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HKD Currency. Maturity 61 Months 11/19/26 Man Wah Holdings Ltd. 1446296.53000000 USD -1138.39000000 USD Power Assets Holdings Ltd. 603690.12000000 USD 8293.03000000 USD Swire Pacific Ltd., Class A 687599.67000000 USD 80539.31000000 USD New World Development Co. Ltd. 1779515.36000000 USD -85722.01000000 USD Techtronic Industries Co. Ltd. 2132444.24000000 USD -23428.16000000 USD Swire Properties Ltd. 80322.01000000 USD 2384.48000000 USD Hang Seng Bank Ltd. 668588.75000000 USD 16117.73000000 USD SITC International Holdings Co. Ltd. 1195754.44000000 USD 25754.44000000 USD ESR Group Ltd. 1249321.20000000 USD 78171.91000000 USD CLP Holdings Ltd. 521836.21000000 USD 31905.12000000 USD BOC Hong Kong Holdings Ltd. 1396877.23000000 USD -23030.89000000 USD Hang Lung Properties Ltd. 112965.01000000 USD 9260.62000000 USD Henderson Land Development Co. Ltd. 961899.05000000 USD -27381.19000000 USD Hong Kong & China Gas Co. Ltd. 1019309.86000000 USD 36665.94000000 USD MTR Corp. Ltd. 847697.00000000 USD 24119.86000000 USD CK Hutchison Holdings Ltd. 4214358.91000000 USD -129904.74000000 USD Sands China Ltd. 12328.97000000 USD 879.30000000 USD Budweiser Brewing Co. APAC Ltd. 1936087.95000000 USD 131105.77000000 USD Galaxy Entertainment Group Ltd. 1063909.91000000 USD 54964.52000000 USD Xinyi Glass Holdings Ltd. 700367.19000000 USD 13139.70000000 USD Sino Land Co. Ltd. 470283.12000000 USD -13310.56000000 USD Wharf Real Estate Investment Co. Ltd. 3567342.45000000 USD 211773.17000000 USD AIA Group Ltd. 2604126.49000000 USD 82249.22000000 USD ASMPT Ltd. 1027474.30000000 USD -62163.27000000 USD WH Group Ltd. 1634469.48000000 USD -33976.16000000 USD HKT Trust & HKT Ltd. 281777.98000000 USD -2964.24000000 USD CK Asset Holdings Ltd. 1283595.19000000 USD -38535.41000000 USD Sun Hung Kai Properties Ltd. 631730.51000000 USD -22940.24000000 USD Y 2026-11-19 0.00000000 USD 0.00000000 USD 34131969.00000000 USD 342828.84000000 N N N N/A N/A N/A 1.00000000 NC 2289.51000000 0.000361322181 N/A DE DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Long DAX Index DE0008469008 2023-09-15 406800.00000000 EUR 2289.51000000 N N N N/A N/A N/A 1.00000000 NC N/A 394.32000000 0.000062230155 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 68903.43000000 USD 744595.00000000 SEK 2023-09-20 394.32000000 N N N N/A N/A 000000000 -310084.00000000 PA -1698.55000000 -0.00026805901 N/A DE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A Y 2023-07-21 0.00000000 USD 0.00000000 USD -310084.00000000 EUR -1698.55000000 N N N N/A N/A N/A 1.00000000 NC N/A 3883.72000000 0.000612914632 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 261261.73000000 USD 242035.00000000 EUR 2023-09-20 3883.72000000 N N N N/A N/A N/A 1.00000000 NC N/A 6521.33000000 0.001029172696 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 471860.07000000 USD 436685.00000000 EUR 2023-09-20 6521.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 120.59000000 0.000019031077 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 17517.44000000 USD 28750.00000000 NZD 2023-09-20 120.59000000 N N N N/A N/A 000000000 81614722.93999999 PA 387966.72999999 0.061227505052 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 19-61 Months 01/21/25 to 06/19/28 Aritzia, Inc. 344575.64000000 USD -5152.71000000 USD CGI, Inc. 649279.41000000 USD 11107.93000000 USD BRP, Inc. 101697.66000000 USD -2342.89000000 USD Saputo, Inc. 547178.44000000 USD 17145.42000000 USD Loblaw Cos. Ltd. 1224014.80000000 USD 55508.59000000 USD CCL Industries, Inc., Class B 78011.28000000 USD 3881.40000000 USD Rogers Communications, Inc., Class B 1654315.46000000 USD -61858.92000000 USD Capital Power Corp. 1244742.63000000 USD -66524.25000000 USD ARC Resources Ltd. 2036248.25000000 USD 31114.15000000 USD Tourmaline Oil Corp. 14041.26000000 USD -263.19000000 USD Boralex, Inc., Class A 543765.97000000 USD 13869.27000000 USD Canadian Pacific Kansas City Ltd. 1552317.80000000 USD -63108.25000000 USD Bank of Nova Scotia (The) 1627393.52000000 USD -5647.26000000 USD Algonquin Power & Utilities Corp. 1848477.37000000 USD 27009.72000000 USD Whitecap Resources, Inc. 931114.56000000 USD -8035.51000000 USD Element Fleet Management Corp. 1499329.44000000 USD 14116.58000000 USD Canadian Utilities Ltd., Class A 503947.14000000 USD -9841.00000000 USD Open Text Corp. 1660715.46000000 USD 12658.81000000 USD Atco Ltd., Class I 1915299.88000000 USD -23795.56000000 USD WSP Global, Inc. 1065775.69000000 USD -15345.42000000 USD Brookfield Corp. 1250853.67000000 USD -28046.05000000 USD Bombardier, Inc., Class B 1063299.55000000 USD -3907.39000000 USD Imperial Oil Ltd. 1930278.21000000 USD 73474.74000000 USD Cameco Corp. 1828316.08000000 USD 35253.14000000 USD Parkland Corp. 767986.41000000 USD -21875.98000000 USD Air Canada 2272236.62000000 USD 156392.44000000 USD Canadian Imperial Bank of Commerce 1086669.27000000 USD -34582.83000000 USD Stantec, Inc. 420322.79000000 USD 17738.21000000 USD BCE, Inc. 760226.16000000 USD -3398.36000000 USD Manulife Financial Corp. 1516122.62000000 USD -3027.40000000 USD AltaGas Ltd. 580560.11000000 USD -6342.25000000 USD SNC-Lavalin Group, Inc. 714699.75000000 USD -29410.67000000 USD CAE, Inc. 561151.01000000 USD -26685.43000000 USD Descartes Systems Group, Inc. (The) 209316.14000000 USD 6252.66000000 USD Intact Financial Corp. 1270240.11000000 USD -45458.87000000 USD RB Global, Inc. 372310.25000000 USD -21636.14000000 USD Magna International, Inc. 883196.65000000 USD -354.27000000 USD Restaurant Brands International, Inc. 227477.74000000 USD 6511.39000000 USD TC Energy Corp. 1356090.70000000 USD -2279.57000000 USD Quebecor, Inc., Class B 260460.62000000 USD -1834.79000000 USD Enbridge, Inc. 