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CAD Currency. Maturity 13-14 Months 02/26/24 to 08/26/24 Canadian Utilities Ltd., Class A 46204.22000000 USD 13.47000000 USD Boralex, Inc., Class A 16282.21000000 USD 135.42000000 USD CCL Industries, Inc., Class B 18187.88000000 USD -840.69000000 USD Bank of Montreal 104399.95000000 USD 1980.84000000 USD Sun Life Financial, Inc. 137781.15000000 USD 3311.86000000 USD Element Fleet Management Corp. 50665.17000000 USD -451.92000000 USD GFL Environmental, Inc. 105928.15000000 USD -5024.59000000 USD Aritzia, Inc. 16908.11000000 USD -1121.69000000 USD Atco Ltd., Class I 84581.27000000 USD 600.48000000 USD CGI, Inc. 32585.24000000 USD 1413.50000000 USD Toromont Industries Ltd. 70239.40000000 USD 3769.16000000 USD Descartes Systems Group, Inc. (The) 8250.89000000 USD 465.73000000 USD RB Global, Inc. 4620.87000000 USD -246.45000000 USD Toronto-Dominion Bank (The) 47415.85000000 USD 1634.23000000 USD Wheaton Precious Metals Corp. 16390.19000000 USD -217.43000000 USD Algonquin Power & Utilities Corp. 53214.64000000 USD -145.79000000 USD Loblaw Cos. Ltd. 67014.12000000 USD 1624.52000000 USD West Fraser Timber Co. Ltd. 126632.15000000 USD 7388.08000000 USD TC Energy Corp. 21541.29000000 USD 56.33000000 USD Nutrien Ltd. 108983.33000000 USD -320.50000000 USD SNC-Lavalin Group, Inc. 498.40000000 USD 29.55000000 USD Alamos Gold, Inc., Class A 33495.65000000 USD 1103.79000000 USD Intact Financial Corp. 24549.43000000 USD -907.37000000 USD BCE, Inc. 51520.66000000 USD -1270.96000000 USD Cameco Corp. 60195.34000000 USD -3075.78000000 USD Enbridge, Inc. 33229.33000000 USD -519.63000000 USD Canadian Imperial Bank of Commerce 95209.51000000 USD 370.33000000 USD Lundin Mining Corp. 17198.79000000 USD -49.71000000 USD First Quantum Minerals Ltd. 17269.82000000 USD 225.93000000 USD Onex Corp. 22645.56000000 USD 872.77000000 USD TMX Group Ltd. 43992.11000000 USD -1844.69000000 USD IGM Financial, Inc. 10990.10000000 USD 267.05000000 USD Shopify, Inc., Class A 5558.27000000 USD 160.35000000 USD Franco-Nevada Corp. 49171.13000000 USD -1487.04000000 USD Canadian Tire Corp. Ltd., Class A 42519.96000000 USD 2117.55000000 USD Restaurant Brands International, Inc. 11552.21000000 USD -408.28000000 USD Air Canada 85925.23000000 USD 7323.76000000 USD Rogers Communications, Inc., Class B 110728.73000000 USD -2876.31000000 USD National Bank of Canada 40754.03000000 USD 1011.62000000 USD Cenovus Energy, Inc. 8475.18000000 USD -286.27000000 USD Nuvei Corp. 2834.89000000 USD -262.33000000 USD Northland Power, Inc. 39565.28000000 USD 673.03000000 USD Thomson Reuters Corp. 62646.57000000 USD -332.74000000 USD Brookfield Renewable Corp. 40252.15000000 USD 105.95000000 USD Metro, Inc. 39986.84000000 USD 919.24000000 USD Pan American Silver Corp. 47712.78000000 USD -148.33000000 USD Saputo, Inc. 14764.39000000 USD -129.34000000 USD Dollarama, Inc. 73144.06000000 USD -2299.00000000 USD Constellation Software, Inc. 47653.88000000 USD -1638.78000000 USD Brookfield Corp. 47066.09000000 USD -3376.94000000 USD Gildan Activewear, Inc. 20021.07000000 USD 1125.04000000 USD Barrick Gold Corp. 12129.06000000 USD 340.98000000 USD iA Financial Corp., Inc. 71600.49000000 USD 1824.72000000 USD Finning International, Inc. 102832.42000000 USD 2372.09000000 