NPORT-P false 0001444822 XXXXXXXX S000041116 C000127656 C000145944 C000127655 AQR Funds 811-22235 0001444822 549300V0TAB4ICSX2404 2 Greenwich Plaza Greenwich 06830 203-742-3600 AQR Long-Short Equity Fund S000041116 549300NH6JD9BB4DEY40 2022-12-31 2022-06-30 N 598376352.72 3290442.13 595085910.59 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2648273.99000000 USD N N/A N/A N/A 3.00000000 NC -4482.24000000 -0.00075320889 N/A DE HK N 1 HKCC & SEOCH 213800NM8ZN1F16ARD34 Long Hang Seng Index HK0000004322 2022-07-28 3261600.00000000 HKD -4482.24000000 N N N United States of America 254900HROIFWPRGM1V77 912796M89 8184000.00000000 PA USD 8145630.71000000 1.368815924733 Long STIV UST US N 2 2022-10-06 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -5689.12000000 -0.00095601658 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 264015.63000000 USD 374000.00000000 AUD 2022-09-21 -5689.12000000 N N N N/A N/A N/A 1.00000000 NC N/A -412.01000000 -0.00006923538 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 28940.89000000 USD 280500.00000000 NOK 2022-09-21 -412.01000000 N N N N/A N/A N/A 1.00000000 NC N/A -8246.61000000 -0.00138578478 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 329457.28000000 USD 263464.00000000 GBP 2022-09-21 -8246.61000000 N N N N/A N/A N/A 1.00000000 NC N/A -135.72000000 -0.00002280679 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 171488.51000000 USD 1341500.00000000 HKD 2022-09-21 -135.72000000 N N N N/A N/A N/A 1.00000000 NC N/A -33601.59000000 -0.00564651076 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1334593.50000000 USD 1234370.00000000 EUR 2022-09-21 -33601.59000000 N N N N/A N/A N/A 1537751.44000000 PA -106122.95000000 -0.01783321502 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Netherlands Net Return Index M7NL Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 1537751.44000000 EUR -106122.95000000 N N N N/A N/A N/A 1.00000000 NC N/A -135.93000000 -0.00002284208 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 171488.72000000 USD 1341500.00000000 HKD 2022-09-21 -135.93000000 N N N N/A N/A N/A 1.00000000 NC N/A -13665.74000000 -0.00229643144 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 680894.11000000 USD 966000.00000000 AUD 2022-09-21 -13665.74000000 N N N N/A N/A N/A 22.00000000 NC -40959.65000000 -0.00688298097 N/A DE AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SPI 200 Index XC0006013624 2022-09-15 3553550.00000000 AUD -40959.65000000 N N N N/A N/A N/A 1.00000000 NC N/A -3671.55000000 -0.00061697814 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 698517.79000000 USD 964859.00000000 SGD 2022-09-21 -3671.55000000 N N N N/A N/A N/A 1.00000000 NC N/A -192.45000000 -0.00003233986 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 9240.10000000 USD 14500.00000000 NZD 2022-09-21 -192.45000000 N N N N/A N/A N/A 1.00000000 NC N/A -1159.45000000 -0.00019483741 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 368559.99000000 USD 472850.00000000 CAD 2022-09-21 -1159.45000000 N N N N/A N/A N/A 1.00000000 NC N/A -3165.25000000 -0.00053189799 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 70256.45000000 USD 233000.00000000 ILS 2022-09-21 -3165.25000000 N N N N/A N/A 000000000 40280510.23999999 PA -1464576.91000000 -0.24611184434 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N/A N/A Rec/pay the total return of custom basket plus ESTR +/- spread (-0.23% to 0.23%). EUR Currency. Maturity 31-61 Months 01/21/25 to 05/31/27 Azimut Holding SpA 1263291.25000000 USD -33119.32000000 USD Pirelli & C SpA 221425.84000000 USD -20307.89000000 USD Amplifon SpA 464242.99000000 USD -48070.61000000 USD A2A SpA 1228120.13000000 USD -128134.41000000 USD Italgas SpA 875471.08000000 USD -2618.76000000 USD Unipol Gruppo SpA 2950013.65000000 USD -30344.78000000 USD FinecoBank Banca Fineco SpA 2010096.03000000 USD -106697.07000000 USD Buzzi Unicem SpA 1560240.12000000 USD -143104.42000000 USD Recordati Industria Chimica e Farmaceutica SpA 406350.96000000 USD -19607.08000000 USD Terna - Rete Elettrica Nazionale 1654622.79000000 USD -13340.50000000 USD Davide Campari-Milano NV 613517.72000000 USD 19318.28000000 USD Tenaris SA 256227.66000000 USD 14812.86000000 USD Snam SpA 25166.83000000 USD 400.57000000 USD Banca Generali SpA 652418.10000000 USD 15271.66000000 USD Poste Italiane SpA 870611.04000000 USD -6595.21000000 USD Moncler SpA 1041991.73000000 USD -99462.40000000 USD Salvatore Ferragamo SpA 28424.66000000 USD 1178.80000000 USD CNH Industrial NV 816132.33000000 USD 65359.87000000 USD Hera SpA 949734.19000000 USD -30173.21000000 USD Nexi SpA 1475616.65000000 USD 33431.10000000 USD Prysmian SpA 395692.45000000 USD -23608.42000000 USD Mediobanca Banca di Credito Finanziario SpA 324850.79000000 USD 8015.18000000 USD Banco BPM SpA 898094.58000000 USD -6314.36000000 USD Infrastrutture Wireless Italiane SpA 620062.68000000 USD -23081.95000000 USD Assicurazioni Generali SpA 394655.26000000 USD -9773.33000000 USD UniCredit SpA 2775907.60000000 USD -208188.53000000 USD Enel SpA 925166.40000000 USD 36897.42000000 USD Brembo SpA 397187.03000000 USD 18169.58000000 USD Intesa Sanpaolo SpA 2882465.88000000 USD 72090.24000000 USD Telecom Italia SpA 115449.03000000 USD -881.37000000 USD Ferrari NV 2366541.02000000 USD -112074.97000000 USD Leonardo SpA 3633374.58000000 USD -10016.47000000 USD Stellantis NV 3568208.43000000 USD -115586.19000000 USD Reply SpA 34548.93000000 USD -3090.73000000 USD DiaSorin SpA 1159397.26000000 USD -62298.41000000 USD Interpump Group SpA 425192.57000000 USD 16100.85000000 USD Y 2025-01-21 0.00000000 USD 0.00000000 USD 40280510.00000000 USD -955443.96000000 N N N N/A N/A N/A 1.00000000 NC N/A -110050.60000000 -0.01849322896 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1874113.64000000 USD 237998124.00000000 JPY 2022-09-21 -110050.60000000 N N N N/A N/A N/A 1.00000000 NC N/A -90.27000000 -0.00001516923 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 3453.73000000 USD 33070.00000000 NOK 2022-09-21 -90.27000000 N N N N/A N/A N/A 1.00000000 NC N/A -7572.56000000 -0.00127251542 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 289609.40000000 USD 1990000.00000000 DKK 2022-09-21 -7572.56000000 N N N N/A N/A N/A 109.00000000 NC -64741.68000000 -0.01087938377 N/A DE US N 1 NASDAQ OMX Commodities Clearing 5493008EIVLUXM0PQX05 Long OMX Stockholm 30 Index SE0000337842 2022-07-15 20388450.00000000 SEK -64741.68000000 N N N N/A N/A 000000000 43713516.33000000 PA 96066.85000000 0.016143358175 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 (-2.13% to 0.35%). SEK Currency. Maturity 20-25 Months 02/21/24 Embracer Group AB 1360129.76000000 USD 49580.94000000 USD Tele2 AB, Class B 266884.10000000 USD -7889.90000000 USD EQT AB 1914065.09000000 USD 46658.43000000 USD Evolution AB 220011.93000000 USD 2942.05000000 USD Getinge AB, Class B 1020014.90000000 USD 80585.87000000 USD Nibe Industrier AB, Class B 2128453.73000000 USD -188085.08000000 USD SKF AB, Class B 1349894.75000000 USD 62550.32000000 USD BillerudKorsnas AB 101634.60000000 USD 2028.96000000 USD Skanska AB, Class B 1180654.73000000 USD -9428.12000000 USD Svenska Handelsbanken AB, Class A 646763.18000000 USD -12379.04000000 USD Epiroc AB, Class A 1333978.08000000 USD 81427.79000000 USD Beijer Ref AB 898978.63000000 USD -22968.12000000 USD Atlas Copco AB, Class A 158456.21000000 USD 1636.80000000 USD AAK AB 1154716.81000000 USD -66469.58000000 USD Axfood AB 1551687.18000000 USD -147194.68000000 USD Svenska Cellulosa AB SCA, Class B 445973.73000000 USD 6085.76000000 USD Skandinaviska Enskilda Banken AB, Class A 805654.01000000 USD -23327.63000000 USD Volvo AB, Class B 941016.34000000 USD -33910.36000000 USD Telefonaktiebolaget LM Ericsson, Class B 3723993.03000000 USD 32469.97000000 USD Sandvik AB 243723.25000000 USD 19347.92000000 USD Securitas AB, Class B 1386582.37000000 USD 19512.09000000 USD Essity AB, Class B 423398.72000000 USD -1470.96000000 USD H & M Hennes & Mauritz AB, Class B 794083.21000000 USD -11744.05000000 USD Electrolux AB, Series B 639171.78000000 USD -11897.10000000 USD Boliden AB 1242569.92000000 USD -68936.67000000 USD Alfa Laval AB 1684753.92000000 USD 23300.71000000 USD Elekta AB, Class B 1507453.55000000 USD 79032.62000000 USD Hexagon AB, Class B 2290620.90000000 USD -38384.85000000 USD Swedbank AB, Class A 1932079.00000000 USD -74917.85000000 USD Sinch AB 263367.42000000 USD 50797.84000000 USD Millicom International Cellular SA 603049.52000000 USD -16779.85000000 USD Swedish Orphan Biovitrum AB 240008.14000000 USD 4070.97000000 USD Lifco AB, Class B 707050.96000000 USD 6643.85000000 USD Saab AB, Class B 1928097.00000000 USD 182427.94000000 USD SSAB AB, Class B 2554622.01000000 USD -158314.23000000 USD Assa Abloy AB, Class B 159858.29000000 USD -441.81000000 USD Telia Co. AB 1718664.84000000 USD 31708.79000000 USD Husqvarna AB, Class B 343598.42000000 USD 5369.37000000 USD Nordea Bank Abp 699067.43000000 USD -25492.32000000 USD Holmen AB, Class B 596951.59000000 USD 32097.06000000 USD Sweco AB, Class B 529820.71000000 USD -38602.47000000 USD Indutrade AB 21962.59000000 USD 98.69000000 USD Y 2024-02-21 0.00000000 USD 0.00000000 USD 43713516.00000000 USD -138259.94000000 N N N N/A N/A 000000000 52980747.44000000 PA 1364168.56999999 0.229238929324 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 (-1.25% to 0.35%). CHF Currency. Maturity 11-64 Months 05/12/23 Adecco Group AG (Registered) 127715.89000000 USD 920.25000000 USD Temenos AG (Registered) 2596841.46000000 USD 100588.85000000 USD Bucher Industries AG (Registered) 1384670.38000000 USD -40648.85000000 USD Sulzer AG (Registered) 401104.14000000 USD -29963.00000000 USD Logitech International SA (Registered) 2604810.66000000 USD 56489.26000000 USD BKW AG 148877.80000000 USD -41.52000000 USD Givaudan SA (Registered) 4180309.45000000 USD -303157.86000000 USD Swatch Group AG (The) 1888669.06000000 USD 39696.14000000 USD Sika AG (Registered) 1708657.54000000 USD -9837.87000000 USD Credit Suisse Group AG (Registered) 1564777.96000000 USD 71751.85000000 USD Zurich Insurance Group AG 534189.95000000 USD -10005.70000000 USD UBS Group AG (Registered) 224491.22000000 USD 3833.78000000 USD Galenica AG 1119512.05000000 USD 108050.73000000 USD Dufry AG (Registered) 1039470.39000000 USD 14482.92000000 USD Clariant AG (Registered) 1383518.71000000 USD -19034.35000000 USD Sonova Holding AG (Registered) 433033.05000000 USD -33338.92000000 USD ABB Ltd. (Registered) 521399.21000000 USD -3872.83000000 USD Swiss Life Holding AG (Registered) 628759.91000000 USD 36928.25000000 USD Tecan Group AG (Registered) 951020.84000000 USD 4880.00000000 USD Straumann Holding AG (Registered) 736048.01000000 USD -93142.75000000 USD Barry Callebaut AG (Registered) 1427474.05000000 USD 28037.61000000 USD ams-OSRAM AG 156232.58000000 USD 3749.65000000 USD Holcim AG 609846.59000000 USD 49531.33000000 USD Julius Baer Group Ltd. 1024849.74000000 USD -21144.50000000 USD Chocoladefabriken Lindt & Spruengli AG 366553.52000000 USD -22636.90000000 USD Cie Financiere Richemont SA 346676.15000000 USD -12394.32000000 USD DKSH Holding AG 1517600.81000000 USD 47001.12000000 USD Bachem Holding AG (Registered), Class B 1791641.16000000 USD 112247.19000000 USD EMS-Chemie Holding AG (Registered) 953773.30000000 USD -36087.24000000 USD Stadler Rail AG 192761.37000000 USD -10253.52000000 USD SIG Group AG 2355776.64000000 USD -205210.00000000 USD Georg Fischer AG (Registered) 164612.65000000 USD -3895.96000000 USD Baloise Holding AG (Registered) 128990.33000000 USD 635.44000000 USD Schindler Holding AG 214493.78000000 USD 757.49000000 USD Swisscom AG (Registered) 977364.08000000 USD 16286.16000000 USD Novartis AG (Registered) 4141533.87000000 USD 99069.37000000 USD Nestle SA (Registered) 1733807.40000000 USD -77272.54000000 USD Geberit AG (Registered) 24055.18000000 USD -391.15000000 USD Swiss Re AG 134046.27000000 USD -848.16000000 USD dormakaba Holding AG 683882.20000000 USD 20740.73000000 USD Helvetia Holding AG (Registered) 764085.72000000 USD 2589.89000000 USD OC Oerlikon Corp. AG (Registered) 730859.76000000 USD -31796.99000000 USD Kuehne + Nagel International AG (Registered) 1062320.79000000 USD 22139.46000000 USD Lonza Group AG (Registered) 159172.96000000 USD -3968.86000000 USD Roche Holding AG 2419662.30000000 USD 119712.26000000 USD Belimo Holding AG (Registered) 388695.34000000 USD 14007.24000000 USD VAT Group AG 1042722.33000000 USD 6520.32000000 USD Alcon, Inc. 937384.99000000 USD -30616.65000000 USD Idorsia Ltd. 1516743.49000000 USD 22734.14000000 USD Flughafen Zurich AG (Registered) 480333.32000000 USD 27384.70000000 USD Partners Group Holding AG 354917.09000000 USD -2939.93000000 USD Y 2023-05-12 0.00000000 USD 0.00000000 USD 52980747.00000000 USD 28265.76999999 N N N N/A N/A N/A 1.00000000 NC N/A 2163.94000000 0.000363634890 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 538000.00000000 SEK 54934.01000000 USD 2022-09-21 2163.94000000 N N N N/A N/A N/A 1.00000000 NC N/A 26727.34000000 0.004491341422 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1752345.96000000 USD 1688645.00000000 CHF 2022-09-21 26727.34000000 N N N N/A N/A N/A 1.00000000 NC N/A -3706.68000000 -0.00062288149 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 92566.23000000 USD 308599.00000000 ILS 2022-09-21 -3706.68000000 N N N United States of America 254900HROIFWPRGM1V77 912796U56 6980000.00000000 PA USD 6953835.82000000 1.168543179438 Long STIV UST US N 2 2022-09-22 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -8064.69000000 -0.00135521440 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 332518.39000000 USD 266124.00000000 GBP 2022-09-21 -8064.69000000 N N N United States of America 254900HROIFWPRGM1V77 912796S67 42732000.00000000 PA USD 42684276.48000000 7.172792317949 Long STIV UST US N 2 2022-08-04 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3903.83000000 -0.00065601116 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 129404.39000000 USD 1279500.00000000 SEK 2022-09-21 -3903.83000000 N N N N/A N/A N/A 1.00000000 NC N/A -13664.89000000 -0.00229628861 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 680893.26000000 USD 966000.00000000 AUD 2022-09-21 -13664.89000000 N N N N/A N/A N/A 1.00000000 NC N/A -2136.99000000 -0.00035910613 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 374394.50000000 USD 479101.00000000 CAD 2022-09-21 -2136.99000000 N N N N/A N/A N/A 1.00000000 NC N/A -17475.85000000 -0.00293669362 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 684704.22000000 USD 966000.00000000 AUD 2022-09-21 -17475.85000000 N N N N/A N/A N/A 1.00000000 NC N/A 200.76000000 0.000033736305 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 9000.00000000 NZD 5816.54000000 USD 2022-09-21 200.76000000 N N N United States of America 254900HROIFWPRGM1V77 912796W70 35094000.00000000 PA USD 34803099.87000000 5.848416043911 Long STIV UST US N 2 2022-11-25 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -692.25000000 -0.00011632774 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 61824.81000000 USD 601064.00000000 NOK 2022-09-21 -692.25000000 N N N N/A N/A 000000000 34510718.02999999 PA -436289.25999999 -0.07331534022 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 ESR Group Ltd. 1813553.43000000 USD -27938.91000000 USD Henderson Land Development Co. Ltd. 458521.75000000 USD 11832.25000000 USD BOC Hong Kong Holdings Ltd. 665138.62000000 USD 13009.72000000 USD Techtronic Industries Co. Ltd. 2062325.30000000 USD 25460.39000000 USD Hong Kong & China Gas Co. Ltd. 28011.05000000 USD 722.38000000 USD Sun Hung Kai Properties Ltd. 2853455.01000000 USD 66309.03000000 USD Hang Lung Properties Ltd. 247366.98000000 USD -8798.40000000 USD CLP Holdings Ltd. 656512.28000000 USD -72402.92000000 USD MTR Corp. Ltd. 1043440.83000000 USD -11127.25000000 USD CK Asset Holdings Ltd. 1079986.97000000 USD 88213.72000000 USD HKT Trust & HKT Ltd. 325016.47000000 USD 7975.13000000 USD Budweiser Brewing Co. APAC Ltd. 1429532.79000000 USD -200101.68000000 USD SJM Holdings Ltd. 256410.98000000 USD -29281.45000000 USD Man Wah Holdings Ltd. 833174.65000000 USD 131076.47000000 USD New World Development Co. Ltd. 933853.38000000 USD 12198.93000000 USD Sands China Ltd. 13471.93000000 USD -2838.29000000 USD Power Assets Holdings Ltd. 815838.72000000 USD -8815.48000000 USD CK Hutchison Holdings Ltd. 3229184.47000000 USD 91191.58000000 USD Chow Tai Fook Jewellery Group Ltd. 214955.69000000 USD -21489.31000000 USD Wharf Real Estate Investment Co. Ltd. 2626373.86000000 USD -303730.44000000 USD ASM Pacific Technology Ltd. 1029010.99000000 USD -8687.82000000 USD Wynn Macau Ltd. 779220.57000000 USD -132130.80000000 USD Swire Pacific Ltd., Class A 280696.28000000 USD 12657.08000000 USD Galaxy Entertainment Group Ltd. 2899437.89000000 USD -372507.95000000 USD AIA Group Ltd. 2880243.78000000 USD -214614.48000000 USD Sino Land Co. Ltd. 1001186.69000000 USD 47802.02000000 USD Swire Properties Ltd. 95104.06000000 USD -6210.24000000 USD WH Group Ltd. 1934577.00000000 USD 144396.29000000 USD SITC International Holdings Co. Ltd. 267352.86000000 USD -11168.32000000 USD Hang Seng Bank Ltd. 1137681.62000000 USD -11882.56000000 USD Xinyi Glass Holdings Ltd. 620081.13000000 USD 61328.51000000 USD Y 2026-11-19 0.00000000 USD 0.00000000 USD 34510718.00000000 USD -729552.73000000 N N N United States of America 254900HROIFWPRGM1V77 912796V63 407000.00000000 PA USD 404545.07000000 0.067980952464 Long STIV UST US N 2 2022-10-20 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -10008.14000000 -0.00168179750 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 336085.79000000 USD 267456.00000000 GBP 2022-09-21 -10008.14000000 N N N N/A N/A N/A 1.00000000 NC N/A -45255.20000000 -0.00760481792 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1733192.00000000 USD 1601500.00000000 EUR 2022-09-21 -45255.20000000 N N N N/A N/A N/A 1.00000000 NC N/A 1650.48000000 0.000277351550 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 587811.20000000 USD 559500.00000000 CHF 2022-09-21 1650.48000000 N N N N/A N/A N/A 1.00000000 NC N/A -3238.75000000 -0.00054424914 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 69653.58000000 USD 653000.00000000 NOK 2022-09-21 -3238.75000000 N N N N/A N/A 000000000 89836906.32999998 PA -494636.11000000 -0.08312011781 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 (-0.95% to 0.20%). CAD Currency. Maturity 31-62 Months 01/21/25 to 07/02/27 Thomson Reuters Corp. 469644.15000000 USD -15096.05000000 USD BRP, Inc. 828818.94000000 USD 6981.55000000 USD Nuvei Corp. 217782.41000000 USD -13576.29000000 USD Rogers Communications, Inc., Class B 626575.26000000 USD -17727.02000000 USD Kinross Gold Corp. 113090.99000000 USD 5574.82000000 USD Wheaton Precious Metals Corp. 1229581.65000000 USD 95969.93000000 USD IGM Financial, Inc. 206699.81000000 USD -2456.43000000 USD Canadian Pacific Railway Ltd. 1733729.11000000 USD -34521.01000000 USD Canada Goose Holdings, Inc. 53864.92000000 USD 1871.51000000 USD iA Financial Corp., Inc. 1258168.07000000 USD 59547.79000000 USD Fairfax Financial Holdings Ltd. 2115930.16000000 USD 150450.98000000 USD Pembina Pipeline Corp. 136302.05000000 USD -1547.21000000 USD Cenovus Energy, Inc. 121650.91000000 USD -4960.13000000 USD Constellation Software, Inc. 599744.78000000 USD -24832.57000000 USD Onex Corp. 1544435.52000000 USD -23365.36000000 USD Whitecap Resources, Inc. 1578487.85000000 USD -146548.65000000 USD Intact Financial Corp. 1805303.33000000 USD -50611.33000000 USD Algonquin Power & Utilities Corp. 912940.57000000 USD -20458.91000000 USD Boralex, Inc., Class A 1478380.61000000 USD -64817.06000000 USD Kinaxis, Inc. 573242.39000000 USD -54906.85000000 USD Ballard Power Systems, Inc. 1737875.92000000 USD -17100.87000000 USD West Fraser Timber Co. Ltd. 2043691.87000000 USD -60212.04000000 USD TMX Group Ltd. 1127931.17000000 USD 21008.79000000 USD Brookfield Renewable Corp. 1357120.10000000 USD -36170.98000000 USD Element Fleet Management Corp. 1116022.30000000 USD -41355.47000000 USD CAE, Inc. 2072347.04000000 USD -95538.33000000 USD Canadian Tire Corp. Ltd., Class A 1752940.96000000 USD -1187.34000000 USD Innergex Renewable Energy, Inc. 887189.48000000 USD 3589.78000000 USD Atco Ltd., Class I 2286539.78000000 USD 111765.41000000 USD Restaurant Brands International, Inc. 1154253.96000000 USD -41114.82000000 USD ARC Resources Ltd. 535481.56000000 USD -33323.25000000 USD GFL Environmental, Inc. 881965.32000000 USD -18910.05000000 USD Teck Resources Ltd., Class B 1481626.35000000 USD -220879.13000000 USD Cogeco Communications, Inc. 696789.99000000 USD -26907.11000000 USD TFI International, Inc. 863598.62000000 USD 68140.93000000 USD Air Canada 650335.27000000 USD 47706.79000000 USD Alamos Gold, Inc., Class A 78921.30000000 USD 2272.37000000 USD SSR Mining, Inc. 392451.83000000 USD -51614.92000000 USD CI Financial Corp. 1378448.31000000 USD -38922.90000000 USD Quebecor, Inc., Class B 508524.66000000 USD -2772.76000000 USD Nutrien Ltd. 891547.12000000 USD -49312.97000000 USD Boyd Group Services, Inc. 32424.38000000 USD 467.81000000 USD Canadian Imperial Bank of Commerce 403459.51000000 USD -10585.08000000 USD Empire Co. Ltd., Class A 1403860.12000000 USD -26200.67000000 USD AltaGas Ltd. 465910.47000000 USD 30504.50000000 USD Manulife Financial Corp. 2717241.52000000 USD 105913.98000000 USD Barrick Gold Corp. 508722.78000000 USD -23669.54000000 USD CCL Industries, Inc., Class B 90560.47000000 USD -583.66000000 USD WSP Global, Inc. 569519.10000000 USD -23400.61000000 USD Emera, Inc. 934902.97000000 USD -40155.87000000 USD Enbridge, Inc. 793228.62000000 USD -24077.03000000 USD CGI, Inc. 777334.77000000 USD 30266.74000000 USD TC Energy Corp. 1546300.50000000 USD 4445.22000000 USD TransAlta Renewables, Inc. 302955.02000000 USD 4420.01000000 USD Parkland Corp. 294547.23000000 USD 9857.56000000 USD First Quantum Minerals Ltd. 676406.68000000 USD 119659.17000000 USD Shopify, Inc., Class A 907387.20000000 USD 24004.47000000 USD Loblaw Cos. Ltd. 999192.90000000 USD 50909.27000000 USD George Weston Ltd. 997170.85000000 USD 44502.57000000 USD Royal Bank of Canada 1103865.76000000 USD -974.21000000 USD Franco-Nevada Corp. 1949574.05000000 USD 134830.57000000 USD Metro, Inc. 1002212.93000000 USD -25965.57000000 USD Pan American Silver Corp. 423693.95000000 