NPORT-P
    false
    
      
      
        
          0001444822
          XXXXXXXX
        
      
      
      
      
        S000042050
        C000130629
        C000130630
        C000145946
      
      
      
    
  
  
    
      AQR Funds
      811-22235
      0001444822
      549300V0TAB4ICSX2404
      2 Greenwich Plaza
      Greenwich
      
      06830
      203-742-3600
      AQR Style Premia Alternative Fund
      S000042050
      549300H47CIW5R9UN420
      2022-12-31
      2022-03-31
      N
    
    
      849895824.37
      82749149.25
      767146675.12
      0.00000000
      178148159.55000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      8385822.44000000
      
        
          AUD
          
          
        
        
          CAD
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          JPY
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        60616.34000000
        0.007901531997
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4855557.37000000
            USD
            43302000.00000000
            NOK
            2022-06-15
            60616.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20733.23000000
        0.002702642228
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            240228.07000000
            USD
            1269000.00000000
            BRL
            2022-06-15
            20733.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1325.83000000
        -0.00017282614
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            182000.00000000
            CAD
            144229.85000000
            USD
            2022-06-15
            -1325.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1075.70000000
        -0.00014022090
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200751.00000000
            CLP
            56911.28000000
            USD
            2022-06-15
            -1075.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -238681.00000000
        -0.03111282467
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            14736001.00000000
            NZD
            9961160.39000000
            USD
            2022-06-15
            -238681.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42654.10000000
        0.005560097095
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1436968.00000000
            EUR
            1636802.55000000
            USD
            2022-06-15
            42654.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2352.55000000
        0.000306662347
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2433000.00000000
            BRL
            502682.61000000
            USD
            2022-06-15
            2352.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7534.12000000
        -0.00098209641
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520064.00000000
            BRL
            99413.54000000
            USD
            2022-06-15
            -7534.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3738.00000000
        -0.00048726014
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168784.66000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3738.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        85703.11000000
        0.011171671960
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1385865.19000000
            USD
            21706844.00000000
            ZAR
            2022-06-15
            85703.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1075.77000000
        -0.00014023002
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200749.00000000
            CLP
            56911.21000000
            USD
            2022-06-15
            -1075.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22265.56000000
        0.002902386300
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1823343.00000000
            EUR
            2045052.02000000
            USD
            2022-06-15
            22265.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        6927875.04000000
        PA
        
        -374085.26999999
        -0.04876320032
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus WIBOR +/- spread (-1.35% to 0.70%). PLN Currency. Maturity 50-60 Months 04/17/26 to 02/25/27
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2026-04-17
            0.00000000
            USD
            0.00000000
            USD
            6927875.00000000
            USD
            -360812.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        114.56000000
        0.000014933259
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            598500.00000000
            TWD
            21084.78000000
            USD
            2022-06-15
            114.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -201084.73000000
        -0.02621203174
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            13080500.00000000
            CAD
            10260130.05000000
            USD
            2022-06-15
            -201084.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20608.53000000
        0.002686387188
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            12655500.00000000
            NOK
            1457415.98000000
            USD
            2022-06-15
            20608.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8212.12000000
        -0.00107047586
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4301460.00000000
            SEK
            450131.90000000
            USD
            2022-06-15
            -8212.12000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796P37
        
          
          
        
        36476000.00000000
        PA
        USD
        36473093.23000000
        4.754383276743
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -54916.14000000
        -0.00715849286
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            16597941.00000000
            ILS
            5158072.60000000
            USD
            2022-06-15
            -54916.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -102421.82000000
        -0.01335100878
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            8305118.73000000
            USD
            6246000.00000000
            GBP
            2022-06-15
            -102421.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        73755.87000000
        0.009614311368
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5140249.83000000
            USD
            6959000.00000000
            AUD
            2022-06-15
            73755.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        854602353.34000051
        PA
        USD
        -7924068.15000000
        -1.03292739276
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus OBFR +/- spread (-2.27% to 0.02%). USD Currency. Maturity 35-61 Months 01/13/25 to 04/01/27
                
                  
                    Martin Marietta Materials, Inc.
                    
                      
                    
                    2618791.56000000
                    USD
                    -78041.88000000
                    USD
                  
                  
                    Harley-Davidson, Inc.
                    
                      
                    
                    967939.80000000
                    USD
                    -7861.44000000
                    USD
                  
                  
                    Bank OZK
                    
                      
                    
                    388570.00000000
                    USD
                    -4277.00000000
                    USD
                  
                  
                    Syneos Health, Inc.
                    
                      
                    
                    2645122.20000000
                    USD
                    92146.32000000
                    USD
                  
                  
                    Hawaiian Electric Industries, Inc.
                    
                      
                    
                    949901.81000000
                    USD
                    19532.37000000
                    USD
                  
                  
                    Waters Corp.
                    
                      
                    
                    1927832.29000000
                    USD
                    -66395.59000000
                    USD
                  
                  
                    Assurant, Inc.
                    
                      
                    
                    1047340.80000000
                    USD
                    75225.60000000
                    USD
                  
                  
                    Altria Group, Inc.
                    
                      
                    
                    1552922.25000000
                    USD
                    37151.25000000
                    USD
                  
                  
                    Rocket Cos., Inc., Class A
                    
                      
                    
                    3079750.72000000
                    USD
                    192304.91000000
                    USD
                  
                  
                    NIKE, Inc., Class B
                    
                      
                    
                    1187088.32000000
                    USD
                    -67135.42000000
                    USD
                  
                  
                    Essent Group Ltd.
                    
                      
                    
                    1043931.72000000
                    USD
                    -3344.60000000
                    USD
                  
                  
                    Entergy Corp.
                    
                      
                    
                    310671.75000000
                    USD
                    -23336.97000000
                    USD
                  
                  
                    Rollins, Inc.
                    
                      
                    
                    2505338.95000000
                    USD
                    -166546.07000000
                    USD
                  
                  
                    Arrow Electronics, Inc.
                    
                      
                    
                    4103055.81000000
                    USD
                    15218.28000000
                    USD
                  
                  
                    Sempra Energy
                    
                      
                    
                    1206092.88000000
                    USD
                    -62881.80000000
                    USD
                  
                  
                    Mettler-Toledo International, Inc.
                    
                      
                    
                    870602.46000000
                    USD
                    -13501.70000000
                    USD
                  
                  
                    AMC Entertainment Holdings, Inc., Class A
                    
                      
                    
                    2218708.80000000
                    USD
                    -804101.85000000
                    USD
                  
                  
                    Texas Capital Bancshares, Inc.
                    
                      
                    
                    1302255.13000000
                    USD
                    78028.97000000
                    USD
                  
                  
                    New York Times Co. (The), Class A
                    
                      
                    
                    2210909.04000000
                    USD
                    54501.03000000
                    USD
                  
                  
                    Nu Skin Enterprises, Inc., Class A
                    
                      
                    
                    4188925.44000000
                    USD
                    -1447.32000000
                    USD
                  
                  
                    First Citizens BancShares, Inc., Class A
                    
                      
                    
                    378060.80000000
                    USD
                    27302.54000000
                    USD
                  
                  
                    Polaris, Inc.
                    