2783830.19000000 USD 20352.94000000 USD Shopify, Inc., Class A 404978.24000000 USD -425.70000000 USD Teck Resources Ltd., Class B 486859.82000000 USD 0.00000000 USD Alimentation Couche-Tard, Inc. 959711.55000000 USD 39416.98000000 USD Canadian Tire Corp. Ltd., Class A 636842.39000000 USD 31363.93000000 USD Kinaxis, Inc. 628737.50000000 USD -28264.96000000 USD Fairfax Financial Holdings Ltd. 1578226.10000000 USD 20183.30000000 USD Lundin Mining Corp. 130891.04000000 USD 6557.16000000 USD Canadian National Railway Co. 114071.06000000 USD -2908.31000000 USD TFI International, Inc. 579338.78000000 USD 43489.75000000 USD Dollarama, Inc. 897437.04000000 USD -30107.95000000 USD Toromont Industries Ltd. 974315.00000000 USD 12086.05000000 USD TMX Group Ltd. 971539.35000000 USD -18250.99000000 USD Wheaton Precious Metals Corp. 1052864.57000000 USD 30507.16000000 USD Empire Co. Ltd., Class A 1873418.68000000 USD 157321.37000000 USD Franco-Nevada Corp. 1004088.66000000 USD 14730.82000000 USD Gildan Activewear, Inc. 237222.25000000 USD 10330.92000000 USD Northland Power, Inc. 506172.84000000 USD 183.20000000 USD Cenovus Energy, Inc. 340451.03000000 USD -7565.58000000 USD MEG Energy Corp. 7434.61000000 USD 162.85000000 USD Onex Corp. 359953.87000000 USD 13577.60000000 USD West Fraser Timber Co. Ltd. 2426457.55000000 USD 166297.94000000 USD National Bank of Canada 485099.60000000 USD -982.98000000 USD Metro, Inc. 934551.08000000 USD -45840.72000000 USD Brookfield Infrastructure Corp., Class A 692087.24000000 USD 3780.65000000 USD Barrick Gold Corp. 10995.66000000 USD -328.74000000 USD Brookfield Renewable Corp. 1045514.98000000 USD 37277.27000000 USD Thomson Reuters Corp. 1130338.49000000 USD -10911.57000000 USD Bank of Montreal 960732.46000000 USD 6263.55000000 USD Nutrien Ltd. 1872198.92000000 USD -23698.72000000 USD iA Financial Corp., Inc. 1031428.57000000 USD -3771.43000000 USD Keyera Corp. 177246.50000000 USD -406.13000000 USD Agnico Eagle Mines Ltd. 64814.27000000 USD 313.54000000 USD Fortis, Inc. 1227774.37000000 USD -13118.63000000 USD IGM Financial, Inc. 71846.61000000 USD -53.44000000 USD Pembina Pipeline Corp. 66055.22000000 USD -602.66000000 USD George Weston Ltd. 1375915.12000000 USD 34876.66000000 USD Alamos Gold, Inc., Class A 57712.10000000 USD -1206.91000000 USD Sun Life Financial, Inc. 621865.82000000 USD 19900.43000000 USD SSR Mining, Inc. 355361.13000000 USD -1323.86000000 USD Emera, Inc. 599449.56000000 USD -4614.53000000 USD Constellation Software, Inc. 638147.64000000 USD -8548.90000000 USD Suncor Energy, Inc. 1368188.81000000 USD -29222.77000000 USD First Quantum Minerals Ltd. 586251.40000000 USD 34419.35000000 USD Finning International, Inc. 1895524.82000000 USD 14885.10000000 USD GFL Environmental, Inc. 1249004.75000000 USD -58273.94000000 USD Royal Bank of Canada 1092002.02000000 USD -10012.03000000 USD Kinross Gold Corp. 118098.96000000 USD -747.46000000 USD Pan American Silver Corp. 964949.01000000 USD 41497.81000000 USD Canadian Natural Resources Ltd. 704685.65000000 USD -18355.13000000 USD Hydro One Ltd. 727885.71000000 USD -24230.81000000 USD Toronto-Dominion Bank (The) 160098.23000000 USD 2417.75000000 USD Y 2025-01-21 0.00000000 USD 0.00000000 USD 81614723.00000000 USD 409698.64000000 N N N N/A N/A N/A 1.00000000 NC N/A 7757.67000000 0.001224287399 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 398368.90000000 USD 370728.00000000 EUR 2023-09-20 7757.67000000 N N N N/A N/A N/A 1.00000000 NC N/A 215.44000000 0.000033999960 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 74500.00000000 SGD 55466.54000000 USD 2023-09-20 215.44000000 N N N N/A N/A N/A 9.00000000 NC 35382.43000000 0.005583927033 N/A DE IT N 1 Cassa di Compensazione e Garanzia 8156006407E264D2C725 Long FTSE/MIB Index IT0003465736 2023-09-15 1276335.00000000 EUR 35382.43000000 N N N N/A N/A N/A 1.00000000 NC N/A -45198.75000000 -0.00713310312 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1193829.93000000 USD 163724688.00000000 JPY 2023-09-20 -45198.75000000 N N N N/A N/A N/A 1.00000000 NC N/A 5457.83000000 0.000861334975 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 209016.11000000 USD 168842.00000000 GBP 2023-09-20 5457.83000000 N N N N/A N/A N/A 1.00000000 NC N/A -1955.86000000 -0.00030866674 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1258930.29000000 USD 9832000.00000000 HKD 2023-09-20 -1955.86000000 N N N N/A N/A N/A 1.00000000 NC N/A -1403.25000000 -0.00022145583 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 375791.37000000 USD 4022750.00000000 SEK 2023-09-20 -1403.25000000 N N N N/A N/A N/A 1.00000000 NC N/A 4178.43000000 0.000659424698 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 189808.69000000 USD 152714.00000000 GBP 2023-09-20 4178.43000000 N N N United States of America 254900HROIFWPRGM1V77 912796ZN2 43211000.00000000 PA USD 42092252.09000000 6.642846868653 Long STIV UST US N 2 2023-12-28 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -46609.97000000 -0.00735581675 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1195241.14000000 USD 163724687.00000000 JPY 2023-09-20 -46609.97000000 N N N N/A N/A N/A 1.00000000 NC N/A -39778.28000000 -0.00627766416 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1188409.45000000 USD 163724687.00000000 JPY 2023-09-20 -39778.28000000 N N N N/A N/A N/A 1.00000000 NC N/A -43373.45000000 -0.00684504088 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1192004.62000000 USD 163724687.00000000 JPY 2023-09-20 -43373.45000000 N N N N/A N/A N/A 1.00000000 NC N/A 4494.05000000 0.000709234704 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 376693.83000000 USD 347963.00000000 EUR 2023-09-20 4494.05000000 N N N N/A N/A N/A 1.00000000 NC N/A 6090.87000000 0.000961239057 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 310926.84000000 USD 289386.00000000 EUR 2023-09-20 6090.87000000 N N N N/A N/A N/A 1.00000000 NC N/A 5811.29000000 0.000917116753 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 338877.25000000 USD 314645.00000000 EUR 2023-09-20 5811.29000000 N N N N/A N/A 000000000 161711647.56999993 PA -688804.80999999 -0.10870468193 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 (-0.79% to 0.28%). EUR Currency. 