USD Brookfield Asset Management Ltd., Class A 881.28000000 USD -37.50000000 USD WSP Global, Inc. 45183.50000000 USD -1388.91000000 USD Capital Power Corp. 29809.25000000 USD 545.20000000 USD Parkland Corp. 95033.03000000 USD 2102.25000000 USD Brookfield Infrastructure Corp., Class A 28318.26000000 USD -248.45000000 USD BRP, Inc. 32462.09000000 USD -2116.02000000 USD Alimentation Couche-Tard, Inc. 5640.54000000 USD -263.22000000 USD George Weston Ltd. 102620.24000000 USD 1172.84000000 USD Canadian National Railway Co. 47953.44000000 USD 1249.50000000 USD Pembina Pipeline Corp. 99507.27000000 USD 3129.76000000 USD Agnico Eagle Mines Ltd. 55027.21000000 USD 1214.51000000 USD Kinross Gold Corp. 23848.79000000 USD 754.71000000 USD Fortis, Inc. 14953.94000000 USD -264.56000000 USD SSR Mining, Inc. 34026.96000000 USD 470.84000000 USD Bank of Nova Scotia (The) 126981.42000000 USD 4291.47000000 USD Canadian Pacific Kansas City Ltd. 30773.35000000 USD -543.57000000 USD TFI International, Inc. 30875.28000000 USD 2115.22000000 USD Quebecor, Inc., Class B 5643.97000000 USD 184.96000000 USD Open Text Corp. 88218.23000000 USD 3746.47000000 USD Magna International, Inc. 51826.55000000 USD 3347.00000000 USD CAE, Inc. 604.30000000 USD -32.81000000 USD Canadian Natural Resources Ltd. 22320.11000000 USD -770.18000000 USD Empire Co. Ltd., Class A 69252.27000000 USD 1509.08000000 USD Stantec, Inc. 45440.30000000 USD 1838.84000000 USD Emera, Inc. 81587.74000000 USD -1525.28000000 USD Kinaxis, Inc. 31151.09000000 USD -2265.98000000 USD Royal Bank of Canada 41449.09000000 USD -950.07000000 USD Hydro One Ltd. 17428.57000000 USD 221.02000000 USD Y 2024-02-26 0.00000000 USD 0.00000000 USD 3784334.00000000 USD 31441.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 268.86000000 0.000894370949 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 13091.78000000 USD 10518.00000000 GBP 2023-09-20 268.86000000 N N N N/A N/A N/A 1.00000000 NC N/A 340.16000000 0.001131552563 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 13134.80000000 USD 10608.00000000 GBP 2023-09-20 340.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 15.40000000 0.000051228567 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2503.01000000 USD 27060.00000000 SEK 2023-09-20 15.40000000 N N N N/A N/A N/A 1.00000000 NC N/A 251.92000000 0.000838019525 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 14216.14000000 USD 13207.00000000 EUR 2023-09-20 251.92000000 N N N N/A N/A N/A 1.00000000 NC N/A 68.70000000 0.000228532635 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2944.20000000 USD 32251.00000000 NOK 2023-09-20 68.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 35.11000000 0.000116794480 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 3355.16000000 USD 36428.00000000 SEK 2023-09-20 35.11000000 N N N N/A N/A N/A 1.00000000 NC N/A 309.42000000 0.001029295021 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 26235.03000000 USD 23563.00000000 CHF 2023-09-20 309.42000000 N N N N/A N/A N/A 1.00000000 NC N/A 15.71000000 0.000052259791 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2502.70000000 USD 27060.00000000 SEK 2023-09-20 15.71000000 N N N N/A N/A N/A 1.00000000 NC N/A 196.28000000 0.000652931377 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 17859.49000000 USD 16482.00000000 EUR 2023-09-20 196.28000000 N N N N/A N/A N/A 1.00000000 NC N/A 348.33000000 0.001158730316 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 13159.66000000 USD 10634.00000000 GBP 2023-09-20 348.