USD 34679.58000000 USD Brookfield Infrastructure Corp., Class A 585345.68000000 USD 7949.33000000 USD MEG Energy Corp. 469505.50000000 USD -22992.36000000 USD Keyera Corp. 124251.09000000 USD 1479.18000000 USD Gildan Activewear, Inc. 485835.10000000 USD 13542.03000000 USD Suncor Energy, Inc. 2293539.99000000 USD 4961.09000000 USD Bausch Health Cos., Inc. 544754.26000000 USD 59740.71000000 USD Canadian Natural Resources Ltd. 926422.32000000 USD 1050.57000000 USD Saputo, Inc. 837084.38000000 USD -12823.17000000 USD Descartes Systems Group, Inc. (The) 130685.96000000 USD 1398.66000000 USD BlackBerry Ltd. 1004736.45000000 USD -16439.45000000 USD Lundin Mining Corp. 1225641.88000000 USD -148509.61000000 USD Capital Power Corp. 952930.80000000 USD 23712.12000000 USD Imperial Oil Ltd. 1936602.77000000 USD -80744.97000000 USD Toromont Industries Ltd. 1003767.19000000 USD 49640.65000000 USD Tourmaline Oil Corp. 119332.16000000 USD -1016.28000000 USD Alimentation Couche-Tard, Inc. 332301.89000000 USD -18729.62000000 USD Canadian National Railway Co. 188523.96000000 USD 5078.00000000 USD Open Text Corp. 1236541.41000000 USD 20824.89000000 USD Canadian Utilities Ltd., Class A 204685.03000000 USD 6717.98000000 USD Turquoise Hill Resources Ltd. 198034.99000000 USD 1130.02000000 USD Toronto-Dominion Bank (The) 1476584.81000000 USD 26291.97000000 USD Northland Power, Inc. 105802.73000000 USD 4086.33000000 USD SNC-Lavalin Group, Inc. 185468.94000000 USD -1507.88000000 USD BCE, Inc. 760498.32000000 USD -16106.65000000 USD Fortis, Inc. 480011.58000000 USD -22797.59000000 USD Lightspeed Commerce, Inc. 760398.38000000 USD -26428.81000000 USD Ritchie Bros Auctioneers, Inc. 808806.91000000 USD -60165.58000000 USD Dollarama, Inc. 1463455.41000000 USD -42055.59000000 USD Bank of Nova Scotia (The) 754342.98000000 USD -30795.57000000 USD Brookfield Asset Management, Inc., Class A 2018379.41000000 USD -26084.54000000 USD Cameco Corp. 1288587.44000000 USD -5756.66000000 USD Finning International, Inc. 1201013.85000000 USD -61463.87000000 USD National Bank of Canada 296550.60000000 USD -4318.19000000 USD Bank of Montreal 988932.20000000 USD -4016.51000000 USD Magna International, Inc. 855550.87000000 USD -10046.79000000 USD Agnico Eagle Mines Ltd. 866405.97000000 USD 95049.79000000 USD Stantec, Inc. 325144.95000000 USD 9456.25000000 USD Y 2025-01-21 0.00000000 USD 0.00000000 USD 89836906.00000000 USD -497708.02000000 N N N N/A N/A N/A 45.00000000 NC -26121.60000000 -0.00438955107 N/A DE SG N 1 Singapore Exchange Derivatives Clearing 549300ZLWT3FK3F0FW61 Long MSCI Singapore Index SIMSCI Index 2022-07-28 1262475.00000000 SGD -26121.60000000 N N N N/A N/A N/A 1.00000000 NC N/A -2167.68000000 -0.00036426337 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 741030.09000000 USD 950927.00000000 CAD 2022-09-21 -2167.68000000 N N N N/A N/A N/A 1.00000000 NC N/A -7572.19000000 -0.00127245324 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 289609.03000000 USD 1990000.00000000 DKK 2022-09-21 -7572.19000000 N N N N/A N/A N/A 2465394.40000000 PA -104086.86000000 -0.01749106442 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Australia Net Return Index M7AU Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 2465394.40000000 AUD -104086.86000000 N N N N/A N/A N/A 1.00000000 NC N/A -44359.02000000 -0.00745422118 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1025612.00000000 USD 132385500.00000000 JPY 2022-09-21 -44359.02000000 N N N N/A N/A N/A 1.00000000 NC N/A -8126.04000000 -0.00136552384 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 334202.47000000 USD 267455.00000000 GBP 2022-09-21 -8126.04000000 N N N N/A N/A N/A 1.00000000 NC N/A -16558.94000000 -0.00278261335 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1240459.20000000 USD 1699500.00000000 SGD 2022-09-21 -16558.94000000 N N N N/A N/A N/A 1.00000000 NC N/A -10344.44000000 -0.00173831035 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 336420.87000000 USD 267455.00000000 GBP 2022-09-21 -10344.44000000 N N N N/A N/A 000000000 161692725.08999991 PA -5443399.03999999 -0.91472490662 N/A DE GB N 2 Morgan Stanley International 4PQUHN3JPFGFNF3BB653 N/A N/A Rec/pay the total return of custom basket plus ESTR +/- spread (-2.20% to 0.35%). EUR Currency. Maturity 6-61 Months 12/16/22 Industria de Diseno Textil SA 2747986.59000000 USD -6887.99000000 USD thyssenkrupp AG 1398386.16000000 USD -299179.11000000 USD Aena SME SA 643747.04000000 USD 79501.94000000 USD Henkel AG & Co. KGaA 1297265.10000000 USD 17338.12000000 USD ACS Actividades de Construccion y Servicios SA 485069.23000000 USD 25727.25000000 USD Fluidra SA 896606.86000000 USD 78692.87000000 USD QIAGEN NV 983948.67000000 USD 76247.35000000 USD UPM-Kymmene OYJ 994472.12000000 USD 40775.39000000 USD Iberdrola SA 1392463.94000000 USD -2310.10000000 USD Orion OYJ, Class B 469878.52000000 USD -47935.44000000 USD Grifols SA 631191.63000000 USD -8000.79000000 USD HeidelbergCement AG 1074403.82000000 USD -86000.94000000 USD Argenx SE 2930812.72000000 USD -233887.19000000 USD SAP SE 1493956.13000000 USD 35042.54000000 USD Signify NV 503794.80000000 USD 21360.26000000 USD Mercedes-Benz Group AG 162096.71000000 USD -6516.87000000 USD Deutsche Lufthansa AG (Registered) 1376465.76000000 USD 86753.17000000 USD Huhtamaki OYJ 708346.23000000 USD -26517.22000000 USD Wartsila OYJ Abp 494798.09000000 USD 26597.59000000 USD Zalando SE 1441600.24000000 USD 13941.58000000 USD Ageas SA/NV 317554.80000000 USD -112.57000000 USD ASM International NV 2225580.56000000 USD -32078.82000000 USD Vitesco Technologies Group AG 10991.51000000 USD 1511.88000000 USD KION Group AG 343479.56000000 USD -2263.30000000 USD Aegon NV 3031786.35000000 USD -149149.56000000 USD Amadeus IT Group SA 1298280.66000000 USD -22647.80000000 USD Siemens AG (Registered) 1955497.74000000 USD 83552.47000000 USD NN Group NV 2303596.15000000 USD -85253.25000000 USD Siemens Energy AG 39203.99000000 USD 3473.36000000 USD JDE Peet's NV 457920.39000000 USD -18363.37000000 USD Rational AG 267009.44000000 USD 8968.19000000 USD Continental AG 2116542.09000000 USD 83817.36000000 USD Elisa OYJ 26459.73000000 USD -1113.80000000 USD HelloFresh SE 40878.76000000 USD -2326.25000000 USD HUGO BOSS AG 1599301.60000000 USD 56533.87000000 USD Deutsche Post AG (Registered) 1452894.68000000 USD 32405.55000000 USD CompuGroup Medical SE & Co. KgaA 45912.65000000 USD -2810.99000000 USD CaixaBank SA 3728632.80000000 USD 88993.15000000 USD Aurubis AG 1266110.73000000 USD -181686.82000000 USD Naturgy Energy Group SA 885479.03000000 USD -14885.30000000 USD Allianz SE (Registered) 1579117.80000000 USD 4329.70000000 USD BE Semiconductor Industries NV 530165.79000000 USD -23744.74000000 USD Deutsche Bank AG (Registered) 3082208.35000000 USD -275998.24000000 USD Stora Enso OYJ, Class R 59736.09000000 USD -2485.57000000 USD Deutsche Telekom AG (Registered) 2796250.89000000 USD -118115.29000000 USD Mapfre SA 1821657.58000000 USD 2649.58000000 USD GEA Group AG 1767202.07000000 USD -47667.03000000 USD Fortum OYJ 48397.80000000 USD 4200.23000000 USD Siemens Healthineers AG 630497.29000000 USD -47992.51000000 USD LANXESS AG 651311.04000000 USD 69926.19000000 USD Adyen NV 1565798.67000000 USD -155659.34000000 USD Proximus SADP 1684630.07000000 USD -147620.84000000 USD Fraport AG Frankfurt Airport Services Worldwide 494612.69000000 USD 84965.49000000 USD Neste OYJ 1389808.37000000 USD -9032.91000000 USD Kesko OYJ, Class B 412992.06000000 USD 6901.83000000 USD Scout24 SE 361277.14000000 USD 24706.70000000 USD Volkswagen AG 1055979.50000000 USD -91865.92000000 USD Anheuser-Busch InBev SA/NV 576323.67000000 USD -3875.47000000 USD Koninklijke Ahold Delhaize NV 2129564.27000000 USD -15172.53000000 USD Brenntag SE 306241.67000000 USD 25671.80000000 USD SBM Offshore NV 330831.28000000 USD -485.55000000 USD Solvay SA 503623.60000000 USD -25534.31000000 USD Bayerische Motoren Werke AG 1500178.92000000 USD -65514.55000000 USD D'ieteren Group 842440.24000000 USD -19637.22000000 USD Galapagos NV 354470.54000000 USD -6630.20000000 USD Bankinter SA 1630084.66000000 USD -54801.77000000 USD Daimler Truck Holding AG 194753.96000000 USD -13128.80000000 USD Beiersdorf AG 161827.43000000 USD 253.46000000 USD OCI NV 1845776.80000000 USD 1793.92000000 USD United Internet AG (Registered), Class G 585407.50000000 USD -16464.25000000 USD Acciona SA 1568592.16000000 USD 3603.32000000 USD Bechtle AG 879201.76000000 USD 65167.35000000 USD ArcelorMittal SA 1822981.88000000 USD -273257.99000000 USD IMCD NV 759150.13000000 USD -29836.46000000 USD Merck KGaA 555000.95000000 USD -12721.62000000 USD Ferrovial SA 2547836.95000000 USD -71817.28000000 USD Valmet OYJ 463713.59000000 USD -13690.06000000 USD Infineon Technologies AG 530515.36000000 USD 16902.79000000 USD TeamViewer AG 235492.63000000 USD -5699.72000000 USD Koninklijke DSM NV 1392538.75000000 USD 18886.99000000 USD HOCHTIEF AG 833844.51000000 USD -37806.17000000 USD Stroeer SE & Co. KGaA 294202.66000000 USD -14027.82000000 USD Freenet AG 1448188.04000000 USD 20802.23000000 USD ASR Nederland NV 2182559.52000000 USD 6256.20000000 USD Knorr-Bremse AG 1231582.66000000 USD -70312.98000000 USD E.ON SE 127794.90000000 USD 7845.67000000 USD Muenchener Rueckversicherungs-Gesellschaft AG (Registered) 125843.21000000 USD -1144.04000000 USD Carl Zeiss Meditec AG 1273110.06000000 USD -91861.82000000 USD METRO AG 1177198.52000000 USD 37033.11000000 USD Telefonica SA 2728572.11000000 USD 265427.74000000 USD Enagas SA 1537630.65000000 USD -3553.04000000 USD Puma SE 1626882.46000000 USD 43922.30000000 USD Aperam SA 649245.66000000 USD 82945.53000000 USD Wolters Kluwer NV 222523.69000000 USD -14541.00000000 USD Evonik Industries AG 500618.13000000 USD -51740.53000000 USD Nokia OYJ 1633072.78000000 USD -9967.60000000 USD Covestro AG 2243341.55000000 USD -173957.46000000 USD ProSiebenSat.1 Media SE 2830974.75000000 USD -80537.20000000 USD Koninklijke Vopak NV 312999.47000000 USD 8435.86000000 USD Banco Bilbao Vizcaya Argentaria SA 1228045.83000000 USD 6504.78000000 USD Sampo OYJ, Class A 463363.23000000 USD -8461.94000000 USD Aalberts NV 1000568.16000000 USD -94602.91000000 USD Banco de Sabadell SA 1558602.89000000 USD -64283.63000000 USD Endesa SA 1102847.53000000 USD -63119.80000000 USD Kone OYJ, Class B 875751.44000000 USD -17604.01000000 USD Randstad NV 1300716.15000000 USD -12543.37000000 USD Bayer AG (Registered) 1586425.83000000 USD -100257.33000000 USD Umicore SA 582878.47000000 USD 79806.17000000 USD RWE AG 1049886.28000000 USD 62358.12000000 USD Cellnex Telecom SA 4245080.34000000 USD 155748.49000000 USD Evotec SE 551263.29000000 USD 244.52000000 USD Sartorius AG 1269453.25000000 USD -94516.30000000 USD Koninklijke Philips NV 82126.43000000 USD -921.38000000 USD CTS Eventim AG & Co. KGaA 339441.62000000 USD 22687.46000000 USD Symrise AG 1546763.62000000 USD -94579.99000000 USD Akzo Nobel NV 800535.83000000 USD 64324.96000000 USD Prosus NV 4486456.27000000 USD -937415.57000000 USD Etablissements Franz Colruyt NV 727746.73000000 USD -24959.33000000 USD Repsol SA 4303044.26000000 USD 76537.34000000 USD Uniper SE 472251.20000000 USD -102213.12000000 USD Hannover Rueck SE 935220.55000000 USD -11967.38000000 USD Delivery Hero SE 1628775.31000000 USD -38894.36000000 USD Fresenius Medical Care AG & Co. KGaA 2109857.96000000 USD 51819.08000000 USD Red Electrica Corp. SA 1421289.67000000 USD -43398.65000000 USD FUCHS PETROLUB SE 547896.89000000 USD -37693.80000000 USD Elia Group SA/NV 496219.97000000 USD -4636.40000000 USD Banco Santander SA 2165867.04000000 USD -1480.02000000 USD Koninklijke KPN NV 1137808.32000000 USD -17042.87000000 USD adidas AG 3089002.86000000 USD -62830.33000000 USD MTU Aero Engines AG 526675.71000000 USD -10874.72000000 USD UCB SA 78892.31000000 USD -936.02000000 USD ASML Holding NV 69448.38000000 USD 2177.05000000 USD Metso Outotec OYJ 320407.59000000 USD -29256.09000000 USD BASF SE 2132834.52000000 USD -150649.79000000 USD Acerinox SA 1296723.64000000 USD -116130.35000000 USD Software AG 257749.13000000 USD 2383.68000000 USD Nemetschek SE 461263.68000000 USD -27277.36000000 USD Telefonica Deutschland Holding AG 87177.47000000 USD -3270.58000000 USD Rheinmetall AG 1301975.04000000 USD -21183.08000000 USD Nokian Renkaat OYJ 1885609.59000000 USD -136007.89000000 USD Y 2022-12-16 0.00000000 USD 0.00000000 USD 161692725.00000000 USD -3468382.09000000 N N N N/A N/A N/A 1.00000000 NC N/A -3672.41000000 -0.00061712265 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 698516.49000000 USD 964856.00000000 SGD 2022-09-21 -3672.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -610.08000000 -0.00010251965 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 26679.28000000 USD 265780.00000000 SEK 2022-09-21 -610.08000000 N N N N/A N/A N/A 1.00000000 NC N/A -337.61000000 -0.00005673298 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 57949.86000000 USD 80000.00000000 SGD 2022-09-21 -337.61000000 N N N N/A N/A N/A 1.00000000 NC N/A -17.43000000 -0.00000292898 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 4830.12000000 USD 6194.00000000 CAD 2022-09-21 -17.43000000 N N N United States of America 254900HROIFWPRGM1V77 912796U49 12583000.00000000 PA USD 12541028.65000000 2.107431620682 Long STIV UST US N 2 2022-09-15 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -11757.34000000 -0.00197573825 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 542324.17000000 USD 5409221.00000000 SEK 2022-09-21 -11757.34000000 N N N N/A N/A N/A 162626.56000000 PA -16327.24000000 -0.00274367779 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Italy Net Return Index M7IT Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 162626.56000000 EUR -16327.24000000 N N N N/A N/A N/A 8712504.92000000 PA -84595.27000000 -0.01421563987 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Sweden Net Return Index M7SE Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 8712504.92000000 SEK -84595.27000000 N N N N/A N/A N/A 1.00000000 NC N/A -11051.73000000 -0.00185716546 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 479217.77000000 USD 384000.00000000 GBP 2022-09-21 -11051.73000000 N N N N/A N/A N/A 1.00000000 NC N/A -9966.41000000 -0.00167478507 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 336042.84000000 USD 267455.00000000 GBP 2022-09-21 -9966.41000000 N N N United States of America 254900HROIFWPRGM1V77 912796K57 15982000.00000000 PA USD 15975852.20000000 2.684629549397 Long STIV UST US N 2 2022-07-14 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1601.78000000 -0.00026916785 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 74500.00000000 CHF 76887.76000000 USD 2022-09-21 -1601.78000000 N N N N/A N/A N/A 1.00000000 NC N/A -10873.98000000 -0.00182729582 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 336950.41000000 USD 267455.00000000 GBP 2022-09-21 -10873.98000000 N N N N/A N/A 000000000 10400232.28999999 PA -396391.16000000 -0.06661074526 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 (-0.70% to 0.35%). NOK Currency. Maturity 20-25 Months 02/21/24 Telenor ASA 124892.75000000 USD 3343.61000000 USD TOMRA Systems ASA 130268.42000000 USD 3359.18000000 USD Norsk Hydro ASA 799150.46000000 USD -81230.70000000 USD Yara International ASA 735740.08000000 USD -51319.28000000 USD Adevinta ASA 1199964.88000000 USD -114395.00000000 USD Gjensidige Forsikring ASA 42321.21000000 USD -1140.98000000 USD Subsea 7 SA 645088.14000000 USD 10743.48000000 USD Equinor ASA 2845719.02000000 USD -62969.58000000 USD Orkla ASA 177949.66000000 USD 9794.70000000 USD Kongsberg Gruppen ASA 569257.43000000 USD -23841.02000000 USD Schibsted ASA, Class A 222764.94000000 USD -24946.12000000 USD Leroy Seafood Group ASA 711931.15000000 USD 10828.22000000 USD Bakkafrost P/F 868463.11000000 USD -33945.31000000 USD Salmar ASA 1326721.04000000 USD 6998.77000000 USD Y 2024-02-21 0.00000000 USD 0.00000000 USD 10400232.00000000 USD -348720.05000000 N N N N/A N/A N/A 1.00000000 NC N/A 20.29000000 0.000003409591 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 372192.93000000 USD 479044.00000000 CAD 2022-09-21 20.29000000 N N N N/A N/A N/A 1.00000000 NC N/A -2537.97000000 -0.00042648800 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 374751.19000000 USD 479044.00000000 CAD 2022-09-21 -2537.97000000 N N N N/A N/A N/A 1.00000000 NC N/A -1329.24000000 -0.00022336942 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 63102.84000000 USD 99000.00000000 NZD 2022-09-21 -1329.24000000 N N N N/A N/A N/A 1.00000000 NC N/A -44360.30000000 -0.00745443627 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1025613.28000000 USD 132385500.00000000 JPY 2022-09-21 -44360.30000000 N N N N/A N/A N/A 1.00000000 NC N/A -26485.29000000 -0.00445066662 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1327474.04000000 USD 1234367.00000000 EUR 2022-09-21 -26485.29000000 N N N N/A N/A N/A 1.00000000 NC N/A 5050.97000000 0.000848779967 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1295936.73000000 USD 1234366.00000000 EUR 2022-09-21 5050.97000000 N N N N/A N/A N/A 1.00000000 NC N/A -10849.06000000 -0.00182310819 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 335303.98000000 USD 266125.00000000 GBP 2022-09-21 -10849.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -2537.71000000 -0.00042644430 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1303526.46000000 USD 1234367.00000000 EUR 2022-09-21 -2537.71000000 N N N N/A N/A N/A 69.00000000 NC -58192.22000000 -0.00977879310 N/A DE GB N 1 LCH Clearnet F226TOH6YD6XJB17KS62 Long CAC 40 10 Euro Index FR0003500008 2022-07-15 4080660.00000000 EUR -58192.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 32249.62000000 0.005419321719 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1746824.74000000 USD 1688646.00000000 CHF 2022-09-21 32249.62000000 N N N N/A N/A N/A 1.00000000 NC N/A -7783.31000000 -0.00130793047 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 333860.96000000 USD 267456.00000000 GBP 2022-09-21 -7783.31000000 N N N N/A N/A N/A 1.00000000 NC N/A -1666.63000000 -0.00028006544 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 131294.20000000 USD 180000.00000000 SGD 2022-09-21 -1666.63000000 N N N N/A N/A N/A 1.00000000 NC N/A -7113.16000000 -0.00119531648 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 674341.53000000 USD 966000.00000000 AUD 2022-09-21 -7113.16000000 N N N N/A N/A N/A 1.00000000 NC N/A -114864.21000000 -0.01930212225 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1878927.26000000 USD 237998126.00000000 JPY 2022-09-21 -114864.21000000 N N N N/A N/A N/A 777090.69000000 PA -36009.68000000 -0.00605117334 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI United Kingdom Net Return Index M7GB Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 777090.69000000 GBP -36009.68000000 N N N N/A N/A N/A 65.00000000 NC -28528.82000000 -0.00479406746 N/A DE GB N 1 ICE Clear Europe 5R6J7JCQRIPQR1EEP713 Long FTSE 100 Index GB0001383545 2022-09-16 4628650.00000000 GBP -28528.82000000 N N N N/A N/A N/A 1.00000000 NC N/A -379.34000000 -0.00006374541 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 8179.04000000 USD 12500.00000000 NZD 2022-09-21 -379.34000000 N N N N/A N/A N/A 18.00000000 NC -14213.29000000 -0.00238844337 N/A DE GB N 1 LCH Clearnet F226TOH6YD6XJB17KS62 Long Amsterdam Exchange Index NL0000000107 2022-07-15 2372292.00000000 EUR -14213.29000000 N N N N/A N/A N/A 1.00000000 NC N/A 245.25000000 0.000041212536 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 89809.00000000 SEK 9054.22000000 USD 2022-09-21 245.25000000 N N N N/A N/A 000000000 4348800.00000000 PA -780.04000000 -0.00013108023 N/A DE US N 2 J.P. Morgan Securities ZBUT11V806EZRVTWT807 N/A N/A Y 2022-07-28 0.00000000 USD 0.00000000 USD 4348800.00000000 HKD -780.04000000 N N N N/A N/A N/A 1.00000000 NC N/A -7783.70000000 -0.00130799601 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 333860.13000000 USD 267455.00000000 GBP 2022-09-21 -7783.70000000 N N N N/A N/A N/A 1.00000000 NC N/A -692.17000000 -0.00011631429 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 61824.73000000 USD 601064.00000000 NOK 2022-09-21 -692.17000000 N N N N/A N/A N/A 1.00000000 NC N/A -19014.21000000 -0.00319520419 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 686242.58000000 USD 966000.00000000 AUD 2022-09-21 -19014.21000000 N N N N/A N/A N/A 1.00000000 NC N/A -16818.72000000 -0.00282626755 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 319412.88000000 USD 3085000.00000000 SEK 2022-09-21 -16818.72000000 N N N N/A N/A 000000000 23393254.19999999 PA -635876.24000000 -0.10685452783 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 (-1.70% to 0.35%). DKK Currency. Maturity 21-25 Months 02/21/24 DSV A/S 561203.74000000 USD -3815.44000000 USD Orsted A/S 704617.01000000 USD -46346.43000000 USD H Lundbeck A/S, Class A 238195.17000000 USD 6713.66000000 USD Coloplast A/S, Class B 1338895.01000000 USD -77611.44000000 USD Genmab A/S 762769.72000000 USD 104759.35000000 USD Demant A/S 110330.86000000 USD 5750.90000000 USD GN Store Nord A/S 991923.69000000 USD -122248.81000000 USD SimCorp A/S 635700.92000000 USD -16969.10000000 USD ROCKWOOL A/S 146437.03000000 USD 2736.63000000 USD Royal Unibrew A/S 478274.48000000 USD -11206.42000000 USD Novozymes A/S, Class B 787433.84000000 USD -51343.05000000 USD Pandora A/S 2145746.17000000 USD -66454.86000000 USD Chr Hansen Holding A/S 561571.79000000 USD -37725.26000000 USD Ambu A/S, Class B 539099.75000000 USD 14375.41000000 USD Tryg A/S 1381421.20000000 USD -35481.12000000 USD Vestas Wind Systems A/S 2917678.23000000 USD 218850.99000000 USD H Lundbeck A/S 737033.59000000 USD 26085.90000000 USD Carlsberg A/S, Class B 1585392.85000000 USD 45069.87000000 USD ISS A/S 1901315.01000000 USD -28300.06000000 USD AP Moller - Maersk A/S, Class B 2993187.35000000 USD 1773.10000000 USD Novo Nordisk A/S, Class B 1875026.79000000 USD 71623.06000000 USD Y 2024-02-21 0.00000000 USD 0.00000000 USD 23393254.00000000 USD 236.86999999 N N N N/A N/A N/A 1.00000000 NC N/A -21674.64000000 -0.00364227074 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 958338.16000000 USD 1205500.00000000 CAD 2022-09-21 -21674.64000000 N N N N/A N/A N/A 1.00000000 NC N/A -2133.92000000 -0.00035859024 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 378415.47000000 USD 