                      
                    
                    1902184.52000000
                    USD
                    -133109.57000000
                    USD
                  
                  
                    Linde plc
                    
                      
                    
                    145660.08000000
                    USD
                    -12156.96000000
                    USD
                  
                  
                    Cemex SAB de CV
                    
                      
                    
                    292150.83000000
                    USD
                    -397.80000000
                    USD
                  
                  
                    Tesla, Inc.
                    
                      
                    
                    4441867.20000000
                    USD
                    -901192.86000000
                    USD
                  
                  
                    CNO Financial Group, Inc.
                    
                      
                    
                    1326934.83000000
                    USD
                    89907.90000000
                    USD
                  
                  
                    Colgate-Palmolive Co.
                    
                      
                    
                    197158.00000000
                    USD
                    754.00000000
                    USD
                  
                  
                    Uber Technologies, Inc.
                    
                      
                    
                    4290591.36000000
                    USD
                    -502653.36000000
                    USD
                  
                  
                    Travelers Cos., Inc. (The)
                    
                      
                    
                    687795.72000000
                    USD
                    42584.92000000
                    USD
                  
                  
                    BOK Financial Corp.
                    
                      
                    
                    174653.05000000
                    USD
                    -13626.47000000
                    USD
                  
                  
                    AptarGroup, Inc.
                    
                      
                    
                    3181077.50000000
                    USD
                    -114518.79000000
                    USD
                  
                  
                    Constellation Brands, Inc., Class A
                    
                      
                    
                    1029991.04000000
                    USD
                    -62739.93000000
                    USD
                  
                  
                    LendingTree, Inc.
                    
                      
                    
                    107463.66000000
                    USD
                    -14879.86000000
                    USD
                  
                  
                    Skechers USA, Inc., Class A
                    
                      
                    
                    1563961.20000000
                    USD
                    109354.50000000
                    USD
                  
                  
                    Ingevity Corp.
                    
                      
                    
                    62532.32000000
                    USD
                    741.76000000
                    USD
                  
                  
                    Insperity, Inc.
                    
                      
                    
                    1973654.68000000
                    USD
                    251570.47000000
                    USD
                  
                  
                    Assured Guaranty Ltd.
                    
                      
                    
                    451094.76000000
                    USD
                    40106.76000000
                    USD
                  
                  
                    Louisiana-Pacific Corp.
                    
                      
                    
                    1396209.12000000
                    USD
                    -47424.36000000
                    USD
                  
                  
                    Ciena Corp.
                    
                      
                    
                    597751.17000000
                    USD
                    7650.23000000
                    USD
                  
                  
                    Ally Financial, Inc.
                    
                      
                    
                    2043560.00000000
                    USD
                    27730.00000000
                    USD
                  
                  
                    Jack in the Box, Inc.
                    
                      
                    
                    288730.31000000
                    USD
                    34990.12000000
                    USD
                  
                  
                    Morgan Stanley
                    
                      
                    
                    98325.00000000
                    USD
                    0.00000000
                    USD
                  
                  
                    AngloGold Ashanti Ltd.
                    
                      
                    
                    93267.53000000
                    USD
                    -5551.17000000
                    USD
                  
                  
                    Chegg, Inc.
                    
                      
                    
                    1806453.76000000
                    USD
                    -266885.12000000
                    USD
                  
                  
                    Air Products and Chemicals, Inc.
                    
                      
                    
                    1448478.36000000
                    USD
                    -132786.36000000
                    USD
                  
                  
                    Philip Morris International, Inc.
                    
                      
                    
                    682661.98000000
                    USD
                    1893.30000000
                    USD
                  
                  
                    NextEra Energy, Inc.
                    
                      
                    
                    3394753.25000000
                    USD
                    -175929.25000000
                    USD
                  
                  
                    Newell Brands, Inc.
                    
                      
                    
                    2768612.74000000
                    USD
                    149612.38000000
                    USD
                  
                  
                    IAA, Inc.
                    
                      
                    
                    924732.00000000
                    USD
                    -87758.88000000
                    USD
                  
                  
                    Waste Management, Inc.
                    
                      
                    
                    527646.50000000
                    USD
                    -28363.08000000
                    USD
                  
                  
                    Bank of New York Mellon Corp. (The)
                    
                      
                    
                    1118957.98000000
                    USD
                    -57492.30000000
                    USD
                  
                  
                    Moody's Corp.
                    
                      
                    
                    1265962.32000000
                    USD
                    -52903.20000000
                    USD
                  
                  
                    Intercontinental Exchange, Inc.
                    
                      
                    
                    1918778.76000000
                    USD
                    -48506.82000000
                    USD
                  
                  
                    MGIC Investment Corp.
                    
                      
                    
                    127044.80000000
                    USD
                    4875.52000000
                    USD
                  
                  
                    Vale SA
                    
                      
                    
                    2042318.33000000
                    USD
                    127419.39000000
                    USD
                  
                  
                    Itau Unibanco Holding SA
                    
                      
                    
                    495348.21000000
                    USD
                    -65930.76000000
                    USD
                  
                  
                    Hain Celestial Group, Inc. (The)
                    
                      
                    
                    924431.20000000
                    USD
                    -19145.94000000
                    USD
                  
                  
                    Domino's Pizza, Inc.
                    
                      
                    
                    515681.67000000
                    USD
                    7462.85000000
                    USD
                  
                  
                    NVR, Inc.
                    
                      
                    
                    799641.33000000
                    USD
                    62008.16000000
                    USD
                  
                  
                    Mohawk Industries, Inc.
                    
                      
                    
                    1352786.40000000
                    USD
                    -137892.72000000
                    USD
                  
                  
                    Corning, Inc.
                    
                      
                    
                    1737316.79000000
                    USD
                    -33889.68000000
                    USD
                  
                  
                    Leggett & Platt, Inc.
                    
                      
                    
                    1950783.60000000
                    USD
                    120723.85000000
                    USD
                  
                  
                    McDonald's Corp.
                    
                      
                    
                    637487.84000000
                    USD
                    12790.72000000
                    USD
                  
                  
                    Primerica, Inc.
                    
                      
                    
                    2726685.78000000
                    USD
                    -172186.56000000
                    USD
                  
                  
                    Vontier Corp.
                    
                      
                    
                    2021831.09000000
                    USD
                    158465.69000000
                    USD
                  
                  
                    Charles Schwab Corp. (The)
                    
                      
                    
                    1661834.41000000
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                    United Bankshares, Inc.
                    
                      
                    
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                    Paramount Global, Class B
                    
                      
                    
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                    -142152.89000000
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                    Valley National Bancorp
                    
                      
                    
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                    12021.81000000
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                    SVB Financial Group
                    
                      
                    
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                    USD
                  
                  
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                    American Airlines Group, Inc.
                    
                      
                    
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                    Motorola Solutions, Inc.
                    
                      
                    
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                    FedEx Corp.
                    
                      
                    
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                    Hasbro, Inc.
                    
                      
                    
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                    MGM Resorts International
                    
                      
                    
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                    Walgreens Boots Alliance, Inc.
                    
                      
                    
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                    MetLife, Inc.
                    