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 298.34000000 0.000992437064 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 13222.35000000 USD 10644.00000000 GBP 2023-09-20 298.34000000 N N N N/A N/A N/A 1.00000000 NC N/A 766.70000000 0.002550450819 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 61585.76000000 USD 82500.00000000 CAD 2023-09-20 766.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 14.14000000 0.000047037139 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 3007.95000000 USD 32472.00000000 SEK 2023-09-20 14.14000000 N N N N/A N/A N/A 1.00000000 NC N/A 153.05000000 0.000509125470 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 13385.43000000 USD 10658.00000000 GBP 2023-09-20 153.05000000 N N N N/A N/A N/A 1.00000000 NC N/A -2064.54000000 -0.00686775496 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 54530.46000000 USD 7478438.00000000 JPY 2023-09-20 -2064.54000000 N N N N/A N/A N/A 1.00000000 NC N/A -86.52000000 -0.00028781140 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 55507.43000000 USD 433500.00000000 HKD 2023-09-20 -86.52000000 N N N N/A N/A N/A 1.00000000 NC N/A 283.11000000 0.000941774007 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 39190.05000000 USD 59125.00000000 AUD 2023-09-20 283.11000000 N N N United States of America 254900HROIFWPRGM1V77 912797FA0 682000.00000000 PA USD 672076.69000000 2.235683507044 Long STIV UST US N 2 2023-10-12 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 325.10000000 0.001081455016 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 22193.67000000 USD 20556.00000000 EUR 2023-09-20 325.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 255.45000000 0.000849762177 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 9784.72000000 USD 7904.00000000 GBP 2023-09-20 255.45000000 N N N N/A N/A N/A 1.00000000 NC N/A 305.65000000 0.001016754001 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 17193.61000000 USD 15974.00000000 EUR 2023-09-20 305.65000000 N N N N/A N/A N/A 1.00000000 NC N/A -79.63000000 -0.00026489161 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 8500.00000000 CAD 6344.56000000 USD 2023-09-20 -79.63000000 N N N N/A N/A 000000000 489474.31000000 PA 4719.00999999 0.015697929988 N/A DE US N 2 Merrill Lynch International 549300J8H1BYG1YAFY05 N/A N/A Rec/pay the total return of custom basket plus NIBOR +/- spread (-0.23% to 0.23%). 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1.00000000 NC N/A -85.19000000 -0.00028338712 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 51257.35000000 USD 69000.00000000 SGD 2023-09-20 -85.19000000 N N N N/A N/A N/A 1.00000000 NC N/A 213.83000000 0.000711311984 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 13740.44000000 USD 12738.00000000 EUR 2023-09-20 213.83000000 N N N N/A N/A N/A 1.00000000 NC N/A 752.10000000 0.002501883476 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 52335.67000000 USD 47125.00000000 CHF 2023-09-20 752.