USD Air Water, Inc. 575758.55000000 USD 1438.48000000 USD Resona Holdings, Inc. 686605.63000000 USD -25492.67000000 USD Asahi Intecc Co. Ltd. 1467050.03000000 USD -55149.76000000 USD Nichirei Corp. 455739.91000000 USD -26815.59000000 USD Tsuruha Holdings, Inc. 571484.19000000 USD -75246.03000000 USD Daiwa Securities Group, Inc. 451971.06000000 USD 19372.68000000 USD Kobe Bussan Co. Ltd. 2129610.30000000 USD 26433.03000000 USD Dentsu Group, Inc. 1610133.88000000 USD 35563.19000000 USD Yamaha Motor Co. Ltd. 1138616.12000000 USD 102123.45000000 USD Kawasaki Kisen Kaisha Ltd. 514215.28000000 USD -56475.30000000 USD AGC, Inc. 2185559.45000000 USD 1186.14000000 USD Mitsubishi Motors Corp. 564540.11000000 USD -63611.28000000 USD Suzuki Motor Corp. 952711.69000000 USD -14470.40000000 USD Keyence Corp. 1344737.59000000 USD -52287.70000000 USD Hoshizaki Corp. 281259.54000000 USD 3674.43000000 USD Secom Co. Ltd. 969381.67000000 USD 15952.15000000 USD Goldwin, Inc. 25287.27000000 USD -112.19000000 USD NTT Data Corp. 499167.77000000 USD -24535.81000000 USD Cosmos Pharmaceutical Corp. 921110.34000000 USD 72028.12000000 USD Azbil Corp. 982419.25000000 USD 57959.45000000 USD Japan Post Bank Co. Ltd. 1280909.81000000 USD -89086.92000000 USD Chugoku Electric Power Co., Inc. (The) 343513.41000000 USD 21206.16000000 USD SG Holdings Co. Ltd. 273046.18000000 USD -4765.76000000 USD Dai Nippon Printing Co. Ltd. 208662.02000000 USD -9138.45000000 USD Isuzu Motors Ltd. 1764600.99000000 USD 45768.12000000 USD Tobu Railway Co. Ltd. 145886.52000000 USD -1506.15000000 USD Mitsubishi Gas Chemical Co., Inc. 38934.39000000 USD 1111.04000000 USD FP Corp. 7151.05000000 USD 536.57000000 USD Ricoh Co. Ltd. 1098059.38000000 USD 49434.32000000 USD Odakyu Electric Railway Co. Ltd. 1549738.48000000 USD 27081.43000000 USD MINEBEA MITSUMI, Inc. 217799.59000000 USD -11542.64000000 USD Oriental Land Co. Ltd/Japan 3081626.13000000 USD -33430.03000000 USD Y 2026-11-10 0.00000000 USD 0.00000000 USD 320980132.00000000 USD -1421769.60000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 177.35000000 0.000046274089 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 41790.84000000 USD 133625.00000000 ILS 2022-06-15 177.35000000 N N N N/A N/A ETRSI N/A 5714131.04000000 PA 35883.59000000 0.009362731586 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Hong Kong Net Return Index M7HK Index Y 2022-06-15 0.00000000 USD 0.00000000 USD 5714131.04000000 HKD 35883.59000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -819.82000000 -0.00021390709 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 241139.64000000 USD 1880500.00000000 HKD 2022-06-15 -819.82000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 2721.33000000 0.000710048307 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 257962.50000000 USD 325954.00000000 CAD 2022-06-15 2721.33000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2176.51000000 -0.00056789409 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 175155.44000000 USD 131716.00000000 GBP 2022-06-15 -2176.51000000 N N N N/A N/A S&P/TSX 60 Index N/A 21.00000000 NC 87942.21000000 0.022945845367 N/A DE CA N 1 Canadian Derivatives Clearing 5493004XJK1P32XQLA57 Long S&P/TSX 60 Index XC0009654721 2022-06-16 5531820.00000000 CAD 87942.21000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -76900.14000000 -0.02006475299 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1384583.45000000 USD 158887126.00000000 JPY 2022-06-15 -76900.14000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -2563.48000000 -0.00066886215 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 97860.99000000 USD 639000.00000000 DKK 2022-06-15 -2563.48000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -819.52000000 -0.00021382882 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 241139.34000000 USD 1880500.00000000 HKD 2022-06-15 -819.52000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 2321.58000000 0.000605745701 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 196122.39000000 USD 1862354.00000000 SEK 2022-06-15 2321.58000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 54.47000000 0.000014212290 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 44905.00000000 SEK 4839.34000000 USD 2022-06-15 54.47000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 4805.29000000 0.001253794296 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 260617.89000000 USD 331880.00000000 CAD 2022-06-15 4805.29000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 441.88000000 0.000115295148 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 204000.00000000 DKK 30865.50000000 USD 2022-06-15 441.88000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -1234.69000000 -0.00032215480 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 332832.60000000 USD 2594750.00000000 HKD 2022-06-15 -1234.69000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -505.10000000 -0.00013179048 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 58631.10000000 USD 545500.00000000 SEK 2022-06-15 -505.10000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 4394.79000000 0.001146686804 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 256289.04000000 USD 325954.00000000 CAD 2022-06-15 4394.79000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -6862.47000000 -0.00179055285 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 194163.95000000 USD 142622.00000000 GBP 2022-06-15 -6862.47000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 6195.32000000 0.001616480353 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 382486.33000000 USD 486000.00000000 CAD 2022-06-15 6195.32000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 22.14000000 0.000005776759 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2481.93000000 USD 22056.00000000 NOK 2022-06-15 22.14000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -3550.93000000 -0.00092650719 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 168621.34000000 USD 125694.00000000 GBP 2022-06-15 -3550.93000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 6195.80000000 0.001616605595 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 382485.85000000 USD 486000.00000000 CAD 2022-06-15 6195.80000000 N N N N/A N/A Total Return Swap 000000000 1564420.00000000 PA 75480.60000000 0.019694367197 N/A DE US N 2 J.P. 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AUD Currency. Maturity 61 Months 11/19/26 Alumina Ltd. 125152.27000000 USD -4100.33000000 USD Lynas Rare Earths Ltd. 897649.87000000 USD -79815.62000000 USD Boral Ltd. 104477.20000000 USD 690.89000000 USD Mineral Resources Ltd. 178652.58000000 USD 23442.88000000 USD Medibank Pvt Ltd. 37281.97000000 USD 1924.97000000 USD Cleanaway Waste Management Ltd. 235488.81000000 USD -11165.53000000 USD WiseTech Global Ltd. 448428.49000000 USD 2431.85000000 USD Australia & New Zealand Banking Group Ltd. 669564.14000000 USD -3642.99000000 USD SEEK Ltd. 811972.28000000 USD 34790.30000000 USD Santos Ltd. 163242.94000000 USD -7276.28000000 USD Pro Medicus Ltd. 839012.59000000 USD -40733.02000000 USD Reece Ltd. 501203.78000000 USD 21140.38000000 USD Pilbara Minerals Ltd. 705361.87000000 USD -101768.55000000 USD Wesfarmers Ltd. 146646.09000000 USD 1433.10000000 USD Woolworths Group Ltd. 328513.41000000 USD -6922.11000000 USD Ramsay Health Care Ltd. 271598.55000000 USD 3766.85000000 USD South32 Ltd. 1477618.31000000 USD 95232.08000000 USD REA Group Ltd. 629064.94000000 USD 36489.85000000 USD Ampol Ltd. 567832.40000000 USD 12882.39000000 USD Commonwealth Bank of Australia 960306.43000000 USD 8320.37000000 USD Macquarie Group Ltd. 1345227.64000000 USD -69734.83000000 USD Telstra Corp. 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