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SA 1976639.62000000 USD -105620.34000000 USD Amadeus IT Group SA 653294.17000000 USD -4736.05000000 USD Rheinmetall AG 1680696.67000000 USD 60545.90000000 USD BASF SE 763971.06000000 USD 7854.44000000 USD Mapfre SA 1959151.65000000 USD 6313.49000000 USD DSM-Firmenich AG 718647.25000000 USD -34977.76000000 USD Heineken NV 637895.51000000 USD 824.18000000 USD Bayerische Motoren Werke AG 2690533.86000000 USD 40728.75000000 USD Zalando SE 432357.13000000 USD -3907.84000000 USD Evonik Industries AG 630636.54000000 USD 1885.62000000 USD CTS Eventim AG & Co. KGaA 103027.94000000 USD 1884.50000000 USD Infineon Technologies AG 1337517.21000000 USD -12392.15000000 USD HUGO BOSS AG 728385.69000000 USD 16563.19000000 USD Scout24 SE 127872.05000000 USD -2268.60000000 USD Akzo Nobel NV 1392910.82000000 USD -69541.83000000 USD Siemens Healthineers AG 2456592.73000000 USD 20879.86000000 USD Solvay SA 930118.66000000 USD 18374.03000000 USD Allianz SE (Registered) 50078.59000000 USD -810.91000000 USD Siemens Energy AG 47033.60000000 USD 19290.63000000 USD LANXESS AG 955891.94000000 USD 133832.93000000 USD Henkel AG & Co. KGaA (Preference) 874700.38000000 USD -859.63000000 USD Proximus SADP 2708506.10000000 USD -103838.84000000 USD Banco Bilbao Vizcaya Argentaria SA 1520844.81000000 USD -52404.21000000 USD CaixaBank SA 1758876.76000000 USD -22291.12000000 USD SBM Offshore NV 693461.23000000 USD -1232.85000000 USD Etablissements Franz Colruyt NV 100359.80000000 USD 81.09000000 USD Galapagos NV 584870.60000000 USD 12609.14000000 USD Signify NV 1860725.95000000 USD -53527.82000000 USD Koninklijke Philips NV 2566599.22000000 USD -176915.90000000 USD Delivery Hero SE 2955735.07000000 USD -301008.27000000 USD Stora Enso OYJ, Class R 169632.16000000 USD 11929.31000000 USD Ageas SA/NV 889795.85000000 USD 8408.30000000 USD Naturgy Energy Group SA 411354.73000000 USD -7814.56000000 USD HelloFresh SE 804356.27000000 USD -142859.83000000 USD Universal Music Group NV 1546193.44000000 USD -40870.34000000 USD Endesa SA 856991.04000000 USD 52583.85000000 USD ProSiebenSat.1 Media SE 747505.83000000 USD -14761.97000000 USD Merck KGaA 1023636.91000000 USD 28710.69000000 USD Industria de Diseno Textil SA 1716670.64000000 USD 79492.86000000 USD Corp. 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NOK Currency. Maturity 20-25 Months 02/21/24 Telenor ASA 79767.72000000 USD -2320.67000000 USD Kongsberg Gruppen ASA 468223.35000000 USD -6417.32000000 USD TOMRA Systems ASA 796685.28000000 USD 9565.14000000 USD Bakkafrost P/F 794610.30000000 USD 62369.42000000 USD Yara International ASA 930607.06000000 USD 16044.82000000 USD Orkla ASA 78275.00000000 USD -548.50000000 USD Leroy Seafood Group ASA 743834.17000000 USD -52389.02000000 USD Equinor ASA 2964796.23000000 USD -60706.13000000 USD Mowi ASA 503556.31000000 USD -25134.38000000 USD Schibsted ASA, Class A 679006.84000000 USD 1816.46000000 USD Gjensidige Forsikring ASA 648066.65000000 USD 16392.64000000 USD Norsk Hydro ASA 753414.13000000 USD -56450.25000000 USD Subsea 7 SA 909009.39000000 USD -150876.70000000 USD Salmar ASA 1566018.64000000 USD 55603.36000000 USD Y 2024-02-21 0.00000000 USD 0.00000000 USD 11915871.00000000 USD -193051.14000000 N N N N/A N/A N/A 1.00000000 NC N/A -51279.58000000 -0.00809275770 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1199910.75000000 USD 163724687.00000000 JPY 2023-09-20 -51279.58000000 N N N N/A N/A N/A 1.00000000 NC N/A 8659.33000000 0.001366584117 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 569787.22000000 USD 513476.00000000 CHF 2023-09-20 8659.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 7081.57000000 0.001117587745 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 366559.52000000 USD 341074.00000000 EUR 2023-09-20 7081.57000000 N N N N/A N/A N/A 1.00000000 NC N/A 3676.52000000 0.000580215078 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 574766.65000000 USD 513473.00000000 CHF 2023-09-20 3676.52000000 N N N N/A N/A 000000000 4218801.03000000 PA -39702.23000000 -0.00626566223 N/A DE US N 2 BNP Paribas Securities Corp. 2J5703FH5U5M97R1I237 N/A N/A Rec/pay the total return of custom basket plus ESTR +/- spread (-0.02% to 0.03%). EUR Currency. Maturity 61 Months 06/14/28 to 06/19/28 Y 2028-06-14 0.00000000 USD 0.00000000 USD 4218801.00000000 USD -33046.08000000 N N N N/A N/A N/A 1.00000000 NC N/A -20.27000000 -0.00000319893 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 44906.00000000 SEK 4159.03000000 USD 2023-09-20 -20.27000000 N N N N/A N/A N/A 17.00000000 NC 87602.06000000 0.013825040026 N/A DE JP N 1 Japan Securities Clearing 549300JHM7D8P3TS4S86 Long TOPIX Index JP9010100007 2023-09-07 388960000.00000000 JPY 87602.06000000 N N N United States of America 254900HROIFWPRGM1V77 912796Z36 515000.00000000 PA USD 511676.96000000 0.080751005772 Long STIV UST US N 2 2023-08-17 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -30.43000000 -0.00000480235 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 44904.00000000 SEK 4148.68000000 USD 2023-09-20 -30.43000000 N N N N/A N/A 000000000 3761400.00000000 PA -4996.17000000 -0.00078847746 N/A DE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A Y 2023-07-28 0.00000000 