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 316.12000000 0.001051582774 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 22202.65000000 USD 20556.00000000 EUR 2023-09-20 316.12000000 N N N N/A N/A N/A 1.00000000 NC N/A 363.31000000 0.001208561741 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 18656.48000000 USD 17362.00000000 EUR 2023-09-20 363.31000000 N N N N/A N/A N/A 1.00000000 NC N/A 311.64000000 0.001036679918 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 17544.75000000 USD 16300.00000000 EUR 2023-09-20 311.64000000 N N N N/A N/A N/A 1.00000000 NC N/A 341.96000000 0.001137540318 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 17851.84000000 USD 16608.00000000 EUR 2023-09-20 341.96000000 N N N N/A N/A N/A 1.00000000 NC N/A 272.91000000 0.000907843397 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 15694.31000000 USD 12570.00000000 GBP 2023-09-20 272.91000000 N N N N/A N/A N/A 1.00000000 NC N/A 452.82000000 0.001506319473 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 19797.73000000 USD 15942.00000000 GBP 2023-09-20 452.82000000 N N N N/A N/A N/A 1.00000000 NC N/A 213.69000000 0.000710846270 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 10304.10000000 USD 8280.00000000 GBP 2023-09-20 213.69000000 N N N N/A N/A N/A 1.00000000 NC N/A 20.41000000 0.000067894484 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2749.84000000 USD 29766.00000000 SEK 2023-09-20 20.41000000 N N N N/A N/A N/A 1.00000000 NC N/A 15.72000000 0.000052293057 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2502.69000000 USD 27060.00000000 SEK 2023-09-20 15.72000000 N N N N/A N/A N/A 1.00000000 NC N/A 35.13000000 0.000116861011 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 3355.14000000 USD 36428.00000000 SEK 2023-09-20 35.13000000 N N N N/A N/A N/A 1.00000000 NC N/A 369.31000000 0.001228520923 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 17511.18000000 USD 16322.00000000 EUR 2023-09-20 369.31000000 N N N N/A N/A N/A 1.00000000 NC N/A 27.25000000 0.000090647952 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2044.44000000 USD 22260.00000000 SEK 2023-09-20 27.25000000 N N N N/A N/A N/A 1.00000000 NC N/A 326.16000000 0.001084981139 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 17173.10000000 USD 15974.00000000 EUR 2023-09-20 326.16000000 N N N Goldman Sachs Financial Square Funds - Treasury Instruments Fund 549300DAH6N80PM31E83 38142B500 102921.72000000 NS USD 102921.72000000 0.342372225289 Long STIV RF US N 1 N N N N/A N/A 000000000 1386554.07000000 PA 39526.12999999 0.131484871076 N/A DE US N 2 Merrill Lynch International 549300J8H1BYG1YAFY05 N/A N/A Rec/pay the total return of custom basket plus CIBOR +/- spread (-1.50% to 0.23%). DKK Currency. Maturity 25 Months 02/25/25 Demant A/S 15110.73000000 USD -435.19000000 USD Vestas Wind Systems A/S 90423.50000000 USD -836.67000000 USD Novo Nordisk A/S, Class B 170424.54000000 USD 4215.85000000 USD GN Store Nord A/S 43739.98000000 USD -1626.59000000 USD ISS A/S 142497.05000000 USD 4983.34000000 USD DSV A/S 53980.69000000 USD -2833.04000000 USD Pandora A/S 131927.32000000 USD 5212.17000000 USD Carlsberg A/S, Class B 114653.93000000 USD 3164.23000000 USD ROCKWOOL A/S 19912.74000000 USD 1344.04000000 USD Orsted A/S 94802.33000000 USD -2884.69000000 USD Genmab A/S 103076.50000000 USD -525.47000000 USD Coloplast A/S, Class B 