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CHF Currency. 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48.65674162295 Long STIV RF US N 1 N N N United States of America 254900HROIFWPRGM1V77 912796Y37 326000.00000000 PA USD 324564.46000000 0.157441195094 Long STIV UST US N 2 2023-08-03 None 0.00000000 N N N N N N N/A N/A 000000000 16131180.66999999 PA 191770.52000000 0.093024910529 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N/A N/A Rec/pay the total return of custom basket plus STIBOR +/- spread (-0.23% to 0.23%). SEK Currency. Maturity 22-61 Months 04/23/25 to 06/19/28 Alfa Laval AB 357918.65000000 USD -8937.56000000 USD Skanska AB, Class B 474917.54000000 USD 27378.29000000 USD H & M Hennes & Mauritz AB, Class B 1101711.07000000 USD 198146.18000000 USD Boliden AB 204035.29000000 USD -7481.63000000 USD Sandvik AB 275837.85000000 USD -294.35000000 USD Volvo Car AB, Class B 192474.94000000 USD -7391.97000000 USD Swedish Orphan Biovitrum AB 82578.78000000 USD -2819.47000000 USD Essity AB, Class B 145382.31000000 USD 168.00000000 USD Tele2 AB, Class B 55311.78000000 USD 1898.69000000 USD Svenska Handelsbanken AB, Class A 456982.58000000 USD -5173.92000000 USD Embracer Group AB 67905.87000000 USD -247.57000000 USD Svenska Cellulosa AB SCA, Class B 560000.49000000 USD 14948.35000000 USD Elekta AB, Class B 424861.00000000 USD -1738.97000000 USD Holmen AB, Class B 360341.96000000 USD 9450.66000000 USD Swedbank AB, Class A 85494.44000000 USD -650.60000000 USD Nordea Bank Abp 145635.11000000 USD 3051.19000000 USD SSAB AB, Class B 307799.25000000 USD -7049.92000000 USD Hexagon AB, Class B 622384.10000000 USD -296.97000000 USD Assa Abloy AB, Class B 769062.71000000 USD 31584.84000000 USD Lifco AB, Class B 283786.24000000 USD -9038.61000000 USD Husqvarna AB, Class B 451881.82000000 USD -28266.87000000 USD Sinch AB 155134.85000000 USD -11404.73000000 USD Skandinaviska Enskilda Banken AB, Class A 68507.26000000 USD 207.44000000 USD Epiroc AB, Class A 667908.78000000 USD -17146.22000000 USD Hexpol AB 195911.94000000 USD 9035.49000000 USD Saab AB, Class B 446946.94000000 USD -10964.87000000 USD Billerud AB 538523.93000000 USD -29505.92000000 USD Electrolux AB, Class B 334887.23000000 USD -5538.19000000 USD Evolution AB 227342.52000000 USD -4930.10000000 USD Telia Co. AB 314111.68000000 USD 7281.64000000 USD Securitas AB, Class B 356164.67000000 USD -9119.11000000 USD Millicom International Cellular SA 447514.58000000 USD -40580.84000000 USD Indutrade AB 492353.17000000 USD 19151.84000000 USD Trelleborg AB, Class B 173404.11000000 USD -16990.54000000 USD EQT AB 1188217.47000000 USD 43853.44000000 USD Getinge AB, Class B 187681.87000000 USD -22402.78000000 USD Beijer Ref AB 468825.61000000 USD 49117.40000000 USD Nibe Industrier AB, Class B 420335.90000000 USD 5734.44000000 USD Telefonaktiebolaget LM Ericsson, Class B 908778.66000000 USD 15198.12000000 USD Atlas Copco AB, Class A 474468.16000000 USD -20.83000000 USD Volvo AB, Class B 411065.28000000 USD 12805.25000000 USD SKF AB, Class B 135640.09000000 USD -5311.77000000 USD Axfood AB 91152.19000000 USD -2492.56000000 USD Y 2025-04-23 0.00000000 USD 0.00000000 USD 16131181.00000000 USD 193214.40000000 N N N N/A N/A N/A 1.00000000 NC N/A 0.01000000 0.000000004850 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2.50000000 USD 27.00000000 SEK 2023-09-20 0.01000000 N N N Telecom Italia SpA 549300W384M3RI3VXU42 N/A -1147130.00000000 NS -323411.57000000 -0.15688194600 Short EC CORP IT N 2 N N N N/A N/A N/A 1.00000000 NC N/A 0.03000000 0.000000014552 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2.58000000 USD 28.00000000 SEK 2023-09-20 0.03000000 N N N N/A N/A N/A 1.00000000 NC N/A 0.02000000 0.000000009701 