484280.00000000 CAD 2022-09-21 -2133.92000000 N N N N/A N/A N/A 1.00000000 NC N/A -782.16000000 -0.00013143648 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 48923.14000000 USD 473329.00000000 NOK 2022-09-21 -782.16000000 N N N N/A N/A N/A 1.00000000 NC N/A -57.36000000 -0.00000963894 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 9736.35000000 USD 12457.00000000 CAD 2022-09-21 -57.36000000 N N N N/A N/A 000000000 74990426.06999999 PA -1927011.02000000 -0.32382064265 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 (-0.10% to 0.03%). EUR Currency. Maturity 32-61 Months 01/13/25 to 07/01/27 Vivendi SE 429728.07000000 USD 57458.02000000 USD Legrand SA 292093.64000000 USD 11630.99000000 USD Eiffage SA 2241598.91000000 USD -199411.98000000 USD Amundi SA 1016683.98000000 USD 11376.43000000 USD EssilorLuxottica SA 3860817.64000000 USD 28411.42000000 USD Arkema SA 497355.95000000 USD -129140.70000000 USD Atos SE 2442374.98000000 USD -1262955.11000000 USD Veolia Environnement SA 191743.14000000 USD -25151.20000000 USD Teleperformance 18835.83000000 USD -316.08000000 USD Dassault Systemes SE 383743.42000000 USD -23737.41000000 USD Sodexo SA 1048495.15000000 USD -33586.77000000 USD AXA SA 1658318.91000000 USD -53328.35000000 USD Alstom SA 1475796.60000000 USD 315635.68000000 USD Rubis SCA 1196852.58000000 USD -322967.83000000 USD Kering SA 193816.89000000 USD 1664.53000000 USD Valeo 1107523.97000000 USD 166514.36000000 USD Sartorius Stedim Biotech 1367138.84000000 USD 86814.86000000 USD Bouygues SA 1340063.23000000 USD -96856.49000000 USD Ubisoft Entertainment SA 225985.47000000 USD 20922.08000000 USD Airbus SE 1159634.12000000 USD 149907.68000000 USD Safran SA 553683.77000000 USD -55.22000000 USD Air Liquide SA 3915865.78000000 USD 409624.30000000 USD Capgemini SE 214367.94000000 USD 15476.16000000 USD Air France-KLM 137171.91000000 USD -6923.39000000 USD Vinci SA 156903.10000000 USD 1721.99000000 USD Engie SA 181836.04000000 USD -5173.21000000 USD Remy Cointreau SA 600254.20000000 USD 6692.55000000 USD SES SA 1188141.57000000 USD -36821.57000000 USD Danone SA 96323.76000000 USD 1161.06000000 USD TotalEnergies SE 1684751.43000000 USD -183858.67000000 USD Orpea SA 641008.78000000 USD -4954.62000000 USD SCOR SE 189888.64000000 USD -34150.49000000 USD Pernod Ricard SA 457195.36000000 USD 1125.62000000 USD STMicroelectronics NV 1763887.67000000 USD -339122.14000000 USD BioMerieux 1075560.00000000 USD 23540.94000000 USD Ipsen SA 2242475.34000000 USD -4930.96000000 USD Getlink SE 584077.97000000 USD 15397.85000000 USD Electricite de France SA 2271704.04000000 USD -204445.57000000 USD Cie de Saint-Gobain 2223374.96000000 USD -584052.28000000 USD Orange SA 2693630.71000000 USD 94001.70000000 USD Eurofins Scientific SE 853991.24000000 USD -102839.21000000 USD Accor SA 786636.39000000 USD 120163.48000000 USD SOITEC 1185605.42000000 USD 336755.74000000 USD Renault SA 1641464.29000000 USD -215259.72000000 USD Hermes International 1413538.02000000 USD 87.85000000 USD L'Oreal SA 2255794.42000000 USD -61064.40000000 USD Korian SA 341056.18000000 USD -49514.40000000 USD Schneider Electric SE 4593328.03000000 USD 537144.89000000 USD Bollore SE 213964.77000000 USD 10523.65000000 USD Bureau Veritas SA 352551.60000000 USD 24830.75000000 USD Casino Guichard Perrachon SA 213495.63000000 USD -66474.30000000 USD Rexel SA 1516722.05000000 USD -413106.77000000 USD SEB SA 208646.61000000 USD -1465.40000000 USD Aeroports de Paris 1680828.21000000 USD 103665.85000000 USD Dassault Aviation SA 1483234.50000000 USD -67715.07000000 USD Eutelsat Communications SA 1267072.07000000 USD -17771.14000000 USD La Francaise des Jeux SAEM 1159825.40000000 USD -26761.99000000 USD Carrefour SA 569692.79000000 USD -57373.23000000 USD Thales SA 1282283.54000000 USD 10590.19000000 USD Publicis Groupe SA 1225038.09000000 USD -59509.56000000 USD Sanofi 1097205.19000000 USD 23125.46000000 USD Faurecia SE 89841.03000000 USD 5065.00000000 USD Edenred 482233.29000000 USD -10381.85000000 USD Worldline SA 141364.71000000 USD 8798.86000000 USD Cie Plastic Omnium SA 191996.23000000 USD 13901.21000000 USD LVMH Moet Hennessy Louis Vuitton SE 2200845.02000000 USD 10404.51000000 USD Cie Generale des Etablissements Michelin SCA 1521467.06000000 USD 176011.38000000 USD Y 2025-01-13 0.00000000 USD 0.00000000 USD 74990426.00000000 USD -1901030.02000000 N N N N/A N/A N/A 1.00000000 NC N/A -5689.45000000 -0.00095607203 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 264015.96000000 USD 374000.00000000 AUD 2022-09-21 -5689.45000000 N N N N/A N/A N/A 7.00000000 NC -27828.22000000 -0.00467633655 N/A DE IT N 1 Cassa di Compensazione e Garanzia 8156006407E264D2C725 Long FTSE/MIB Index IT0003465736 2022-09-16 742280.00000000 EUR -27828.22000000 N N N N/A N/A 000000000 793232676.67999971 PA USD -4662406.84000000 -0.78348466280 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 (-3.29% to 0.02%). USD Currency. Maturity 32-61 Months 01/13/25 to 07/01/27 MSA Safety, Inc. 631137.91000000 USD 24866.01000000 USD Tyson Foods, Inc., Class A 5596137.56000000 USD 48769.50000000 USD NXP Semiconductors NV 271190.96000000 USD -66300.08000000 USD NCR Corp. 570961.83000000 USD -24539.26000000 USD ASGN, Inc. 119039.75000000 USD 4154.85000000 USD Affirm Holdings, Inc. 1143938.46000000 USD 172430.94000000 USD Vornado Realty Trust 529429.62000000 USD -53887.38000000 USD Zions Bancorp NA 2825764.40000000 USD -172802.83000000 USD Rocket Cos., Inc., Class A 668825.28000000 USD 89964.27000000 USD Okta, Inc. 399839.20000000 USD 19991.96000000 USD Paysafe Ltd. 88434.45000000 USD -32199.21000000 USD Coupa Software, Inc. 82509.50000000 USD 11993.50000000 USD White Mountains Insurance Group Ltd. 2390077.34000000 USD -10089.69000000 USD Consolidated Edison, Inc. 703169.40000000 USD 4362.46000000 USD Royal Caribbean Cruises Ltd. 408237.54000000 USD 169095.24000000 USD SLM Corp. 1158567.02000000 USD 180175.38000000 USD Shift4 Payments, Inc., Class A 1277504.52000000 USD 279578.02000000 USD Lear Corp. 367221.13000000 USD -43696.66000000 USD Alteryx, Inc., Class A 686547.18000000 USD 81245.67000000 USD Bank OZK 834929.91000000 USD -42936.71000000 USD Jefferies Financial Group, Inc. 1391412.74000000 USD -118749.78000000 USD Cintas Corp. 426571.26000000 USD 19859.38000000 USD Floor & Decor Holdings, Inc., Class A 3226825.92000000 USD 290024.55000000 USD FactSet Research Systems, Inc. 151905.15000000 USD 5913.15000000 USD Liberty Broadband Corp., Class C 2383340.40000000 USD 108614.70000000 USD Coty, Inc., Class A 434446.38000000 USD 53703.03000000 USD Teradyne, Inc. 99400.50000000 USD -12920.40000000 USD BOK Financial Corp. 249414.00000000 USD -20592.00000000 USD Advanced Micro Devices, Inc. 71805.33000000 USD -960.76000000 USD Globe Life, Inc. 516298.59000000 USD -10805.88000000 USD Hyatt Hotels Corp., Class A 1365265.52000000 USD 303310.24000000 USD Asana, Inc., Class A 832536.06000000 USD 187533.72000000 USD Exelon Corp. 856548.00000000 USD -10952.01000000 USD Smartsheet, Inc., Class A 659055.67000000 USD -70489.68000000 USD Franklin Resources, Inc. 191864.61000000 USD -19260.54000000 USD Starbucks Corp. 3160483.47000000 USD -104259.96000000 USD Delta Air Lines, Inc. 384924.39000000 USD 7548.09000000 USD Ceridian HCM Holding, Inc. 1028745.08000000 USD 175463.53000000 USD Associated Banc-Corp. 1569976.54000000 USD -134125.67000000 USD Thor Industries, Inc. 898105.14000000 USD 20941.61000000 USD Globant SA 356178.00000000 USD 14232.66000000 USD Marriott Vacations Worldwide Corp. 368005.40000000 USD -33924.76000000 USD WP Carey, Inc. 1317474.00000000 USD -18285.00000000 USD RingCentral, Inc., Class A 1247237.16000000 USD -94427.31000000 USD Hormel Foods Corp. 4493706.24000000 USD -195461.04000000 USD JBG SMITH Properties 1878954.48000000 USD -134324.58000000 USD Bright Horizons Family Solutions, Inc. 11579.24000000 USD -65.90000000 USD Harley-Davidson, Inc. 951604.62000000 USD 7018.31000000 USD Coca-Cola Co. (The) 3242633.04000000 USD 36037.70000000 USD Stifel Financial Corp. 1846699.30000000 USD -190033.93000000 USD JB Hunt Transport Services, Inc. 350843.16000000 USD 19138.52000000 USD H&R Block, Inc. 1139317.24000000 USD -6100.70000000 USD Kilroy Realty Corp. 1382872.58000000 USD -56023.12000000 USD Constellation Brands, Inc., Class A 4139378.66000000 USD 164225.06000000 USD Domino's Pizza, Inc. 1541692.76000000 USD -16892.12000000 USD Meta Platforms, Inc., Class A 6700098.75000000 USD -705977.87000000 USD International Bancshares Corp. 1500635.28000000 USD -7488.20000000 USD Semtech Corp. 1546800.83000000 USD -115872.09000000 USD Lowe's Cos., Inc. 3479601.07000000 USD 390650.81000000 USD American Homes 4 Rent, Class A 209840.24000000 USD -2232.79000000 USD United Parcel Service, Inc., Class B 1502669.28000000 USD -43691.11000000 USD Norwegian Cruise Line Holdings Ltd. 1180299.04000000 USD 247448.72000000 USD DTE Energy Co. 3124894.50000000 USD -14290.12000000 USD Paramount Global, Class B 1698921.84000000 USD 156339.79000000 USD Intel Corp. 3547103.97000000 USD -246524.20000000 USD Penn National Gaming, Inc. 203418.54000000 USD -23270.76000000 USD Ingredion, Inc. 495723.68000000 USD -16774.98000000 USD Best Buy Co., Inc. 1845528.90000000 USD 118069.18000000 USD United Airlines Holdings, Inc. 1334838.12000000 USD 274354.08000000 USD Home Depot, Inc. (The) 1855985.09000000 USD 173167.53000000 USD Lattice Semiconductor Corp. 22940.50000000 USD 652.74000000 USD Healthpeak Properties, Inc. 1619193.63000000 USD 4764.70000000 USD Texas Roadhouse, Inc. 2522545.20000000 USD -233990.19000000 USD Aflac, Inc. 1094427.40000000 USD 41538.00000000 USD Lithia Motors, Inc. 847788.85000000 USD -112016.35000000 USD First American Financial Corp. 1336441.68000000 USD -133088.58000000 USD Qurate Retail, Inc. 137006.80000000 USD -9962.00000000 USD Dolby Laboratories, Inc., Class A 396728.64000000 USD -23340.24000000 USD Azenta, Inc. 765557.80000000 USD 22722.52000000 USD Silicon Laboratories, Inc. 793504.98000000 USD 7327.16000000 USD Match Group, Inc. 2008953.63000000 USD 309313.71000000 USD Fastly, Inc., Class A 407220.75000000 USD 28060.00000000 USD Bread Financial Holdings, Inc. 1961215.20000000 USD -668160.20000000 USD CACI International, Inc., Class A 1708995.70000000 USD 5943.70000000 USD Equifax, Inc. 736237.84000000 USD 37017.32000000 USD Enphase Energy, Inc. 2171068.80000000 USD 58602.40000000 USD Autodesk, Inc. 1212833.88000000 USD -112663.39000000 USD Splunk, Inc. 565436.32000000 USD 91022.08000000 USD BlackRock, Inc. 252751.60000000 USD -21086.15000000 USD Boston Properties, Inc. 960539.10000000 USD 103524.05000000 USD DXC Technology Co. 1340914.40000000 USD -157357.19000000 USD BorgWarner, Inc. 77918.95000000 USD -3984.56000000 USD Healthcare Trust of America, Inc., Class A 1657184.16000000 USD -78970.08000000 USD Home BancShares, Inc. 1898689.55000000 USD 56417.12000000 USD Alexandria Real Estate Equities, Inc. 1152988.50000000 USD 43248.00000000 USD Molson Coors Beverage Co., Class B 64539.84000000 USD 1053.79000000 USD Norfolk Southern Corp. 547541.61000000 USD 11844.78000000 USD CommVault Systems, Inc. 841916.50000000 USD -5889.40000000 USD Goodyear Tire & Rubber Co. (The) 806527.26000000 USD -173203.80000000 USD Petco Health & Wellness Co., Inc. 1195635.10000000 USD 109505.25000000 USD Cadence Design Systems, Inc. 321814.35000000 USD -12398.10000000 USD Charter Communications, Inc., Class A 1523191.03000000 USD 44636.23000000 USD Sempra Energy 253505.49000000 USD 8249.43000000 USD CSX Corp. 1122151.90000000 USD -22415.53000000 USD Pilgrim's Pride Corp. 2078668.80000000 USD 12736.30000000 USD Maximus, Inc. 346680.46000000 USD 3745.33000000 USD Booking Holdings, Inc. 2947048.15000000 USD -876699.56000000 USD Eversource Energy 254085.76000000 USD 10076.80000000 USD Skyworks Solutions, Inc. 1001067.84000000 USD -117028.98000000 USD Wendy's Co. (The) 2271528.32000000 USD -22856.40000000 USD Murphy USA, Inc. 198172.37000000 USD -6910.12000000 USD Raymond James Financial, Inc. 1197199.90000000 USD 55970.20000000 USD VeriSign, Inc. 1775538.63000000 USD -50353.31000000 USD Qualys, Inc. 547447.60000000 USD -11587.80000000 USD Cable One, Inc. 1536869.44000000 USD 28190.80000000 USD Twilio, Inc., Class A 813962.72000000 USD 124583.34000000 USD TransUnion 2971228.55000000 USD 47552.41000000 USD Pinterest, Inc., Class A 454435.84000000 USD 37524.91000000 USD Genuine Parts Co. 2056047.00000000 USD -101874.81000000 USD Crown Castle International Corp. 298537.74000000 USD 16963.85000000 USD Etsy, Inc. 2974009.83000000 USD 394207.79000000 USD Marsh & McLennan Cos., Inc. 1736626.50000000 USD -25168.50000000 USD Hershey Co. (The) 983066.04000000 USD -26088.99000000 USD Post Holdings, Inc. 1447960.05000000 USD 53100.66000000 USD Federal Realty OP LP 304261.72000000 USD 29936.76000000 USD Mid-America Apartment Communities, Inc. 547765.12000000 USD 16294.01000000 USD W R Berkley Corp. 336999.62000000 USD -1278.15000000 USD Planet Fitness, Inc., Class A 1628907.51000000 USD 7379.09000000 USD HubSpot, Inc. 1516177.95000000 USD -213481.36000000 USD C3.ai, Inc., Class A 1323539.58000000 USD 85529.94000000 USD Comcast Corp., Class A 1490806.08000000 USD -111696.48000000 USD Welltower, Inc. 5332409.55000000 USD 56982.64000000 USD Qorvo, Inc. 1086660.72000000 USD -124542.01000000 USD Reinsurance Group of America, Inc. 748075.62000000 USD -19826.74000000 USD Take-Two Interactive Software, Inc. 803184.15000000 USD 41447.29000000 USD Hilton Worldwide Holdings, Inc. 667414.16000000 USD -10305.11000000 USD Hudson Pacific Properties, Inc. 2630864.88000000 USD -496664.92000000 USD Arthur J Gallagher & Co. 1306765.60000000 USD -38266.24000000 USD Allstate Corp. (The) 889391.14000000 USD -7930.34000000 USD FTI Consulting, Inc. 2634441.95000000 USD -216305.72000000 USD Williams-Sonoma, Inc. 1639619.10000000 USD 83240.51000000 USD MGM Resorts International 660204.75000000 USD 120780.07000000 USD Texas Instruments, Inc. 157644.90000000 USD 8136.18000000 USD Wolfspeed, Inc. 1943219.70000000 USD 294009.60000000 USD National Storage Affiliates Trust 1596782.37000000 USD 29020.81000000 USD Envestnet, Inc. 680944.08000000 USD 92779.76000000 USD Huntington Bancshares, Inc. 2332953.84000000 USD 118690.91000000 USD Park Hotels & Resorts, Inc. 705341.46000000 USD -245855.94000000 USD New York Community Bancorp, Inc. 378758.05000000 USD -9956.40000000 USD Insperity, Inc. 1047715.85000000 USD 32639.45000000 USD Alphabet, Inc., Class A 98066.70000000 USD -5285.25000000 USD Frontdoor, Inc. 876728.72000000 USD 801.23000000 USD Las Vegas Sands Corp. 2774399.64000000 USD 92073.74000000 USD Gaming and Leisure Properties, Inc. 164545.68000000 USD 629.58000000 USD Morgan Stanley 185814.58000000 USD 12459.30000000 USD Aramark 617562.06000000 USD -63107.06000000 USD Avis Budget Group, Inc. 650976.08000000 USD 115961.20000000 USD Prosperity Bancshares, Inc. 169650.95000000 USD 4000.85000000 USD Zscaler, Inc. 325333.76000000 USD 23740.16000000 USD Playtika Holding Corp. 1640025.56000000 USD -22726.83000000 USD Old Republic International Corp. 2910221.08000000 USD -105423.93000000 USD Crowdstrike Holdings, Inc., Class A 779590.00000000 USD 23078.75000000 USD McDonald's Corp. 37772.64000000 USD -174.34000000 USD Papa John's International, Inc. 2684499.84000000 USD 104720.54000000 USD Popular, Inc. 602284.97000000 USD -28184.40000000 USD PTC, Inc. 39771.16000000 USD -2502.06000000 USD Rexford Industrial Realty, Inc. 820887.86000000 USD 78254.46000000 USD Republic Services, Inc. 1060047.00000000 USD 18394.94000000 USD SL Green Realty Corp. 712325.25000000 USD -64597.44000000 USD Ziff Davis, Inc. 561061.84000000 USD -6775.20000000 USD Monolithic Power Systems, Inc. 387880.40000000 USD -6129.86000000 USD Dick's Sporting Goods, Inc. 1152708.78000000 USD -56222.33000000 USD SoFi Technologies, Inc. 912036.74000000 USD 63029.91000000 USD MillerKnoll, Inc. 968601.17000000 USD 165582.09000000 USD Citizens Financial Group, Inc. 2031082.21000000 USD -180970.62000000 USD First Hawaiian, Inc. 1312229.22000000 USD 118453.10000000 USD Lincoln National Corp. 2693624.61000000 USD -422145.48000000 USD NRG Energy, Inc. 1652264.79000000 USD -318159.45000000 USD CarMax, Inc. 1918628.40000000 USD 200387.25000000 USD Werner Enterprises, Inc. 876399.60000000 USD -25014.00000000 USD AES Corp. (The) 266953.06000000 USD -6861.24000000 USD ZoomInfo Technologies, Inc. 1150369.92000000 USD 141892.80000000 USD WEC Energy Group, Inc. 1587998.56000000 USD -21167.57000000 USD Xcel Energy, Inc. 46135.52000000 USD 339.04000000 USD News Corp., Class A 62756.24000000 USD -1166.34000000 USD Walt Disney Co. (The) 1791806.40000000 USD 155893.26000000 USD DISH Network Corp., Class A 1657377.48000000 USD 115576.31000000 USD AvalonBay Communities, Inc. 1380340.50000000 USD 4362.48000000 USD GameStop Corp., Class A 157889.30000000 USD 8623.88000000 USD Aon plc, Class A 1642890.56000000 USD -64392.44000000 USD FirstCash Holdings, Inc. 250027.47000000 USD 5899.08000000 USD AutoZone, Inc. 1031577.60000000 USD 15673.50000000 USD Hanover Insurance Group, Inc. (The) 135281.25000000 USD 3117.25000000 USD Airbnb, Inc., Class A 26634.92000000 USD -1412.21000000 USD Voya Financial, Inc. 220499.12000000 USD -21038.72000000 USD General Mills, Inc. 453529.95000000 USD -28093.72000000 USD Charles Schwab Corp. (The) 1745284.32000000 USD 29557.68000000 USD Brixmor Property Group, Inc. 633179.30000000 USD -70492.50000000 USD Mondelez International, Inc., Class A 2142601.72000000 USD 26329.38000000 USD Adobe, Inc. 3001325.94000000 USD -419629.96000000 USD Elastic NV 403922.23000000 USD -39720.70000000 USD Bank of New York Mellon Corp. (The) 858558.64000000 USD -47960.72000000 USD Sun Communities, Inc. 890981.76000000 USD 3525.80000000 USD Cousins Properties, Inc. 550108.60000000 USD 40250.67000000 USD BellRing Brands, Inc. 170720.51000000 USD 1629.62000000 USD General Motors Co. 3143795.36000000 USD -439737.40000000 USD Omnicom Group, Inc. 464034.95000000 USD -45520.80000000 USD Host Hotels & Resorts, Inc. 472218.88000000 USD 127390.68000000 USD Dana, Inc. 151477.62000000 USD -36066.10000000 USD NortonLifeLock, Inc. 494100.00000000 USD -7837.61000000 USD Akamai Technologies, Inc. 2164429.67000000 USD 201204.51000000 USD FedEx Corp. 166631.85000000 USD 7136.85000000 USD Dollar General Corp. 604764.16000000 USD -3494.33000000 USD MKS Instruments, Inc. 943374.96000000 USD -104880.72000000 USD Lamb Weston Holdings, Inc. 1030238.82000000 USD -45441.54000000 USD Lam Research Corp. 1317655.80000000 USD -208091.60000000 USD Dynatrace, Inc. 412029.68000000 USD -30818.65000000 USD Wynn Resorts Ltd. 2274299.72000000 USD 290396.87000000 USD MarketAxess Holdings, Inc. 720924.16000000 USD 50688.00000000 USD Synovus Financial Corp. 1419685.05000000 USD -127867.42000000 USD Synaptics, Inc. 3777.60000000 USD -702.72000000 USD Interpublic Group of Cos., Inc. (The) 1243557.63000000 USD -104624.77000000 USD Axis Capital Holdings Ltd. 1670795.94000000 USD 23412.80000000 USD Sabra Health Care REIT, Inc. 978305.13000000 USD -2801.16000000 USD Roku, Inc. 2557346.76000000 USD 290390.81000000 USD Dun & Bradstreet Holdings, Inc. 1380054.60000000 USD 2754.60000000 USD Pinnacle West Capital Corp. 491073.92000000 USD -1947.64000000 USD Hawaiian Electric Industries, Inc. 252843.80000000 USD -7974.78000000 USD Nielsen Holdings plc 1430468.10000000 USD -48000.38000000 USD S&P Global, Inc. 97747.40000000 USD 182.70000000 USD Energizer Holdings, Inc. 156747.15000000 USD -7408.86000000 USD Kimco Realty Corp. 2229640.83000000 USD 153761.31000000 USD Rollins, Inc. 2265225.48000000 USD -38801.14000000 USD Bentley Systems, Inc., Class B 2081882.70000000 USD 53088.92000000 USD Analog Devices, Inc. 10372.39000000 USD -83.82000000 USD OneMain Holdings, Inc. 662859.54000000 USD -78734.52000000 USD American Express Co. 1404497.84000000 USD 226551.52000000 USD Brink's Co. (The) 1415392.94000000 USD 6712.19000000 USD NextEra Energy, Inc. 3284691.30000000 USD -6110.32000000 USD Cullen/Frost Bankers, Inc. 281110.30000000 USD -3007.46000000 USD ACI Worldwide, Inc. 2160857.07000000 USD -141316.56000000 USD National Retail Properties, Inc. 705458.00000000 USD 10610.87000000 USD RenaissanceRe Holdings Ltd. 341512.08000000 USD 7753.20000000 USD Everbridge, Inc. 208784.54000000 USD -14484.28000000 USD Procter & Gamble Co. (The) 986830.77000000 USD 11796.70000000 USD Arch Capital Group Ltd. 409228.04000000 USD -2878.72000000 USD NVIDIA Corp. 3154284.72000000 USD 481777.75000000 USD Archer-Daniels-Midland Co. 2115453.60000000 USD -85560.42000000 USD Duke Energy Corp. 2176899.05000000 USD -5909.21000000 USD Bank of America Corp. 2491489.55000000 USD -76674.69000000 USD Ally Financial, Inc. 1277200.14000000 USD -180291.17000000 USD Twitter, Inc. 739462.03000000 USD 26844.53000000 USD Science Applications International Corp. 1325837.10000000 USD 5553.99000000 USD Citrix Systems, Inc. 563780.34000000 USD 10907.76000000 USD Leslie's, Inc. 1282148.34000000 USD 284640.31000000 USD PPL Corp. 3065798.52000000 USD -209022.46000000 USD Madison Square Garden Sports Corp. 172895.00000000 USD 8724.90000000 USD PepsiCo, Inc. 3031878.72000000 USD 46678.64000000 USD Paylocity Holding Corp. 891983.88000000 USD 28229.28000000 USD Loyalty Ventures, Inc. 275200.59000000 USD -117031.46000000 USD American Tower Corp. 3489825.86000000 USD 62944.94000000 USD Allegro MicroSystems, Inc. 23379.70000000 USD -37.75000000 USD Travel + Leisure Co. 2792749.62000000 USD -438965.93000000 USD Equity LifeStyle Properties, Inc. 1605306.60000000 USD 18451.80000000 USD Public Storage 842958.32000000 USD 4596.38000000 USD Kemper Corp. 784123.00000000 USD 43801.64000000 USD Chubb Ltd. 1239830.06000000 USD -24396.59000000 USD Bank of Hawaii Corp. 1560242.40000000 USD 30720.32000000 USD SolarWinds Corp. 1484722.75000000 USD -225591.37000000 USD MongoDB, Inc. 420649.50000000 USD 50056.48000000 USD Southwest Airlines Co. 1247548.68000000 USD 204470.88000000 USD MetLife, Inc. 10548.72000000 USD 38.45000000 USD Apartment Income REIT Corp. 1234854.40000000 USD -5046.28000000 USD Teradata Corp. 1606715.13000000 USD -59041.68000000 USD Tractor Supply Co. 4434512.60000000 USD -112177.05000000 USD Kraft Heinz Co. (The) 4559255.60000000 USD 83164.16000000 USD Western Alliance Bancorp 469207.60000000 USD 20323.39000000 USD Penske Automotive Group, Inc. 1168863.85000000 USD -184892.40000000 USD