USD 0.00000000 USD 3761400.00000000 HKD -4996.17000000 N N N N/A N/A N/A 1.00000000 NC N/A 7195.42000000 0.001135555140 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 281353.98000000 USD 227157.00000000 GBP 2023-09-20 7195.42000000 N N N N/A N/A N/A 1.00000000 NC N/A -1962.15000000 -0.00030965941 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1258936.58000000 USD 9832000.00000000 HKD 2023-09-20 -1962.15000000 N N N N/A N/A N/A 1.00000000 NC N/A 123.57000000 0.000019501370 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 133748.63000000 USD 494750.00000000 ILS 2023-09-20 123.57000000 N N N N/A N/A N/A 1.00000000 NC N/A 6524.39000000 0.001029655614 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 367112.32000000 USD 341070.00000000 EUR 2023-09-20 6524.39000000 N N N N/A N/A N/A 1.00000000 NC N/A 174.07000000 0.000027471097 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 17463.96000000 USD 28750.00000000 NZD 2023-09-20 174.07000000 N N N N/A N/A N/A 1.00000000 NC N/A 717.39000000 0.000113215893 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 89449.21000000 USD 968828.00000000 SEK 2023-09-20 717.39000000 N N N N/A N/A N/A 1.00000000 NC N/A 8662.10000000 0.001367021268 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 569779.94000000 USD 513472.00000000 CHF 2023-09-20 8662.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 3992.18000000 0.000630031397 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 377192.41000000 USD 347960.00000000 EUR 2023-09-20 3992.18000000 N N N N/A N/A N/A 1.00000000 NC N/A 4387.42000000 0.000692406743 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 574059.13000000 USD 513476.00000000 CHF 2023-09-20 4387.42000000 N N N United States of America 254900HROIFWPRGM1V77 912797FJ1 17814000.00000000 PA USD 17482916.83000000 2.759090653329 Long STIV UST US N 2 2023-11-09 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 542.45000000 0.000085607495 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 73137.39000000 USD 791680.00000000 SEK 2023-09-20 542.45000000 N N N N/A N/A N/A 1.00000000 NC N/A 6807.66000000 0.001074360260 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 374461.28000000 USD 348037.00000000 EUR 2023-09-20 6807.66000000 N N N N/A N/A N/A 26.00000000 NC 76597.22000000 0.012088296010 N/A DE CA N 1 Canadian Derivatives Clearing 5493004XJK1P32XQLA57 Long S&P/TSX 60 Index XC0009654721 2023-09-14 6336720.00000000 CAD 76597.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 3942.15000000 0.000622135844 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 190044.97000000 USD 152714.00000000 GBP 2023-09-20 3942.15000000 N N N N/A N/A N/A 1.00000000 NC N/A 7806.96000000 0.001232066169 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 570635.08000000 USD 513472.00000000 CHF 2023-09-20 7806.96000000 N N N N/A N/A N/A 1.00000000 NC N/A 6460.16000000 0.001019519068 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 318686.04000000 USD 296806.00000000 EUR 2023-09-20 6460.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 6092.43000000 0.000961485250 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 310925.28000000 USD 289386.00000000 EUR 2023-09-20 6092.43000000 N N N N/A N/A 000000000 26172173.95000000 PA 653992.62000000 0.103210748111 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 (-1.88% to 0.30%). DKK Currency. Maturity 11-25 Months 02/21/24 ROCKWOOL A/S 604623.22000000 USD 52973.78000000 USD Coloplast A/S, Class B 691878.12000000 USD 8696.86000000 USD Carlsberg A/S, Class B 1639583.22000000 USD 33244.91000000 USD DSV A/S 1074782.84000000 USD -59406.86000000 USD Genmab A/S 1547284.31000000 USD -33617.87000000 USD GN Store Nord A/S 656524.77000000 USD -6909.45000000 USD Tryg A/S 1530451.47000000 USD 65044.62000000 USD Pandora A/S 2758764.71000000 USD 146989.08000000 USD Ambu A/S, Class B 644899.10000000 USD -27443.70000000 USD Demant A/S 22941.22000000 USD -1010.21000000 USD AP Moller - Maersk A/S, Class B 1717807.95000000 USD 3923.58000000 USD ISS A/S 3013211.87000000 USD 108507.88000000 USD Royal Unibrew A/S 928432.28000000 USD 30105.60000000 USD Orsted A/S 1975396.07000000 USD 40664.23000000 USD Vestas Wind Systems A/S 2304456.59000000 USD 97318.02000000 USD Novozymes A/S, Class B 3030741.91000000 USD 161082.16000000 USD Novo Nordisk A/S, Class B 2030394.30000000 USD 35858.77000000 USD Y 2024-02-21 0.00000000 USD 0.00000000 USD 26172174.00000000 USD 656021.34000000 N N N N/A N/A N/A 1.00000000 NC N/A 164.35000000 0.000025937122 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 17473.68000000 USD 28750.00000000 NZD 2023-09-20 164.35000000 N N N N/A N/A N/A 1.00000000 NC N/A -43933.55000000 -0.00693343384 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1192564.72000000 USD 163724687.00000000 JPY 2023-09-20 -43933.55000000 N N N N/A N/A 000000000 60177095.44999999 PA 228258.78000000 0.036022974459 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 (-0.03% to 0.03%). EUR Currency. Maturity 19-56 Months 01/13/25 to 01/03/28 Dassault Aviation SA 2168199.41000000 USD 205549.19000000 USD Capgemini SE 429618.26000000 USD 12671.18000000 USD Rexel SA 3265031.11000000 USD 236193.68000000 USD Alstom SA 2897583.66000000 USD 23736.63000000 USD Eurofins Scientific SE 437082.11000000 USD 11883.35000000 USD Bouygues SA 1602271.26000000 USD 23719.86000000 USD SOITEC 1236503.11000000 USD -96792.62000000 USD Publicis Groupe SA 1079045.45000000 USD 26241.29000000 USD Safran SA 483606.20000000 USD 23478.76000000 USD Remy Cointreau SA 1179345.51000000 USD -37718.10000000 USD Bollore SE 1154520.43000000 USD -3041.45000000 USD Accor SA 580126.11000000 USD -23839.99000000 USD Eiffage SA 3816655.92000000 USD -122763.55000000 USD Amundi SA 343778.92000000 