                      
                    
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                    Planet Fitness, Inc., Class A
                    
                      
                    
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                    USD
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                    USD
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                    USD
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                    USD
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                    Liberty Media Corp.-Liberty SiriusXM
                    
                      
                    
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                    USD
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                    USD
                    523.80000000
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                    USD
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                    USD
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                    USD
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                    USD
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                    Live Nation Entertainment, Inc.
                    
                      
                    
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                    USD
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                    USD
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                    United Parcel Service, Inc., Class B
                    
                      
                    
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                    USD
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                    USD
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                    USD
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                    USD
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                    Boston Beer Co., Inc. (The), Class A
                    
                      
                    
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                    USD
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                    Aon plc, Class A
                    
                      
                    
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                    USD
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                    Eversource Energy
                    
                      
                    
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                    USD
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                    USD
                  
                  
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                    USD
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                    USD
                    -165143.20000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-01-13
            0.00000000
            USD
            0.00000000
            USD
            854602353.00000000
            USD
            -5901654.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        661.15000000
        0.000086182997
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            918500.00000000
            TWD
            32843.52000000
            USD
            2022-06-15
            661.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -55286.90000000
        -0.00720682260
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7020000.00000000
            GBP
            9163882.54000000
            USD
            2022-06-15
            -55286.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2498.74000000
        -0.00032571867
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2103769.93000000
            USD
            19719978.00000000
            SEK
            2022-06-15
            -2498.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11553.06000000
        0.001505977979
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            344513.98000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            11553.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -20408.44000000
        -0.00266030482
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4448525.49000000
            USD
            4078878.00000000
            CHF
            2022-06-15
            -20408.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1328.06000000
        0.000173116829
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3735000.00000000
            CNY
            586564.50000000
            USD
            2022-06-15
            1328.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        661.19000000
        0.000086188211
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            918500.00000000
            TWD
            32843.56000000
            USD
            2022-06-15
            661.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3640.38000000
        -0.00047453506
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2115667.33000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            -3640.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        18404071.96000000
        PA
        
        -396120.02000000
        -0.05163549981
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus SAFEX +/- spread (-0.10% to 0.06%). ZAR Currency. Maturity 50-60 Months 04/20/26 to 02/11/27
                
                  
                    Sasol Ltd.
                    
                      
                    
                    683723.23000000
                    USD
                    -1888.22000000
                    USD
                  
                  
                    Rand Merchant Investment Holdings Ltd.
                    
                      
                    
                    70846.25000000
                    USD
                    -7855.65000000
                    USD
                  
                  
                    Woolworths Holdings Ltd.
                    
                      
                    
                    121693.81000000
                    USD
                    4262.78000000
                    USD
                  
                  
                    Mr Price Group Ltd.
                    
                      
                    
                    34712.25000000
                    USD
                    2745.60000000
                    USD
                  
                  
                    Pepkor Holdings Ltd.
                    
                      
                    
                    93787.54000000
                    USD
                    12210.99000000
                    USD
                  
                  
                    FirstRand Ltd.
                    
                      
                    
                    489085.33000000
                    USD
                    -75734.24000000
                    USD
                  
                  
                    Discovery Ltd.
                    
                      
                    
                    1792792.17000000
                    USD
                    -280569.81000000
                    USD
                  
                  
                    Bidvest Group Ltd. (The)
                    
                      
                    
                    492882.48000000
                    USD
                    -16613.04000000
                    USD
                  
                  
                    Naspers Ltd., Class N
                    
                      
                    
                    474809.43000000
                    USD
                    44524.01000000
                    USD
                  
                  
                    Standard Bank Group Ltd.
                    
                      
                    
                    12573.01000000
                    USD
                    1680.19000000
                    USD
                  
                  
                    Clicks Group Ltd.
                    
                      
                    
                    679222.63000000
                    USD
                    -22703.51000000
                    USD
                  
                  
                    Exxaro Resources Ltd.
                    
                      
                    
                    1258752.29000000
                    USD
                    94915.75000000
                    USD
                  
                  
                    Old Mutual Ltd.
                    
                      
                    
                    188279.33000000
                    USD
                    -14762.14000000
                    USD
                  
                  
                    Northam Platinum Holdings Ltd.
                    
                      
                    
                    442622.18000000
                    USD
                    61284.72000000
                    USD
                  
                  
                    MultiChoice Group
                    
                      
                    
                    1218929.58000000
                    USD
                    95289.31000000
                    USD
                  
                  
                    Vodacom Group Ltd.
                    
                      
                    
                    105049.79000000
                    USD
                    -5459.01000000
                    USD
                  
                  
                    Absa Group Ltd.
                    
                      
                    
                    231436.55000000
                    USD
                    27484.69000000
                    USD
                  
                  
                    Nedbank Group Ltd.
                    
                      
                    
                    238287.47000000
                    USD
                    -15079.12000000
                    USD
                  
                  
                    Anglo American Platinum Ltd.
                    
                      
                    
                    2471.68000000
                    USD
                    221.46000000
                    USD
                  
                  
                    Tiger Brands Ltd.
                    
                      
                    
                    55353.46000000
                    USD
                    3031.24000000
                    USD
                  
                  
                    Shoprite Holdings Ltd.
                    
                      
                    
                    1097125.38000000
                    USD
                    13289.62000000
                    USD
                  
                  
                    Reinet Investments SCA
                    
                      
                    
                    782496.86000000
                    USD
                    108701.37000000
                    USD
                  
                  
                    Impala Platinum Holdings Ltd.
                    
                      
                    
                    935267.21000000
                    USD
                    -123498.33000000
                    USD
                  
                  
                    Kumba Iron Ore Ltd.
                    
                      
                    
                    835505.20000000
                    USD
                    63313.26000000
                    USD
                  
                  
                    SPAR Group Ltd. (The)
                    
                      
                    
                    199424.49000000
                    USD
                    14600.75000000
                    USD
                  
                  
                    Aspen Pharmacare Holdings Ltd.
                    
                      
                    
                    1116772.96000000
                    USD
                    83116.23000000
                    USD
                  
                  
                    African Rainbow Minerals Ltd.
                    
                      
                    
                    776683.07000000
                    USD
                    38414.88000000
                    USD
                  
                  
                    MTN Group Ltd.
                    
                      
                    
                    38571.54000000
                    USD
                    -624.24000000
                    USD
                  
                  
                    Capitec Bank Holdings Ltd.
                    
                      
                    
                    1924501.48000000
                    USD
                    -252506.56000000
                    USD
                  
                  
                    Sibanye Stillwater Ltd.
                    
                      
                    
                    1319357.87000000
                    USD
                    -186913.56000000
                    USD
                  
                  
                    Sanlam Ltd.
                    