First Financial Bankshares, Inc. 3945221.28000000 USD 45044.29000000 USD Global Payments, Inc. 3295854.96000000 USD -341084.05000000 USD Ollie's Bargain Outlet Holdings, Inc. 1731421.25000000 USD -43933.87000000 USD Fox Corp., Class A 760262.40000000 USD -31204.80000000 USD Urban Outfitters, Inc. 471500.88000000 USD 58439.84000000 USD KBR, Inc. 935523.87000000 USD 37119.36000000 USD Entegris, Inc. 1323263.19000000 USD 225929.99000000 USD EastGroup Properties, Inc. 300171.85000000 USD 4049.65000000 USD Netflix, Inc. 1583272.98000000 USD -139673.84000000 USD Brighthouse Financial, Inc. 186230.80000000 USD 1716.32000000 USD EPAM Systems, Inc. 7959.06000000 USD -262.47000000 USD Accenture plc, Class A 631653.75000000 USD -20421.05000000 USD SBA Communications Corp. 1281160.15000000 USD 54440.80000000 USD Fiserv, Inc. 182299.53000000 USD -4488.13000000 USD Morningstar, Inc. 109307.16000000 USD -1410.92000000 USD Southwest Gas Holdings, Inc. 1269452.24000000 USD 66621.46000000 USD Valley National Bancorp 711044.64000000 USD 76500.48000000 USD CubeSmart 2263049.28000000 USD 33903.36000000 USD ManpowerGroup, Inc. 4520874.06000000 USD -547175.22000000 USD Ameriprise Financial, Inc. 396450.24000000 USD 46737.36000000 USD Sabre Corp. 710881.05000000 USD 176805.75000000 USD JetBlue Airways Corp. 1700248.32000000 USD -126817.36000000 USD Commerce Bancshares, Inc. 3798574.65000000 USD 81005.40000000 USD Fidelity National Financial, Inc. 3044432.16000000 USD -302287.28000000 USD Expeditors International of Washington, Inc. 293452.06000000 USD 9829.14000000 USD Live Nation Entertainment, Inc. 556341.46000000 USD 5607.47000000 USD Tyler Technologies, Inc. 684243.84000000 USD 39369.54000000 USD Regions Financial Corp. 1512168.75000000 USD 172128.81000000 USD Loews Corp. 1037879.64000000 USD -40457.34000000 USD Equinix, Inc. 1114305.92000000 USD -2973.90000000 USD Uber Technologies, Inc. 705072.06000000 USD 171615.78000000 USD Leidos Holdings, Inc. 181378.71000000 USD -341.90000000 USD Prologis, Inc. 1257090.25000000 USD 48296.20000000 USD Avangrid, Inc. 88919.36000000 USD 262.46000000 USD Lucid Group, Inc. 99390.72000000 USD 1471.59000000 USD Keurig Dr Pepper, Inc. 2449731.19000000 USD -22607.70000000 USD Hartford Financial Services Group, Inc. (The) 2636305.56000000 USD -105785.64000000 USD Nasdaq, Inc. 1447757.14000000 USD 2079.61000000 USD Fulton Financial Corp. 1256311.90000000 USD -53904.04000000 USD Nordstrom, Inc. 1063494.03000000 USD 235193.25000000 USD Dollar Tree, Inc. 767561.25000000 USD -14404.61000000 USD Glacier Bancorp, Inc. 2668845.02000000 USD -14257.54000000 USD Fidelity National Information Services, Inc. 552953.44000000 USD -48678.24000000 USD Comerica, Inc. 322138.20000000 USD -23173.13000000 USD Kimberly-Clark Corp. 1746002.85000000 USD 62827.28000000 USD Virtu Financial, Inc., Class A 891733.72000000 USD -14928.88000000 USD American Electric Power Co., Inc. 1196659.62000000 USD 17965.10000000 USD ON Semiconductor Corp. 69930.90000000 USD 848.74000000 USD IAA, Inc. 815809.15000000 USD -127711.35000000 USD eBay, Inc. 382863.96000000 USD 46123.76000000 USD RH 361691.04000000 USD 128464.56000000 USD CBRE Group, Inc., Class A 361940.37000000 USD -1496.64000000 USD Douglas Emmett, Inc. 3333031.02000000 USD -375940.51000000 USD Citigroup, Inc. 5006885.31000000 USD -433298.62000000 USD Synopsys, Inc. 1431945.50000000 USD -55913.59000000 USD State Street Corp. 1953318.60000000 USD -167606.19000000 USD Tesla, Inc. 2043156.28000000 USD 138653.80000000 USD Switch, Inc., Class A 2110332.50000000 USD 8964.54000000 USD Public Service Enterprise Group, Inc. 1440632.48000000 USD 38779.19000000 USD Ross Stores, Inc. 1352208.42000000 USD 183490.62000000 USD Yum! Brands, Inc. 2723899.47000000 USD -52161.16000000 USD Colgate-Palmolive Co. 3849044.06000000 USD 134037.48000000 USD MGIC Investment Corp. 636652.80000000 USD -43117.97000000 USD Wyndham Hotels & Resorts, Inc. 1205173.36000000 USD -122094.72000000 USD Kirby Corp. 5232.24000000 USD 705.20000000 USD Caesars Entertainment, Inc. 2285552.50000000 USD 635764.23000000 USD Knight-Swift Transportation Holdings, Inc. 1751428.44000000 USD -17782.92000000 USD Atmos Energy Corp. 2466200.00000000 USD 11272.43000000 USD Pegasystems, Inc. 267329.92000000 USD -8106.63000000 USD American Airlines Group, Inc. 3410717.12000000 USD 333083.29000000 USD Rayonier, Inc. 1082487.42000000 USD 68632.83000000 USD Manhattan Associates, Inc. 1247764.80000000 USD -86189.35000000 USD Evercore, Inc., Class A 987491.89000000 USD -98406.57000000 USD Electronic Arts, Inc. 205588.50000000 USD 19491.77000000 USD XPO Logistics, Inc. 1805855.52000000 USD -152612.79000000 USD DocuSign, Inc. 853584.88000000 USD -445982.48000000 USD Ulta Beauty, Inc. 5818435.12000000 USD -446561.30000000 USD Chegg, Inc. 589447.86000000 USD -30131.52000000 USD Foot Locker, Inc. 1281892.00000000 USD -228234.40000000 USD World Wrestling Entertainment, Inc., Class A 784187.01000000 USD 49945.02000000 USD ALLETE, Inc. 169815.42000000 USD -6904.71000000 USD Snowflake, Inc., Class A 1499762.10000000 USD -55314.87000000 USD NorthWestern Corp. 1706907.45000000 USD -24040.95000000 USD Qurate Retail, Inc., Series A 2290854.09000000 USD -355684.60000000 USD Signature Bank 372577.59000000 USD 56454.98000000 USD Altria Group, Inc. 1946314.92000000 USD -67242.25000000 USD Invitation Homes, Inc. 459622.44000000 USD -13951.44000000 USD Alliant Energy Corp. 1060489.34000000 USD 10206.72000000 USD Realty Income Corp. 5382915.34000000 USD -140759.85000000 USD Marriott International, Inc., Class A 28834.12000000 USD 6707.68000000 USD JPMorgan Chase & Co. 57093.27000000 USD 6438.90000000 USD UDR, Inc. 635305.96000000 USD -10752.11000000 USD Guidewire Software, Inc. 681504.00000000 USD 50810.39000000 USD Clean Harbors, Inc. 787539.61000000 USD -23848.67000000 USD American Financial Group, Inc. 63713.79000000 USD -41.31000000 USD Liberty Media Corp.-Liberty SiriusXM 118244.00000000 USD -10725.60000000 USD Macy's, Inc. 1506252.08000000 USD -463715.16000000 USD Driven Brands Holdings, Inc. 670516.38000000 USD 34002.90000000 USD Capital One Financial Corp. 565543.32000000 USD -82234.20000000 USD Choice Hotels International, Inc. 550224.27000000 USD -16628.63000000 USD Unity Software, Inc. 1678071.50000000 USD 200983.88000000 USD Old National Bancorp/IN 66939.54000000 USD -264.71000000 USD Reynolds Consumer Products, Inc. 101226.24000000 USD -1585.36000000 USD Grab Holdings Ltd., Class A 1984463.69000000 USD 281679.94000000 USD Amazon.com, Inc. 237166.93000000 USD 22196.02000000 USD UMB Financial Corp. 843177.30000000 USD -22425.97000000 USD Saia, Inc. 67116.00000000 USD -5408.55000000 USD PROG Holdings, Inc. 223905.00000000 USD 42004.94000000 USD Black Hills Corp. 609375.98000000 USD -10068.82000000 USD CoStar Group, Inc. 977433.80000000 USD -11649.60000000 USD Clorox Co. (The) 5526416.00000000 USD -325587.21000000 USD LiveRamp Holdings, Inc. 283884.19000000 USD -8202.06000000 USD Datadog, Inc., Class A 261719.52000000 USD 11902.71000000 USD PacWest Bancorp 2788795.96000000 USD -402773.68000000 USD Cathay General Bancorp 1199086.20000000 USD -52680.16000000 USD FleetCor Technologies, Inc. 728871.59000000 USD -49981.53000000 USD Gap, Inc. (The) 777460.48000000 USD -177381.76000000 USD Dropbox, Inc., Class A 795122.19000000 USD -65155.32000000 USD QUALCOMM, Inc. 1567625.28000000 USD -110079.84000000 USD Flowers Foods, Inc. 1016820.56000000 USD -51768.22000000 USD Assured Guaranty Ltd. 203689.29000000 USD 13508.70000000 USD T. Rowe Price Group, Inc. 831397.98000000 USD 31241.77000000 USD nCino, Inc. 2104384.28000000 USD 183170.09000000 USD McCormick & Co., Inc. (Non-Voting) 6363879.75000000 USD 291661.19000000 USD Jack Henry & Associates, Inc. 414766.08000000 USD 5760.00000000 USD Mastercard, Inc., Class A 247651.80000000 USD -9558.64000000 USD GoDaddy, Inc., Class A 588060.24000000 USD -25446.54000000 USD Travelers Cos., Inc. (The) 1301624.48000000 USD -15114.15000000 USD Duck Creek Technologies, Inc. 82640.25000000 USD 24096.45000000 USD International Business Machines Corp. 3673199.04000000 USD -65111.80000000 USD American International Group, Inc. 3057471.74000000 USD -204852.18000000 USD KLA Corp. 304721.40000000 USD -29127.50000000 USD Churchill Downs, Inc. 669014.29000000 USD -481.21000000 USD Palantir Technologies, Inc., Class A 962091.18000000 USD -41368.86000000 USD Avalara, Inc. 1185797.60000000 USD 249588.56000000 USD Vroom, Inc. 217262.50000000 USD -13904.80000000 USD American Water Works Co., Inc. 585558.72000000 USD -13272.34000000 USD Hancock Whitney Corp. 2070964.61000000 USD -112538.67000000 USD Invesco Ltd. 2099900.18000000 USD -203825.35000000 USD Visteon Corp. 671819.88000000 USD 52601.46000000 USD Vimeo, Inc. 138622.54000000 USD -6909.92000000 USD Microchip Technology, Inc. 1287052.80000000 USD -161092.35000000 USD National Fuel Gas Co. 1150392.85000000 USD -124357.38000000 USD Nu Skin Enterprises, Inc., Class A 579354.00000000 USD -32513.40000000 USD Hain Celestial Group, Inc. (The) 1953445.90000000 USD -46552.69000000 USD CMS Energy Corp. 13095.00000000 USD 190.13000000 USD Nexstar Media Group, Inc., Class A 844695.68000000 USD -42531.52000000 USD Vistra Corp. 298626.65000000 USD -43781.15000000 USD Cboe Global Markets, Inc. 97456.59000000 USD 370.23000000 USD Darden Restaurants, Inc. 2389999.36000000 USD -218463.52000000 USD Webster Financial Corp. 925108.20000000 USD 77161.63000000 USD American Eagle Outfitters, Inc. 405465.06000000 USD 46059.09000000 USD Cognizant Technology Solutions Corp., Class A 1724639.46000000 USD -50539.09000000 USD Amdocs Ltd. 964229.94000000 USD -8669.28000000 USD SiTime Corp. 1060510.15000000 USD 264749.97000000 USD Five9, Inc. 1929160.38000000 USD 157059.14000000 USD Applied Materials, Inc. 1203392.46000000 USD -215071.02000000 USD Union Pacific Corp. 31352.16000000 USD 52.93000000 USD Western Union Co. (The) 1679314.14000000 USD -101962.00000000 USD Progressive Corp. (The) 4764744.60000000 USD -29915.40000000 USD Philip Morris International, Inc. 522927.04000000 USD 13815.26000000 USD Weyerhaeuser Co. 1029833.28000000 USD -74990.23000000 USD Power Integrations, Inc. 133967.86000000 USD -328.73000000 USD Pinnacle Financial Partners, Inc. 483247.73000000 USD -1578.81000000 USD Everest Re Group Ltd. 2123961.84000000 USD 17808.30000000 USD Clarivate plc 2203559.82000000 USD 80806.33000000 USD TripAdvisor, Inc. 1303885.60000000 USD -356664.66000000 USD Spirit Realty Capital, Inc. 217310.56000000 USD -13804.80000000 USD Block, Inc. 1949449.74000000 USD 426727.23000000 USD Constellation Energy Corp. 349400.52000000 USD -24102.90000000 USD Life Storage, Inc. 1716214.20000000 USD 19519.90000000 USD Booz Allen Hamilton Holding Corp. 887335.20000000 USD 31753.36000000 USD Zendesk, Inc. 393163.56000000 USD -2895.30000000 USD Markel Corp. 240544.50000000 USD -1950.04000000 USD PayPal Holdings, Inc. 644274.00000000 USD 12585.87000000 USD Carvana Co. 303565.52000000 USD 7394.20000000 USD First Solar, Inc. 1127210.85000000 USD 13963.59000000 USD Evergy, Inc. 236857.50000000 USD -820.20000000 USD ANSYS, Inc. 165349.39000000 USD 7960.32000000 USD CH Robinson Worldwide, Inc. 467112.96000000 USD 3456.00000000 USD Gartner, Inc. 2433535.29000000 USD -131222.22000000 USD Pool Corp. 2176923.54000000 USD 338491.34000000 USD Verisk Analytics, Inc. 2521921.30000000 USD -91791.00000000 USD Church & Dwight Co., Inc. 2223932.66000000 USD -142286.83000000 USD Cracker Barrel Old Country Store, Inc. 82237.65000000 USD 486.35000000 USD Light & Wonder, Inc. 750994.18000000 USD 91321.58000000 USD Washington Federal, Inc. 1117764.68000000 USD -59597.02000000 USD Primerica, Inc. 1393550.67000000 USD 40284.78000000 USD US Bancorp 572212.68000000 USD 53590.54000000 USD John Wiley & Sons, Inc., Class A 956823.84000000 USD 92244.54000000 USD Tetra Tech, Inc. 742558.90000000 USD -19339.46000000 USD Campbell Soup Co. 2206504.05000000 USD -48217.05000000 USD WEX, Inc. 890114.32000000 USD -99105.04000000 USD M&T Bank Corp. 4984603.47000000 USD 317369.78000000 USD Broadridge Financial Solutions, Inc. 1264988.70000000 USD -101.49000000 USD United Bankshares, Inc. 2087506.68000000 USD 15693.43000000 USD Truist Financial Corp. 2498422.68000000 USD 11948.08000000 USD Waste Connections, Inc. 140446.68000000 USD -200.95000000 USD Wintrust Financial Corp. 1724186.80000000 USD -101532.61000000 USD ServiceNow, Inc. 71328.00000000 USD -2505.00000000 USD Old Dominion Freight Line, Inc. 2087656.88000000 USD -31161.67000000 USD New Jersey Resources Corp. 383314.24000000 USD -3635.31000000 USD Automatic Data Processing, Inc. 588952.16000000 USD -6024.02000000 USD Macerich Co. (The) 1748340.88000000 USD -379193.55000000 USD Kyndryl Holdings, Inc. 93976.02000000 USD 3747.51000000 USD Edison International 192629.04000000 USD 10661.00000000 USD Nutanix, Inc., Class A 163958.41000000 USD -2017.26000000 USD Omega Healthcare Investors, Inc. 317503.97000000 USD 9783.48000000 USD Extra Space Storage, Inc. 61923.68000000 USD 287.56000000 USD Regency Centers Corp. 323358.12000000 USD 17500.92000000 USD New Relic, Inc. 164414.25000000 USD -1806.75000000 USD Synchrony Financial 2093126.46000000 USD -399634.95000000 USD Broadcom, Inc. 79672.84000000 USD 11547.24000000 USD Wingstop, Inc. 2786304.05000000 USD 257873.80000000 USD TJX Cos., Inc. (The) 1593679.75000000 USD 128789.68000000 USD Copart, Inc. 1097248.68000000 USD -30648.77000000 USD Wayfair, Inc., Class A 360023.40000000 USD 40584.83000000 USD Robert Half International, Inc. 1938976.99000000 USD -300408.02000000 USD Equity Residential 725811.00000000 USD 0.00000000 USD Grand Canyon Education, Inc. 2416821.21000000 USD 91991.60000000 USD Jones Lang LaSalle, Inc. 298136.30000000 USD -5285.50000000 USD Burlington Stores, Inc. 576934.05000000 USD -159574.80000000 USD Microsoft Corp. 229092.36000000 USD 7100.32000000 USD Janus Henderson Group plc 1031947.94000000 USD -131243.06000000 USD Visa, Inc., Class A 1995283.26000000 USD 93435.48000000 USD NiSource, Inc. 976413.90000000 USD -24501.40000000 USD Brown & Brown, Inc. 993588.54000000 USD 22683.79000000 USD Equitable Holdings, Inc. 87569.13000000 USD -8834.17000000 USD Vail Resorts, Inc. 3152130.80000000 USD -116007.44000000 USD Credit Acceptance Corp. 460627.93000000 USD 68859.21000000 USD Paycom Software, Inc. 373119.84000000 USD -13028.79000000 USD Copa Holdings SA, Class A 1524935.68000000 USD -42352.64000000 USD Selective Insurance Group, Inc. 1751493.24000000 USD -134535.66000000 USD Zoom Video Communications, Inc., Class A 802217.10000000 USD -18054.90000000 USD Five Below, Inc. 2288336.82000000 USD 327446.64000000 USD Unum Group 865366.74000000 USD -41511.95000000 USD PG&E Corp. 636564.32000000 USD -50610.45000000 USD CenterPoint Energy, Inc. 517295.04000000 USD -11511.58000000 USD Prudential Financial, Inc. 254317.44000000 USD -18313.62000000 USD Waste Management, Inc. 740423.20000000 USD 1790.80000000 USD FNB Corp. 1636493.40000000 USD -87400.20000000 USD Highwoods Properties, Inc. 2209802.27000000 USD -166449.56000000 USD ADT, Inc. 1216869.75000000 USD 170345.63000000 USD Landstar System, Inc. 1173975.66000000 USD -11705.85000000 USD Simon Property Group, Inc. 3136821.24000000 USD -268806.26000000 USD Chewy, Inc., Class A 1623854.40000000 USD 146937.18000000 USD Lancaster Colony Corp. 1461910.56000000 USD -64710.38000000 USD New York Times Co. (The), Class A 370316.70000000 USD -60580.32000000 USD Carnival Corp. 999083.65000000 USD -326423.60000000 USD Sea Ltd. 456921.24000000 USD 104696.88000000 USD Cincinnati Financial Corp. 308158.20000000 USD 11499.60000000 USD Brown-Forman Corp., Class B 385318.72000000 USD 10324.96000000 USD Conagra Brands, Inc. 23865.28000000 USD 64.35000000 USD Assurant, Inc. 1215654.05000000 USD 39956.62000000 USD Adient plc 432716.52000000 USD -68981.96000000 USD Oracle Corp. 1748985.84000000 USD 15351.78000000 USD Micron Technology, Inc. 2521265.52000000 USD -432138.41000000 USD Fortinet, Inc. 884345.40000000 USD -32051.51000000 USD LPL Financial Holdings, Inc. 991580.00000000 USD 39223.93000000 USD Freshpet, Inc. 535608.58000000 USD 129953.98000000 USD Tradeweb Markets, Inc., Class A 1005049.50000000 USD 3265.06000000 USD Marvell Technology, Inc. 177210.63000000 USD 52719.45000000 USD Expedia Group, Inc. 3521227.56000000 USD -724585.23000000 USD Umpqua Holdings Corp. 1407439.02000000 USD -15945.94000000 USD Opendoor Technologies, Inc. 66071.88000000 USD -27775.44000000 USD Six Flags Entertainment Corp. 1898467.90000000 USD 183825.66000000 USD SS&C Technologies Holdings, Inc. 2394226.10000000 USD -130170.19000000 USD SolarEdge Technologies, Inc. 1718710.40000000 USD 112977.20000000 USD Spire, Inc. 1133250.06000000 USD 20117.64000000 USD Kellogg Co. 2222098.32000000 USD -73972.43000000 USD Bill.com Holdings, Inc. 2397571.52000000 USD 389164.04000000 USD Schneider National, Inc., Class B 2189883.00000000 USD -95893.00000000 USD CME Group, Inc. 1166790.00000000 USD -38589.00000000 USD Northern Trust Corp. 1816236.00000000 USD 161137.35000000 USD Workday, Inc., Class A 907549.16000000 USD -58931.67000000 USD Trade Desk, Inc. (The), Class A 879480.55000000 USD 222966.90000000 USD Americold Realty Trust, Inc. 2842955.56000000 USD 6145.44000000 USD Dominion Energy, Inc. 4172307.18000000 USD -24570.66000000 USD DraftKings, Inc., Class A 258607.20000000 USD 16837.28000000 USD IDACORP, Inc. 219466.24000000 USD -186.48000000 USD Cirrus Logic, Inc. 643865.04000000 USD -21651.68000000 USD Iron Mountain, Inc. 878367.60000000 USD 64944.00000000 USD Boston Beer Co., Inc. (The), Class A 1796612.10000000 USD 124518.92000000 USD AutoNation, Inc. 1904278.64000000 USD -187429.00000000 USD Mercury General Corp. 10720.60000000 USD -815.54000000 USD J M Smucker Co. (The) 992077.50000000 USD 5890.00000000 USD Medical Properties Trust, Inc. 191821.74000000 USD -7213.23000000 USD VICI Properties, Inc. 1382822.01000000 USD 33119.09000000 USD Advance Auto Parts, Inc. 1215784.16000000 USD 28473.53000000 USD Bunge Ltd. 1054089.87000000 USD -217055.29000000 USD CNO Financial Group, Inc. 3016579.86000000 USD -216537.67000000 USD Southern Co. (The) 1504498.38000000 USD 33334.84000000 USD Fox Factory Holding Corp. 908169.04000000 USD 57611.24000000 USD Service Corp. International 139968.00000000 USD 62.28000000 USD ONE Gas, Inc. 1196334.65000000 USD 53113.51000000 USD Monster Beverage Corp. 885655.80000000 USD -8182.14000000 USD Skillz, Inc. 362185.40000000 USD 148963.35000000 USD East West Bancorp, Inc. 337284.00000000 USD -9433.90000000 USD DoorDash, Inc., Class A 1381195.08000000 USD -89278.91000000 USD MercadoLibre, Inc. 1625292.24000000 USD 283240.69000000 USD Paychex, Inc. 1591105.51000000 USD 104128.32000000 USD Kinsale Capital Group, Inc. 731862.68000000 USD -17777.89000000 USD PotlatchDeltic Corp. 1436440.14000000 USD -179835.52000000 USD OGE Energy Corp. 658373.44000000 USD -7272.73000000 USD QuantumScape Corp. 1860679.90000000 USD 448806.70000000 USD Stericycle, Inc. 241043.45000000 USD -3873.48000000 USD STORE Capital Corp. 1242738.08000000 USD -27159.97000000 USD Navient Corp. 361193.82000000 USD -20138.04000000 USD Universal Display Corp. 832786.76000000 USD -88374.81000000 USD Erie Indemnity Co., Class A 981322.14000000 USD -75364.56000000 USD Essex Property Trust, Inc. 1018058.43000000 USD -1820.13000000 USD Intuit, Inc. 280214.88000000 USD 7482.85000000 USD Gentex Corp. 787942.87000000 USD 78597.09000000 USD Physicians Realty Trust 468235.85000000 USD -10464.87000000 USD Lyft, Inc., Class A 906081.12000000 USD 249718.14000000 USD IAC/InterActiveCorp 2114169.13000000 USD 251295.87000000 USD Amkor Technology, Inc. 1795937.25000000 USD -250053.80000000 USD Chipotle Mexican Grill, Inc. 1189606.60000000 USD 20621.53000000 USD First Republic Bank 1174941.60000000 USD 28110.60000000 USD Kohl's Corp. 1094755.06000000 USD -334653.34000000 USD Fair Isaac Corp. 40490.90000000 USD -396.93000000 USD Federated Hermes, Inc. 296855.02000000 USD 12729.50000000 USD Texas Capital Bancshares, Inc. 2439706.08000000 USD 30125.55000000 USD Discover Financial Services 660262.98000000 USD -73115.44000000 USD Blackbaud, Inc. 6678.05000000 USD 3.70000000 USD Graham Holdings Co., Class B 832687.96000000 USD 36067.79000000 USD Bath & Body Works, Inc. 730205.00000000 USD 110709.52000000 USD Euronet Worldwide, Inc. 213150.21000000 USD -26614.64000000 USD Palo Alto Networks, Inc. 1845853.78000000 USD 75379.43000000 USD Corporate Office Properties Trust 1211549.40000000 USD 5826.14000000 USD First Industrial Realty Trust, Inc. 762243.92000000 USD -49927.94000000 USD SEI Investments Co. 143963.30000000 USD 6609.20000000 USD Concentrix Corp. 53306.52000000 USD 327.47000000 USD AMC Entertainment Holdings, Inc., Class A 1099352.15000000 USD 13145.14000000 USD Willis Towers Watson plc 998793.40000000 USD 11161.75000000 USD Darling Ingredients, Inc. 177845.20000000 USD -12334.21000000 USD Zillow Group, Inc., Class C 129190.75000000 USD -21972.60000000 USD Pebblebrook Hotel Trust 392145.62000000 USD 126700.80000000 USD Digital Realty Trust, Inc. 387932.04000000 USD -7603.40000000 USD RLI Corp. 1609758.13000000 USD -35483.99000000 USD FirstEnergy Corp. 2045380.81000000 USD -55814.10000000 USD Essential Utilities, Inc. 1345284.85000000 USD 5799.35000000 USD AMERCO 404582.58000000 USD -7655.02000000 USD SVB Financial Group 4134360.33000000 USD 697961.38000000 USD Digital Turbine, Inc. 397267.80000000 USD -33882.60000000 USD UGI Corp. 1959920.82000000 USD -233505.20000000 USD Camden Property Trust 1968787.20000000 USD -2364.17000000 USD Moody's Corp. 314397.32000000 USD 8635.32000000 USD EPR Properties 1089433.02000000 USD -34336.37000000 USD Kite Realty Group Trust 99244.60000000 USD 12398.40000000 USD American Campus Communities, Inc. 1423948.89000000 USD 6626.10000000 USD Roper Technologies, Inc. 151940.25000000 USD 740.66000000 USD LKQ Corp. 582452.85000000 USD -15540.41000000 USD Estee Lauder Cos., Inc. (The), Class A 690665.04000000 USD 11173.44000000 USD PNC Financial Services Group, Inc. (The) 888718.41000000 USD 13097.56000000 USD Alaska Air Group, Inc. 4547156.85000000 USD -454389.80000000 USD Ameren Corp. 738783.36000000 USD -4822.81000000 USD Salesforce, Inc. 650587.68000000 USD 21414.02000000 USD Ford Motor Co. 380111.76000000 USD -73426.80000000 USD Wells Fargo & Co. 3719073.99000000 USD -277617.79000000 USD Intercontinental