USD 1847.96000000 USD Pernod Ricard SA 1075042.01000000 USD -19143.97000000 USD EssilorLuxottica SA 1906445.86000000 USD -91489.98000000 USD Veolia Environnement SA 363056.48000000 USD -2625.26000000 USD Schneider Electric SE 2102908.00000000 USD -32240.88000000 USD SES SA 447900.96000000 USD -15440.44000000 USD STMicroelectronics NV 2200763.69000000 USD 77287.72000000 USD Getlink SE 63731.89000000 USD -1203.30000000 USD L'Oreal SA 2546026.51000000 USD -150615.98000000 USD Sartorius Stedim Biotech 2144386.70000000 USD 344031.18000000 USD Cie de Saint-Gobain 3152880.26000000 USD -1262.87000000 USD Bureau Veritas SA 415915.18000000 USD -17073.29000000 USD Forvia 384745.16000000 USD 7318.72000000 USD Rubis SCA 934937.99000000 USD -189712.83000000 USD Airbus SE 1598206.59000000 USD -49188.52000000 USD Sodexo SA 1234966.28000000 USD -12066.36000000 USD Cie Generale des Etablissements Michelin SCA 2343166.91000000 USD 35525.48000000 USD Air Liquide SA 4172589.29000000 USD -196679.66000000 USD La Francaise des Jeux SAEM 1273766.21000000 USD -10269.22000000 USD TotalEnergies SE 1855317.75000000 USD -82635.99000000 USD Thales SA 1244478.90000000 USD 62144.39000000 USD Orange SA 1123429.50000000 USD 19061.80000000 USD Arkema SA 679217.24000000 USD 24329.24000000 USD Sanofi 1128663.26000000 USD 37273.83000000 USD Air France-KLM 1081449.20000000 USD 701.29000000 USD SEB SA 466296.58000000 USD -43157.59000000 USD Ipsen SA 2103816.14000000 USD -11146.94000000 USD Aeroports de Paris 1459623.45000000 USD 63374.43000000 USD Y 2025-01-13 0.00000000 USD 0.00000000 USD 60177095.00000000 USD 26261.24000000 N N N N/A N/A 000000000 766925819.49999988 PA USD -4187747.47999999 -0.66089514941 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 19-61 Months 01/13/25 to 06/26/28 Darling Ingredients, Inc. 583678.50000000 USD -5154.87000000 USD United Airlines Holdings, Inc. 5094075.93000000 USD 413133.55000000 USD Hawaiian Electric Industries, Inc. 248657.80000000 USD -11333.85000000 USD Public Storage 558950.20000000 USD 9632.45000000 USD Tradeweb Markets, Inc., Class A 88613.12000000 USD 3015.02000000 USD Equity LifeStyle Properties, Inc. 1078266.80000000 USD -29499.60000000 USD Manhattan Associates, Inc. 511692.80000000 USD 35587.59000000 USD Ameren Corp. 2725736.25000000 USD 56403.75000000 USD Paychex, Inc. 621102.24000000 USD -999.36000000 USD Old National Bancorp 405514.60000000 USD -6981.60000000 USD Target Corp. 52496.20000000 USD -1954.18000000 USD Nexstar Media Group, Inc. 29479.35000000 USD 184.08000000 USD Teradata Corp. 2410606.94000000 USD 194076.20000000 USD Thor Industries, Inc. 650083.50000000 USD -56808.51000000 USD RenaissanceRe Holdings Ltd. 435524.20000000 USD -12087.11000000 USD Estee Lauder Cos., Inc. (The), Class A 1097764.20000000 USD -71846.45000000 USD ASGN, Inc. 1242979.05000000 USD 50947.30000000 USD Hilton Grand Vacations, Inc. 338982.40000000 USD -4177.60000000 USD Principal Financial Group, Inc. 636221.76000000 USD -37331.05000000 USD Bank OZK 774565.92000000 USD -9202.96000000 USD Unity Software, Inc. 1366297.14000000 USD -224045.04000000 USD Snowflake, Inc., Class A 440653.92000000 USD -13346.32000000 USD Salesforce, Inc. 3094536.48000000 USD -59324.40000000 USD Five9, Inc. 117326.35000000 USD -11844.53000000 USD Genuine Parts Co. 2392742.97000000 USD 189603.99000000 USD Match Group, Inc. 451477.80000000 USD -2681.14000000 USD U-Haul Holding Co. 83422.56000000 USD -90.48000000 USD Bright Horizons Family Solutions, Inc. 205239.00000000 USD 1887.00000000 USD Cadence Bank 12805.28000000 USD 849.64000000 USD Warner Bros Discovery, Inc. 494213.94000000 USD -51234.30000000 USD Omnicom Group, Inc. 1336952.65000000 USD -9243.35000000 USD DoubleVerify Holdings, Inc. 761586.56000000 USD -54203.36000000 USD Booz Allen Hamilton Holding Corp. 806310.00000000 USD 57924.24000000 USD Clarivate plc 608547.68000000 USD -84289.92000000 USD GLOBALFOUNDRIES, Inc. 166551.82000000 USD 13281.85000000 USD United Parcel Service, Inc., Class B 3007635.75000000 USD -146984.04000000 USD Werner Enterprises, Inc. 385647.22000000 USD 3753.47000000 USD Duke Energy Corp. 942180.26000000 USD 18688.22000000 USD Ryder System, Inc. 1592356.20000000 USD 64347.51000000 USD Liberty Media Corp.-Liberty SiriusXM 853532.94000000 USD 80320.24000000 USD PPL Corp. 322018.20000000 USD -4381.20000000 USD Zions Bancorp NA 339886.44000000 USD -50742.54000000 USD Murphy USA, Inc. 1307906.44000000 USD 111195.80000000 USD Travelers Cos., Inc. (The) 1191307.60000000 USD -13308.40000000 USD Choice Hotels International, Inc. 4162558.40000000 USD -12397.00000000 USD nCino, Inc. 1910632.08000000 USD -388216.08000000 USD White Mountains Insurance Group Ltd. 881957.85000000 USD 27406.60000000 USD KLA Corp. 3106068.08000000 USD 124045.48000000 USD Qorvo, Inc. 1891432.14000000 USD 68034.46000000 USD Lyft, Inc., Class A 321792.45000000 USD 28862.31000000 USD Amkor Technology, Inc. 1075670.75000000 USD 139927.59000000 USD Prologis, Inc. 1356165.17000000 USD -14482.47000000 USD Kohl's Corp. 4043016.10000000 USD -173647.98000000 USD Best Buy Co., Inc. 1524270.00000000 USD -124806.00000000 USD Booking Holdings, Inc. 5875918.08000000 USD 204979.20000000 USD Hershey Co. 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(The) 1179969.30000000 USD 32114.25000000 USD Equity Residential 325693.89000000 USD -1036.77000000 USD Digital Realty Trust, Inc. 771469.25000000 USD -63312.85000000 USD Splunk, Inc. 906326.87000000 USD 34113.31000000 USD Broadcom, Inc. 941161.55000000 USD 68148.85000000 USD First Hawaiian, Inc. 253598.81000000 USD 15066.67000000 USD Fiserv, Inc. 728768.55000000 USD 53899.41000000 USD Voya Financial, Inc. 478233.99000000 USD -329.73000000 USD Norwegian Cruise Line Holdings Ltd. 859893.23000000 USD -142315.71000000 USD GameStop Corp., Class A 2165379.50000000 USD 3037.85000000 USD Coca-Cola Consolidated, Inc. 1828557.50000000 USD -86710.00000000 USD Yum! 