48177.44000000 USD -511.58000000 USD Novozymes A/S, Class B 135171.42000000 USD -1349.42000000 USD Royal Unibrew A/S 44488.13000000 USD -1106.69000000 USD Tryg A/S 71226.60000000 USD 593.00000000 USD Ambu A/S, Class B 13754.04000000 USD -302.50000000 USD AP Moller - Maersk A/S, Class B 93187.13000000 USD 601.21000000 USD Y 2025-02-25 0.00000000 USD 0.00000000 USD 1386554.00000000 USD 7701.98000000 N N N N/A N/A N/A 1.00000000 NC N/A 111.52000000 0.000370974664 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2901.29000000 USD 32250.00000000 NOK 2023-09-20 111.52000000 N N N N/A N/A N/A 1.00000000 NC N/A 284.77000000 0.000947296047 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 14933.69000000 USD 13892.00000000 EUR 2023-09-20 284.77000000 N N N N/A N/A N/A 1.00000000 NC N/A 28.15000000 0.000093641829 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2043.54000000 USD 22260.00000000 SEK 2023-09-20 28.15000000 N N N N/A N/A N/A 1.00000000 NC N/A 268.79000000 0.000894138092 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 13091.85000000 USD 10518.00000000 GBP 2023-09-20 268.79000000 N N N N/A N/A 000000000 67871183.10999998 PA USD 205663.30999999 0.684145242667 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 (-0.81% to 0.02%). USD Currency. Maturity 43-61 Months 12/18/26 to 06/26/28 MarketAxess Holdings, Inc. 61695.12000000 USD 3594.28000000 USD Reynolds Consumer Products, Inc. 91304.00000000 USD -1579.99000000 USD Arch Capital Group Ltd. 25449.00000000 USD -1159.40000000 USD Hewlett Packard Enterprise Co. 210386.40000000 USD 12478.09000000 USD Confluent, Inc., Class A 71114.34000000 USD 2154.98000000 USD American Water Works Co., Inc. 11420.00000000 USD -315.20000000 USD RH 109753.47000000 USD -21751.56000000 USD Visteon Corp. 35471.67000000 USD -1368.38000000 USD NNN REIT, Inc. 88147.40000000 USD -1006.80000000 USD Lancaster Colony Corp. 172535.22000000 USD -2368.08000000 USD SentinelOne, Inc., Class A 65881.30000000 USD -1684.66000000 USD Performance Food Group Co. 38613.84000000 USD -3224.23000000 USD Home Depot, Inc. 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Ltd. 205018.33000000 USD 11913.93000000 USD Keyence Corp. 190062.68000000 USD -423.40000000 USD FUJIFILM Holdings Corp. 11916.63000000 USD 232.33000000 USD Kansai Paint Co. Ltd. 35398.45000000 USD -442.34000000 USD Mazda Motor Corp. 249336.10000000 USD 18236.61000000 USD ANA Holdings, Inc. 71460.88000000 USD 6530.54000000 USD ZOZO, Inc. 62233.91000000 USD 1343.58000000 USD Persol Holdings Co. Ltd. 5429.35000000 USD 43.51000000 USD Murata Manufacturing Co. Ltd. 51696.84000000 USD 995.22000000 USD Nippon Sanso Holdings Corp. 65177.69000000 USD -892.72000000 USD Denso Corp. 310279.82000000 USD -18521.97000000 USD Nikon Corp. 33755.50000000 USD 4757.69000000 USD Rohm Co. Ltd. 28417.27000000 USD 2168.96000000 USD Shin-Etsu Chemical Co. Ltd. 193824.14000000 USD 11939.80000000 USD Asahi Kasei Corp. 19636.11000000 USD 294.07000000 USD Aeon Co. Ltd. 190431.50000000 USD -9033.33000000 USD Shinko Electric Industries Co. Ltd. 37007.57000000 USD -2306.68000000 USD Hirose Electric Co. Ltd. 53253.76000000 USD -53.70000000 USD Ito En Ltd. 13827.50000000 USD 927.00000000 USD Rinnai Corp. 6544.60000000 USD -305.30000000 USD TOTO Ltd. 18141.85000000 USD -33.11000000 USD