Exchange, Inc. 290019.36000000 USD 16838.64000000 USD Fifth Third Bancorp 298166.40000000 USD 23987.75000000 USD Target Corp. 2180167.51000000 USD 205620.84000000 USD Principal Financial Group, Inc. 4074523.95000000 USD 191403.25000000 USD Cloudflare, Inc., Class A 1039675.00000000 USD 186547.40000000 USD Ventas, Inc. 1091704.61000000 USD 40119.03000000 USD KeyCorp 991121.29000000 USD -81682.66000000 USD Jamf Holding Corp. 1428386.82000000 USD 91736.43000000 USD O'Reilly Automotive, Inc. 2656550.80000000 USD 20765.52000000 USD Yelp, Inc. 461981.72000000 USD 7626.35000000 USD Aptiv plc 444370.23000000 USD 90550.35000000 USD Snap, Inc., Class A 749906.82000000 USD 55400.58000000 USD First Citizens BancShares, Inc., Class A 1027742.16000000 USD 19211.84000000 USD SunPower Corp. 1500416.43000000 USD 223461.79000000 USD Cadence Bank 558683.12000000 USD -45439.49000000 USD Entergy Corp. 201963.52000000 USD 4550.13000000 USD Y 2025-01-13 0.00000000 USD 0.00000000 USD 793232677.00000000 USD -5323250.01000001 N N N N/A N/A N/A 1.00000000 NC N/A -179.42000000 -0.00003015026 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 13170.99000000 USD 127735.00000000 NOK 2022-09-21 -179.42000000 N N N N/A N/A N/A 1361677.24000000 PA -82973.83000000 -0.01394316829 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Canada Net Return Index M7CA Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 1361677.24000000 CAD -82973.83000000 N N N N/A N/A N/A 1.00000000 NC N/A -16364.65000000 -0.00274996428 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 573000.58000000 USD 5675000.00000000 SEK 2022-09-21 -16364.65000000 N N N N/A N/A 000000000 142538526.49000001 PA USD -5152957.74000000 -0.86591828982 N/A DE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 N/A N/A Rec/pay the total return of custom basket plus OBFR +/- spread (-0.20% to 0.20%). USD Currency. Maturity 13-14 Months 09/26/22 to 08/25/23 RPM International, Inc. 2156455.68000000 USD 64526.98000000 USD Alcoa Corp. 1042141.12000000 USD 68082.23000000 USD Minerals Technologies, Inc. 577393.42000000 USD -6306.71000000 USD Ingevity Corp. 312479.86000000 USD -3612.77000000 USD Iridium Communications, Inc. 1415861.76000000 USD 10177.92000000 USD Commercial Metals Co. 612945.80000000 USD 26758.71000000 USD Garmin Ltd. 787768.50000000 USD -2907.83000000 USD Mattel, Inc. 2236885.42000000 USD -119218.46000000 USD Avery Dennison Corp. 1362459.79000000 USD 31882.03000000 USD Mosaic Co. (The) 2445947.24000000 USD -76833.15000000 USD Peloton Interactive, Inc., Class A 2032543.80000000 USD 328631.65000000 USD Performance Food Group Co. 1117589.88000000 USD 17157.67000000 USD Albemarle Corp. 1525971.96000000 USD 128807.28000000 USD International Flavors & Fragrances, Inc. 2005861.68000000 USD -3486.40000000 USD Corteva, Inc. 73089.00000000 USD 135.00000000 USD Freeport-McMoRan, Inc. 717104.08000000 USD -28645.78000000 USD AT&T, Inc. 2284556.16000000 USD 18066.76000000 USD NewMarket Corp. 480633.12000000 USD 2523.26000000 USD TopBuild Corp. 2978456.88000000 USD 54523.08000000 USD Air Products and Chemicals, Inc. 2512535.04000000 USD 43597.87000000 USD Valvoline, Inc. 58351.92000000 USD 260.48000000 USD Kroger Co. (The) 2515542.17000000 USD -67412.49000000 USD Element Solutions, Inc. 375829.20000000 USD -2942.52000000 USD Newmont Corp. 1422115.11000000 USD 93979.93000000 USD Royal Gold, Inc. 1001703.18000000 USD 31613.97000000 USD CF Industries Holdings, Inc. 2248440.71000000 USD -28587.43000000 USD Polaris, Inc. 446462.16000000 USD 11667.73000000 USD Taylor Morrison Home Corp. 498549.12000000 USD -456.14000000 USD FMC Corp. 306369.63000000 USD 5468.33000000 USD Worthington Industries, Inc. 1076569.20000000 USD 52899.70000000 USD Grocery Outlet Holding Corp. 2131798.41000000 USD 36505.11000000 USD Lennar Corp., Class A 3272966.03000000 USD -65858.18000000 USD Chemours Co. (The) 968252.78000000 USD 19256.96000000 USD Huntsman Corp. 1460592.00000000 USD -16536.65000000 USD Brunswick Corp. 842552.06000000 USD -39865.40000000 USD Silgan Holdings, Inc. 256576.75000000 USD -3112.32000000 USD Leggett & Platt, Inc. 1195603.50000000 USD 55665.75000000 USD BJ's Wholesale Club Holdings, Inc. 1898080.24000000 USD -83684.13000000 USD Cleveland-Cliffs, Inc. 675388.54000000 USD -40010.36000000 USD Hasbro, Inc. 116760.88000000 USD -2768.40000000 USD Dow, Inc. 1855843.99000000 USD -19913.41000000 USD Olin Corp. 1976665.08000000 USD -39313.98000000 USD Albertsons Cos., Inc., Class A 540305.12000000 USD -56618.80000000 USD Sealed Air Corp. 401788.92000000 USD -9252.87000000 USD United States Steel Corp. 759169.08000000 USD -64853.64000000 USD Vulcan Materials Co. 1763176.80000000 USD 36466.50000000 USD Sylvamo Corp. 209478.80000000 USD -1153.80000000 USD Casey's General Stores, Inc. 404736.24000000 USD -13119.77000000 USD Westrock Co. 4066349.28000000 USD -97241.36000000 USD NVR, Inc. 220227.70000000 USD 2331.45000000 USD PPG Industries, Inc. 545744.82000000 USD 30398.80000000 USD AptarGroup, Inc. 1344413.46000000 USD 4689.36000000 USD Whirlpool Corp. 894219.38000000 USD -52023.74000000 USD Lululemon Athletica, Inc. 584203.23000000 USD 31866.41000000 USD T-Mobile US, Inc. 1429083.88000000 USD 21244.00000000 USD Walmart, Inc. 4104419.22000000 USD -75862.31000000 USD Ashland Global Holdings, Inc. 218672.10000000 USD 1697.60000000 USD Toll Brothers, Inc. 2373344.40000000 USD -40784.49000000 USD Martin Marietta Materials, Inc. 404273.24000000 USD 12861.52000000 USD Liberty Global plc, Class C 469942.66000000 USD 29358.12000000 USD Sprouts Farmers Market, Inc. 528377.76000000 USD 11121.16000000 USD Skechers USA, Inc., Class A 1313649.18000000 USD -94996.58000000 USD LyondellBasell Industries NV, Class A 3874390.54000000 USD -31195.79000000 USD Tri Pointe Homes, Inc. 732107.39000000 USD -14111.00000000 USD Under Armour, Inc., Class A 358581.51000000 USD -43047.00000000 USD DR Horton, Inc. 896609.74000000 USD -4795.82000000 USD PVH Corp. 831081.40000000 USD -74490.60000000 USD Steel Dynamics, Inc. 1086183.00000000 USD -51558.80000000 USD Westlake Corp. 1234953.98000000 USD -10583.83000000 USD Columbia Sportswear Co. 539641.62000000 USD 30909.90000000 USD International Paper Co. 2092713.07000000 USD -49028.42000000 USD Hanesbrands, Inc. 1820424.48000000 USD 65872.69000000 USD Crown Holdings, Inc. 567214.18000000 USD 22505.05000000 USD Sherwin-Williams Co. (The) 2591982.16000000 USD 37622.00000000 USD Greif, Inc., Class A 1447028.86000000 USD -73070.55000000 USD Mohawk Industries, Inc. 737342.78000000 USD -19866.28000000 USD Berry Global Group, Inc. 1337915.04000000 USD -65867.34000000 USD US Foods Holding Corp. 976022.84000000 USD -36086.59000000 USD Ball Corp. 2585064.30000000 USD 63966.64000000 USD Axalta Coating Systems Ltd. 182319.06000000 USD 8027.54000000 USD Cabot Corp. 1374929.66000000 USD 36828.22000000 USD Crocs, Inc. 747522.53000000 USD 64661.39000000 USD Deckers Outdoor Corp. 13533.55000000 USD -245.67000000 USD Celanese Corp. 1321701.18000000 USD -68590.70000000 USD KB Home 444175.22000000 USD -10461.39000000 USD Tapestry, Inc. 2061626.00000000 USD -137126.50000000 USD Ecolab, Inc. 1361237.28000000 USD 27886.95000000 USD Eastman Chemical Co. 1253638.05000000 USD -36029.70000000 USD Carter's, Inc. 1780677.20000000 USD 62321.42000000 USD Scotts Miracle-Gro Co. (The) 2506273.71000000 USD 83695.09000000 USD Louisiana-Pacific Corp. 734002.05000000 USD -5211.40000000 USD Costco Wholesale Corp. 1694734.08000000 USD 2874.32000000 USD Capri Holdings Ltd. 443974.26000000 USD -40056.20000000 USD Graphic Packaging Holding Co. 2867745.00000000 USD 51759.30000000 USD Sensient Technologies Corp. 127365.36000000 USD -1027.65000000 USD Sonoco Products Co. 300030.40000000 USD 2735.20000000 USD PulteGroup, Inc. 997804.14000000 USD -24170.88000000 USD Reliance Steel & Aluminum Co. 1402873.74000000 USD -31169.94000000 USD Eagle Materials, Inc. 1752883.36000000 USD -22807.16000000 USD NIKE, Inc., Class B 13899.20000000 USD 187.69000000 USD Callaway Golf Co. 1014532.80000000 USD 24974.69000000 USD Walgreens Boots Alliance, Inc. 1094173.00000000 USD -123852.30000000 USD Amcor plc 1887097.74000000 USD -9109.08000000 USD Newell Brands, Inc. 94076.64000000 USD 825.57000000 USD Sysco Corp. 2638292.95000000 USD 43291.55000000 USD Linde plc 1302223.37000000 USD 38813.92000000 USD YETI Holdings, Inc. 324654.81000000 USD -26358.76000000 USD Helen of Troy Ltd. 2842337.41000000 USD 24415.11000000 USD Nucor Corp. 1022069.49000000 USD -53195.58000000 USD Tempur Sealy International, Inc. 839114.42000000 USD -42746.64000000 USD Ralph Lauren Corp. 1530146.20000000 USD -77488.72000000 USD Packaging Corp. of America 1546737.50000000 USD -25064.62000000 USD VF Corp. 690509.61000000 USD 14007.99000000 USD DuPont de Nemours, Inc. 21954.10000000 USD 786.05000000 USD Avient Corp. 162404.16000000 USD -6847.88000000 USD Verizon Communications, Inc. 580732.25000000 USD -2403.03000000 USD Y 2022-09-26 0.00000000 USD 0.00000000 USD 142538526.00000000 USD -381854.09000000 N N N N/A N/A N/A 1.00000000 NC N/A 206.05000000 0.000034625252 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 89809.00000000 SEK 9015.02000000 USD 2022-09-21 206.05000000 N N N N/A N/A N/A 1.00000000 NC N/A -17475.02000000 -0.00293655414 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 684704.08000000 USD 966001.00000000 AUD 2022-09-21 -17475.02000000 N N N N/A N/A N/A 1.00000000 NC N/A 1651.22000000 0.000277475902 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 587810.46000000 USD 559500.00000000 CHF 2022-09-21 1651.22000000 N N N N/A N/A N/A 1.00000000 NC N/A -6291.05000000 -0.00105716668 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1307280.85000000 USD 1234368.00000000 EUR 2022-09-21 -6291.05000000 N N N N/A N/A N/A 1.00000000 NC N/A -10387.44000000 -0.00174553620 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 331598.11000000 USD 263464.00000000 GBP 2022-09-21 -10387.44000000 N N N N/A N/A N/A 1.00000000 NC N/A -10007.72000000 -0.00168172692 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 336085.37000000 USD 267456.00000000 GBP 2022-09-21 -10007.72000000 N N N N/A N/A N/A 1.00000000 NC N/A -48808.76000000 -0.00820196867 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 868978.53000000 USD 110653000.00000000 JPY 2022-09-21 -48808.76000000 N N N United States of America 254900HROIFWPRGM1V77 912796T41 2368000.00000000 PA USD 2363798.13000000 0.397219643069 Long STIV UST US N 2 2022-08-18 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -6292.67000000 -0.00105743891 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1307279.31000000 USD 1234365.00000000 EUR 2022-09-21 -6292.67000000 N N N N/A N/A 000000000 353589653.70000017 PA USD -6243420.42000000 -1.04916287025 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 (-6.45% to 0.20%). USD Currency. Maturity 31-62 Months 01/22/25 to 07/01/27 Universal Health Services, Inc., Class B 598318.11000000 USD -20270.52000000 USD General Dynamics Corp. 3932497.50000000 USD 203867.78000000 USD Motorola Solutions, Inc. 1427795.20000000 USD -44826.11000000 USD Lockheed Martin Corp. 4596272.40000000 USD 212033.05000000 USD MSC Industrial Direct Co., Inc., Class A 1699438.86000000 USD 33668.27000000 USD Waters Corp. 363085.06000000 USD 752.82000000 USD Donaldson Co., Inc. 1328278.88000000 USD 51597.04000000 USD Hubbell, Inc. 825396.76000000 USD 425.38000000 USD AmerisourceBergen Corp. 432221.40000000 USD 1184.42000000 USD AECOM 243531.48000000 USD 10545.49000000 USD Exact Sciences Corp. 1142113.05000000 USD -68718.15000000 USD Fortune Brands Home & Security, Inc. 1436461.32000000 USD 38862.18000000 USD Veeva Systems, Inc., Class A 103971.00000000 USD -1186.93000000 USD Biogen, Inc. 1460822.22000000 USD 15758.60000000 USD Timken Co. (The) 678774.75000000 USD -7380.41000000 USD MasTec, Inc. 518603.42000000 USD -16355.62000000 USD Tenet Healthcare Corp. 593665.20000000 USD -4405.05000000 USD Belden, Inc. 887904.36000000 USD 47670.48000000 USD Regeneron Pharmaceuticals, Inc. 954083.82000000 USD 9492.75000000 USD Valmont Industries, Inc. 1300383.07000000 USD -38381.07000000 USD UnitedHealth Group, Inc. 1410427.98000000 USD -139557.74000000 USD Gates Industrial Corp. plc 1189489.16000000 USD -13803.75000000 USD Viasat, Inc. 1226517.09000000 USD -3980.09000000 USD Neurocrine Biosciences, Inc. 169712.68000000 USD -7312.20000000 USD GATX Corp. 882090.88000000 USD -20328.56000000 USD Univar Solutions, Inc. 2008824.51000000 USD -142606.57000000 USD Option Care Health, Inc. 561774.85000000 USD -23441.07000000 USD Valero Energy Corp. 599631.76000000 USD -32956.93000000 USD Signify Health, Inc., Class A 964081.80000000 USD -51655.84000000 USD Sensata Technologies Holding plc 1040722.83000000 USD -1773.50000000 USD DENTSPLY SIRONA, Inc. 1718327.16000000 USD 19236.80000000 USD QuidelOrtho Corp. 1764108.54000000 USD -64067.04000000 USD HEICO Corp. 2382581.52000000 USD -27619.92000000 USD Hewlett Packard Enterprise Co. 280608.12000000 USD 3379.31000000 USD Teladoc Health, Inc. 97504.56000000 USD 2202.05000000 USD II-VI, Inc. 2652711.75000000 USD 42693.30000000 USD Arrowhead Pharmaceuticals, Inc. 1258792.71000000 USD -168978.91000000 USD Murphy Oil Corp. 1710172.93000000 USD -167364.33000000 USD AMETEK, Inc. 792197.01000000 USD 3694.48000000 USD Molina Healthcare, Inc. 1685768.69000000 USD 154897.30000000 USD Parker-Hannifin Corp. 417300.80000000 USD 6984.58000000 USD WW Grainger, Inc. 669829.82000000 USD -10548.69000000 USD Caterpillar, Inc. 2348370.12000000 USD 172253.66000000 USD Integra LifeSciences Holdings Corp. 1622574.93000000 USD -22286.09000000 USD Masco Corp. 310127.40000000 USD -795.39000000 USD Curtiss-Wright Corp. 665054.16000000 USD 26576.46000000 USD STERIS plc 2202712.75000000 USD -136794.47000000 USD Emerson Electric Co. 2011725.68000000 USD 22509.88000000 USD Xerox Holdings Corp. 699880.50000000 USD -37348.63000000 USD Jabil, Inc. 2419621.29000000 USD -113397.60000000 USD Hexcel Corp. 229013.18000000 USD 2415.61000000 USD Thermo Fisher Scientific, Inc. 2437154.08000000 USD -187152.34000000 USD Pure Storage, Inc., Class A 473089.71000000 USD -6992.38000000 USD Haemonetics Corp. 513488.04000000 USD -23353.47000000 USD Western Digital Corp. 2760362.42000000 USD -78106.22000000 USD BWX Technologies, Inc. 679700.42000000 USD 63910.84000000 USD IQVIA Holdings, Inc. 2034932.22000000 USD 187935.12000000 USD Progyny, Inc. 1398989.90000000 USD -108837.08000000 USD Woodward, Inc. 322235.16000000 USD 6494.76000000 USD Fluor Corp. 415629.84000000 USD 16608.07000000 USD Allison Transmission Holdings, Inc. 3066195.25000000 USD 53606.55000000 USD Ultragenyx Pharmaceutical, Inc. 487720.50000000 USD -52074.75000000 USD Viatris, Inc. 2124844.62000000 USD 1877.78000000 USD Masimo Corp. 1751108.67000000 USD 40441.78000000 USD Carrier Global Corp. 356920.94000000 USD -530.62000000 USD Iovance Biotherapeutics, Inc. 634424.64000000 USD -131022.48000000 USD Tandem Diabetes Care, Inc. 60965.70000000 USD 2863.40000000 USD HP, Inc. 904629.66000000 USD 25358.42000000 USD Crane Holdings Co. 867106.68000000 USD 32877.96000000 USD ABIOMED, Inc. 292061.80000000 USD 6433.11000000 USD Vishay Intertechnology, Inc. 4120964.10000000 USD 1877.15000000 USD Baker Hughes Co. 629077.30000000 USD 23969.00000000 USD Boston Scientific Corp. 463489.72000000 USD -15669.36000000 USD CommScope Holding Co., Inc. 437078.16000000 USD -62133.66000000 USD Quest Diagnostics, Inc. 586840.74000000 USD 10326.42000000 USD Snap-on, Inc. 747728.85000000 USD 4933.50000000 USD Littelfuse, Inc. 425008.92000000 USD -9760.39000000 USD Maravai LifeSciences Holdings, Inc., Class A 153470.82000000 USD 5150.71000000 USD SiteOne Landscape Supply, Inc. 554171.94000000 USD -30442.86000000 USD HCA Healthcare, Inc. 780302.58000000 USD -25229.00000000 USD Raytheon Technologies Corp. 690934.79000000 USD 51976.47000000 USD Johnson & Johnson 439337.25000000 USD -19923.75000000 USD EQT Corp. 1889041.60000000 USD 108470.71000000 USD Flowserve Corp. 189731.01000000 USD 790.08000000 USD STAAR Surgical Co. 1087144.11000000 USD -96611.17000000 USD Nektar Therapeutics 7577.20000000 USD -658.02000000 USD Eaton Corp. plc 244420.60000000 USD -911.80000000 USD Medtronic plc 2534988.75000000 USD 35864.67000000 USD Spirit AeroSystems Holdings, Inc., Class A 148375.20000000 USD -2444.67000000 USD Humana, Inc. 1453357.35000000 USD 123051.15000000 USD Cigna Corp. 1366614.72000000 USD 69019.36000000 USD Jazz Pharmaceuticals plc 2135620.89000000 USD -179325.90000000 USD Allegion plc 203240.40000000 USD -385.67000000 USD Illumina, Inc. 413519.48000000 USD 6571.99000000 USD Ionis Pharmaceuticals, Inc. 575142.72000000 USD -27343.36000000 USD Intuitive Surgical, Inc. 398810.77000000 USD -3050.68000000 USD Xylem, Inc. 2000391.66000000 USD -134843.49000000 USD Penumbra, Inc. 553740.44000000 USD -19477.86000000 USD United Therapeutics Corp. 853959.36000000 USD 52792.40000000 USD Shoals Technologies Group, Inc., Class A 780624.64000000 USD 146367.12000000 USD Premier, Inc., Class A 1079534.08000000 USD 31768.80000000 USD Bio-Techne Corp. 536252.08000000 USD -23844.89000000 USD Cummins, Inc. 1171243.56000000 USD 11982.96000000 USD Illinois Tool Works, Inc. 2656111.50000000 USD -58296.00000000 USD Otis Worldwide Corp. 586207.65000000 USD -22263.27000000 USD EOG Resources, Inc. 1919778.52000000 USD -37123.35000000 USD Certara, Inc. 507443.16000000 USD -75430.74000000 USD Amedisys, Inc. 894045.60000000 USD 135497.40000000 USD Nordson Corp. 233413.32000000 USD 8163.24000000 USD Advanced Drainage Systems, Inc. 1725020.64000000 USD -154458.75000000 USD ITT, Inc. 493070.92000000 USD 2084.81000000 USD Repligen Corp. 2223418.40000000 USD -214233.91000000 USD TD SYNNEX Corp. 1356570.10000000 USD -7957.72000000 USD Cognex Corp. 1237204.44000000 USD 13093.65000000 USD Avantor, Inc. 573919.40000000 USD -7720.23000000 USD Armstrong World Industries, Inc. 174356.96000000 USD -238.36000000 USD EMCOR Group, Inc. 2395467.36000000 USD 151960.10000000 USD Oshkosh Corp. 1078580.34000000 USD 3947.97000000 USD CDW Corp. 313859.52000000 USD -333.53000000 USD Azenta, Inc. 766062.50000000 USD -29849.82000000 USD Vertex Pharmaceuticals, Inc. 273054.51000000 USD -18120.30000000 USD Abbott Laboratories 2103789.95000000 USD 85517.73000000 USD Centene Corp. 407820.20000000 USD 27765.85000000 USD Chemed Corp. 500369.74000000 USD -18623.02000000 USD Quanta Services, Inc. 3025456.92000000 USD -236365.79000000 USD Dycom Industries, Inc. 355878.00000000 USD 29567.25000000 USD Avnet, Inc. 703575.04000000 USD 15110.52000000 USD Cooper Cos., Inc. (The) 275545.60000000 USD -7198.40000000 USD Builders FirstSource, Inc. 2884119.60000000 USD 172939.76000000 USD MDU Resources Group, Inc. 41591.59000000 USD -33.28000000 USD ONEOK, Inc. 289377.00000000 USD -11001.54000000 USD Edwards Lifesciences Corp. 527464.23000000 USD -40493.10000000 USD Generac Holdings, Inc. 1591984.80000000 USD 52369.52000000 USD Watsco, Inc. 1166874.52000000 USD -30172.31000000 USD Fastenal Co. 1812994.56000000 USD -52297.92000000 USD Owens Corning 3728355.63000000 USD -76572.41000000 USD Align Technology, Inc. 940053.24000000 USD 8738.40000000 USD Pentair plc 1557736.18000000 USD 54725.15000000 USD Carlisle Cos., Inc. 1208082.43000000 USD -20505.15000000 USD Terex Corp. 1358208.88000000 USD -44815.34000000 USD Mercury Systems, Inc. 1699405.61000000 USD -210279.32000000 USD Becton Dickinson and Co. 1189260.72000000 USD -37544.26000000 USD Keysight Technologies, Inc. 203053.05000000 USD 2223.00000000 USD Coterra Energy, Inc. 965113.38000000 USD 34824.95000000 USD United Rentals, Inc. 853585.74000000 USD 11315.08000000 USD Stanley Black & Decker, Inc. 2116808.82000000 USD -18325.34000000 USD Halliburton Co. 1370463.36000000 USD -19118.00000000 USD Chevron Corp. 1299979.62000000 USD -28431.20000000 USD Globus Medical, Inc., Class A 720220.06000000 USD -14940.28000000 USD Guardant Health, Inc. 310940.72000000 USD -24742.68000000 USD PACCAR, Inc. 1200434.86000000 USD 1176.92000000 USD CNX Resources Corp. 958202.44000000 USD 54254.84000000 USD PerkinElmer, Inc. 2342647.84000000 USD -84015.35000000 USD Textron, Inc. 2752424.90000000 USD 100777.22000000 USD Amgen, Inc. 2393585.40000000 USD -84410.04000000 USD Sotera Health Co. 1284006.96000000 USD -17452.30000000 USD Regal Rexnord Corp. 594844.80000000 USD -17030.00000000 USD Alnylam Pharmaceuticals, Inc. 376293.00000000 USD -22600.80000000 USD Schlumberger NV 1185336.72000000 USD -29169.36000000 USD General Electric Co. 1273336.33000000 USD -41836.64000000 USD Sunrun, Inc. 1166154.56000000 USD -14756.74000000 USD Insulet Corp. 3505782.84000000 USD -271656.16000000 USD Bristol-Myers Squibb Co. 774389.00000000 USD 32484.11000000 USD ConocoPhillips 198210.67000000 USD -8673.51000000 USD A O Smith Corp. 418520.72000000 USD 12016.78000000 USD Graco, Inc. 834056.99000000 USD -22505.87000000 USD NOV, Inc. 1506765.55000000 USD -13202.92000000 USD Huntington Ingalls Industries, Inc. 1333494.04000000 USD 105175.96000000 USD Phillips 66 1622172.15000000 USD -168568.20000000 USD Vicor Corp. 696001.41000000 USD -4705.29000000 USD Laboratory Corp. of America Holdings 1260388.08000000 USD 43776.92000000 USD ICU Medical, Inc. 726768.19000000 USD 8900.94000000 USD Charles River Laboratories International, Inc. 661595.24000000 USD 30425.28000000 USD Plug Power, Inc. 1419734.17000000 USD -63403.94000000 USD Juniper Networks, Inc. 479341.50000000 USD 861.58000000 USD Axon Enterprise, Inc. 1096051.88000000 USD -43380.77000000 USD Westinghouse Air Brake Technologies Corp. 61231.68000000 USD -895.20000000 USD McKesson Corp. 536615.45000000 USD 42177.80000000 USD Apple, Inc. 2791685.68000000 USD -105362.04000000 USD Trimble, Inc. 700448.67000000 USD -8901.46000000 USD Watts Water Technologies, Inc., Class A 497870.52000000 USD -21803.57000000 USD Simpson Manufacturing Co., Inc. 1125021.02000000 USD -64938.99000000 USD Toro Co. (The) 1237499.12000000 USD 1553.12000000 USD West Pharmaceutical Services, Inc. 121250.37000000 USD -7839.55000000 USD Acadia Healthcare Co., Inc. 923149.50000000 USD -37264.50000000 USD Eli Lilly & Co. 2175259.07000000 USD -222776.52000000 USD Catalent, Inc. 2862068.04000000 USD -117233.72000000 USD Fortive Corp. 502036.16000000 USD -7570.24000000 USD R1 RCM, Inc. 1074241.92000000 USD -22352.59000000 USD Novocure Ltd. 2211907.00000000 USD -352696.13000000 USD Howmet Aerospace, Inc. 