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(The), Class A 1431226.72000000 USD 92889.83000000 USD Black Hills Corp. 2572860.96000000 USD -131033.17000000 USD SoFi Technologies, Inc. 471360.12000000 USD -9042.88000000 USD EPAM Systems, Inc. 452197.00000000 USD -27001.04000000 USD Capital One Financial Corp. 710576.89000000 USD -13773.64000000 USD VeriSign, Inc. 942068.93000000 USD 20845.00000000 USD NXP Semiconductors NV 1475333.44000000 USD 141853.44000000 USD Cable One, Inc. 548661.80000000 USD 6410.13000000 USD eBay, Inc. 172950.30000000 USD 4328.00000000 USD Y 2025-01-13 0.00000000 USD 0.00000000 USD 766925820.00000000 USD -4025853.76000000 N N N N/A N/A N/A 1.00000000 NC N/A 7265.55000000 0.001146622802 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 280550.90000000 USD 226580.00000000 GBP 2023-09-20 7265.55000000 N N N N/A N/A N/A 1.00000000 NC N/A 4040.16000000 0.000637603427 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 259693.21000000 USD 240746.00000000 EUR 2023-09-20 4040.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 712.92000000 0.000112510453 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 96484.20000000 USD 1044370.00000000 SEK 2023-09-20 712.92000000 N N N N/A N/A N/A 1.00000000 NC N/A 38920.67000000 0.006142319262 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1356016.56000000 USD 1845674.00000000 CAD 2023-09-20 38920.67000000 N N N N/A N/A 000000000 63344054.13000000 PA USD 714107.67000000 0.112697887710 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 (-2.28% to 0.20%). USD Currency. Maturity 13-14 Months 02/26/24 to 03/25/24 LyondellBasell Industries NV, Class A 1084971.45000000 USD 30955.30000000 USD Alcoa Corp. 254678.58000000 USD -7055.64000000 USD International Flavors & Fragrances, Inc. 540575.28000000 USD -18745.92000000 USD Hanesbrands, Inc. 67369.06000000 USD -3412.97000000 USD Mattel, Inc. 1192487.12000000 USD 85439.20000000 USD Costco Wholesale Corp. 496924.74000000 USD -13808.08000000 USD Eagle Materials, Inc. 1464329.10000000 USD 91118.00000000 USD Royal Gold, Inc. 1001111.16000000 USD -4622.66000000 USD Lennar Corp., Class A 368662.02000000 USD 12474.08000000 USD Reliance Steel & Aluminum Co. 605645.70000000 USD 28700.10000000 USD Iridium Communications, Inc. 965841.76000000 USD 9173.32000000 USD Berry Global Group, Inc. 1361241.38000000 USD 34274.34000000 USD Valvoline, Inc. 2598805.33000000 USD -95610.54000000 USD PulteGroup, Inc. 1496582.88000000 USD 31788.90000000 USD United States Steel Corp. 1513180.03000000 USD 67763.36000000 USD Vulcan Materials Co. 561796.48000000 USD -26589.64000000 USD Carter's, Inc. 213444.00000000 USD -17169.60000000 USD Tempur Sealy International, Inc. 1209472.88000000 USD -47388.88000000 USD NewMarket Corp. 261378.00000000 USD 2736.50000000 USD Linde plc 1084934.76000000 USD -29523.39000000 USD Skechers USA, Inc., Class A 2844166.60000000 USD 129083.90000000 USD PVH Corp. 125585.66000000 USD 5483.38000000 USD Mohawk Industries, Inc. 599875.40000000 USD 19422.10000000 USD TopBuild Corp. 107472.08000000 USD -6447.84000000 USD Polaris, Inc. 376213.23000000 USD -11541.81000000 USD Huntsman Corp. 907331.60000000 USD 43318.20000000 USD RPM International, Inc. 866253.42000000 USD -65454.12000000 USD Ecolab, Inc. 965000.61000000 USD -32513.01000000 USD Louisiana-Pacific Corp. 25268.26000000 USD 2119.73000000 USD AT&T, Inc. 693442.20000000 USD 13912.32000000 USD Toll Brothers, Inc. 3540438.32000000 USD 143283.20000000 USD Columbia Sportswear Co. 463980.68000000 USD -12674.77000000 USD Sonoco Products Co. 112019.96000000 USD -2448.42000000 USD Chemours Co. (The) 570798.97000000 USD 42396.02000000 USD Ball Corp. 3729223.65000000 USD -139661.70000000 USD Westrock Co. 1458703.53000000 USD 33118.14000000 USD Worthington Industries, Inc. 419181.98000000 USD -48875.40000000 USD Kroger Co. (The) 3300246.00000000 USD 24576.30000000 USD NVR, Inc. 114311.16000000 USD -3627.72000000 USD Brunswick Corp. 95563.92000000 USD 4632.60000000 USD Cleveland-Cliffs, Inc. 289277.60000000 USD 10528.60000000 USD Ashland, Inc. 391181.91000000 USD 17868.97000000 USD Grocery Outlet Holding Corp. 1083287.90000000 USD -47776.50000000 USD MP Materials Corp. 772611.84000000 USD -48963.60000000 USD Mosaic Co. (The) 1806280.00000000 USD 33545.20000000 USD Dow, Inc. 584475.24000000 USD 14375.94000000 USD US Foods Holding Corp. 457116.00000000 USD 21193.56000000 USD FMC Corp. 126355.74000000 USD 2724.75000000 USD International Paper Co. 1652720.36000000 USD 24419.32000000 USD Leggett & Platt, Inc. 503036.46000000 USD -10869.12000000 USD Steel Dynamics, Inc. 447157.65000000 USD 21387.05000000 USD AptarGroup, Inc. 1022464.50000000 USD -19856.25000000 USD Casey's General Stores, Inc. 469225.12000000 USD -40057.68000000 USD Walmart, Inc. 404109.78000000 USD 5476.23000000 USD Freeport-McMoRan, Inc. 769600.00000000 USD -14045.20000000 USD Air Products and Chemicals, Inc. 1465001.23000000 USD -64267.74000000 USD CF Industries Holdings, Inc. 658171.02000000 USD -5688.60000000 USD Eastman Chemical Co. 2158469.04000000 USD 78119.46000000 USD Element Solutions, Inc. 128198.40000000 USD 4807.44000000 USD Amcor plc 503940.10000000 USD -1009.90000000 USD Topgolf Callaway Brands Corp. 659655.20000000 USD -17945.28000000 USD Ginkgo Bioworks Holdings, Inc. 222547.14000000 USD -32305.23000000 USD Martin Marietta Materials, Inc. 307947.23000000 USD -12612.97000000 USD Frontier Communications Parent, Inc. 882231.20000000 USD -115011.90000000 USD Taylor Morrison Home Corp. 1913783.57000000 USD 83975.74000000 USD Sensient