                      
                    
                    691055.44000000
                    USD
                    -105689.32000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2026-04-20
            0.00000000
            USD
            0.00000000
            USD
            18404072.00000000
            USD
            -440809.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3814.10000000
        0.000497180020
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3312500.00000000
            PLN
            786430.46000000
            USD
            2022-06-15
            3814.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11018.95000000
        0.001436355048
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            141369500.00000000
            INR
            1855060.66000000
            USD
            2022-06-15
            11018.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42863.24000000
        0.005587359157
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1419457.00000000
            EUR
            1617585.27000000
            USD
            2022-06-15
            42863.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -65567.77000000
        -0.00854696658
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18560790.00000000
            SEK
            1912185.62000000
            USD
            2022-06-15
            -65567.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20049.14000000
        0.002613468929
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1329926.69000000
            USD
            11890681.00000000
            NOK
            2022-06-15
            20049.14000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796N47
        
          
          
        
        42682000.00000000
        PA
        USD
        42680968.38000000
        5.563599473767
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -24.04000000
        -0.00000313369
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5682.00000000
            SEK
            581.41000000
            USD
            2022-06-15
            -24.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2663.58000000
        0.000347206093
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            360034.34000000
            USD
            524000.00000000
            NZD
            2022-06-15
            2663.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        MEX BOLSA Index
        N/A
        
          
          
        
        4.00000000
        NC
        
        4920.92000000
        0.000641457515
        N/A
        DE
        
        MX
        N
        
        1
        
          
            
              Asigna Compensacion y Liquidacion
              549300T5G56HZH1I6F15
            
            Long
            
              
                MEX BOLSA Index
                MEXBOL Index
              
            
            2022-06-17
            2269160.00000000
            MXN
            4920.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3756.18000000
        -0.00048962996
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168802.84000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3756.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1828.60000000
        -0.00023836380
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2113855.55000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            -1828.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -17233.81000000
        -0.00224648174
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6585500.00000000
            ILS
            2051103.30000000
            USD
            2022-06-15
            -17233.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        163.32000000
        0.000021289279
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            64589.00000000
            CHF
            70282.52000000
            USD
            2022-06-15
            163.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9020.57000000
        -0.00117585988
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10272500.00000000
            CNY
            1600575.49000000
            USD
            2022-06-15
            -9020.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        269288.61000000
        0.035102623622
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4004890.63000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            269288.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        100809.92000000
        0.013140892513
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5292006.53000000
            USD
            2022-06-15
            100809.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        285002.16000000
        0.037150934657
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3989177.08000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            285002.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        13671.51000000
        0.001782124650
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            11071287.43000000
            USD
            9992000.00000000
            EUR
            2022-06-15
            13671.51000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        267.99000000
        0.000034933345
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            65167.00000000
            CHF
            71014.68000000
            USD
            2022-06-15
            267.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        77364.79000000
        0.010084745526
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4834588.00000000
            GBP
            6426493.84000000
            USD
            2022-06-15
            77364.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6708.24000000
        -0.00087444034
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2118735.19000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            -6708.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Canadian Bankers Acceptance
        N/A
        
          
          
        
        -374.00000000
        NC
        
        56394.72000000
        0.007351230452
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              Canadian Derivatives Clearing
              5493004XJK1P32XQLA57
            
            Short
            
              
                N/A
                3 Month Canadian Bankers Acceptance
                
                  
                
              
            
            2022-09-19
            -91129775.00000000
            CAD
            56394.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3737.79000000
        -0.00048723277
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168784.45000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3737.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8819.82000000
        0.001149691484
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            645397.20000000
            USD
            2083000.00000000
            ILS
            2022-06-15
            8819.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2496.11000000
        -0.00032537584
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2103767.30000000
            USD
            19719978.00000000
            SEK
            2022-06-15
            -2496.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17130.76000000
        0.002233048849
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338342.00000000
            EUR
            1501865.16000000
            USD
            2022-06-15
            17130.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -65570.16000000
        -0.00854727813
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18560790.00000000
            SEK
            1912183.23000000
            USD
            2022-06-15
            -65570.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -641617.53000000
        -0.08363687816
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            11879304.35000000
            USD
            1365409918.00000000
            JPY
            2022-06-15
            -641617.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -212305.13000000
        -0.02767464643
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6330399.43000000
            USD
            4658665.00000000
            GBP
            2022-06-15
            -212305.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        243349200.00000000
        PA
        
        270472.29000000
        0.035256920061
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-20
            0.00000000
            USD
            0.00000000
            USD
            243349200.00000000
            TWD
            270472.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4109.44000000
        0.000535678525
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274436.00000000
            TWD
            188914.92000000
            USD
            2022-06-15
            4109.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7722.06000000
        0.001006594990
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            866563.78000000
            USD
            3700500.00000000
            PLN
            2022-06-15
            7722.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1665.43000000
        0.000217094077
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            17253.75000000
            USD
            92000.00000000
            BRL
            2022-06-15
            1665.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        226479.56000000
        0.029522328303
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4696457.00000000
            GBP
            6394205.04000000
            USD
            2022-06-15
            226479.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -914.09000000
        -0.00011915452
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            490624.00000000
            ZAR
            32346.70000000
            USD
            2022-06-15
            -914.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        1192273.94000000
        PA
        
        62539.36000000
        0.008152203747
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank
              E57ODZWZ7FF32TWEFA76
            
            
              
                MSCI Spain Net Return Index
                M7ES Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            1192273.94000000
            EUR
            62539.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -127706.53000000
        -0.01664695085
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18442156.00000000
            ILS
            5664502.97000000
            USD
            2022-06-15
            -127706.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        327992400.00000000
        PA
        
        403441.39000000
        0.052589863592
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-20
            0.00000000
            USD
            0.00000000
            USD
            327992400.00000000
            TWD
            403441.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21880.18000000
        0.002852150795
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1328095.31000000
            USD
            11890678.00000000
            NOK
            2022-06-15
            21880.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        550452.94000000
        0.071753284978
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            13197522.77000000
            USD
            129021794.00000000
            SEK
            2022-06-15
            550452.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Euro Euribor
        N/A
        
          
          
          
        
        350.00000000
        NC
        
        -311820.29000000
        -0.04064676288
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Long
            
              
                N/A
                3 Month Euro Euribor
                
                  
                
              
            
            2023-03-13
            86891875.00000000
            EUR
            -311820.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.00000000
        0.000000
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            500.00000000
            KRW
            0.41000000
            USD
            2022-06-15
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7600.41000000
        -0.00099073752
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            8363000.00000000
            MXN
            407336.78000000
            USD
            2022-06-15
            -7600.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5091.56000000
        0.000663700979
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            197927.23000000
            USD
            68123500.00000000
            HUF
            2022-06-15
            5091.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -197973.09000000
        -0.02580641960
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10953014.14000000
            USD
            8189500.00000000
            GBP
            2022-06-15
            -197973.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16909.34000000
        0.002204186050
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            339157.70000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            16909.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5675.19000000
        0.000739778999
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274437.00000000
            TWD
            190480.70000000
            USD
            2022-06-15
            5675.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20870.07000000
        0.002720479756
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1329105.42000000
            USD
            11890678.00000000
            NOK
            2022-06-15
            20870.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10952.02000000
        0.001427630511
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            36450000.00000000
            NOK
            4149202.71000000
            USD
            2022-06-15
            10952.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9755.53000000
        -0.00127166424
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2128624.35000000
            USD
            2828000.00000000
            AUD
            2022-06-15
            -9755.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -42946.62000000
        -0.00559822800
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2363501.00000000
            CHF
            2522920.53000000
            USD
            2022-06-15
            -42946.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2774.52000000
        0.000361667473
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4153500.00000000
            CNY
            653585.64000000
            USD
            2022-06-15
            2774.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7300.91000000
        -0.00095169675
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            516500.00000000
            BRL
            98913.84000000
            USD
            2022-06-15
            -7300.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -123.66000000
        -0.00001611947
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            171000.00000000
            ZAR
            11468.91000000
            USD
            2022-06-15
            -123.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15326.27000000
        0.001997827859
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            503838.75000000
            USD
            1653000.00000000
            ILS
            2022-06-15
            15326.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22441.48000000
        0.002925318029
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6490193.77000000
            USD
            5870500.00000000
            EUR
            2022-06-15
            22441.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6908.12000000
        -0.00090049533
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4917000.00000000
            BRL
            1004239.80000000
            USD
            2022-06-15
            -6908.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20732.93000000
        0.002702603123
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            240228.37000000
            USD
            1269000.00000000
            BRL
            2022-06-15
            20732.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9965.27000000
        -0.00129900452
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            27589000.00000000
            CNY
            4312949.87000000
            USD
            2022-06-15
            -9965.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -129146.19000000
        -0.01683461509
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10442000.00000000
            BRL
            2018180.76000000
            USD
            2022-06-15
            -129146.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7240.79000000
        -0.00094385992
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            337334.08000000
            USD
            9421019.00000000
            TWD
            2022-06-15
            -7240.79000000
          