11951.00000000 USD 26.60000000 USD BioMarin Pharmaceutical, Inc. 523987.01000000 USD -42933.17000000 USD AbbVie, Inc. 1624261.80000000 USD -13391.05000000 USD Mettler-Toledo International, Inc. 96496.68000000 USD 948.21000000 USD nVent Electric plc 1338260.95000000 USD 21311.57000000 USD Syneos Health, Inc. 2497546.24000000 USD 249297.62000000 USD Bio-Rad Laboratories, Inc., Class A 784080.00000000 USD 49626.72000000 USD Pfizer, Inc. 3368627.50000000 USD 379075.00000000 USD Goldman Sachs Group, Inc. (The) 1412033.08000000 USD 81911.42000000 USD CVS Health Corp. 4482242.18000000 USD 151521.63000000 USD Range Resources Corp. 275269.50000000 USD 23399.20000000 USD Trex Co., Inc. 1100263.56000000 USD -60047.46000000 USD Hayward Holdings, Inc. 491720.69000000 USD 13923.69000000 USD Natera, Inc. 453880.08000000 USD -20739.26000000 USD Cardinal Health, Inc. 1455039.99000000 USD 38520.86000000 USD IPG Photonics Corp. 2329435.11000000 USD 83260.18000000 USD Seagen, Inc. 978655.14000000 USD -63551.19000000 USD Occidental Petroleum Corp. 798589.44000000 USD 43401.60000000 USD Medpace Holdings, Inc. 666480.51000000 USD 63722.43000000 USD Exxon Mobil Corp. 1761786.08000000 USD -9874.56000000 USD AZEK Co., Inc. (The) 764683.20000000 USD 1370.40000000 USD Virgin Galactic Holdings, Inc. 1262303.70000000 USD 29192.85000000 USD Patterson Cos., Inc. 402081.00000000 USD 27267.87000000 USD Devon Energy Corp. 628254.00000000 USD 25792.42000000 USD Gilead Sciences, Inc. 4293322.60000000 USD 172822.53000000 USD Cisco Systems, Inc. 4688992.88000000 USD -77898.23000000 USD Cheniere Energy, Inc. 107222.18000000 USD -5682.30000000 USD Dexcom, Inc. 1005111.58000000 USD -77139.92000000 USD Kinder Morgan, Inc. 1036086.44000000 USD -14510.21000000 USD Williams Cos., Inc. (The) 2327797.85000000 USD -105819.32000000 USD Adaptive Biotechnologies Corp. 122320.80000000 USD -11642.40000000 USD Royalty Pharma plc, Class A 1381140.12000000 USD -88374.57000000 USD Calix, Inc. 338498.10000000 USD -11303.10000000 USD Boeing Co. (The) 2818619.52000000 USD 4142.75000000 USD Bruker Corp. 1721130.24000000 USD 88145.16000000 USD Zimmer Biomet Holdings, Inc. 405531.60000000 USD -9302.60000000 USD Acuity Brands, Inc. 560397.52000000 USD 1819.00000000 USD Targa Resources Corp. 273348.27000000 USD -5664.54000000 USD AGCO Corp. 847339.50000000 USD -25264.25000000 USD NetApp, Inc. 864169.04000000 USD 17838.87000000 USD DaVita, Inc. 1100889.28000000 USD 13907.40000000 USD Air Lease Corp. 114664.90000000 USD 8815.10000000 USD ResMed, Inc. 867448.94000000 USD -49904.28000000 USD Middleby Corp. (The) 1234294.56000000 USD -13095.18000000 USD Kennametal, Inc. 3181952.48000000 USD -22956.18000000 USD Perrigo Co. plc 1176043.16000000 USD 32342.32000000 USD Amphenol Corp., Class A 1776566.10000000 USD -40840.60000000 USD 10X Genomics, Inc., Class A 1953171.00000000 USD -295673.40000000 USD Rockwell Automation, Inc. 215653.42000000 USD -8894.04000000 USD Dover Corp. 227475.00000000 USD 1086.56000000 USD Seagate Technology Holdings plc 396563.44000000 USD -3474.91000000 USD Neogen Corp. 501505.62000000 USD -19260.09000000 USD Trane Technologies plc 748700.55000000 USD -51308.50000000 USD F5, Inc. 616751.20000000 USD -9672.00000000 USD Ubiquiti, Inc. 1024362.67000000 USD 7969.10000000 USD Envista Holdings Corp. 246964.32000000 USD 2539.40000000 USD New Fortress Energy, Inc. 1758292.95000000 USD 23103.71000000 USD Enovis Corp. 497200.00000000 USD -13379.20000000 USD Exelixis, Inc. 1668285.78000000 USD 181091.54000000 USD Danaher Corp. 2121962.40000000 USD 72405.20000000 USD Marathon Oil Corp. 2396053.28000000 USD -172315.38000000 USD Ingersoll Rand, Inc. 1831868.64000000 USD -32965.21000000 USD Hess Corp. 1127201.60000000 USD -21380.66000000 USD Equitrans Midstream Corp. 119409.00000000 USD -1689.75000000 USD Johnson Controls International plc 892195.92000000 USD -7593.94000000 USD Vontier Corp. 1491775.12000000 USD 5712.90000000 USD Northrop Grumman Corp. 1845365.92000000 USD -98994.81000000 USD Lumentum Holdings, Inc. 633692.18000000 USD -7629.10000000 USD Organon & Co. 301590.00000000 USD 7549.01000000 USD Hologic, Inc. 1008522.90000000 USD 20665.26000000 USD National Instruments Corp. 597742.20000000 USD 3829.57000000 USD HF Sinclair Corp. 312236.24000000 USD -127.29000000 USD Baxter International, Inc. 134947.23000000 USD -840.40000000 USD Zoetis, Inc. 15641.99000000 USD -1188.46000000 USD Elevance Health, Inc. 217161.00000000 USD -361.74000000 USD Mirati Therapeutics, Inc. 921963.42000000 USD -166593.42000000 USD Lincoln Electric Holdings, Inc. 74139.36000000 USD 625.04000000 USD IDEXX Laboratories, Inc. 999229.77000000 USD -29695.75000000 USD Agilent Technologies, Inc. 1709337.84000000 USD 60597.60000000 USD Ciena Corp. 1157626.70000000 USD 54208.34000000 USD Henry Schein, Inc. 665719.50000000 USD 13349.42000000 USD NuVasive, Inc. 197623.20000000 USD 1275.72000000 USD IDEX Corp. 530904.49000000 USD -25050.11000000 USD Stryker Corp. 342756.39000000 USD -8339.32000000 USD ChargePoint Holdings, Inc. 539974.67000000 USD 13410.62000000 USD Marathon Petroleum Corp. 1092653.11000000 USD -67518.28000000 USD LivaNova plc 298356.72000000 USD 5714.85000000 USD EnerSys 348394.64000000 USD 472.72000000 USD 3M Co. 1942573.51000000 USD -4571.11000000 USD PDC Energy, Inc. 1479317.71000000 USD -76114.87000000 USD Sage Therapeutics, Inc. 295318.90000000 USD -6905.75000000 USD APA Corp. 2083041.40000000 USD -257843.52000000 USD Oak Street Health, Inc. 1992659.52000000 USD -79551.62000000 USD HealthEquity, Inc. 2085418.30000000 USD 242545.80000000 USD L3Harris Technologies, Inc. 401463.70000000 USD -8062.41000000 USD TE Connectivity Ltd. 648688.95000000 USD 918.44000000 USD Teledyne Technologies, Inc. 3228571.77000000 USD -191989.08000000 USD Zebra Technologies Corp., Class A 246624.05000000 USD -4606.11000000 USD Teleflex, Inc. 784507.35000000 USD 2935.72000000 USD Vertiv Holdings Co. 669880.68000000 USD -77472.15000000 USD Deere & Co. 1635106.20000000 USD 124362.87000000 USD Trinity Industries, Inc. 599154.36000000 USD -28136.22000000 USD Encompass Health Corp. 200883.20000000 USD -1290.24000000 USD Arista Networks, Inc. 560096.50000000 USD -16730.00000000 USD Arrow Electronics, Inc. 4609028.71000000 USD 163066.31000000 USD Incyte Corp. 1610943.85000000 USD 99663.50000000 USD Dell Technologies, Inc., Class C 1832596.18000000 USD -54728.04000000 USD Elanco Animal Health, Inc. 693665.31000000 USD 32510.04000000 USD Horizon Therapeutics plc 329010.00000000 USD 11426.25000000 USD Lennox International, Inc. 2096475.32000000 USD 150841.12000000 USD Merck & Co., Inc. 2010572.01000000 USD 119766.75000000 USD TransDigm Group, Inc. 246868.20000000 USD -9499.00000000 USD Moderna, Inc. 937667.40000000 USD 97278.48000000 USD ChampionX Corp. 627974.60000000 USD -56628.44000000 USD Honeywell International, Inc. 5903978.08000000 USD 144420.45000000 USD Corning, Inc. 1060090.93000000 USD -12447.91000000 USD Y 2025-01-22 0.00000000 USD 0.00000000 USD 353589654.00000000 USD -1985017.86000000 N N N N/A N/A N/A 1.00000000 NC N/A -10.00000000 -0.00000168042 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1114409.88000000 USD 8724500.00000000 HKD 2022-09-21 -10.00000000 N N N N/A N/A N/A 1.00000000 NC N/A -3040.62000000 -0.00051095479 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 120436.98000000 USD 15838500.00000000 JPY 2022-09-21 -3040.62000000 N N N N/A N/A N/A 1.00000000 NC N/A -1601.71000000 -0.00026915609 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 373860.00000000 USD 479102.00000000 CAD 2022-09-21 -1601.71000000 N N N N/A N/A N/A 1.00000000 NC N/A -1518.21000000 -0.00025512450 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 59287.41000000 USD 567995.00000000 NOK 2022-09-21 -1518.21000000 N N N Goldman Sachs Financial Square Funds - Treasury Instruments Fund N/A N/A 6950101.65000000 NS USD 6950101.65000000 1.167915678445 Long STIV RF US N 1 N N N N/A N/A N/A 1.00000000 NC N/A -379.35000000 -0.00006374709 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 8179.05000000 USD 12500.00000000 NZD 2022-09-21 -379.35000000 N N N N/A N/A N/A 1244085.50000000 PA -58222.42000000 -0.00978386800 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Switzerland Net Return Index M7CH Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 1244085.50000000 CHF -58222.42000000 N N N N/A N/A N/A 1.00000000 NC N/A -16557.39000000 -0.00278235288 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1240457.65000000 USD 1699500.00000000 SGD 2022-09-21 -16557.39000000 N N N United States of America 254900HROIFWPRGM1V77 912796S42 30202000.00000000 PA USD 30184969.39000000 5.072371711854 Long STIV UST US N 2 2022-07-21 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -104934.86000000 -0.01763356485 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1868997.90000000 USD 237998124.00000000 JPY 2022-09-21 -104934.86000000 N N N N/A N/A 000000000 110760747.52000003 PA -2704863.02000000 -0.45453319795 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 (-0.43% to 0.03%). GBP Currency. Maturity 61 Months 11/19/26 Inchcape plc 899548.44000000 USD -22966.35000000 USD Beazley plc 498551.67000000 USD -7663.21000000 USD RS GROUP plc 589382.31000000 USD 3278.43000000 USD Ocado Group plc 1758357.77000000 USD 107545.29000000 USD Ashmore Group plc 75878.34000000 USD 1750.68000000 USD Barclays plc 2333720.31000000 USD -37304.54000000 USD Rentokil Initial plc 1297069.84000000 USD -83929.96000000 USD ConvaTec Group plc 1482887.65000000 USD -115703.38000000 USD Sage Group plc (The) 473718.33000000 USD 5469.15000000 USD Howden Joinery Group plc 1213893.88000000 USD -3788.56000000 USD Compass Group plc 1822941.18000000 USD -9871.79000000 USD AstraZeneca plc 5708652.40000000 USD -447417.13000000 USD Dunelm Group plc 34348.92000000 USD 439.38000000 USD Antofagasta plc 44015.02000000 USD 4324.67000000 USD Smiths Group plc 1136455.61000000 USD -28771.74000000 USD BAE Systems plc 1075664.25000000 USD 24095.27000000 USD Mondi plc 428595.15000000 USD -1042.56000000 USD Travis Perkins plc 845097.55000000 USD -37989.05000000 USD Centrica plc 2998752.51000000 USD 85985.93000000 USD Associated British Foods plc 2555950.22000000 USD -40768.05000000 USD BT Group plc 965329.39000000 USD 13055.98000000 USD Spirax-Sarco Engineering plc 18814.95000000 USD -1477.19000000 USD Pennon Group plc 1339274.36000000 USD 85724.26000000 USD United Utilities Group plc 862665.78000000 USD 18041.03000000 USD Croda International plc 1134489.87000000 USD -101550.73000000 USD British American Tobacco plc 1005681.59000000 USD 24635.53000000 USD Taylor Wimpey plc 229209.70000000 USD -3524.27000000 USD Hargreaves Lansdown plc 641515.74000000 USD -15386.65000000 USD B&M European Value Retail SA 1583899.55000000 USD 41188.38000000 USD Whitbread plc 62013.89000000 USD -1944.90000000 USD Hays plc 354087.71000000 USD -2656.34000000 USD Investec plc 498561.05000000 USD -2375.26000000 USD Glencore plc 320084.31000000 USD -11686.10000000 USD Renishaw plc 353809.05000000 USD 16645.82000000 USD Hikma Pharmaceuticals plc 1432322.12000000 USD 109884.88000000 USD Diageo plc 656226.95000000 USD -9383.95000000 USD SSE plc 331435.26000000 USD 6897.29000000 USD Vodafone Group plc 2197276.45000000 USD 12607.62000000 USD National Grid plc 881265.80000000 USD 18525.16000000 USD Severn Trent plc 2702195.13000000 USD 128442.31000000 USD Tesco plc 808141.77000000 USD 13654.94000000 USD GSK plc 3185111.11000000 USD 156234.45000000 USD Next plc 364988.59000000 USD 4298.78000000 USD J Sainsbury plc 18689.85000000 USD 124.23000000 USD Pearson plc 315704.16000000 USD 1310.16000000 USD ITV plc 100231.68000000 USD 2889.41000000 USD Reckitt Benckiser Group plc 968959.54000000 USD -25188.14000000 USD Royal Mail plc 2607521.12000000 USD -5128.88000000 USD boohoo Group plc 365510.53000000 USD 63761.99000000 USD WH Smith plc 239052.89000000 USD 12935.15000000 USD Smith & Nephew plc 300113.50000000 USD 1655.27000000 USD DS Smith plc 948394.92000000 USD -11848.36000000 USD easyJet plc 125712.56000000 USD 7728.74000000 USD Britvic plc 446001.52000000 USD -427.93000000 USD Schroders plc 681471.86000000 USD 1109.52000000 USD RELX plc 372951.08000000 USD -23987.30000000 USD Airtel Africa plc 1421021.26000000 USD 17216.14000000 USD Kingfisher plc 1277918.48000000 USD 23950.82000000 USD Melrose Industries plc 177205.15000000 USD 615.54000000 USD Intermediate Capital Group plc 687337.26000000 USD 50312.75000000 USD Evraz plc 0.00000000 USD -377325.09000000 USD M&G plc 668927.28000000 USD -4259.20000000 USD DCC plc 430849.69000000 USD -756.20000000 USD Experian plc 1227546.04000000 USD -64615.95000000 USD abrdn plc 2001634.69000000 USD -35416.11000000 USD Bellway plc 383842.12000000 USD -5312.09000000 USD Rolls-Royce Holdings plc 811986.03000000 USD 39920.48000000 USD Bunzl plc 503342.02000000 USD -26056.08000000 USD AVEVA Group plc 1750291.26000000 USD 137994.00000000 USD Prudential plc 1367071.95000000 USD -84287.93000000 USD Anglo American plc 1408386.36000000 USD -195567.89000000 USD Hiscox Ltd. 576023.79000000 USD -5378.83000000 USD ASOS plc 143903.13000000 USD -3062.62000000 USD TUI AG 265673.03000000 USD -14809.23000000 USD BP plc 1375343.37000000 USD 4379.63000000 USD Rotork plc 37334.02000000 USD 816.64000000 USD Halma plc 1551081.71000000 USD -91079.63000000 USD JD Sports Fashion plc 1238790.81000000 USD 99525.07000000 USD Legal & General Group plc 506845.45000000 USD -8718.47000000 USD Intertek Group plc 365863.36000000 USD -2994.68000000 USD Shell plc 3983634.18000000 USD 85928.84000000 USD Dechra Pharmaceuticals plc 392095.22000000 USD -33714.38000000 USD Rio Tinto plc 2376877.95000000 USD -125466.83000000 USD Standard Chartered plc 643201.03000000 USD -38348.31000000 USD Direct Line Insurance Group plc 893608.93000000 USD 18965.11000000 USD Informa plc 1659402.03000000 USD -9795.81000000 USD Aviva plc 996522.88000000 USD -21823.72000000 USD Entain plc 382861.34000000 USD 6855.16000000 USD Berkeley Group Holdings plc 810040.99000000 USD 6858.12000000 USD Coca-Cola HBC AG 792403.64000000 USD 181.27000000 USD Spectris plc 1222315.79000000 USD -40168.50000000 USD WPP plc 815382.92000000 USD 15452.37000000 USD InterContinental Hotels Group plc 1515355.56000000 USD 12884.85000000 USD Imperial Brands plc 3124812.45000000 USD 95369.17000000 USD Johnson Matthey plc 654457.25000000 USD -19890.23000000 USD Auto Trader Group plc 434066.47000000 USD 5653.23000000 USD Abcam plc 680676.81000000 USD -18853.54000000 USD IMI plc 392114.96000000 USD -7907.81000000 USD Admiral Group plc 785043.84000000 USD -47555.59000000 USD Rightmove plc 42500.69000000 USD 17.42000000 USD Quilter plc 148011.79000000 USD 12418.36000000 USD Marks & Spencer Group plc 1671685.61000000 USD -28104.28000000 USD NatWest Group plc 53533.37000000 USD -504.63000000 USD Persimmon plc 938424.73000000 USD -27674.71000000 USD Unilever plc 1002846.77000000 USD 40532.34000000 USD Weir Group plc (The) 374937.43000000 USD 39799.01000000 USD HSBC Holdings plc 400946.62000000 USD -20875.37000000 USD Tate & Lyle plc 979755.39000000 USD 22753.90000000 USD St James's Place plc 1313375.40000000 USD 16227.70000000 USD Lloyds Banking Group plc 775266.43000000 USD 114.11000000 USD Ashtead Group plc 610372.62000000 USD 4491.56000000 USD Barratt Developments plc 1931984.44000000 USD -53177.22000000 USD Man Group PLC/Jersey 397288.69000000 USD 19927.83000000 USD Burberry Group plc 694528.36000000 USD -121.98000000 USD Y 2026-11-19 0.00000000 USD 0.00000000 USD 110760748.00000000 USD -714004.09000000 N N N N/A N/A N/A 40.00000000 NC -385778.96000000 -0.06482743972 N/A DE CA N 1 Canadian Derivatives Clearing 5493004XJK1P32XQLA57 Long S&P/TSX 60 Index XC0009654721 2022-09-15 9140000.00000000 CAD -385778.96000000 N N N N/A N/A N/A 1.00000000 NC N/A 26729.56000000 0.004491714477 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1752345.85000000 USD 1688647.00000000 CHF 2022-09-21 26729.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -1666.80000000 -0.00028009401 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 131294.37000000 USD 180000.00000000 SGD 2022-09-21 -1666.80000000 N N N N/A N/A N/A 671.00000000 NC USD -6307454.07000000 -1.05992327456 N/A DE US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long S&P 500 E-Mini Index US78378X1072 2022-09-16 127137725.00000000 USD -6307454.07000000 N N N N/A N/A N/A 1.00000000 NC N/A -2136.54000000 -0.00035903051 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 374395.60000000 USD 479103.00000000 CAD 2022-09-21 -2136.54000000 N N N N/A N/A N/A 1.00000000 NC N/A -42.22000000 -0.00000709477 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 9721.21000000 USD 12457.00000000 CAD 2022-09-21 -42.22000000 N N N United States of America 254900HROIFWPRGM1V77 912796W62 34777000.00000000 PA USD 34501562.68000000 5.797744840874 Long STIV UST US N 2 2022-11-17 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2895.95000000 -0.00048664402 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 69540.83000000 USD 231450.00000000 ILS 2022-09-21 -2895.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 19.83000000 0.000003332291 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 372193.39000000 USD 479044.00000000 CAD 2022-09-21 19.83000000 N N N N/A N/A N/A 1.00000000 NC N/A -2952.03000000 -0.00049606786 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 69596.62000000 USD 231449.00000000 ILS 2022-09-21 -2952.03000000 N N N N/A N/A N/A 1.00000000 NC N/A -123785.72000000 -0.02080131923 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1887848.78000000 USD 237998127.00000000 JPY 2022-09-21 -123785.72000000 N N N N/A N/A N/A 1.00000000 NC N/A -9972.79000000 -0.00167585718 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 336050.44000000 USD 267456.00000000 GBP 2022-09-21 -9972.79000000 N N N N/A N/A N/A 1.00000000 NC N/A 5052.59000000 0.000849052197 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1295936.16000000 USD 1234367.00000000 EUR 2022-09-21 5052.59000000 N N N N/A N/A N/A 1.00000000 NC N/A -110048.26000000 -0.01849283574 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1874111.31000000 USD 237998125.00000000 JPY 2022-09-21 -110048.26000000 N N N N/A N/A 000000000 10824263.56999999 PA -240309.51000000 -0.04038232223 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N/A N/A Rec/pay the total return of custom basket plus SORA +/- spread (-1.00% to 0.25%). SGD Currency. Maturity 31-61 Months 01/21/25 to 07/01/27 SATS Ltd. 388868.00000000 USD 2474.48000000 USD United Overseas Bank Ltd. 228594.83000000 USD -4433.26000000 USD Genting Singapore Ltd. 506819.06000000 USD -6973.46000000 USD Venture Corp. Ltd. 875627.78000000 USD 9906.67000000 USD Oversea-Chinese Banking Corp. Ltd. 1863732.31000000 USD -5967.71000000 USD City Developments Ltd. 957969.32000000 USD -2355.70000000 USD Keppel Corp. Ltd. 184061.76000000 USD 1593.25000000 USD Singapore Telecommunications Ltd. 83359.02000000 USD 1932.40000000 USD Singapore Technologies Engineering Ltd. 766864.27000000 USD 22889.39000000 USD Yangzijiang Shipbuilding Holdings Ltd. 3456689.33000000 USD -221766.72000000 USD Wilmar International Ltd. 473843.08000000 USD 3946.01000000 USD DBS Group Holdings Ltd. 648341.55000000 USD 8282.64000000 USD Singapore Airlines Ltd. 389493.26000000 USD -3969.49000000 USD Y 2025-01-21 0.00000000 USD 0.00000000 USD 10824264.00000000 USD -194441.50000000 N N N N/A N/A N/A 1.00000000 NC N/A -123788.08000000 -0.02080171581 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1887851.13000000 USD 237998125.00000000 JPY 2022-09-21 -123788.08000000 N N N N/A N/A N/A 34.00000000 NC -126512.06000000 -0.02125946149 N/A DE JP N 1 Japan Securities Clearing 549300JHM7D8P3TS4S86 Long TOPIX Index JP9010100007 2022-09-08 635970000.00000000 JPY -126512.