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2.03000000 USD 22.00000000 SEK 2023-09-20 0.02000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.34000000 -0.00000016492 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 18.00000000 CAD 13.26000000 USD 2023-09-20 -0.34000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.21000000 -0.00000010186 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 10.00000000 CAD 7.35000000 USD 2023-09-20 -0.21000000 N N N N/A N/A 000000000 28125107.93999998 PA 374516.27000000 0.181672044841 N/A DE US N 2 Merrill Lynch International 549300J8H1BYG1YAFY05 N/A N/A Rec/pay the total return of custom basket plus CDOR or CORRA +/- spread (-0.77% to 0.23%). CAD Currency. Maturity 13-14 Months 02/26/24 to 08/26/24 Empire Co. Ltd., Class A 627218.74000000 USD 13667.80000000 USD Teck Resources Ltd., Class B 177055.23000000 USD 8290.53000000 USD George Weston Ltd. 395939.14000000 USD 4525.16000000 USD Kinross Gold Corp. 41858.22000000 USD 1324.63000000 USD Atco Ltd., Class I 590848.27000000 USD 4194.66000000 USD iA Financial Corp., Inc. 324961.31000000 USD 8281.56000000 USD CCL Industries, Inc., Class B 37702.99000000 USD 1742.72000000 USD Pan American Silver Corp. 417002.38000000 USD -1296.38000000 USD Metro, Inc. 332489.41000000 USD -7643.43000000 USD BCE, Inc. 385173.96000000 USD -9501.81000000 USD AltaGas Ltd. 212228.27000000 USD 5528.64000000 USD Magna International, Inc. 261165.16000000 USD 16866.26000000 USD TMX Group Ltd. 356324.85000000 USD -14941.50000000 USD Thomson Reuters Corp. 381820.03000000 USD -2028.01000000 USD Nutrien Ltd. 630107.82000000 USD -1853.02000000 USD Aritzia, Inc. 117940.32000000 USD -7824.21000000 USD Air Canada 780231.28000000 USD 66502.31000000 USD Boralex, Inc., Class A 169247.87000000 USD 1407.66000000 USD Sun Life Financial, Inc. 146278.44000000 USD 3516.10000000 USD MEG Energy Corp. 3931.31000000 USD 131.04000000 USD SSR Mining, Inc. 119597.87000000 USD 1654.89000000 USD SNC-Lavalin Group, Inc. 220605.77000000 USD -13077.64000000 USD Canadian Imperial Bank of Commerce 371103.62000000 USD 1443.47000000 USD WSP Global, Inc. 390797.63000000 USD -12012.86000000 USD Onex Corp. 99474.75000000 USD 3833.80000000 USD Cenovus Energy, Inc. 134329.12000000 USD -4537.34000000 USD Kinaxis, Inc. 244064.46000000 USD -17753.66000000 USD Intact Financial Corp. 480180.71000000 USD -17747.95000000 USD Restaurant Brands International, Inc. 21398.72000000 USD 756.28000000 USD Element Fleet Management Corp. 530476.18000000 USD -4731.70000000 USD Royal Bank of Canada 417069.52000000 USD -9559.77000000 USD IGM Financial, Inc. 22832.61000000 USD 554.82000000 USD Manulife Financial Corp. 524389.30000000 USD 19476.12000000 USD Loblaw Cos. Ltd. 294605.80000000 USD 7141.66000000 USD Rogers Communications, Inc., Class B 559209.72000000 USD -14526.13000000 USD Emera, Inc. 274004.67000000 USD -5122.52000000 USD RB Global, Inc. 261169.28000000 USD -13929.03000000 USD Dollarama, Inc. 343099.85000000 USD -10784.01000000 USD Northland Power, Inc. 202060.34000000 USD 3437.15000000 USD Brookfield Infrastructure Corp., Class A 311181.61000000 USD -2730.12000000 USD Tourmaline Oil Corp. 15454.81000000 USD -212.93000000 USD Suncor Energy, Inc. 447194.34000000 USD 7710.25000000 USD Canadian Pacific Kansas City Ltd. 325987.54000000 USD -5758.10000000 USD Wheaton Precious Metals Corp. 390596.93000000 USD -5181.60000000 USD Barrick Gold Corp. 1387.14000000 USD 39.00000000 USD CGI, Inc. 208482.28000000 USD 9043.68000000 USD Gildan Activewear, Inc. 72217.70000000 USD 4058.12000000 USD Toromont Industries Ltd. 221562.19000000 USD 11889.40000000 USD BRP, Inc. 30855.90000000 USD -2011.32000000 USD Alamos Gold, Inc., Class A 18022.37000000 USD 593.89000000 USD Toronto-Dominion