Technologies Corp. 416964.06000000 USD -3165.48000000 USD Avery Dennison Corp. 1973294.80000000 USD -29978.46000000 USD T-Mobile US, Inc. 230990.70000000 USD -6735.15000000 USD Greif, Inc., Class A 96308.22000000 USD 2600.28000000 USD Scotts Miracle-Gro Co. (The) 633795.90000000 USD -51257.70000000 USD Crown Holdings, Inc. 655347.28000000 USD -7317.68000000 USD Y 2024-02-26 0.00000000 USD 0.00000000 USD 63344054.00000000 USD 60754.98000000 N N N N/A N/A N/A 1.00000000 NC N/A 4190.81000000 0.000661378465 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 381323.13000000 USD 351912.00000000 EUR 2023-09-20 4190.81000000 N N N N/A N/A N/A 468782.56000000 PA -3651.56000000 -0.00057627598 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 MSCI Singapore Net Return Index M7SG Index Y 2023-09-20 0.00000000 USD 0.00000000 USD 468782.56000000 SGD -3651.56000000 N N N N/A N/A N/A 1.00000000 NC N/A 7814.17000000 0.001233204025 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 398316.78000000 USD 370732.00000000 EUR 2023-09-20 7814.17000000 N N N N/A N/A N/A 1.00000000 NC N/A 5031.75000000 0.000794092572 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 289451.05000000 USD 231828.00000000 GBP 2023-09-20 5031.75000000 N N N N/A N/A N/A 1.00000000 NC N/A 5639.44000000 0.000889996008 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 210999.03000000 USD 170546.00000000 GBP 2023-09-20 5639.44000000 N N N N/A N/A N/A 1.00000000 NC N/A 8159.50000000 0.001287702756 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 834046.57000000 USD 1261501.00000000 AUD 2023-09-20 8159.50000000 N N N N/A N/A N/A 1.00000000 NC N/A 812.10000000 0.000128162682 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 83039.02000000 USD 900969.00000000 SEK 2023-09-20 812.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 5906.03000000 0.000932068277 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 311111.68000000 USD 289386.00000000 EUR 2023-09-20 5906.03000000 N N N N/A N/A N/A 1.00000000 NC N/A 4192.72000000 0.000661679894 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 381321.22000000 USD 351912.00000000 EUR 2023-09-20 4192.72000000 N N N N/A N/A N/A 1.00000000 NC N/A 6335.82000000 0.000999896179 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 344251.90000000 USD 320030.00000000 EUR 2023-09-20 6335.82000000 N N N N/A N/A N/A 1.00000000 NC N/A 1814.31000000 0.000286327837 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 65851.48000000 USD 724315.00000000 NOK 2023-09-20 1814.31000000 N N N N/A N/A 000000000 473595801.44000018 PA USD 8290134.44000000 1.308319010532 N/A DE US N 2 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N/A N/A Rec/pay the total return of custom basket plus OBFR +/- spread (-1.81% to 0.20%). 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(The) 981227.45000000 USD -42280.14000000 USD Johnson Controls International plc 1787516.62000000 USD 64008.52000000 USD Donaldson Co., Inc. 927148.32000000 USD 22248.00000000 USD Flowserve Corp. 436289.60000000 USD 11626.56000000 USD Axalta Coating Systems Ltd. 105418.53000000 USD -2281.23000000 USD Belden, Inc. 581552.00000000 USD 4742.40000000 USD NVR, Inc. 882736.18000000 USD -51178.41000000 USD Simpson Manufacturing Co., Inc. 151103.50000000 USD -5520.46000000 USD Cigna Group (The) 5328313.40000000 USD 200333.95000000 USD Avery Dennison Corp. 1769540.00000000 USD -38728.00000000 USD Vicor Corp. 249858.00000000 USD 2498.58000000 USD UnitedHealth Group, Inc. 68250.88000000 USD -1597.50000000 USD Catalent, Inc. 1977996.48000000 USD 41056.20000000 USD 10X Genomics, Inc., Class A 992053.44000000 USD 36775.62000000 USD Amcor plc 19.96000000 USD 0.42000000 USD Crown Holdings, Inc. 135604.07000000 USD 1732.71000000 USD Enovis Corp. 690572.40000000 USD 44695.50000000 USD Azenta, Inc. 2293435.08000000 USD -18178.47000000 USD F5, Inc. 2178250.18000000 USD -42891.84000000 USD Apple, Inc. 645726.13000000 USD -29827.84000000 USD Amphenol Corp., Class A 1205185.65000000 USD -55329.30000000 USD BWX Technologies, Inc. 932199.25000000 USD 36079.25000000 USD Hubbell, Inc. 18898.92000000 USD -598.50000000 USD Walmart, Inc. 7856170.76000000 USD 150945.64000000 USD Waters Corp. 19990.50000000 USD -245.25000000 USD Ionis Pharmaceuticals, Inc. 1298517.44000000 USD 1265.92000000 USD CNX Resources Corp. 330548.88000000 USD -10446.24000000 USD AptarGroup, Inc. 39160.68000000 USD -50.70000000 USD Y 2025-01-22 0.00000000 USD 0.00000000 USD 473595801.00000000 USD 1448707.90000000 N N N N/A N/A N/A 1.00000000 NC N/A 409.53000000 0.000064630542 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 66572.23000000 USD 719710.00000000 SEK 2023-09-20 409.53000000 N N N Goldman Sachs Financial Square Funds - Treasury Instruments Fund 549300DAH6N80PM31E83 38142B500 1421231.71000000 NS USD 1421231.71000000 0.224293644213 Long STIV RF US N 1 N N N N/A N/A N/A 1.00000000 NC N/A 17.70000000 0.000002793349 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 44904.00000000 SEK 4196.81000000 USD 2023-09-20 17.