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -2174.76000000 -0.00036545311 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 103356.11000000 USD 96000.00000000 EUR 2022-09-21 -2174.76000000 N N N N/A N/A N/A 1.00000000 NC N/A -411.97000000 -0.00006922865 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 28940.85000000 USD 280500.00000000 NOK 2022-09-21 -411.97000000 N N N N/A N/A N/A 1.00000000 NC N/A -32084.75000000 -0.00539161647 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1333074.55000000 USD 1234368.00000000 EUR 2022-09-21 -32084.75000000 N N N N/A N/A N/A 458598.84000000 PA -48122.20000000 -0.00808659710 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Germany Net Return Index M7DE Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 458598.84000000 EUR -48122.20000000 N N N N/A N/A N/A 1.00000000 NC N/A -14241.65000000 -0.00239320907 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1315232.51000000 USD 1234369.00000000 EUR 2022-09-21 -14241.65000000 N N N N/A N/A N/A 1.00000000 NC N/A 2813.38000000 0.000472768712 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 998500.00000000 DKK 144327.84000000 USD 2022-09-21 2813.38000000 N N N N/A N/A N/A 1.00000000 NC N/A -2623.29000000 -0.00044082542 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 741484.14000000 USD 950925.00000000 CAD 2022-09-21 -2623.29000000 N N N N/A N/A N/A 1.00000000 NC N/A -825.50000000 -0.00013871946 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 375072.89000000 USD 481662.00000000 CAD 2022-09-21 -825.50000000 N N N N/A N/A N/A 1.00000000 NC N/A -2741.02000000 -0.00046060912 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 473986.50000000 USD 606500.00000000 CAD 2022-09-21 -2741.02000000 N N N N/A N/A N/A 1.00000000 NC N/A -48807.67000000 -0.00820178551 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 868977.44000000 USD 110653000.00000000 JPY 2022-09-21 -48807.67000000 N N N N/A N/A N/A 1.00000000 NC N/A -23005.53000000 -0.00386591743 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 842905.69000000 USD 672500.00000000 GBP 2022-09-21 -23005.53000000 N N N N/A N/A N/A 1.00000000 NC N/A -9973.21000000 -0.00167592776 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 336050.86000000 USD 267456.00000000 GBP 2022-09-21 -9973.21000000 N N N N/A N/A N/A 1.00000000 NC N/A -19013.35000000 -0.00319505968 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 686241.72000000 USD 966000.00000000 AUD 2022-09-21 -19013.35000000 N N N N/A N/A N/A 1.00000000 NC N/A -15494.63000000 -0.00260376354 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 397804.05000000 USD 553500.00000000 AUD 2022-09-21 -15494.63000000 N N N N/A N/A N/A 1.00000000 NC N/A -45253.04000000 -0.00760445495 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1733189.84000000 USD 1601500.00000000 EUR 2022-09-21 -45253.04000000 N N N N/A N/A N/A 1.00000000 NC N/A -7746.49000000 -0.00130174313 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 328957.16000000 USD 263464.00000000 GBP 2022-09-21 -7746.49000000 N N N N/A N/A N/A 1.00000000 NC N/A -1306.97000000 -0.00021962711 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 375598.64000000 USD 481719.00000000 CAD 2022-09-21 -1306.97000000 N N N N/A N/A N/A 1.00000000 NC N/A -11.39000000 -0.00000191400 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1114411.27000000 USD 8724500.00000000 HKD 2022-09-21 -11.39000000 N N N N/A N/A N/A 1.00000000 NC N/A -1601.68000000 -0.00026915105 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 74500.00000000 CHF 76887.86000000 USD 2022-09-21 -1601.68000000 N N N N/A N/A N/A 1.00000000 NC N/A 245.26000000 0.000041214217 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 89810.00000000 SEK 9054.33000000 USD 2022-09-21 245.26000000 N N N United States of America 254900HROIFWPRGM1V77 912796M71 3054000.00000000 PA USD 3044978.30000000 0.511687177567 Long STIV UST US N 2 2022-09-08 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1329.30000000 -0.00022337951 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 63102.28000000 USD 98999.00000000 NZD 2022-09-21 -1329.30000000 N N N N/A N/A N/A 1.00000000 NC N/A -8397.75000000 -0.00141118279 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 332853.89000000 USD 266126.00000000 GBP 2022-09-21 -8397.75000000 N N N N/A N/A N/A 1.00000000 NC N/A -10874.36000000 -0.00182735968 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 336949.57000000 USD 267454.00000000 GBP 2022-09-21 -10874.36000000 N N N Limited Purpose Cash Investment Fund 549300GUQBQJ6160QP80 90262Y729 195491571.91100000 NS USD 195335178.65000000 32.82470231169 Long STIV RF US N 1 N N N N/A N/A N/A 1.00000000 NC N/A -1773.59000000 -0.00029803931 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 376020.98000000 USD 481662.00000000 CAD 2022-09-21 -1773.59000000 N N N N/A N/A N/A 1.00000000 NC N/A -10343.76000000 -0.00173819608 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 336420.19000000 USD 267455.00000000 GBP 2022-09-21 -10343.76000000 N N N N/A N/A N/A 1.00000000 NC N/A -10755.30000000 -0.00180735248 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 335210.22000000 USD 266125.00000000 GBP 2022-09-21 -10755.30000000 N N N N/A N/A N/A 1.00000000 NC N/A -1210.27000000 -0.00020337735 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 909145.24000000 USD 6406222.00000000 DKK 2022-09-21 -1210.27000000 N N N N/A N/A N/A 1.00000000 NC N/A 5963.37000000 0.001002102367 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 356500.00000000 CAD 282960.92000000 USD 2022-09-21 5963.37000000 N N N N/A N/A N/A 175841.49000000 PA -6697.08000000 -0.00112539717 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Singapore Net Return Index M7SG Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 175841.49000000 SGD -6697.08000000 N N N N/A N/A N/A 1.00000000 NC N/A 2813.56000000 0.000472798960 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 998500.00000000 DKK 144328.02000000 USD 2022-09-21 2813.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -11478.66000000 -0.00192890804 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 332689.33000000 USD 263464.00000000 GBP 2022-09-21 -11478.66000000 N N N N/A N/A N/A 1065844.00000000 PA -69324.13000000 -0.01164943225 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Spain Net Return Index M7ES Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 1065844.00000000 EUR -69324.13000000 N N N N/A N/A N/A 1.00000000 NC N/A -776.69000000 -0.00013051728 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 86734.15000000 USD 606500.00000000 DKK 2022-09-21 -776.69000000 N N N N/A N/A N/A 1.00000000 NC N/A 2164.01000000 0.000363646653 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 538000.00000000 SEK 54934.08000000 USD 2022-09-21 2164.01000000 N N N N/A N/A N/A 1.00000000 NC N/A -2951.96000000 -0.00049605610 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 69597.13000000 USD 231451.00000000 ILS 2022-09-21 -2951.96000000 N N N N/A N/A N/A 31.00000000 NC -37011.51000000 -0.00621952382 N/A DE ES N 1 BME Clearing 5299009QA8BBE2OOB349 Long IBEX 35 Index ES0SI0000005 2022-07-15 2492276.00000000 EUR -37011.51000000 N N N N/A N/A N/A 1.00000000 NC N/A 4422.85000000 0.000743228821 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 262652.28000000 USD 253500.00000000 CHF 2022-09-21 4422.85000000 N N N N/A N/A N/A 1016993949.00000000 PA -407680.45000000 -0.06850783101 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Japan Net Return Index M7JP Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 1016993949.00000000 JPY -407680.45000000 N N N N/A N/A N/A 1.00000000 NC N/A -10344.90000000 -0.00173838765 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 336422.55000000 USD 267456.00000000 GBP 2022-09-21 -10344.90000000 N N N United States of America 254900HROIFWPRGM1V77 912796T58 19922000.00000000 PA USD 19878323.80000000 3.340412442346 Long STIV UST US N 2 2022-08-25 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 475.28000000 0.000079867459 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 80500.00000000 SGD 58447.61000000 USD 2022-09-21 475.28000000 N N N N/A N/A N/A 1.00000000 NC N/A -825.04000000 -0.00013864216 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 375073.20000000 USD 481663.00000000 CAD 2022-09-21 -825.04000000 N N N N/A N/A N/A 1.00000000 NC N/A 628.56000000 0.000105625085 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 160500.00000000 NOK 16952.57000000 USD 2022-09-21 628.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -33603.21000000 -0.00564678299 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1334593.01000000 USD 1234368.00000000 EUR 2022-09-21 -33603.21000000 N N N N/A N/A N/A 1.00000000 NC N/A -1273.10000000 -0.00021393549 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 49414.19000000 USD 473330.00000000 NOK 2022-09-21 -1273.10000000 N N N N/A N/A N/A 2173362.00000000 PA 1260.97000000 0.000211897135 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Hong Kong Net Return Index M7HK Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 2173362.00000000 HKD 1260.97000000 N N N N/A N/A N/A 1.00000000 NC N/A -11080.62000000 -0.00186202022 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1072430.83000000 USD 1007000.00000000 EUR 2022-09-21 -11080.62000000 N N N N/A N/A N/A 1.00000000 NC N/A -90.26000000 -0.00001516755 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 3453.72000000 USD 33070.00000000 NOK 2022-09-21 -90.26000000 N N N N/A N/A N/A 1.00000000 NC N/A -7746.08000000 -0.00130167423 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 328956.75000000 USD 263464.00000000 GBP 2022-09-21 -7746.08000000 N N N N/A N/A N/A 1.00000000 NC N/A -1306.50000000 -0.00021954813 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 375599.73000000 USD 481721.00000000 CAD 2022-09-21 -1306.50000000 N N N N/A N/A N/A 1.00000000 NC N/A -3706.58000000 -0.00062286468 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 92566.42000000 USD 308600.00000000 ILS 2022-09-21 -3706.58000000 N N N N/A N/A N/A 1.00000000 NC N/A -11081.96000000 -0.00186224540 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1072432.17000000 USD 1007000.00000000 EUR 2022-09-21 -11081.96000000 N N N N/A N/A 000000000 4348800.00000000 PA -2101.20000000 -0.00035309187 N/A DE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A Y 2022-07-28 0.00000000 USD 0.00000000 USD 4348800.00000000 HKD -2101.20000000 N N N N/A N/A N/A 1.00000000 NC N/A -2134.39000000 -0.00035866922 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 378415.94000000 USD 484280.00000000 CAD 2022-09-21 -2134.39000000 N N N N/A N/A N/A 1.00000000 NC N/A -2740.43000000 -0.00046050997 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 473985.91000000 USD 606500.00000000 CAD 2022-09-21 -2740.43000000 N N N United States of America 254900HROIFWPRGM1V77 912796N96 11014000.00000000 PA USD 10938221.37000000 1.838091135304 Long STIV UST US N 2 2022-11-03 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 4.51000000 0.000000757873 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 330000.00000000 HKD 42156.15000000 USD 2022-09-21 4.51000000 N N N N/A N/A N/A 1.00000000 NC N/A -114866.55000000 -0.01930251547 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1878929.60000000 USD 237998125.00000000 JPY 2022-09-21 -114866.55000000 N N N N/A N/A N/A 1.00000000 NC N/A 628.58000000 0.000105628446 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 160500.00000000 NOK 16952.59000000 USD 2022-09-21 628.58000000 N N N N/A N/A N/A 1.00000000 NC N/A -1211.40000000 -0.00020356724 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 909146.23000000 USD 6406221.00000000 DKK 2022-09-21 -1211.40000000 N N N N/A N/A N/A 1.00000000 NC N/A -14243.27000000 -0.00239348130 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1315232.02000000 USD 1234367.00000000 EUR 2022-09-21 -14243.27000000 N N N N/A N/A N/A 1.00000000 NC N/A -776.79000000 -0.00013053409 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 86734.25000000 USD 606500.00000000 DKK 2022-09-21 -776.79000000 N N N N/A N/A N/A 1.00000000 NC N/A -192.46000000 -0.00003234154 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 9240.11000000 USD 14500.00000000 NZD 2022-09-21 -192.46000000 N N N N/A N/A N/A 1.00000000 NC N/A -9965.95000000 -0.00167470777 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 336041.16000000 USD 267454.00000000 GBP 2022-09-21 -9965.95000000 N N N N/A N/A N/A 1.00000000 NC N/A -2895.88000000 -0.00048663225 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 69541.05000000 USD 231451.00000000 ILS 2022-09-21 -2895.88000000 N N N N/A N/A N/A 1.00000000 NC N/A 475.35000000 0.000079879222 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 80500.00000000 SGD 58447.68000000 USD 2022-09-21 475.35000000 N N N United States of America 254900HROIFWPRGM1V77 912796X87 8483000.00000000 PA USD 8384387.08000000 1.408937252721 Long STIV UST US N 2 2022-12-22 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1602.18000000 -0.00026923507 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 373858.91000000 USD 479100.00000000 CAD 2022-09-21 -1602.18000000 N N N N/A N/A N/A 1.00000000 NC N/A -1547.69000000 -0.00026007841 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 375795.08000000 USD 481662.00000000 CAD 2022-09-21 -1547.69000000 N N N N/A N/A N/A 1.00000000 NC N/A -3211.31000000 -0.00053963804 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1304200.06000000 USD 1234367.00000000 EUR 2022-09-21 -3211.31000000 N N N N/A N/A N/A 1.00000000 NC N/A -11051.13000000 -0.00185706463 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 479217.17000000 USD 384000.00000000 GBP 2022-09-21 -11051.13000000 N N N N/A N/A N/A 1.00000000 NC N/A -1518.29000000 -0.00025513795 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 59287.49000000 USD 567995.00000000 NOK 2022-09-21 -1518.29000000 N N N United States of America 254900HROIFWPRGM1V77 912796P94 44794000.00000000 PA USD 44374462.08000000 7.456816115173 Long STIV UST US N 2 2022-12-01 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 200.77000000 0.000033737985 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 9000.00000000 NZD 5816.55000000 USD 2022-09-21 200.77000000 N N N N/A N/A 000000000 514550179.43999982 PA 2035025.05000000 0.341971640360 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 (-0.30% to 0.03%). JPY Currency. Maturity 61 Months 11/10/26 Lasertec Corp. 4454478.48000000 USD -130820.40000000 USD Ajinomoto Co., Inc. 1455820.99000000 USD -138223.33000000 USD Sumitomo Mitsui Trust Holdings, Inc. 472861.31000000 USD 2810.41000000 USD Mitsui Chemicals, Inc. 1019548.54000000 USD -54212.43000000 USD Kirin Holdings Co. Ltd. 93202.57000000 USD 894.38000000 USD Taisei Corp. 3354966.18000000 USD 147109.46000000 USD ANA Holdings, Inc. 2301570.06000000 USD -76299.67000000 USD Hikari Tsushin, Inc. 195323.52000000 USD 534.31000000 USD Tokyo Electric Power Co. Holdings, Inc. 1680394.98000000 USD 274089.70000000 USD MonotaRO Co. Ltd. 4311549.03000000 USD -540704.84000000 USD Kose Corp. 2424215.96000000 USD -261789.67000000 USD Lion Corp. 1716013.35000000 USD 65479.97000000 USD MatsukiyoCocokara & Co. 1298106.48000000 USD -124639.50000000 USD NTT Data Corp. 699191.23000000 USD -9099.89000000 USD Hamamatsu Photonics KK 518136.61000000 USD 27861.33000000 USD Suntory Beverage & Food Ltd. 41539.30000000 USD -2907.96000000 USD Fancl Corp. 700225.46000000 USD -50126.34000000 USD Capcom Co. Ltd. 1890126.46000000 USD -105887.53000000 USD Mitsubishi Gas Chemical Co., Inc. 1300490.43000000 USD -41673.96000000 USD Hitachi Ltd. 2012213.87000000 USD 25147.57000000 USD CyberAgent, Inc. 1549868.64000000 USD 128060.71000000 USD Disco Corp. 951847.37000000 USD -12123.51000000 USD NGK Insulators Ltd. 3060949.27000000 USD -7404.73000000 USD Olympus Corp. 1181460.78000000 USD -27950.28000000 USD Chugoku Electric Power Co., Inc. (The) 424941.20000000 USD -1029.58000000 USD Nikon Corp. 1017106.56000000 USD -75642.56000000 USD Showa Denko KK 1131081.00000000 USD 44689.58000000 USD Yamazaki Baking Co. Ltd. 2084489.53000000 USD 98917.59000000 USD Kyowa Kirin Co. Ltd. 2639243.95000000 USD -164590.72000000 USD Kansai Paint Co. Ltd. 935754.72000000 USD 8587.85000000 USD Eisai Co. Ltd. 122612.31000000 USD -848.84000000 USD Nomura Holdings, Inc. 937704.38000000 USD 5782.28000000 USD Food & Life Cos. Ltd. 143742.40000000 USD 17080.40000000 USD KDDI Corp. 1491575.84000000 USD -22662.45000000 USD IHI Corp. 1242215.13000000 USD -69850.06000000 USD Otsuka Holdings Co. Ltd. 970950.43000000 USD 96893.82000000 USD West Japan Railway Co. 2913645.69000000 USD -140314.61000000 USD Obic Co. Ltd. 2403285.30000000 USD -138753.93000000 USD ENEOS Holdings, Inc. 2205373.23000000 USD -106226.55000000 USD Nippon Telegraph & Telephone Corp. 1749850.01000000 USD 35723.69000000 USD Concordia Financial Group Ltd. 1658997.55000000 USD 39097.78000000 USD Nissan Chemical Corp. 2007847.17000000 USD -7291.01000000 USD Renesas Electronics Corp. 61535.64000000 USD -2909.49000000 USD Bridgestone Corp. 2552157.40000000 USD 53593.39000000 USD Tokyo Electron Ltd. 2350032.07000000 USD 189101.17000000 USD SCSK Corp. 1569188.86000000 USD 110666.19000000 USD Dai-ichi Life Holdings, Inc. 3068385.27000000 USD -53524.80000000 USD Central Japan Railway Co. 1701006.57000000 USD -19535.46000000 USD SUMCO Corp. 162561.20000000 USD -11561.74000000 USD ZOZO, Inc. 1262871.16000000 USD 64784.60000000 USD JSR Corp. 6028797.86000000 USD -53823.83000000 USD Sumitomo Forestry Co. Ltd. 1548739.16000000 USD 3742.22000000 USD Shimano, Inc. 1667722.96000000 USD -155475.55000000 USD Yokogawa Electric Corp. 972741.50000000 USD 9932.51000000 USD Osaka Gas Co. Ltd. 2159922.73000000 USD 74257.61000000 USD ITOCHU Corp. 960415.68000000 USD -1409.20000000 USD East Japan Railway Co. 2603493.15000000 USD -86629.20000000 USD Kyocera Corp. 203134.35000000 USD 2127.57000000 USD Inpex Corp. 568175.04000000 USD 40495.61000000 USD Japan Tobacco, Inc. 3649442.64000000 USD -60271.40000000 USD Ibiden Co. Ltd. 946243.75000000 USD -2185.02000000 USD Daiwa Securities Group, Inc. 834182.52000000 USD 4171.58000000 USD Kewpie Corp. 1570157.10000000 USD 61595.78000000 USD Shinko Electric Industries Co. Ltd. 1616814.92000000 USD -77548.88000000 USD Hisamitsu Pharmaceutical Co., Inc. 884055.79000000 USD 39642.47000000 USD Sumitomo Metal Mining Co. Ltd. 1525412.55000000 USD -64723.55000000 USD Oriental Land Co. Ltd/Japan 3938184.68000000 USD -187676.14000000 USD Lawson, Inc. 3374662.18000000 USD 135994.95000000 USD Nissin Foods Holdings Co. Ltd. 663083.15000000 USD -37687.02000000 USD Sumitomo Chemical Co. Ltd. 1071961.82000000 USD -16128.54000000 USD Nabtesco Corp. 1025428.86000000 USD -2010.70000000 USD Nippon Paint Holdings Co. Ltd. 4494552.77000000 USD -524741.84000000 USD JFE Holdings, Inc. 760610.88000000 USD -17381.46000000 USD NGK Spark Plug Co. Ltd. 3798420.68000000 USD -114751.24000000 USD TOPPAN, Inc. 1074444.58000000 USD -29556.15000000 USD SoftBank Group Corp. 1705374.18000000 USD -99703.22000000 USD Nidec Corp. 4542172.46000000 USD -177019.16000000 USD SMC Corp. 2403753.60000000 USD 13669.74000000 USD Marui Group Co. Ltd. 1850494.58000000 USD -33862.57000000 USD Sumitomo Electric Industries Ltd. 2390228.71000000 USD -77055.80000000 USD Hakuhodo DY Holdings, Inc. 1185901.18000000 USD 38936.67000000 USD Isuzu Motors Ltd. 1897027.60000000 USD 49537.85000000 USD Recruit Holdings Co. Ltd. 35340.53000000 USD -185.47000000 USD Kubota Corp. 3253483.70000000 USD 77900.44000000 USD Daifuku Co. Ltd. 1230450.53000000 USD -64176.95000000 USD Sumitomo Corp. 2537897.01000000 USD 14942.63000000 USD Nisshin Seifun Group, Inc. 472803.35000000 USD -14551.58000000 USD Yamaha Corp. 2597171.21000000 USD -144491.74000000 USD Kyushu Railway Co. 1968213.54000000 USD 66020.14000000 USD Kinden Corp. 886413.55000000 USD 37922.99000000 USD Square Enix Holdings Co. Ltd. 2006281.56000000 USD 73668.85000000 USD Japan Airlines Co. Ltd. 1321265.34000000 USD -56224.06000000 USD Nifco, Inc. 86536.87000000 USD 312.57000000 USD Nichirei Corp. 285402.00000000 USD 13075.94000000 USD Fujitsu Ltd. 112615.18000000 USD -4791.63000000 USD Toyota Industries Corp. 136415.99000000 USD 4915.40000000 USD Tokyu Corp. 1104804.81000000 USD -54955.40000000 USD Otsuka Corp. 2645743.74000000 USD 75125.52000000 USD Asahi Kasei Corp. 197030.92000000 USD -2163.14000000 USD Kakaku.com, Inc. 1011492.32000000 USD -117714.69000000 USD Seibu Holdings, Inc. 438368.59000000 USD 6439.54000000 USD SCREEN Holdings Co. Ltd. 4044002.47000000 USD -326853.99000000 USD T&D Holdings, Inc. 1821918.39000000 USD -6808.72000000 USD Hirose Electric Co. Ltd. 557680.96000000 USD 2654.42000000 USD Sundrug Co. Ltd. 2544983.24000000 USD 223905.79000000 USD Murata Manufacturing Co. Ltd. 195938.35000000 USD 12743.84000000 USD Shionogi & Co. Ltd. 1398453.27000000 USD -80353.33000000 USD Japan Post Holdings Co. Ltd. 2288144.56000000 USD 31772.66000000 USD Toyo Suisan Kaisha Ltd. 1628102.83000000 USD 85252.00000000 USD Obayashi Corp. 1403012.17000000 USD 38021.56000000 USD Toho Gas Co. Ltd. 507272.14000000 USD 41396.55000000 USD Shiseido Co. Ltd. 1060079.03000000 USD -87979.24000000 USD Yamada Holdings Co. Ltd. 3511999.01000000 USD 165853.62000000 USD Medipal Holdings Corp. 2533537.58000000 USD 43560.50000000 USD Fuji Electric Co. Ltd. 446513.33000000 USD -4017.33000000 USD Asics Corp. 519822.77000000 USD 19561.13000000 USD Tobu Railway Co. Ltd. 714475.12000000 USD 16638.30000000 USD FANUC Corp. 2006263.07000000 USD -58754.83000000 USD Sumitomo Heavy Industries Ltd. 1527430.85000000 USD -59243.68000000 USD Subaru Corp. 918030.76000000 USD -13017.30000000 USD Kawasaki Kisen Kaisha Ltd. 1566458.01000000 USD -42684.30000000 USD Yamaha Motor Co. Ltd. 1674683.70000000 USD -43382.34000000 USD Odakyu Electric Railway Co. Ltd. 1623061.04000000 USD -65225.69000000 USD Ricoh Co. Ltd. 3156432.21000000 USD -55034.72000000 USD FUJIFILM Holdings Corp. 462090.42000000 USD -18862.21000000 USD COMSYS Holdings Corp. 691055.65000000 USD 18416.67000000 USD Sekisui Chemical Co. Ltd. 1728829.34000000 USD 11319.30000000 USD Japan Post Insurance Co. Ltd. 3785114.35000000 USD -58399.71000000 USD Rakuten Group, Inc. 2232770.61000000 USD -1790.37000000 USD Kobe Bussan Co. Ltd. 3743692.44000000 USD -167978.63000000 USD MINEBEA MITSUMI, Inc. 671505.76000000 USD -4367.43000000 USD Brother Industries Ltd. 1407552.05000000 USD -1646.06000000 USD Lixil Corp. 543192.06000000 USD 18783.16000000 USD Zenkoku Hosho Co. Ltd. 681538.27000000 USD -1813.92000000 USD Skylark Holdings Co. Ltd. 239219.51000000 USD -1496.88000000 USD Mitsubishi Corp. 750485.64000000 USD -11966.91000000 USD Stanley Electric Co. Ltd. 1093355.70000000 USD -39968.32000000 USD Mitsui & Co. Ltd. 2054619.14000000 USD -113446.07000000 USD Marubeni Corp. 2067052.84000000 USD -150821.42000000 USD Keio Corp. 1036749.57000000 USD -35644.02000000 USD Asahi Intecc Co. Ltd. 3102369.09000000 USD -417997.92000000 USD SoftBank Corp. 809375.23000000 USD -22508.70000000 USD GMO Payment Gateway, Inc. 1488727.59000000 USD -163000.43000000 USD Sompo Holdings, Inc. 808273.56000000 USD 16356.72000000 USD SG Holdings Co. Ltd. 661178.01000000 USD 12778.00000000 USD Azbil Corp. 1848154.91000000 USD -48675.29000000 USD MEIJI Holdings Co. Ltd. 1174394.05000000 USD 32744.72000000 USD Dentsu Group, Inc. 2580651.75000000 USD -84884.80000000 USD Nissan Motor Co. Ltd. 1146784.09000000 USD -15550.60000000 USD Taisho Pharmaceutical Holdings Co. Ltd. 1379525.44000000 USD 51122.23000000 USD Panasonic Holdings Corp. 1695578.93000000 USD -27390.85000000 USD Kyushu Electric Power Co., Inc. 3114436.08000000 USD 133348.23000000 USD Japan Airport Terminal Co. Ltd. 1835628.17000000 USD -75542.88000000 USD Resona Holdings, Inc. 2269370.53000000 USD 7660.19000000 USD Bandai Namco Holdings, Inc. 1736587.13000000 USD -79604.53000000 USD Seiko Epson Corp. 2832226.19000000 USD -235872.08000000 USD Fast Retailing Co. Ltd. 3361772.18000000 USD -131583.51000000 USD Hoshizaki Corp. 345748.67000000 USD -12744.55000000 USD Suzuki Motor Corp. 789091.97000000 USD -3226.79000000 USD Nitori Holdings Co. Ltd. 1218084.45000000 USD -76103.32000000 USD AGC, Inc. 1848242.18000000 USD -51374.57000000 USD Sumitomo Pharma Co. Ltd. 1170964.23000000 USD 28113.13000000 USD BayCurrent Consulting, Inc. 2833933.48000000 USD -144992.93000000 USD BIPROGY, Inc. 1423809.46000000 USD -23345.61000000 USD Koei Tecmo Holdings Co. Ltd. 2243853.55000000 USD -100510.50000000 USD Rinnai Corp. 516623.60000000 USD -20235.04000000 USD Sumitomo Mitsui Financial Group, Inc. 1887543.65000000 USD 25788.05000000 USD Sony Group Corp. 4705826.14000000 USD 63524.54000000 USD Terumo Corp. 1467176.04000000 USD -95199.13000000 USD NSK Ltd. 289452.31000000 USD -7538.84000000 USD Kintetsu Group Holdings Co. Ltd. 790236.87000000 USD -35799.96000000 USD Hankyu