Ibiden Co. Ltd. 56897.46000000 USD -1473.00000000 USD Toyota Boshoku Corp. 82333.86000000 USD 6334.00000000 USD Marui Group Co. Ltd. 66413.52000000 USD -2314.28000000 USD Goldwin, Inc. 8514.24000000 USD 955.24000000 USD Hamamatsu Photonics KK 98186.77000000 USD -484.15000000 USD SoftBank Group Corp. 150910.77000000 USD -20045.53000000 USD Lasertec Corp. 151116.54000000 USD -4400.92000000 USD Isuzu Motors Ltd. 14557.48000000 USD -91.29000000 USD Bank of Kyoto Ltd. (The) 15010.62000000 USD -1107.86000000 USD Suzuken Co. Ltd. 5439.69000000 USD 416.65000000 USD Nifco, Inc. 20811.87000000 USD -2435.63000000 USD Kajima Corp. 78512.85000000 USD 3555.29000000 USD Tokyo Century Corp. 7222.57000000 USD 40.06000000 USD Toei Animation Co. Ltd. 9246.70000000 USD 67.56000000 USD Keisei Electric Railway Co. Ltd. 74608.78000000 USD -4477.45000000 USD Nexon Co. Ltd. 74789.05000000 USD 2514.60000000 USD Daifuku Co. Ltd. 65906.56000000 USD -614.03000000 USD BayCurrent Consulting, Inc. 112805.87000000 USD -4652.43000000 USD Obayashi Corp. 229180.97000000 USD 12931.25000000 USD Suntory Beverage & Food Ltd. 134131.36000000 USD -2437.47000000 USD SG Holdings Co. Ltd. 71321.41000000 USD 806.15000000 USD Kawasaki Kisen Kaisha Ltd. 78464.01000000 USD 4947.95000000 USD Zensho Holdings Co. Ltd. 53350.65000000 USD 2969.37000000 USD Nomura Research Institute Ltd. 80119.59000000 USD -6320.77000000 USD Haseko Corp. 101044.53000000 USD 4522.13000000 USD Amada Co. Ltd. 115430.64000000 USD 4386.25000000 USD Kubota Corp. 153708.22000000 USD -7663.65000000 USD Osaka Gas Co. Ltd. 19926.15000000 USD 521.77000000 USD East Japan Railway Co. 49908.11000000 USD -715.14000000 USD Mitsubishi Motors Corp. 303166.60000000 USD 13654.07000000 USD Mizuho Financial Group, Inc. 408122.07000000 USD 15102.21000000 USD Advantest Corp. 94278.80000000 USD -7685.37000000 USD Nissan Chemical Corp. 107799.15000000 USD 173.43000000 USD Shimano, Inc. 50222.20000000 USD -2538.64000000 USD Toyo Suisan Kaisha Ltd. 207514.83000000 USD 5592.38000000 USD Toyota Industries Corp. 28657.65000000 USD -2940.89000000 USD Koito Manufacturing Co. Ltd. 70773.89000000 USD 1674.57000000 USD NTT Data Group Corp. 140209.04000000 USD 1757.07000000 USD Lion Corp. 120270.77000000 USD -2805.86000000 USD Stanley Electric Co. Ltd. 10133.08000000 USD 153.53000000 USD Nabtesco Corp. 19891.62000000 USD -385.59000000 USD Panasonic Holdings Corp. 250143.39000000 USD 20050.71000000 USD Japan Airport Terminal Co. Ltd. 67846.99000000 USD -308.26000000 USD Koei Tecmo Holdings Co. Ltd. 117785.59000000 USD -7912.07000000 USD Nissin Foods Holdings Co. Ltd. 8268.51000000 USD -165.61000000 USD Tokyo Electron Ltd. 14402.85000000 USD 496.27000000 USD Sohgo Security Services Co. Ltd. 84936.44000000 USD 2355.62000000 USD Konami Group Corp. 10488.20000000 USD 334.64000000 USD Santen Pharmaceutical Co. Ltd. 61324.28000000 USD -1047.94000000 USD Open House Group Co. Ltd. 10830.45000000 USD 652.27000000 USD Kose Corp. 96129.44000000 USD 4151.23000000 USD Omron Corp. 61401.79000000 USD -76.03000000 USD Hikari Tsushin, Inc. 28706.37000000 USD 892.72000000 USD Nintendo Co. Ltd. 54706.00000000 USD 3993.22000000 USD USS Co. Ltd. 39733.66000000 USD 896.55000000 USD NH Foods Ltd. 78512.11000000 USD -331.23000000 USD JSR Corp. 287361.81000000 USD -60881.34000000 USD Asics Corp. 120689.52000000 USD -15172.36000000 USD Medipal Holdings Corp. 109553.60000000 USD 2410.24000000 USD Kirin Holdings Co. Ltd. 127043.36000000 USD 397.60000000 USD Sumitomo Metal Mining Co. Ltd. 45195.07000000 USD 850.38000000 USD Toho Co. Ltd. 45707.40000000 USD 789.02000000 USD Kobayashi Pharmaceutical Co. Ltd. 5437.37000000 USD -144.25000000 USD COMSYS Holdings Corp. 59420.87000000 USD 1051.81000000 USD Japan Airlines Co. Ltd. 10841.73000000 USD 1373.28000000 USD Kyushu Electric Power Co., Inc. 49877.88000000 USD 215.75000000 USD KDDI Corp. 55589.62000000 USD -196.10000000 USD Fuji Electric Co. Ltd. 167295.26000000 USD 6783.81000000 USD MatsukiyoCocokara & Co. 56171.18000000 USD -1581.62000000 USD Nippon Shinyaku Co. Ltd. 32731.02000000 USD -3217.55000000 USD Otsuka Corp. 54532.31000000 USD 73.04000000 USD Resona Holdings, Inc. 99589.91000000 USD 5707.28000000 USD Sharp Corp. 94205.99000000 USD 751.96000000 USD Nippon Telegraph & Telephone Corp. 35499.19000000 USD -1305.80000000 USD Canon, Inc. 31543.97000000 USD 1804.89000000 USD MINEBEA MITSUMI, Inc. 111903.22000000 USD -1032.71000000 USD Odakyu Electric Railway Co. Ltd. 46898.89000000 USD 1406.66000000 USD Yokogawa Electric Corp. 74044.54000000 USD -1231.80000000 USD Y 2026-12-18 0.00000000 USD 0.00000000 USD 23152222.00000000 USD 141687.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 167.49000000 0.000557160568 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 13348.12000000 USD 10640.00000000 GBP 2023-09-20 167.49000000 N N N N/A N/A N/A 1.00000000 NC N/A 336.81000000 0.001120408687 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 13172.45000000 USD 10635.00000000 GBP 2023-09-20 336.81000000 N N N N/A N/A N/A 1.00000000 NC N/A -2064.26000000 -0.00686682354 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 54530.18000000 USD 7478437.00000000 JPY 2023-09-20 -2064.26000000 N N N N/A N/A N/A 1.00000000 NC N/A 305.57000000 0.001016487879 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 17193.69000000 USD 15974.00000000 EUR 2023-09-20 305.57000000 N N N N/A N/A N/A 1.00000000 NC N/A 738.63000000 0.002457075112 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 38733.86000000 USD 59124.00000000 AUD 2023-09-20 738.63000000 N N N N/A N/A N/A 1.00000000 NC N/A 1739.72000000 0.005787231381 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 60612.74000000 USD 82500.00000000 CAD 2023-09-20 1739.72000000 N N N N/A N/A N/A 1.00000000 NC N/A 335.27000000 0.001115285830 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 18216.75000000 USD 16935.00000000 EUR 2023-09-20 335.27000000 N N N N/A N/A N/A 1.00000000 NC N/A 30.53000000 0.000101558971 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 3122.23000000 USD 33876.00000000 SEK 2023-09-20 30.53000000 N N N N/A N/A N/A 1.00000000 NC N/A 330.78000000 0.001100349709 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 13216.59000000 USD 10665.00000000 GBP 2023-09-20 330.78000000 N N N N/A N/A N/A 1.00000000 NC N/A 347.85000000 0.001157133582 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 18204.17000000 USD 16935.00000000 EUR 2023-09-20 347.85000000 N N N N/A N/A N/A 1.00000000 NC N/A 168.85000000 0.000561684649 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 26375.60000000 USD 