Bank (The) 104066.95000000 USD 3586.77000000 USD Pembina Pipeline Corp. 34866.84000000 USD -1096.65000000 USD Algonquin Power & Utilities Corp. 671564.18000000 USD -1839.90000000 USD Franco-Nevada Corp. 339637.09000000 USD -10271.32000000 USD Constellation Software, Inc. 296282.83000000 USD -10188.92000000 USD ARC Resources Ltd. 702011.53000000 USD -22645.53000000 USD Canadian National Railway Co. 38144.78000000 USD -993.92000000 USD TFI International, Inc. 202341.33000000 USD 13862.12000000 USD West Fraser Timber Co. Ltd. 811682.87000000 USD 47355.89000000 USD Brookfield Renewable Corp. 291165.65000000 USD 766.41000000 USD Keyera Corp. 78983.77000000 USD -2585.39000000 USD Capital Power Corp. 436683.22000000 USD -7986.84000000 USD TC Energy Corp. 498682.82000000 USD 1303.99000000 USD GFL Environmental, Inc. 508905.56000000 USD -24139.38000000 USD Hydro One Ltd. 258400.00000000 USD -3276.94000000 USD Stantec, Inc. 17170.69000000 USD 694.85000000 USD Bank of Montreal 320515.09000000 USD 6081.32000000 USD Canadian Natural Resources Ltd. 234164.33000000 USD -8080.05000000 USD Fortis, Inc. 463658.28000000 USD -8202.75000000 USD Brookfield Corp. 459988.53000000 USD -33003.66000000 USD Cameco Corp. 628668.63000000 USD -32122.86000000 USD Canadian Tire Corp. Ltd., Class A 178966.66000000 USD 8912.76000000 USD Lundin Mining Corp. 56885.30000000 USD 164.41000000 USD National Bank of Canada 206079.79000000 USD -5115.46000000 USD Bombardier, Inc., Class B 358656.54000000 USD 23064.73000000 USD Descartes Systems Group, Inc. (The) 42215.69000000 USD 2382.89000000 USD Imperial Oil Ltd. 688211.95000000 USD 19901.08000000 USD Enbridge, Inc. 986286.77000000 USD -15423.25000000 USD Shopify, Inc., Class A 130813.27000000 USD -3773.75000000 USD Agnico Eagle Mines Ltd. 3545.31000000 USD -78.25000000 USD Bank of Nova Scotia (The) 544649.24000000 USD 18406.97000000 USD Saputo, Inc. 204169.72000000 USD -1788.55000000 USD Canadian Utilities Ltd., Class A 209809.63000000 USD 61.15000000 USD Open Text Corp. 575602.11000000 USD 24444.81000000 USD Fairfax Financial Holdings Ltd. 590992.12000000 USD 7927.22000000 USD Whitecap Resources, Inc. 303609.56000000 USD 6222.85000000 USD First Quantum Minerals Ltd. 208846.59000000 USD 2732.20000000 USD Parkland Corp. 281213.06000000 USD 6220.77000000 USD CAE, Inc. 173636.31000000 USD -9428.48000000 USD Quebecor, Inc., Class B 14590.53000000 USD 478.16000000 USD Finning International, Inc. 643633.14000000 USD 14847.00000000 USD Alimentation Couche-Tard, Inc. 382171.95000000 USD 17834.32000000 USD Y 2024-02-26 0.00000000 USD 0.00000000 USD 28125108.00000000 USD 48057.46000000 N N N United States of America 254900HROIFWPRGM1V77 912796CS6 1215000.00000000 PA USD 1199848.95000000 0.582028151266 Long STIV UST US N 2 2023-09-28 None 0.00000000 N N N N N N Mediobanca Banca di Credito Finanziario SpA PSNL19R2RXX5U3QWHI44 N/A -45619.00000000 NS -546173.23000000 -0.26494017878 Short EC CORP IT N 2 N N N N/A N/A 000000000 54669418.99000002 PA -314453.43999999 -0.15253649581 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 (-3.00% to 0.28%). EUR Currency. Maturity 2-24 Months 08/21/23 Freenet AG 341557.80000000 USD 205.34000000 USD Sanofi 521376.98000000 USD 22027.41000000 USD Worldline SA 135347.66000000 USD -1333.26000000 USD Heidelberg Materials AG 379942.35000000 USD 14646.57000000 USD Air France-KLM 751590.72000000 USD -21712.71000000 USD Eutelsat Communications SA 18325.77000000 USD 4.02000000 USD Fresenius Medical Care AG & Co. KGaA 638202.69000000 USD -12485.96000000 USD SCOR SE 144429.65000000 USD -12761.88000000 USD Eurofins Scientific SE 1021023.31000000 USD 30915.31000000 USD Eiffage SA 1368378.95000000 USD 2035.88000000 USD Continental AG 12843.57000000 USD -434.81000000 