        
        
          N
          N
          N
        
      
      
        Snam SpA
        8156002278562044AF79
        Snam SpA
        N/A
        
          
          
        
        -531665.00000000
        NS
        
        -3065873.82000000
        -0.39964636743
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -925.36000000
        -0.00012062360
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            19236.85000000
            USD
            6144468.00000000
            HUF
            2022-06-15
            -925.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8207.92000000
        -0.00106992838
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4320739.00000000
            SEK
            452190.38000000
            USD
            2022-06-15
            -8207.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11182.33000000
        0.001457652149
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            463230.85000000
            USD
            2008000.00000000
            PLN
            2022-06-15
            11182.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10648.64000000
        0.001388083966
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            783488.54000000
            USD
            2528500.00000000
            ILS
            2022-06-15
            10648.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4684.72000000
        0.000610668096
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            291587.25000000
            USD
            1254000.00000000
            PLN
            2022-06-15
            4684.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1618.45000000
        0.000210970085
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            564346.08000000
            USD
            2395500.00000000
            PLN
            2022-06-15
            1618.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -127836.03000000
        -0.01666383159
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            73854500.00000000
            MXN
            3536516.29000000
            USD
            2022-06-15
            -127836.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CAC 40 10 Euro Index
        N/A
        
          
          
          
        
        239.00000000
        NC
        
        591633.36000000
        0.077121283215
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              LCH Clearnet
              F226TOH6YD6XJB17KS62
            
            Long
            
              
                CAC 40 10 Euro Index
                FR0003500008
              
            
            2022-04-14
            15911425.00000000
            EUR
            591633.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        23.00000000
        NC
        USD
        503675.76000000
        0.065655731339
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-06
            5961542.50000000
            USD
            503675.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -14927.96000000
        -0.00194590688
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            24224500.00000000
            MXN
            1186990.71000000
            USD
            2022-06-15
            -14927.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4058.93000000
        0.000529094387
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274440.00000000
            TWD
            188864.55000000
            USD
            2022-06-15
            4058.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        34484.43000000
        0.004495154723
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            10586402.00000000
            EUR
            11778863.08000000
            USD
            2022-06-15
            34484.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -16141.16000000
        -0.00210405135
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3943000.00000000
            CAD
            3137298.68000000
            USD
            2022-06-15
            -16141.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        49632.96000000
        0.006469813610
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5240829.57000000
            USD
            2022-06-15
            49632.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        29.00000000
        NC
        USD
        514717.23000000
        0.067095021942
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-28
            7518293.50000000
            USD
            514717.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        547.57000000
        0.000071377484
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2111479.38000000
            USD
            13479032.00000000
            CNY
            2022-06-15
            547.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2620.81000000
        -0.00034163088
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            703729.36000000
            USD
            4474500.00000000
            CNY
            2022-06-15
            -2620.81000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796U56
        
          
          
        
        15372000.00000000
        PA
        USD
        15301540.75000000
        1.994604323561
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-09-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796S67
        
          
          
        
        16508000.00000000
        PA
        USD
        16462278.12000000
        2.145910117830
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-08-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16103.85000000
        0.002099187876
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1346454.00000000
            EUR
            1509837.57000000
            USD
            2022-06-15
            16103.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10250.85000000
        -0.00133623077
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            340344.14000000
            USD
            9421019.00000000
            TWD
            2022-06-15
            -10250.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        37225.21000000
        0.004852424080
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1257230.00000000
            EUR
            1431975.30000000
            USD
            2022-06-15
            37225.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1326.01000000
        -0.00017284960
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            182000.00000000
            CAD
            144229.67000000
            USD
            2022-06-15
            -1326.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        437.92000000
        0.000057084259
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            26730.69000000
            USD
            9116500.00000000
            HUF
            2022-06-15
            437.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16383.96000000
        0.002135701102
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3722250.00000000
            SGD
            2762686.09000000
            USD
            2022-06-15
            16383.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        71061.61000000
        0.009263106040
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1400506.69000000
            USD
            21706844.00000000
            ZAR
            2022-06-15
            71061.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -393.08000000
        -0.00005123922
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            381500.00000000
            MXN
            18535.36000000
            USD
            2022-06-15
            -393.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        71799.81000000
        0.009359332749
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4558326.00000000
            GBP
            6058121.71000000
            USD
            2022-06-15
            71799.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        64.05000000
        0.000008349120
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            413500.00000000
            TWD
            14552.25000000
            USD
            2022-06-15
            64.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -31850.99000000
        -0.00415187747
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            29483000.00000000
            MXN
            1430972.53000000
            USD
            2022-06-15
            -31850.99000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796J42
        
          
          