23563.00000000 CHF 2023-09-20 168.85000000 N N N United States of America 254900HROIFWPRGM1V77 912796ZS1 2163000.00000000 PA USD 2162108.22000000 7.192318614560 Long STIV UST US N 2 2023-07-06 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 358.71000000 0.001193259701 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 18663.27000000 USD 17364.00000000 EUR 2023-09-20 358.71000000 N N N N/A N/A N/A 1.00000000 NC N/A 236.05000000 0.000785227489 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 14230.91000000 USD 13206.00000000 EUR 2023-09-20 236.05000000 N N N N/A N/A N/A 1.00000000 NC N/A -29.29000000 -0.00009743407 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 8000.00000000 AUD 5311.69000000 USD 2023-09-20 -29.29000000 N N N N/A N/A N/A 1.00000000 NC N/A 375.99000000 0.001250742146 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 18256.00000000 USD 17008.00000000 EUR 2023-09-20 375.99000000 N N N N/A N/A N/A 1.00000000 NC N/A 196.37000000 0.000653230764 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 17859.40000000 USD 16482.00000000 EUR 2023-09-20 196.37000000 N N N N/A N/A N/A 1.00000000 NC N/A 276.55000000 0.000919951968 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 14571.64000000 USD 13554.00000000 EUR 2023-09-20 276.55000000 N N N N/A N/A N/A 1.00000000 NC N/A 331.62000000 0.001103143994 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 17169.83000000 USD 15976.00000000 EUR 2023-09-20 331.62000000 N N N N/A N/A 000000000 743665.33999999 PA 19097.79000000 0.063529378059 N/A DE US N 2 Merrill Lynch International 549300J8H1BYG1YAFY05 N/A N/A Rec/pay the total return of custom basket plus SORA +/- spread (-0.30% to 0.27%). SGD Currency. Maturity 24 Months 01/27/25 to 05/02/25 Venture Corp. Ltd. 4367.12000000 USD 69.44000000 USD Keppel Corp. Ltd. 16920.95000000 USD -152.24000000 USD DBS Group Holdings Ltd. 46705.57000000 USD -18.20000000 USD Yangzijiang Shipbuilding Holdings Ltd. 121938.69000000 USD 12533.19000000 USD Singapore Airlines Ltd. 59867.72000000 USD -2631.54000000 USD Genting Singapore Ltd. 34445.39000000 USD 657.31000000 USD United Overseas Bank Ltd. 45652.77000000 USD 331.86000000 USD Seatrium Ltd. 52700.64000000 USD 182.90000000 USD City Developments Ltd. 95769.31000000 USD 1075.43000000 USD Singapore Telecommunications Ltd. 54453.81000000 USD 540.76000000 USD Singapore Technologies Engineering Ltd. 54027.64000000 USD -1614.15000000 USD Oversea-Chinese Banking Corp. 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Ltd. 47648.25000000 USD 277.14000000 USD AIA Group Ltd. 83283.30000000 USD -2601.83000000 USD CLP Holdings Ltd. 11682.90000000 USD -178.31000000 USD ESR Group Ltd. 49600.84000000 USD -1821.36000000 USD Sands China Ltd. 12328.97000000 USD -305.03000000 USD Xinyi Glass Holdings Ltd. 51589.55000000 USD -2401.19000000 USD Hang Lung Properties Ltd. 10832.26000000 USD -119.75000000 USD Galaxy Entertainment Group Ltd. 38224.31000000 USD 673.09000000 USD Wharf Real Estate Investment Co. Ltd. 115399.26000000 USD 246.47000000 USD Swire Properties Ltd. 39914.62000000 USD 1378.63000000 USD Power Assets Holdings Ltd. 26247.40000000 USD 373.23000000 USD Sino Land Co. Ltd. 29546.58000000 USD 450.11000000 USD Techtronic Industries Co. 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