Hanshin Holdings, Inc. 341415.85000000 USD -15280.82000000 USD Kawasaki Heavy Industries Ltd. 850193.72000000 USD -41560.12000000 USD Omron Corp. 1129907.38000000 USD -33376.05000000 USD Welcia Holdings Co. Ltd. 1355039.29000000 USD -166646.50000000 USD Hitachi Metals Ltd. 1830204.69000000 USD -32327.45000000 USD Kao Corp. 60824.22000000 USD -225.40000000 USD Nippon Steel Corp. 3346230.31000000 USD -108306.71000000 USD Ryohin Keikaku Co. Ltd. 1292139.27000000 USD -14832.86000000 USD Tokyo Gas Co. Ltd. 464218.75000000 USD -18298.94000000 USD Kajima Corp. 1228074.01000000 USD 56733.41000000 USD Sekisui House Ltd. 3949954.89000000 USD -103111.72000000 USD Takeda Pharmaceutical Co. Ltd. 1494300.32000000 USD 81561.18000000 USD Z Holdings Corp. 1847208.98000000 USD -37559.25000000 USD ORIX Corp. 497767.53000000 USD 2741.38000000 USD NIPPON EXPRESS HOLDINGS, Inc. 3110417.40000000 USD -3821.99000000 USD Kikkoman Corp. 3480383.81000000 USD -274974.03000000 USD Kansai Electric Power Co., Inc. (The) 1353134.36000000 USD -53829.55000000 USD USS Co. Ltd. 807674.34000000 USD -2615.38000000 USD Toyota Boshoku Corp. 1962302.65000000 USD -30686.00000000 USD Kobayashi Pharmaceutical Co. Ltd. 1337715.74000000 USD -68906.77000000 USD Mitsubishi Heavy Industries Ltd. 999619.37000000 USD -37384.89000000 USD Oji Holdings Corp. 1231681.32000000 USD 35043.25000000 USD Nippon Sanso Holdings Corp. 283398.09000000 USD 18472.49000000 USD Nippon Yusen KK 2530046.49000000 USD -5352.94000000 USD THK Co. Ltd. 474663.31000000 USD 4079.37000000 USD Sojitz Corp. 1217839.79000000 USD -62847.08000000 USD Yakult Honsha Co. Ltd. 69215.35000000 USD -489.35000000 USD NH Foods Ltd. 2220838.43000000 USD 9441.57000000 USD Aeon Co. Ltd. 4009024.62000000 USD -209704.16000000 USD Trend Micro, Inc. 9784.29000000 USD -232.40000000 USD TDK Corp. 1527362.94000000 USD -24699.09000000 USD Iida Group Holdings Co. Ltd. 3928670.74000000 USD 157403.01000000 USD Mitsubishi HC Capital, Inc. 3393685.64000000 USD 11999.32000000 USD Daikin Industries Ltd. 5186059.95000000 USD -480801.25000000 USD Unicharm Corp. 3781900.80000000 USD -210542.03000000 USD Rakus Co. Ltd. 900046.37000000 USD -190392.78000000 USD Nitto Denko Corp. 1707514.19000000 USD -54727.34000000 USD Rohto Pharmaceutical Co. Ltd. 1913563.90000000 USD 179410.01000000 USD Aisin Corp. 2138711.56000000 USD -13024.14000000 USD Amada Co. Ltd. 3265932.44000000 USD -50895.25000000 USD Toho Co. Ltd/Tokyo 105052.93000000 USD -3847.89000000 USD Fukuoka Financial Group, Inc. 2775342.32000000 USD 29073.16000000 USD Benefit One, Inc. 1938675.60000000 USD -205824.04000000 USD Konami Group Corp. 1135731.18000000 USD -20591.93000000 USD Mitsubishi Chemical Group Corp. 1502409.73000000 USD -72247.94000000 USD Nippon Shinyaku Co. Ltd. 1416138.38000000 USD -147314.40000000 USD Dai Nippon Printing Co. Ltd. 404397.72000000 USD -5328.11000000 USD Haseko Corp. 1653695.28000000 USD 33606.23000000 USD Komatsu Ltd. 200404.55000000 USD -3912.76000000 USD Taiyo Yuden Co. Ltd. 763310.55000000 USD 57208.32000000 USD Idemitsu Kosan Co. Ltd. 845659.03000000 USD -54326.40000000 USD Sugi Holdings Co. Ltd. 149348.69000000 USD 22550.34000000 USD Cosmos Pharmaceutical Corp. 912418.61000000 USD -99257.04000000 USD Secom Co. Ltd. 351944.97000000 USD -8970.32000000 USD Yaskawa Electric Corp. 3123231.93000000 USD -64221.64000000 USD Nexon Co. Ltd. 2511402.87000000 USD -48182.61000000 USD Hitachi Construction Machinery Co. Ltd. 1070654.04000000 USD -67482.07000000 USD MISUMI Group, Inc. 1864850.18000000 USD 123434.40000000 USD Ito En Ltd. 2509481.65000000 USD -292688.69000000 USD Advantest Corp. 43021.40000000 USD 1121.89000000 USD Hino Motors Ltd. 2287570.75000000 USD -40423.65000000 USD Shimamura Co. Ltd. 4384475.23000000 USD 228593.74000000 USD Pola Orbis Holdings, Inc. 2413687.24000000 USD 234737.46000000 USD Casio Computer Co. Ltd. 800776.40000000 USD 19700.34000000 USD Itochu Techno-Solutions Corp. 622055.69000000 USD 39342.69000000 USD Nintendo Co. Ltd. 1247163.73000000 USD 33317.55000000 USD Bank of Kyoto Ltd. (The) 154081.12000000 USD -814.92000000 USD Tokio Marine Holdings, Inc. 3253807.07000000 USD -190317.98000000 USD Alfresa Holdings Corp. 2222468.54000000 USD 70149.08000000 USD MS&AD Insurance Group Holdings, Inc. 331164.58000000 USD 9902.79000000 USD Harmonic Drive Systems, Inc. 1738607.69000000 USD -337837.50000000 USD Makita Corp. 2215917.38000000 USD 11175.78000000 USD Chugai Pharmaceutical Co. Ltd. 2018301.32000000 USD -68065.12000000 USD Daiichi Sankyo Co. Ltd. 3290963.92000000 USD -367024.68000000 USD Toyota Motor Corp. 6455621.54000000 USD -82801.29000000 USD Mitsubishi Motors Corp. 1211301.81000000 USD 57354.28000000 USD Toray Industries, Inc. 374317.64000000 USD 6871.81000000 USD Asahi Group Holdings Ltd. 874751.45000000 USD 21347.86000000 USD Tosoh Corp. 3650767.65000000 USD -149330.25000000 USD Mazda Motor Corp. 5243581.39000000 USD -11191.59000000 USD Nomura Research Institute Ltd. 3716861.52000000 USD 67459.14000000 USD Seven & i Holdings Co. Ltd. 81480.84000000 USD -1136.37000000 USD Calbee, Inc. 259988.07000000 USD 25529.05000000 USD Shimizu Corp. 1266738.34000000 USD -33034.04000000 USD Kuraray Co. Ltd. 1603890.17000000 USD -51799.69000000 USD Sharp Corp/Japan 294706.57000000 USD 3291.74000000 USD Kurita Water Industries Ltd. 2924830.39000000 USD -20493.99000000 USD Open House Group Co. Ltd. 513493.80000000 USD -10558.50000000 USD Mitsubishi UFJ Financial Group, Inc. 4211026.11000000 USD 30194.48000000 USD Mizuho Financial Group, Inc. 10502586.57000000 USD 123470.07000000 USD NOF Corp. 775586.53000000 USD 37740.12000000 USD Ebara Corp. 108365.89000000 USD 2146.46000000 USD Shin-Etsu Chemical Co. Ltd. 2540488.06000000 USD -75454.09000000 USD Ono Pharmaceutical Co. Ltd. 182393.89000000 USD 3672.40000000 USD Hoya Corp. 1343652.18000000 USD -14967.68000000 USD Tohoku Electric Power Co., Inc. 2791630.20000000 USD 62794.73000000 USD Yamato Holdings Co. Ltd. 1233843.87000000 USD 11325.37000000 USD Chiba Bank Ltd. (The) 2163205.18000000 USD -17997.63000000 USD Toyota Tsusho Corp. 1121536.83000000 USD -41045.67000000 USD Koito Manufacturing Co. Ltd. 724170.71000000 USD -10636.83000000 USD Pan Pacific International Holdings Corp. 3721153.70000000 USD -405879.32000000 USD Honda Motor Co. Ltd. 2707676.74000000 USD -11223.01000000 USD Shizuoka Bank Ltd. (The) 744781.19000000 USD -5389.24000000 USD Persol Holdings Co. Ltd. 1113744.66000000 USD 113862.58000000 USD McDonald's Holdings Co. Japan Ltd. 947071.67000000 USD -8190.71000000 USD Mitsui OSK Lines Ltd. 1016800.34000000 USD 10181.82000000 USD Sega Sammy Holdings, Inc. 1095450.97000000 USD 22105.98000000 USD Mercari, Inc. 2311752.29000000 USD -62986.81000000 USD Suzuken Co. Ltd/Aichi Japan 876640.71000000 USD 49171.66000000 USD Sysmex Corp. 1007689.34000000 USD -64252.58000000 USD TOTO Ltd. 854274.20000000 USD -63236.47000000 USD Sohgo Security Services Co. Ltd. 3468313.85000000 USD 98574.41000000 USD Mitsubishi Electric Corp. 2536800.62000000 USD 88008.99000000 USD M3, Inc. 1732855.65000000 USD -186592.38000000 USD ABC-Mart, Inc. 955551.75000000 USD 43346.56000000 USD Keyence Corp. 3532263.72000000 USD -31460.06000000 USD Nagoya Railroad Co. Ltd. 996180.72000000 USD 3444.36000000 USD Rohm Co. Ltd. 1563224.90000000 USD -35971.73000000 USD JTEKT Corp. 2178664.52000000 USD -61902.99000000 USD Zensho Holdings Co. Ltd. 516253.61000000 USD -19478.11000000 USD Shimadzu Corp. 1568927.83000000 USD 17097.86000000 USD Oracle Corp. Japan 937586.01000000 USD 58303.88000000 USD Air Water, Inc. 1493225.16000000 USD 32359.86000000 USD Keisei Electric Railway Co. Ltd. 1590453.90000000 USD -54820.60000000 USD Shinsei Bank Ltd. 2037331.49000000 USD -156010.74000000 USD Toshiba Corp. 576950.20000000 USD -7650.01000000 USD Nihon M&A Center Holdings, Inc. 478640.91000000 USD 69285.81000000 USD Miura Co. Ltd. 414087.00000000 USD -5756.49000000 USD Chubu Electric Power Co., Inc. 2711693.84000000 USD -149544.20000000 USD TIS, Inc. 194699.35000000 USD -2130.23000000 USD Japan Post Bank Co. Ltd. 1699566.24000000 USD 97069.18000000 USD Santen Pharmaceutical Co. Ltd. 2474763.34000000 USD 114087.77000000 USD Canon, Inc. 437364.69000000 USD 10985.63000000 USD Denso Corp. 5151570.23000000 USD 70116.09000000 USD Y 2026-11-10 0.00000000 USD 0.00000000 USD 514550179.00000000 USD -8097147.22000000 N N N N/A N/A N/A 1.00000000 NC N/A -32086.41000000 -0.00539189542 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1333076.21000000 USD 1234368.00000000 EUR 2022-09-21 -32086.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -26483.67000000 -0.00445039439 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1327474.53000000 USD 1234369.00000000 EUR 2022-09-21 -26483.67000000 N N N N/A N/A N/A 1.00000000 NC N/A -8065.14000000 -0.00135529002 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 332520.06000000 USD 266125.00000000 GBP 2022-09-21 -8065.14000000 N N N United States of America 254900HROIFWPRGM1V77 912796X61 21209000.00000000 PA USD 20996179.56000000 3.528260237111 Long STIV UST US N 2 2022-12-08 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3209.68000000 -0.00053936413 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1304199.48000000 USD 1234368.00000000 EUR 2022-09-21 -3209.68000000 N N N N/A N/A N/A 1.00000000 NC N/A -3040.77000000 -0.00051098000 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 120437.13000000 USD 15838500.00000000 JPY 2022-09-21 -3040.77000000 N N N N/A N/A N/A 1.00000000 NC N/A -23006.58000000 -0.00386609388 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 842906.74000000 USD 672500.00000000 GBP 2022-09-21 -23006.58000000 N N N N/A N/A N/A 1.00000000 NC N/A -10848.68000000 -0.00182304433 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 335304.82000000 USD 266126.00000000 GBP 2022-09-21 -10848.68000000 N N N N/A N/A N/A 1.00000000 NC N/A -326.97000000 -0.00005494500 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 13318.44000000 USD 127734.00000000 NOK 2022-09-21 -326.97000000 N N N N/A N/A N/A 1.00000000 NC N/A -11758.01000000 -0.00197585084 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 542324.75000000 USD 5409220.00000000 SEK 2022-09-21 -11758.01000000 N N N N/A N/A N/A 1.00000000 NC N/A -10343.38000000 -0.00173813222 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 336421.03000000 USD 267456.00000000 GBP 2022-09-21 -10343.38000000 N N N United States of America 254900HROIFWPRGM1V77 912796V71 45125000.00000000 PA USD 44840606.46000000 7.535148398244 Long STIV UST US N 2 2022-10-27 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2537.50000000 -0.00042640902 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 374750.72000000 USD 479044.00000000 CAD 2022-09-21 -2537.50000000 N N N N/A N/A N/A 1.00000000 NC N/A -11479.08000000 -0.00192897862 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 332689.75000000 USD 263464.00000000 GBP 2022-09-21 -11479.08000000 N N N N/A N/A N/A 1.00000000 NC N/A -18.17000000 -0.00000305334 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 4830.86000000 USD 6194.00000000 CAD 2022-09-21 -18.17000000 N N N N/A N/A N/A 1.00000000 NC N/A -2174.89000000 -0.00036547496 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 103356.24000000 USD 96000.00000000 EUR 2022-09-21 -2174.89000000 N N N N/A N/A N/A 1.00000000 NC N/A -1273.04000000 -0.00021392541 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 49414.13000000 USD 473330.00000000 NOK 2022-09-21 -1273.04000000 N N N N/A N/A N/A 1.00000000 NC N/A -179.41000000 -0.00003014858 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 13170.98000000 USD 127735.00000000 NOK 2022-09-21 -179.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -8247.02000000 -0.00138585368 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 329457.69000000 USD 263464.00000000 GBP 2022-09-21 -8247.02000000 N N N N/A N/A N/A 1.00000000 NC N/A -337.68000000 -0.00005674474 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 57949.93000000 USD 80000.00000000 SGD 2022-09-21 -337.68000000 N N N N/A N/A N/A 1.00000000 NC N/A -610.05000000 -0.00010251460 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 26679.25000000 USD 265780.00000000 SEK 2022-09-21 -610.05000000 N N N N/A N/A N/A 1.00000000 NC N/A -1773.13000000 -0.00029796202 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 376021.29000000 USD 481663.00000000 CAD 2022-09-21 -1773.13000000 N N N N/A N/A N/A 1.00000000 NC N/A 206.06000000 0.000034626933 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 89811.00000000 SEK 9015.23000000 USD 2022-09-21 206.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -15495.12000000 -0.00260384588 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 397804.54000000 USD 553500.00000000 AUD 2022-09-21 -15495.12000000 N N N N/A N/A N/A 1.00000000 NC N/A -3238.66000000 -0.00054423402 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 69653.49000000 USD 653000.00000000 NOK 2022-09-21 -3238.66000000 N N N United States of America 254900HROIFWPRGM1V77 912796W54 9395000.00000000 PA USD 9325491.84000000 1.567083285630 Long STIV UST US N 2 2022-11-10 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3165.16000000 -0.00053188286 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 70256.36000000 USD 233000.00000000 ILS 2022-09-21 -3165.16000000 N N N N/A N/A N/A 761917.32000000 PA -52955.05000000 -0.00889872353 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI France Net Return Index M7FR Index Y 2022-09-21 0.00000000 USD 0.00000000 USD 761917.32000000 EUR -52955.05000000 N N N N/A N/A N/A 1.00000000 NC N/A -104932.52000000 -0.01763317163 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1868995.57000000 USD 237998125.00000000 JPY 2022-09-21 -104932.52000000 N N N N/A N/A N/A 7.00000000 NC -97218.66000000 -0.01633691174 N/A DE DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Long DAX Index DE0008469008 2022-09-16 2234925.00000000 EUR -97218.66000000 N N N N/A N/A N/A 1.00000000 NC N/A 4.56000000 0.000000766275 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 330000.00000000 HKD 42156.20000000 USD 2022-09-21 4.56000000 N N N N/A N/A 000000000 65737784.04999999 PA 517487.43000000 0.086960121352 N/A DE US N 2 BNP Paribas Securities Corp. 2J5703FH5U5M97R1I237 N/A N/A Rec/pay the total return of custom basket plus BBR +/- spread (-0.08% to 0.04%). AUD Currency. Maturity 61 Months 11/19/26 IGO Ltd. 279853.25000000 USD 19152.75000000 USD Harvey Norman Holdings Ltd. 1234290.99000000 USD 42273.98000000 USD Woodside Energy Group Ltd. 238906.49000000 USD -589.83000000 USD Washington H Soul Pattinson & Co. Ltd. 324559.50000000 USD -985.65000000 USD James Hardie Industries plc 43479.18000000 USD -3149.17000000 USD Alumina Ltd. 427496.04000000 USD 18338.23000000 USD National Australia Bank Ltd. 560655.36000000 USD -31681.78000000 USD QBE Insurance Group Ltd. 815246.88000000 USD 61781.51000000 USD OZ Minerals Ltd. 1068759.65000000 USD 135370.13000000 USD WiseTech Global Ltd. 321406.11000000 USD -18354.79000000 USD Macquarie Group Ltd. 1195601.36000000 USD -38045.41000000 USD Mineral Resources Ltd. 622955.87000000 USD 33955.50000000 USD Aristocrat Leisure Ltd. 873304.12000000 USD 43082.88000000 USD Boral Ltd. 281453.57000000 USD -6339.54000000 USD Orica Ltd. 529190.22000000 USD -25051.02000000 USD NEXTDC Ltd. 429724.99000000 USD -27917.77000000 USD Sonic Healthcare Ltd. 2063863.53000000 USD 30111.36000000 USD Northern Star Resources Ltd. 757422.60000000 USD 177751.04000000 USD APA Group 727883.80000000 USD -1453.72000000 USD Lynas Rare Earths Ltd. 1603499.60000000 USD -13375.51000000 USD South32 Ltd. 2053858.98000000 USD -121471.34000000 USD BlueScope Steel Ltd. 3035197.31000000 USD 54010.31000000 USD Australia & New Zealand Banking Group Ltd. 2017886.41000000 USD 60051.56000000 USD Cleanaway Waste Management Ltd. 432848.61000000 USD 22001.91000000 USD Qube Holdings Ltd. 244743.66000000 USD -5786.25000000 USD Treasury Wine Estates Ltd. 223581.26000000 USD -7017.60000000 USD carsales.com Ltd. 1241.03000000 USD -1241.03000000 USD SEEK Ltd. 543086.86000000 USD -35286.26000000 USD Pilbara Minerals Ltd. 808299.37000000 USD -66801.83000000 USD Atlas Arteria Ltd. 145678.60000000 USD 758.97000000 USD Insurance Australia Group Ltd. 947701.02000000 USD -49629.21000000 USD Tabcorp Holdings Ltd. 31169.00000000 USD 1585.31000000 USD Newcrest Mining Ltd. 194432.41000000 USD 39102.58000000 USD Reece Ltd. 1325855.00000000 USD -21432.23000000 USD BHP Group Ltd. 2605029.07000000 USD -65123.37000000 USD Westpac Banking Corp. 744169.57000000 USD 8289.45000000 USD IDP Education Ltd. 1772853.42000000 USD -142247.14000000 USD Cochlear Ltd. 549308.01000000 USD -27403.79000000 USD Xero Ltd. 115002.43000000 USD -5591.51000000 USD JB Hi-Fi Ltd. 3093253.86000000 USD 102855.08000000 USD Suncorp Group Ltd. 1308890.75000000 USD 55423.13000000 USD Coles Group Ltd. 991141.15000000 USD 55114.03000000 USD Ramsay Health Care Ltd. 389857.59000000 USD 10735.94000000 USD Commonwealth Bank of Australia 2279894.05000000 USD -81936.55000000 USD Telstra Corp. Ltd. 1926323.44000000 USD 26670.27000000 USD Transurban Group 2061954.12000000 USD -112161.48000000 USD Santos Ltd. 905874.18000000 USD -37178.55000000 USD Allkem Ltd. 591510.90000000 USD -29236.70000000 USD CSL Ltd. 1723062.47000000 USD -83313.41000000 USD Computershare Ltd. 547236.03000000 USD 26708.15000000 USD Evolution Mining Ltd. 650515.70000000 USD 363515.08000000 USD Brambles Ltd. 832523.57000000 USD 28947.91000000 USD carsales.com Ltd. 393243.78000000 USD 9186.68000000 USD Fortescue Metals Group Ltd. 346938.33000000 USD 23482.40000000 USD Worley Ltd. 1115776.87000000 USD -33324.69000000 USD Ampol Ltd. 404451.89000000 USD 20156.14000000 USD Lendlease Corp. Ltd. 1590061.05000000 USD -975.12000000 USD Seven Group Holdings Ltd. 115863.46000000 USD -423.04000000 USD Domino's Pizza Enterprises Ltd. 1752423.07000000 USD -192475.86000000 USD Pro Medicus Ltd. 986911.85000000 USD -96973.60000000 USD ALS Ltd. 426097.74000000 USD -8041.37000000 USD Incitec Pivot Ltd. 1655410.57000000 USD -12902.26000000 USD Origin Energy Ltd. 619333.86000000 USD 5605.46000000 USD Aurizon Holdings Ltd. 2325918.04000000 USD -48380.14000000 USD Wesfarmers Ltd. 1449959.28000000 USD -19660.71000000 USD Woolworths Group Ltd. 901904.33000000 USD -63989.05000000 USD Medibank Pvt Ltd. 690929.52000000 USD -39968.93000000 USD REA Group Ltd. 916531.48000000 USD -135860.80000000 USD Qantas Airways Ltd. 552495.99000000 USD -15235.82000000 USD Y 2026-11-19 0.00000000 USD 0.00000000 USD 65737784.00000000 USD -251996.20000000 N N N United States of America 254900HROIFWPRGM1V77 912796R27 29764000.00000000 PA USD 29401854.86000000 4.940774825411 Long STIV UST US N 2 2022-12-29 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -8125.66000000 -0.00136545998 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 334203.31000000 USD 267456.00000000 GBP 2022-09-21 -8125.66000000 N N N N/A N/A N/A 1.00000000 NC N/A -8397.33000000 -0.00141111221 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 332853.47000000 USD 266126.00000000 GBP 2022-09-21 -8397.33000000 N N N N/A N/A N/A 1.00000000 NC N/A -7113.99000000 -0.00119545596 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 674341.67000000 USD 965999.00000000 AUD 2022-09-21 -7113.99000000 N N N N/A N/A 000000000 7160290.00000000 PA -97308.25000000 -0.01635196671 N/A DE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A Y 2022-09-16 0.00000000 USD 0.00000000 USD 7160290.00000000 CHF -97308.25000000 N N N N/A N/A N/A 1.00000000 NC N/A 5963.72000000 0.001002161182 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 356500.00000000 CAD 282961.27000000 USD 2022-09-21 5963.72000000 N N N N/A N/A N/A 1.00000000 NC N/A -10754.93000000 -0.00180729031 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 335211.07000000 USD 266126.00000000 GBP 2022-09-21 -10754.93000000 N N N N/A N/A N/A 1.00000000 NC N/A -16818.33000000 -0.00282620201 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 319412.49000000 USD 3085000.00000000 SEK 2022-09-21 -16818.33000000 N N N N/A N/A N/A 1.00000000 NC N/A -1547.22000000 -0.00025999943 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 375794.61000000 USD 481662.00000000 CAD 2022-09-21 -1547.22000000 N N N N/A N/A N/A 1.00000000 NC N/A -326.96000000 -0.00005494332 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 13318.53000000 USD 127735.00000000 NOK 2022-09-21 -326.96000000 N N N N/A N/A N/A 1.00000000 NC N/A -782.10000000 -0.00013142640 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 48923.08000000 USD 473329.00000000 NOK 2022-09-21 -782.10000000 N N N United States of America 254900HROIFWPRGM1V77 912796T66 5398000.00000000 PA USD 5383846.01000000 0.904717438976 Long STIV UST US N 2 2022-09-01 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1296.52000000 -0.00021787106 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 368697.06000000 USD 472850.00000000 CAD 2022-09-21 -1296.52000000 N N N N/A N/A N/A 1.00000000 NC N/A -3903.67000000 -0.00065598427 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 129404.23000000 USD 1279500.00000000 SEK 2022-09-21 -3903.67000000 N N N N/A N/A N/A 1.00000000 NC N/A -2536.07000000 -0.00042616871 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1303523.77000000 USD 1234366.00000000 EUR 2022-09-21 -2536.07000000 N N N N/A N/A N/A 1.00000000 NC N/A -16365.37000000 -0.00275008527 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 573001.30000000 USD 5675000.00000000 SEK 2022-09-21 -16365.37000000 N N N N/A N/A N/A 1.00000000 NC N/A -10387.86000000 -0.00174560677 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 331598.53000000 USD 263464.00000000 GBP 2022-09-21 -10387.86000000 N N N N/A N/A N/A 1.00000000 NC N/A 4422.52000000 0.000743173367 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 262652.61000000 USD 253500.00000000 CHF 2022-09-21 4422.52000000 N N N N/A N/A N/A 1.00000000 NC N/A -21673.44000000 -0.00364206908 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 958336.96000000 USD 1205500.00000000 CAD 2022-09-21 -21673.44000000 N N N N/A N/A N/A 1.00000000 NC N/A 32247.39000000 0.005418946983 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1746824.86000000 USD 1688644.00000000 CHF 2022-09-21 32247.39000000 N N N 2022-08-01 AQR Funds Heather Bonner Heather Bonner Principal Financial Officer