        
        6797000.00000000
        PA
        USD
        6791045.08000000
        0.885234245320
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -179.08000000
        -0.00002334364
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            41000.00000000
            BRL
            8252.29000000
            USD
            2022-06-15
            -179.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        43101.16000000
        0.005618372782
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1428467.07000000
            USD
            21706843.00000000
            ZAR
            2022-06-15
            43101.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -356.74000000
        -0.00004650218
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            102733500.00000000
            CLP
            128585.00000000
            USD
            2022-06-15
            -356.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5018.31000000
        -0.00065415261
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            170064.97000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -5018.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        84008.78000000
        0.010950810676
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4684694.00000000
            GBP
            6236286.24000000
            USD
            2022-06-15
            84008.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        71807.39000000
        0.009360320826
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4558326.00000000
            GBP
            6058129.29000000
            USD
            2022-06-15
            71807.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        55831.47000000
        0.007277809030
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            809823.85000000
            USD
            4209500.00000000
            BRL
            2022-06-15
            55831.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21054.30000000
        0.002744494720
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2373898.20000000
            USD
            2911453000.00000000
            KRW
            2022-06-15
            21054.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17595.60000000
        0.002293642216
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7618000.00000000
            EUR
            8468878.35000000
            USD
            2022-06-15
            17595.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -33892.36000000
        -0.00441797652
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312501.00000000
            PLN
            748724.24000000
            USD
            2022-06-15
            -33892.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2301.02000000
        -0.00029994524
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            404500.00000000
            SEK
            40800.66000000
            USD
            2022-06-15
            -2301.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        36889.68000000
        0.004808686682
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5585395.27000000
            USD
            49521477.00000000
            NOK
            2022-06-15
            36889.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4978.41000000
        -0.00064895151
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            170025.07000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -4978.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        29934.63000000
        0.003902073875
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5533262.01000000
            USD
            49001023.00000000
            NOK
            2022-06-15
            29934.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22433.37000000
        0.002924260865
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6490201.88000000
            USD
            5870500.00000000
            EUR
            2022-06-15
            22433.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22666.72000000
        0.002954678777
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1339635.00000000
            EUR
            1508835.55000000
            USD
            2022-06-15
            22666.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4487.94000000
        -0.00058501720
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2116514.58000000
            USD
            13479030.00000000
            CNY
            2022-06-15
            -4487.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6514.86000000
        0.000849232644
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            486080.75000000
            USD
            615932.00000000
            CAD
            2022-06-15
            6514.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -73438.50000000
        -0.00957294118
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            60987529.00000000
            SEK
            6425115.28000000
            USD
            2022-06-15
            -73438.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21295.49000000
        0.002775934601
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4248312.97000000
            USD
            3848632.00000000
            EUR
            2022-06-15
            21295.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3564.15000000
        -0.00046459824
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3725500.00000000
            BRL
            762559.83000000
            USD
            2022-06-15
            -3564.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -42871.46000000
        -0.00558843066
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7248871.34000000
            USD
            6495500.00000000
            EUR
            2022-06-15
            -42871.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        31704.56000000
        0.004132789859
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10586403.00000000
            EUR
            11776084.32000000
            USD
            2022-06-15
            31704.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -73446.53000000
        -0.00957398791
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            60987529.00000000
            SEK
            6425107.25000000
            USD
            2022-06-15
            -73446.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1119.24000000
        -0.00014589648
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1844000.00000000
            CNY
            287816.77000000
            USD
            2022-06-15
            -1119.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        18154.01000000
        0.002366432729
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4190552.63000000
            USD
            3793735.00000000
            EUR
            2022-06-15
            18154.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8765.40000000
        -0.00114259766
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4269301.00000000
            SEK
            446151.90000000
            USD
            2022-06-15
            -8765.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4099.65000000
        0.000534402368
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338342.00000000
            EUR
            1488834.05000000
            USD
            2022-06-15
            4099.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        62851.53000000
        0.008192896096
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4219000.00000000
            GBP
            5603546.10000000
            USD
            2022-06-15
            62851.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Natural Gas
        N/A
        
          
          
        
        275.00000000
        NC
        USD
        2087581.47000000
        0.272122859643
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                Natural Gas
                
                  
                
              
            
            2022-04-27
            15515500.00000000
            USD
            2087581.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1475.16000000
        -0.00019229178
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490626.00000000
            ZAR
            31785.76000000
            USD
            2022-06-15
            -1475.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        352572.84000000
        0.045958986910
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3921606.40000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            352572.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        2.00000000
        NC
        USD
        27319.74000000
        0.003561214678
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-25
            518575.00000000
            USD
            27319.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -2.00000000
        NC
        USD
        -36856.92000000
        -0.00480441631
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-04
            -518375.50000000
            USD
            -36856.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -11806.88000000
        -0.00153906422
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1835129.12000000
            USD
            139781086.00000000
            INR
            2022-06-15
            -11806.88000000
          
        
        
          N
          N
          N
        
      
      
        Prysmian SpA
        529900X0H1IO3RS1A464
        Prysmian SpA
        N/A
        
          
          
        
        49424.00000000
        NS
        
        1677263.05000000
        0.218636553399
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22014.89000000
        0.002869710671
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338342.00000000
            EUR
            1506749.29000000
            USD
            2022-06-15
            22014.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        21281500000.00000000
        PA
        
        -1275916.33000000
        -0.16631973667
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2032-09-23
            4965053.48000000
            USD
            0.00000000
            USD
            21281500000.00000000
            JPY
            -1275916.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -138474.17000000
        -0.01805054684
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            34678000.00000000
            ZAR
            2212445.45000000
            USD
            2022-06-15
            -138474.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        3952208.45000000
        PA
        
        40728.68000000
        0.005309112497
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus TIIE +/- spread (-0.50% to 0.50%). MXN Currency. Maturity 50-58 Months 04/17/26 to 12/18/26
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2026-04-17
            0.00000000
            USD
            0.00000000
            USD
            3952208.00000000
            USD
            39903.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        592.44000000
        0.000077226431
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1822729.80000000
            USD
            139781086.00000000
            INR
            2022-06-15
            592.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        50017.06000000
        0.006519882262
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740997.00000000
            KRW
            5241213.67000000
            USD
            2022-06-15
            50017.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        214764.61000000
        0.027995247449
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4558326.00000000
            GBP
            6201086.51000000
            USD
            2022-06-15
            214764.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        12500000.00000000
        PA
        