USD L'Oreal SA 879307.43000000 USD -30934.08000000 USD Bechtle AG 99956.66000000 USD -3862.95000000 USD Merck KGaA 390816.10000000 USD 10961.51000000 USD Legrand SA 13987.74000000 USD -7.29000000 USD Evonik Industries AG 217452.99000000 USD 650.19000000 USD Schneider Electric SE 656397.98000000 USD -13296.47000000 USD Daimler Truck Holding AG 286174.63000000 USD 8316.05000000 USD GEA Group AG 684259.08000000 USD -7365.65000000 USD Bayer AG (Registered) 280650.20000000 USD -4931.46000000 USD HOCHTIEF AG 331888.59000000 USD -1932.41000000 USD LVMH Moet Hennessy Louis Vuitton SE 326247.65000000 USD 4042.04000000 USD Vivendi SE 34986.80000000 USD -370.92000000 USD TotalEnergies SE 530418.81000000 USD -12130.63000000 USD Nemetschek SE 511996.11000000 USD 25764.57000000 USD Beiersdorf AG 245115.98000000 USD 415.86000000 USD thyssenkrupp AG 1005897.24000000 USD 15110.68000000 USD Cie de Saint-Gobain 1006573.90000000 USD 6993.11000000 USD Siemens Healthineers AG 805073.24000000 USD 6842.74000000 USD adidas AG 2022814.29000000 USD -65302.75000000 USD Safran SA 647367.87000000 USD 3210.79000000 USD Renault SA 30548.14000000 USD -1411.88000000 USD Remy Cointreau SA 521371.20000000 USD -3206.59000000 USD Bollore SE 481464.88000000 USD -15590.01000000 USD La Francaise des Jeux SAEM 419878.81000000 USD -1522.55000000 USD Hannover Rueck SE 221639.59000000 USD -5701.80000000 USD Veolia Environnement SA 184488.03000000 USD -2097.18000000 USD Carl Zeiss Meditec AG 299451.94000000 USD 38506.51000000 USD Sartorius AG (Preference) 1114557.71000000 USD -52313.58000000 USD Capgemini SE 199756.39000000 USD -5332.74000000 USD Valeo 332890.31000000 USD 20905.79000000 USD Thales SA 923095.89000000 USD 21221.11000000 USD Telefonica Deutschland Holding AG 11452.24000000 USD -158.61000000 USD Brenntag SE 242480.26000000 USD -2178.92000000 USD CTS Eventim AG & Co. KGaA 54454.92000000 USD 996.05000000 USD BASF SE 261669.20000000 USD 2690.24000000 USD Siemens AG (Registered) 752987.79000000 USD -51909.81000000 USD Scout24 SE 24839.37000000 USD -440.68000000 USD Alstom SA 1419194.80000000 USD -68786.47000000 USD Rheinmetall AG 571190.31000000 USD 20576.73000000 USD Edenred 71941.19000000 USD -264.80000000 USD FUCHS PETROLUB SE (Preference) 56379.74000000 USD -3137.91000000 USD RWE AG 16602.58000000 USD -14.26000000 USD SOITEC 562846.61000000 USD -14652.83000000 USD Publicis Groupe SA 362999.07000000 USD -1734.20000000 USD Carrefour SA 309730.69000000 USD -21613.17000000 USD E.ON SE 247274.16000000 USD 7852.22000000 USD Hermes International 199982.18000000 USD 3156.77000000 USD TeamViewer SE 560880.67000000 USD 12756.15000000 USD Rubis SCA 427361.35000000 USD -24905.60000000 USD Danone SA 72253.19000000 USD 1610.11000000 USD Siemens Energy AG 5339.91000000 USD 2190.14000000 USD Allianz SE (Registered) 55668.77000000 USD -901.44000000 USD Mercedes-Benz Group AG 587022.97000000 USD -14133.54000000 USD Deutsche Bank AG (Registered) 1069821.46000000 USD 25444.39000000 USD Deutsche Telekom AG (Registered) 545528.37000000 USD -18688.36000000 USD Ubisoft Entertainment SA 346364.57000000 USD 9987.63000000 USD Air Liquide SA 1404373.00000000 USD -24325.27000000 USD Delivery Hero SE 1040571.57000000 USD -105970.47000000 USD SAP SE 150541.36000000 USD -36.16000000 USD Arkema SA 387841.24000000 USD 17393.01000000 USD Rational AG 25343.53000000 USD 728.79000000 USD Rexel SA 1156092.81000000 USD 17783.85000000 USD LANXESS AG 291658.22000000 USD 40834.61000000 USD STMicroelectronics NV 804757.24000000 USD 12415.10000000 USD BioMerieux 137441.69000000 USD -8401.77000000 USD Teleperformance 187884.68000000 USD -7169.50000000 USD Forvia 440585.37000000 USD 11436.51000000 USD Puma SE 142153.70000000 USD -15042.63000000 USD Vinci