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 5809.61000000 0.000916851621 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 338880.03000000 USD 314646.00000000 EUR 2023-09-20 5809.61000000 N N N N/A N/A N/A 1.00000000 NC N/A 3782.66000000 0.000596965709 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 574661.64000000 USD 513474.00000000 CHF 2023-09-20 3782.66000000 N N N N/A N/A 000000000 134842432.55000001 PA -470852.12999999 -0.07430817887 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 (-0.02% to 0.03%). GBP Currency. Maturity 61 Months 11/19/26 TUI AG 1220770.24000000 USD -68632.69000000 USD IMI plc 572986.03000000 USD 9254.77000000 USD Tate & Lyle plc 678496.08000000 USD 30373.45000000 USD abrdn plc 2430718.67000000 USD -38469.63000000 USD Evraz plc 0.00000000 USD -393660.45000000 USD GSK plc 2738951.13000000 USD 85727.03000000 USD Spirax-Sarco Engineering plc 1719122.23000000 USD -3028.63000000 USD DS Smith plc 2234341.72000000 USD -298731.29000000 USD Compass Group plc 526235.21000000 USD -8346.48000000 USD Tesco plc 1653906.84000000 USD -69318.42000000 USD Taylor Wimpey plc 2432494.00000000 USD -117865.75000000 USD British American Tobacco plc 4672029.34000000 USD 81570.80000000 USD Reckitt Benckiser Group plc 1607326.76000000 USD -22438.84000000 USD Halma plc 1595323.69000000 USD -2213.60000000 USD National Grid plc 458249.12000000 USD 1551.11000000 USD Intertek Group plc 1055211.73000000 USD -19940.22000000 USD Barratt Developments plc 3543390.98000000 USD -224878.09000000 USD Imperial Brands 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JPY Currency. Maturity 61 Months 11/10/26 Yaskawa Electric Corp. 4974524.40000000 USD 28829.14000000 USD Koito Manufacturing Co. Ltd. 1486251.55000000 USD 75180.93000000 USD NOF Corp. 322192.08000000 USD -455.36000000 USD Yakult Honsha Co. Ltd. 973989.29000000 USD -19521.22000000 USD IHI Corp. 3493363.28000000 USD -4798.13000000 USD Keisei Electric Railway Co. Ltd. 2420640.45000000 USD -82535.87000000 USD Rinnai Corp. 61082.93000000 USD -3256.95000000 USD Kuraray Co. Ltd. 1774833.65000000 USD 21256.61000000 USD JFE Holdings, Inc. 4766472.75000000 USD 101483.66000000 USD McDonald's Holdings Co. Japan Ltd. 2538778.20000000 USD -63356.32000000 USD Sharp Corp. 1848792.52000000 USD -22241.50000000 USD Sumitomo Chemical Co. Ltd. 1375941.75000000 USD 12461.24000000 USD Seven & i Holdings Co. Ltd. 453622.68000000 USD 7848.40000000 USD Itochu Techno-Solutions Corp. 344622.75000000 USD 2396.06000000 USD Tobu Railway Co. 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Ltd. 1127703.76000000 USD -15900.16000000 USD BayCurrent Consulting, Inc. 2244836.74000000 USD 91115.30000000 USD NTT Data Group Corp. 3006081.78000000 USD 149110.02000000 USD TOTO Ltd. 719626.54000000 USD 7428.45000000 USD Isetan Mitsukoshi Holdings Ltd. 777709.93000000 USD 7381.78000000 USD Nabtesco Corp. 11050.90000000 USD -727.06000000 USD NH Foods Ltd. 1532339.88000000 USD -11171.68000000 USD SG Holdings Co. Ltd. 1290917.50000000 USD -16454.55000000 USD Cosmos Pharmaceutical Corp. 872007.10000000 USD 45651.37000000 USD Rakuten Group, Inc. 3188692.00000000 USD 72297.09000000 USD NIPPON EXPRESS HOLDINGS, Inc. 2498884.42000000 USD -48684.10000000 USD Sekisui Chemical Co. Ltd. 2298548.10000000 USD 40969.87000000 USD Shionogi & Co. Ltd. 1923383.19000000 USD -26139.66000000 USD Hamamatsu Photonics KK 1747724.53000000 USD 17534.14000000 USD Yamada Holdings Co. Ltd. 2163874.81000000 USD -3802.86000000 USD Sony Group Corp. 2753241.43000000 USD 136221.13000000 USD Medipal Holdings Corp. 2460868.06000000 USD -5832.10000000 USD East Japan Railway Co. 1685785.17000000 USD -41642.27000000 USD Unicharm Corp. 3216493.30000000 USD 69781.34000000 USD Hirose Electric Co. Ltd. 1784001.21000000 USD -5049.00000000 USD Suzuken Co. Ltd. 27198.44000000 USD 1161.50000000 USD Daiwa Securities Group, Inc. 1296497.26000000 USD -18924.79000000 USD Subaru Corp. 7117284.68000000 USD 132570.73000000 USD Brother Industries Ltd. 1630513.87000000 USD -76829.42000000 USD ANA Holdings, Inc. 1748409.54000000 USD 103337.98000000 USD COMSYS Holdings Corp. 891313.09000000 USD 32759.43000000 USD Sysmex Corp. 2280949.77000000 USD -26025.48000000 USD Suzuki Motor Corp. 859428.39000000 USD -35237.67000000 USD Japan Post Insurance Co. Ltd. 2936652.47000000 USD 74613.59000000 USD Central Japan Railway Co. 100233.13000000 USD -2405.76000000 USD Open House Group Co. Ltd. 371845.61000000 USD 11330.52000000 USD Kobe Bussan Co. Ltd. 3792044.62000000 USD -47785.98000000 USD Hoshizaki Corp. 793448.82000000 USD 14615.22000000 USD Toshiba Corp. 580517.74000000 USD -1297.29000000 USD Japan Post Holdings Co. Ltd. 1686128.57000000 USD 26962.97000000 USD Seibu Holdings, Inc. 1706968.19000000 USD -37937.39000000 USD Kansai Paint Co. Ltd. 674045.46000000 USD -14170.35000000 USD Japan Airport Terminal Co. Ltd. 1592142.60000000 USD 44970.26000000 USD SCREEN Holdings Co. Ltd. 4111756.54000000 USD 165136.77000000 USD SoftBank Group Corp. 3602994.65000000 USD -158257.13000000 USD ORIX Corp. 406667.23000000 USD -19919.60000000 USD Nippon Shinyaku Co. Ltd. 1039210.08000000 USD -102157.25000000 USD Yokogawa Electric Corp. 995899.04000000 USD -21787.64000000 USD Ajinomoto Co., Inc. 5031394.69000000 USD -55369.88000000 USD Toho Co. 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Ltd. 246130.39000000 USD -9809.18000000 USD JSR Corp. 6034598.17000000 USD -1178088.94000000 USD Y 2026-11-10 0.00000000 USD 0.00000000 USD 526619679.00000000 USD 1086028.47000000 N N N N/A N/A N/A 1.00000000 NC N/A 4495.92000000 0.000709529821 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 376690.86000000 USD 347962.00000000 EUR 2023-09-20 4495.92000000 N N N N/A N/A N/A 1.00000000 NC N/A 4390.28000000 0.000692858098 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 574054.02000000 USD 513474.00000000 CHF 2023-09-20 4390.28000000 N N N N/A N/A N/A 1.00000000 NC N/A 3510.63000000 0.000554034919 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 285184.85000000 USD 227272.00000000 GBP 2023-09-20 3510.63000000 N N N N/A N/A N/A 1.00000000 NC N/A -1815.06000000 -0.00028644619 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1088799.94000000 USD 1465679.00000000 SGD 2023-09-20 -1815.06000000 N N N N/A N/A N/A 1.00000000 NC N/A 428.53000000 0.000067629053 N/A DFE N/A 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AUD Currency. 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