        139872.36000000
        0.018232805346
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2024-09-19
            69015.12000000
            USD
            0.00000000
            USD
            12500000.00000000
            CAD
            139872.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5018.11000000
        0.000654126539
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            475680.33000000
            USD
            601056.00000000
            CAD
            2022-06-15
            5018.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        27349.80000000
        0.003565133094
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5024924.47000000
            USD
            47414507.00000000
            SEK
            2022-06-15
            27349.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4978.63000000
        -0.00064898019
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            170025.29000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -4978.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -632908.28000000
        -0.08250159982
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            11870595.10000000
            USD
            1365409918.00000000
            JPY
            2022-06-15
            -632908.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21605.92000000
        0.002816400135
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1378898.00000000
            EUR
            1551332.47000000
            USD
            2022-06-15
            21605.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        12790.61000000
        0.001667296543
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1983544.82000000
            USD
            1799500.00000000
            EUR
            2022-06-15
            12790.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -513.18000000
        -0.00006689463
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            88979.57000000
            USD
            6782086.00000000
            INR
            2022-06-15
            -513.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -85361.87000000
        -0.01112719024
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            21430000.00000000
            ZAR
            1367438.39000000
            USD
            2022-06-15
            -85361.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3296.86000000
        -0.00042975614
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1885780.00000000
            BRL
            384501.09000000
            USD
            2022-06-15
            -3296.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3842.32000000
        0.000500858587
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            154571.04000000
            USD
            670500.00000000
            PLN
            2022-06-15
            3842.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3297.34000000
        -0.00042981871
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1885780.00000000
            BRL
            384500.61000000
            USD
            2022-06-15
            -3297.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -14233.28000000
        -0.00185535314
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            144696000.00000000
            HUF
            416983.66000000
            USD
            2022-06-15
            -14233.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3842.51000000
        0.000500883354
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            154570.85000000
            USD
            670500.00000000
            PLN
            2022-06-15
            3842.51000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -151259.87000000
        -0.01971720335
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            42010000.00000000
            ZAR
            2696716.75000000
            USD
            2022-06-15
            -151259.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -33840.75000000
        -0.00441124899
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3421000.00000000
            BRL
            669664.85000000
            USD
            2022-06-15
            -33840.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17132.64000000
        0.002233293913
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1338342.00000000
            EUR
            1501867.04000000
            USD
            2022-06-15
            17132.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1852.37000000
        -0.00024146229
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            100558.66000000
            USD
            119993500.00000000
            KRW
            2022-06-15
            -1852.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7066.42000000
        -0.00092113023
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520061.00000000
            BRL
            99880.62000000
            USD
            2022-06-15
            -7066.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        79288.76000000
        0.010335541112
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4834588.00000000
            GBP
            6428417.81000000
            USD
            2022-06-15
            79288.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -54909.69000000
        -0.00715765208
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            16597941.00000000
            ILS
            5158079.05000000
            USD
            2022-06-15
            -54909.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15203.30000000
        0.001981798330
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1599000.00000000
            EUR
            1789107.36000000
            USD
            2022-06-15
            15203.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        377643.83000000
        0.049227069900
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3896535.00000000
            USD
            20784434.00000000
            BRL
            2022-06-15
            377643.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        42861.19000000
        0.005587091933
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1419456.00000000
            EUR
            1617582.11000000
            USD
            2022-06-15
            42861.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        587628.27000000
        0.076599207043
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15961798.76000000
            USD
            23909428.00000000
            NZD
            2022-06-15
            587628.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44.26000000
        0.000005769431
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            83000.00000000
            CNY
            13049.51000000
            USD
            2022-06-15
            44.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5675.43000000
        0.000739810284
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274438.00000000
            TWD
            190480.98000000
            USD
            2022-06-15
            5675.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -49368.87000000
        -0.00643538864
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4111500.00000000
            CHF
            4414163.32000000
            USD
            2022-06-15
            -49368.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -123.67000000
        -0.00001612077
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            171000.00000000
            ZAR
            11468.90000000
            USD
            2022-06-15
            -123.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41075.32000000
        0.005354298119
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338342.00000000
            EUR
            1525809.72000000
            USD
            2022-06-15
            41075.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -29.00000000
        NC
        USD
        -559953.87000000
        -0.07299176130
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-28
            -7518293.50000000
            USD
            -559953.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5067.05000000
        -0.00066050602
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            170113.71000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -5067.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        62650.21000000
        0.008166653396
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            887010.38000000
            USD
            4618000.00000000
            BRL
            2022-06-15
            62650.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Canadian Bankers Acceptance
        N/A
        
          
          
        
        -57.00000000
        NC
        
        7871.29000000
        0.001026047593
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              Canadian Derivatives Clearing
              5493004XJK1P32XQLA57
            
            Short
            
              
                N/A
                3 Month Canadian Bankers Acceptance
                
                  
                
              
            
            2022-06-13
            -13986375.00000000
            CAD
            7871.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        81751.78000000
        0.010656603574
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6310740998.00000000
            KRW
            5272948.39000000
            USD
            2022-06-15
            81751.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7544.45000000
        -0.00098344296
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            35981500.00000000
            INR
            461802.81000000
            USD
            2022-06-15
            -7544.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9449.13000000
        0.001231724037
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5582862.00000000
            GBP
            7341265.48000000
            USD
            2022-06-15
            9449.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        62649.10000000
        0.008166508704
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            887011.49000000
            USD
            4618000.00000000
            BRL
            2022-06-15
            62649.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FTSE 100 Index
        N/A
        
          
          
          
        
        78.00000000
        NC
        
        463016.57000000
        0.060355677084
        N/A
        DE
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Long
            
              
                FTSE 100 Index
                GB0001383545
              
            
            2022-06-17
            5839080.00000000
            GBP
            463016.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -4.00000000
        NC
        USD
        -54120.84000000
        -0.00705482298
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-27
            -1037063.00000000
            USD
            -54120.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4309.49000000
        0.000561755677
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5274439.00000000
            TWD
            189115.07000000
            USD
            2022-06-15
            4309.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2097.90000000
        -0.00027346791
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            274079.32000000
            USD
            330637500.00000000
            KRW
            2022-06-15
            -2097.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        912.76000000
        0.000118981158
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2960000.00000000
            CNY
            464714.59000000
            USD
            2022-06-15
            912.76000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPI 200 Index
        N/A
        
          
          
        
        404.00000000
        NC
        
        3013389.97000000
        0.392804931277
        N/A
        DE
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                SPI 200 Index
                XC0006013624
              
            
            2022-06-16
            75537900.00000000
            AUD
            3013389.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20356.06000000
        0.002653476924
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10379695.00000000
            EUR
            11535417.40000000
            USD
            2022-06-15
            20356.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3813.12000000
        0.000497052274
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312500.00000000
            PLN
            786429.48000000
            USD
            2022-06-15
            3813.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -72.09000000
        -0.00000939715
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            26315.52000000
            USD
            749000.00000000
            TWD
            2022-06-15
            -72.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        153695.19000000
        0.020034655038
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7858883.94000000
            USD
            11576001.00000000
            NZD
            2022-06-15
            153695.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7289.01000000
        0.000950145550
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            140058.70000000
            USD
            2173500.00000000
            ZAR
            2022-06-15
            7289.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -711.16000000
        -0.00009270195
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            8850000.00000000
            JPY
            72126.69000000
            USD
            2022-06-15
            -711.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8665.21000000
        -0.00112953758
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520062.00000000
            BRL
            98282.04000000
            USD
            2022-06-15
            -8665.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2076.34000000
        0.000270657498
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            29964500.00000000
            TWD
            1051971.29000000
            USD
            2022-06-15
            2076.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        73749.44000000
        0.009613473197
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5140256.26000000
            USD
            6959000.00000000
            AUD
            2022-06-15
            73749.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3470.35000000
        -0.00045237111
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5508000.00000000
            CNY
            859577.12000000
            USD
            2022-06-15
            -3470.35000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5020.77000000
        -0.00065447327
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            170067.43000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -5020.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        173500301.94999993
        PA
        
        2319589.04000000
        0.302365781568
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus HONIX +/- spread (-1.03% to 0.02%). HKD Currency. Maturity 35-61 Months 01/13/25 to 03/24/27
                
                  
                    Genscript Biotech Corp.
                    
                      
                    
                    363890.94000000
                    USD
                    23215.67000000
                    USD
                  
                  
                    Minth Group Ltd.
                    
                      
                    
                    248539.51000000
                    USD
                    50978.07000000
                    USD
                  
                  
                    Sino Biopharmaceutical Ltd.
                    
                      
                    
                    532134.22000000
                    USD
                    58614.05000000
                    USD
                  
                  
                    China Youzan Ltd.
                    
                      
                    
                    167577.06000000
                    USD
                    69823.66000000
                    USD
                  
                  
                    China Merchants Port Holdings Co. Ltd.
                    
                      
                    
                    929307.99000000
                    USD
                    19058.42000000
                    USD
                  
                  
                    Lenovo Group Ltd.
                    