SA 131533.18000000 USD 523.80000000 USD Dassault Systemes SE 262852.70000000 USD -2637.33000000 USD Aurubis AG 255094.65000000 USD 9902.77000000 USD Pernod Ricard SA 359083.92000000 USD -2493.40000000 USD Atos SE 95978.56000000 USD -3863.10000000 USD KION Group AG 151044.16000000 USD -19673.38000000 USD Sodexo SA 1145110.50000000 USD -6082.10000000 USD ProSiebenSat.1 Media SE 231940.49000000 USD -4580.43000000 USD Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) 64570.97000000 USD 2915.99000000 USD Henkel AG & Co. KGaA (Preference) 313347.00000000 USD -307.95000000 USD Getlink SE 233723.31000000 USD -4712.55000000 USD Neoen SA 273925.42000000 USD 648.78000000 USD Orange SA 351423.04000000 USD 12722.36000000 USD Zalando SE 135688.38000000 USD -1226.41000000 USD MTU Aero Engines AG 71585.88000000 USD 449.25000000 USD Aeroports de Paris 430213.88000000 USD 15412.12000000 USD Deutsche Lufthansa AG (Registered) 948125.37000000 USD 6314.68000000 USD Accor SA 229557.28000000 USD -8154.54000000 USD Cie Generale des Etablissements Michelin SCA 767724.31000000 USD 2860.54000000 USD Dassault Aviation SA 956275.72000000 USD 58365.21000000 USD Deutsche Post AG (Registered) 208299.80000000 USD 2551.32000000 USD Knorr-Bremse AG 168175.95000000 USD 8581.40000000 USD HUGO BOSS AG 205955.17000000 USD 4683.33000000 USD Infineon Technologies AG 471989.80000000 USD -4373.01000000 USD Volkswagen AG (Preference) 466082.37000000 USD -17950.69000000 USD Gaztransport Et Technigaz SA 23006.77000000 USD 458.28000000 USD Bureau Veritas SA 171715.90000000 USD -1243.58000000 USD Engie SA 167311.87000000 USD 11962.11000000 USD EssilorLuxottica SA 614739.22000000 USD -8786.69000000 USD Ipsen SA 730563.61000000 USD 102.65000000 USD AXA SA 390402.44000000 USD 10256.66000000 USD Fraport AG Frankfurt Airport Services Worldwide 589992.06000000 USD 877.98000000 USD Verallia SA 174250.83000000 USD 6898.57000000 USD SES SA 1137.01000000 USD -113.48000000 USD Bouygues SA 537057.84000000 USD 13707.40000000 USD QIAGEN NV 268126.59000000 USD -2583.06000000 USD Bayerische Motoren Werke AG 981719.50000000 USD 14861.06000000 USD Symrise AG 756091.35000000 USD -19428.97000000 USD SEB SA 447785.36000000 USD -19001.04000000 USD Airbus SE 1237475.14000000 USD -9507.06000000 USD Covestro AG 982012.91000000 USD -151860.00000000 USD Evotec SE 172733.32000000 USD 3817.17000000 USD HelloFresh SE 286998.04000000 USD -50973.05000000 USD Sartorius Stedim Biotech 975788.36000000 USD 52097.71000000 USD Amundi SA 120993.16000000 USD -1249.17000000 USD Kering SA 65159.49000000 USD 1642.03000000 USD Y 2023-08-21 0.00000000 USD 0.00000000 USD 54669419.00000000 USD -338065.98000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.13000000 -0.00000006306 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 68.00000000 NOK 6.22000000 USD 2023-09-20 -0.13000000 N N N Terna - 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USD Currency. Maturity 50 Months 08/09/27 Y 2027-08-09 0.00000000 USD 0.00000000 USD 1314904.00000000 USD 20478.01000000 N N N N/A N/A N/A 1.00000000 NC N/A 313.98000000 0.000152306837 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 231500.00000000 EUR 253918.51000000 USD 2023-09-20 313.98000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.32000000 -0.00000015522 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 94.00000000 NOK 8.46000000 USD 2023-09-20 -0.32000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.13000000 -0.00000006306 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 68.00000000 NOK 6.22000000 USD 2023-09-20 -0.13000000 N N N N/A N/A N/A 1.00000000 NC N/A -751.91000000 -0.00036473990 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 50374.00000000 EUR 54432.00000000 USD 2023-09-20 -751.91000000 N N N Interpump Group SpA 815600C79D0F31F4D395 N/A -4257.00000000 NS -236761.27000000 -0.11484922687 Short EC CORP IT N 2 N N N N/A N/A N/A 1.00000000 NC N/A -3153.38000000 -0.00152965582 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 147000.00000000 EUR 157882.76000000 USD 2023-09-20 -3153.38000000 N N N Unipol Gruppo SpA 8156005CE5E7340CCA86 N/A 214192.00000000 NS 1144643.08000000 0.555248638349 Long EC CORP IT N 2 N N N N/A N/A N/A 1.00000000 NC N/A -0.13000000 -0.00000006306 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 8.00000000 CAD 5.92000000 USD 2023-09-20 -0.13000000 N N N N/A N/A N/A 1.00000000 NC N/A 0.44000000 0.000000213437 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 69.40000000 USD 62.00000000 CHF 2023-09-20 0.44000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.13000000 -0.00000006306 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 13.00000000 CAD 9.70000000 USD 2023-09-20 -0.13000000 N N N United States of America 254900HROIFWPRGM1V77 912796YH6 2263000.00000000 PA USD 2241695.73000000 1.087411895833 Long STIV UST US N 2 2023-09-07 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -0.20000000 -0.00000009701 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 83.00000000 NOK 7.55000000 USD 2023-09-20 -0.20000000 N N N N/A N/A N/A 1.00000000 NC N/A 315.25000000 0.000152922894 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 231500.00000000 EUR 253919.78000000 USD 2023-09-20 315.25000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.04000000 -0.00000001940 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 11.77000000 USD 126.00000000 SEK 2023-09-20 -0.04000000 N N N N/A N/A 000000000 4146211.14000000 PA -33085.26999999 -0.01604915229 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N/A N/A Rec/pay the total return of custom basket plus NIBOR +/- spread (-0.23% to 0.23%). NOK Currency. Maturity 23-58 Months 04/24/25 to 04/04/28 Subsea 7 SA 282460.26000000 USD -46882.55000000 USD TOMRA Systems ASA 307866.53000000 USD 3696.30000000 USD Salmar ASA 535398.57000000 USD 19009.96000000 USD Leroy Seafood Group ASA 242757.31000000 USD -17097.65000000 USD Gjensidige Forsikring ASA 200744.63000000 USD 5077.77000000 USD Mowi ASA 195231.60000000 USD -9744.74000000 USD Yara International ASA 380241.97000000 USD 6555.84000000 USD Equinor ASA 1049036.50000000 USD -21479.70000000 USD Norsk Hydro ASA 274665.16000000 USD -20579.54000000 USD Bakkafrost P/F 277871.33000000 USD 21810.28000000 USD Telenor ASA 74353.21000000 USD -2163.15000000 USD Schibsted ASA, Class A 193718.47000000 USD 518.23000000 USD Kongsberg Gruppen ASA 130226.18000000 USD -1784.84000000 USD Orkla ASA 1639.42000000 USD 11.49000000 USD Y 2025-04-24 0.00000000 USD 0.00000000 USD 4146211.00000000 USD -63052.31000000 N N N N/A N/A N/A 1.00000000 NC N/A -1024.13000000 -0.00049678960 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 50374.00000000 EUR 54159.78000000 USD 2023-09-20 -1024.13000000 N N N N/A N/A N/A 1.00000000 NC N/A 2.00000000 0.000000970169 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 138.82000000 USD 125.00000000 CHF 2023-09-20 2.00000000 N N N Moncler SpA 815600EBD7FB00525B20 N/A -5861.00000000 NS -405509.49000000 -0.19670637606 Short EC CORP IT N 2 N N N N/A N/A N/A 1.00000000 NC N/A 40.49000000 0.000019641072 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 200000.00000000 HKD 25609.54000000 USD 2023-09-20 40.49000000 N N N N/A N/A N/A 1.00000000 NC N/A 0.03000000 0.000000014552 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1.65000000 USD 18.00000000 SEK 2023-09-20 0.03000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.18000000 -0.00000008731 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 68.00000000 NOK 6.17000000 USD 2023-09-20 -0.18000000 N N N N/A N/A 000000000 428800221.09999990 PA USD 166803.99000000 0.080914033323 N/A DE GB N 2 Morgan Stanley International 4PQUHN3JPFGFNF3BB653 N/A N/A Rec/pay the total return of custom basket plus Fed +/- spread (-8.57% to 0.33%). USD Currency. Maturity 1-12 Months 07/19/23 Travel + Leisure Co. 850770.60000000 USD -5272.50000000 USD Nexstar Media Group, Inc. 14822.95000000 USD -362.23000000 USD Euronet Worldwide, Inc. 144012.99000000 USD -2932.53000000 USD Avnet, Inc. 653932.90000000 USD 34738.16000000 USD AutoNation, Inc. 310783.68000000 USD 26874.72000000 USD Ginkgo Bioworks Holdings, Inc. 419136.12000000 USD 6760.26000000 USD Advance Auto Parts, Inc. 594597.40000000 USD 19622.56000000 USD Voya Financial, Inc. 62746.25000000 USD -218.75000000 USD Paycor HCM, Inc. 436119.75000000 USD -1658.25000000 USD CubeSmart 565082.98000000 USD -759.18000000 USD Goldman Sachs Group, Inc. (The) 146110.62000000 USD -3705.54000000 USD KeyCorp 112792.68000000 USD -7446.27000000 USD Domino's Pizza, Inc. 666903.21000000 USD 22659.55000000 USD DocuSign, Inc. 294840.39000000 USD -5309.32000000 USD SiTime Corp. 480137.90000000 USD 3256.00000000 USD Halliburton Co. 327557.71000000 USD 14992.79000000 USD Perrigo Co. plc 168833.35000000 USD -298.38000000 USD Brixmor Property Group, Inc. 176286.00000000 USD 4246.89000000 USD XPO, Inc. 832136.00000000 USD -107331.44000000 USD First Hawaiian, Inc. 89275.57000000 USD 4163.88000000 USD Affirm Holdings, Inc. 491096.55000000 USD 23065.20000000 USD Air Products and Chemicals, Inc. 616432.74000000 USD -21053.34000000 USD Comerica, Inc. 236114.64000000 USD 278.70000000 USD National Storage Affiliates Trust 149977.98000000 USD 344.48000000 USD Organon & Co. 382175.65000000 USD -1285.55000000 USD International Business Machines Corp. 207806.93000000 USD 3338.95000000 USD Molson Coors Beverage Co., Class B 1036453.28000000 USD -11963.92000000 USD Harley-Davidson, Inc. 314073.20000000 USD -11060.80000000 USD Chevron Corp. 274575.75000000 USD 6404.15000000 USD IPG Photonics Corp. 387494.46000000 USD 7959.87000000 USD Avery Dennison Corp. 1268399.40000000 USD -27760.08000000 USD Amphenol Corp., Class A 357299.70000000 USD -16403.40000000 USD Constellation Energy Corp. 567335.35000000 USD 2726.68000000 USD Exponent, Inc. 96866.16000000 USD 7909.56000000 USD Paramount Global, Class B 7604.98000000 USD -114.72000000 USD Freeport-McMoRan, Inc. 501440.00000000 USD -7521.60000000 USD Fulton Financial Corp. 102821.92000000 USD -5951.94000000 USD Sherwin-Williams Co. 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Ltd. 1154779.38000000 USD -65609.41000000 USD Nippon Telegraph & Telephone Corp. 496988.64000000 USD -20797.50000000 USD Toyota Tsusho Corp. 694667.89000000 USD 9854.83000000 USD SCSK Corp. 778983.27000000 USD -24776.39000000 USD Dentsu Group, Inc. 677475.23000000 USD 11770.94000000 USD Hirose Electric Co. Ltd. 692298.97000000 USD -1959.32000000 USD Miura Co. Ltd. 141146.38000000 USD 1482.50000000 USD Mitsui Chemicals, Inc. 126745.80000000 USD 7366.75000000 USD Nisshin Seifun Group, Inc. 372061.22000000 USD 8843.18000000 USD Kikkoman Corp. 1022244.72000000 USD 26486.01000000 USD Tokyo Gas Co. Ltd. 929430.58000000 USD -16776.84000000 USD Nomura Holdings, Inc. 595134.20000000 USD -7651.21000000 USD Mitsubishi Corp. 1822678.37000000 USD 8939.85000000 USD Disco Corp. 348801.20000000 USD 4458.01000000 USD TOPPAN, Inc. 1113001.42000000 USD 27288.13000000 USD Nippon Shinyaku Co. Ltd. 400955.07000000 USD -39415.00000000 USD Isetan Mitsukoshi Holdings Ltd. 261269.87000000 USD 2479.89000000 USD GMO Payment Gateway, Inc. 588296.37000000 USD 14375.25000000 USD Dai Nippon Printing Co. Ltd. 374954.40000000 USD -5286.70000000 USD West Japan Railway Co. 199641.84000000 USD -1780.51000000 USD Honda Motor Co. Ltd. 1202666.33000000 USD -6533.57000000 USD Idemitsu Kosan Co. Ltd. 102331.70000000 USD 1103.28000000 USD Sysmex Corp. 753466.89000000 USD -8597.01000000 USD Yaskawa Electric Corp. 1664321.88000000 USD 9645.34000000 USD T&D Holdings, Inc. 1048608.05000000 USD -35284.65000000 USD Alfresa Holdings Corp. 729999.88000000 USD -3716.47000000 USD Sumitomo Electric Industries Ltd. 155602.75000000 USD -2810.21000000 USD Tosoh Corp. 513340.77000000 USD -17222.31000000 USD Japan Post Holdings Co. Ltd. 510294.67000000 USD 8160.15000000 USD Murata Manufacturing Co. Ltd. 448039.23000000 USD 7652.23000000 USD SUMCO Corp. 679566.43000000 USD 1042.57000000 USD Japan Airport Terminal Co. Ltd. 533729.62000000 USD 15075.26000000 USD SoftBank Corp. 307736.67000000 USD -4158.59000000 USD Olympus Corp. 142428.19000000 USD -3522.81000000 USD COMSYS Holdings Corp. 299085.06000000 USD 10992.61000000 USD Stanley Electric Co. Ltd. 30399.25000000 USD 168.34000000 USD Yamaha Motor Co. Ltd. 991813.14000000 USD -38308.17000000 USD Tokyo Electric Power Co. Holdings, Inc. 199162.75000000 USD 8673.40000000 USD Open House Group Co. Ltd. 97474.09000000 USD 2970.14000000 USD Konami Group Corp. 188787.74000000 USD 1771.88000000 USD NSK Ltd. 711068.15000000 USD 27891.12000000 USD Kansai Paint Co. Ltd. 252213.95000000 USD -5302.25000000 USD Tokio Marine Holdings, Inc. 975165.94000000 USD 21249.04000000 USD Shimadzu Corp. 339994.73000000 USD 8693.72000000 USD Hitachi Construction Machinery Co. Ltd. 612961.62000000 USD 8946.24000000 USD Welcia Holdings Co. Ltd. 381173.81000000 USD 13512.43000000 USD FANUC Corp. 140422.59000000 USD 5001.71000000 USD Mazda Motor Corp. 1424501.57000000 USD 15316.92000000 USD Mizuho Financial Group, Inc. 2547018.00000000 USD 76928.46000000 USD Dai-ichi Life Holdings, Inc. 496419.39000000 USD 21610.84000000 USD Haseko Corp. 518777.43000000 USD 22633.76000000 USD Y 2023-07-20 0.00000000 USD 0.00000000 USD 172990637.00000000 USD 351591.00000000 N N N N/A N/A N/A 1.00000000 NC N/A 0.03000000 0.000000014552 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1.65000000 USD 18.00000000 SEK 2023-09-20 0.03000000 N N N N/A N/A 000000000 43304133.80999998 PA -75559.05000000 -0.03665252545 N/A DE GB N 2 Morgan Stanley International 4PQUHN3JPFGFNF3BB653 N/A N/A Rec/pay the total return of custom basket plus SONIA +/- spread (-0.28% to 0.28%). GBP Currency. 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3792.77000000 USD Rightmove plc 55557.53000000 USD 627.61000000 USD Berkeley Group Holdings plc 497602.10000000 USD -1545.62000000 USD WPP plc 60521.90000000 USD 2776.39000000 USD Harbour Energy plc 265821.35000000 USD 23709.91000000 USD Hikma Pharmaceuticals plc 164362.37000000 USD -161.66000000 USD Persimmon plc 275213.47000000 USD 40784.32000000 USD International Distributions Services plc 106541.11000000 USD 2086.99000000 USD Taylor Wimpey plc 829434.83000000 USD -40190.00000000 USD St James's Place plc 398318.81000000 USD 8434.55000000 USD National Grid plc 99756.00000000 USD 337.65000000 USD InterContinental Hotels Group plc 547274.98000000 USD -1102.36000000 USD Burberry Group plc 636135.94000000 USD -39615.50000000 USD Imperial Brands plc 842437.66000000 USD -5379.29000000 USD Rolls-Royce Holdings plc 597490.40000000 USD -9401.16000000 USD DS Smith plc 750867.38000000 USD -100390.90000000 USD Kingfisher plc 19042.11000000 USD -158.69000000 USD Reckitt Benckiser Group plc 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DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 68.90000000 USD 62.00000000 CHF 2023-09-20 0.94000000 N N N 2023-07-31 AQR Funds Matthew Plastina Matthew Plastina Chief Financial Officer and Treasurer