                      
                    
                    448468.26000000
                    USD
                    48473.73000000
                    USD
                  
                  
                    Kingboard Laminates Holdings Ltd.
                    
                      
                    
                    444888.41000000
                    USD
                    48386.63000000
                    USD
                  
                  
                    China Petroleum & Chemical Corp., Class H
                    
                      
                    
                    789113.28000000
                    USD
                    81769.35000000
                    USD
                  
                  
                    China Coal Energy Co. Ltd., Class H
                    
                      
                    
                    2274552.23000000
                    USD
                    248265.69000000
                    USD
                  
                  
                    Yankuang Energy Group Co. Ltd., Class H
                    
                      
                    
                    1056642.79000000
                    USD
                    -84095.71000000
                    USD
                  
                  
                    Kunlun Energy Co. Ltd.
                    
                      
                    
                    1016341.17000000
                    USD
                    -64341.62000000
                    USD
                  
                  
                    China Merchants Bank Co. Ltd., Class H
                    
                      
                    
                    2529938.74000000
                    USD
                    -95065.88000000
                    USD
                  
                  
                    New World Development Co. Ltd.
                    
                      
                    
                    527429.44000000
                    USD
                    32963.30000000
                    USD
                  
                  
                    Haitian International Holdings Ltd.
                    
                      
                    
                    920568.02000000
                    USD
                    80394.90000000
                    USD
                  
                  
                    China Tower Corp. Ltd., Class H
                    
                      
                    
                    250750.99000000
                    USD
                    -10596.36000000
                    USD
                  
                  
                    China Life Insurance Co. Ltd., Class H
                    
                      
                    
                    431157.97000000
                    USD
                    2736.22000000
                    USD
                  
                  
                    China Resources Gas Group Ltd.
                    
                      
                    
                    168355.05000000
                    USD
                    -22866.55000000
                    USD
                  
                  
                    BYD Electronic International Co. Ltd.
                    
                      
                    
                    23779.77000000
                    USD
                    -4558.95000000
                    USD
                  
                  
                    Zhejiang Expressway Co. Ltd., Class H
                    
                      
                    
                    82320.35000000
                    USD
                    -5251.78000000
                    USD
                  
                  
                    Flat Glass Group Co. Ltd., Class H
                    
                      
                    
                    920110.49000000
                    USD
                    115626.56000000
                    USD
                  
                  
                    China International Capital Corp. Ltd., Class H
                    
                      
                    
                    825039.38000000
                    USD
                    -42027.76000000
                    USD
                  
                  
                    China Molybdenum Co. Ltd., Class H
                    
                      
                    
                    573725.69000000
                    USD
                    -53927.23000000
                    USD
                  
                  
                    Pharmaron Beijing Co. Ltd., Class H
                    
                      
                    
                    177990.47000000
                    USD
                    -28815.98000000
                    USD
                  
                  
                    New China Life Insurance Co. Ltd., Class H
                    
                      
                    
                    2245826.87000000
                    USD
                    49689.79000000
                    USD
                  
                  
                    China Lesso Group Holdings Ltd.
                    
                      
                    
                    68413.99000000
                    USD
                    -7789.24000000
                    USD
                  
                  
                    Hengan International Group Co. Ltd.
                    
                      
                    
                    744155.78000000
                    USD
                    -73406.73000000
                    USD
                  
                  
                    China Resources Beer Holdings Co. Ltd.
                    
                      
                    
                    498887.14000000
                    USD
                    71036.16000000
                    USD
                  
                  
                    PetroChina Co. Ltd., Class H
                    
                      
                    
                    935398.61000000
                    USD
                    -45069.46000000
                    USD
                  
                  
                    Akeso, Inc.
                    
                      
                    
                    611366.61000000
                    USD
                    6646.31000000
                    USD
                  
                  
                    TravelSky Technology Ltd., Class H
                    
                      
                    
                    222354.35000000
                    USD
                    -32460.92000000
                    USD
                  
                  
                    Hygeia Healthcare Holdings Co. Ltd.
                    
                      
                    
                    197947.16000000
                    USD
                    42454.66000000
                    USD
                  
                  
                    China Medical System Holdings Ltd.
                    
                      
                    
                    1442626.94000000
                    USD
                    -42440.72000000
                    USD
                  
                  
                    ENN Energy Holdings Ltd.
                    
                      
                    
                    1026098.46000000
                    USD
                    -168283.27000000
                    USD
                  
                  
                    Tingyi Cayman Islands Holding Corp.
                    
                      
                    
                    60366.39000000
                    USD
                    -5172.99000000
                    USD
                  
                  
                    Shandong Gold Mining Co. Ltd., Class H
                    
                      
                    
                    1112355.92000000
                    USD
                    13821.29000000
                    USD
                  
                  
                    Venus MedTech Hangzhou, Inc., Class H
                    
                      
                    
                    312170.93000000
                    USD
                    35396.85000000
                    USD
                  
                  
                    Alibaba Health Information Technology Ltd.
                    
                      
                    
                    817678.71000000
                    USD
                    -65263.41000000
                    USD
                  
                  
                    Jinxin Fertility Group Ltd.
                    
                      
                    
                    100145.87000000
                    USD
                    29747.60000000
                    USD
                  
                  
                    China Resources Cement Holdings Ltd.
                    
                      
                    
                    648243.17000000
                    USD
                    12462.64000000
                    USD
                  
                  
                    Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H
                    
                      
                    
                    159922.44000000
                    USD
                    -46680.62000000
                    USD
                  
                  
                    Great Wall Motor Co. Ltd., Class H
                    
                      
                    
                    825549.27000000
                    USD
                    4100.77000000
                    USD
                  
                  
                    Haidilao International Holding Ltd.
                    
                      
                    
                    1475750.38000000
                    USD
                    -85954.45000000
                    USD
                  
                  
                    Fuyao Glass Industry Group Co. Ltd., Class H
                    
                      
                    
                    479098.98000000
                    USD
                    -29595.66000000
                    USD
                  
                  
                    Shenzhen International Holdings Ltd.
                    
                      
                    
                    603746.82000000
                    USD
                    52073.28000000
                    USD
                  
                  
                    Agricultural Bank of China Ltd., Class H
                    
                      
                    
                    1227128.76000000
                    USD
                    75759.97000000
                    USD
                  
                  
                    Kingboard Holdings Ltd.
                    
                      
                    
                    1157553.96000000
                    USD
                    140646.91000000
                    USD
                  
                  
                    Weimob, Inc.
                    
                      
                    
                    963020.00000000
                    USD
                    -198268.12000000
                    USD
                  
                  
                    Chow Tai Fook Jewellery Group Ltd.
                    
                      
                    
                    789992.88000000
                    USD
                    60922.26000000
                    USD
                  
                  
                    Xinyi Solar Holdings Ltd.
                    
                      
                    
                    734705.80000000
                    USD
                    6219.41000000
                    USD
                  
                  
                    Tsingtao Brewery Co. Ltd.
                    
                      
                    
                    125779.72000000
                    USD
                    12179.24000000
                    USD
                  
                  
                    Wuxi Biologics Cayman, Inc.
                    
                      
                    
                    758327.55000000
                    USD
                    -110451.86000000
                    USD
                  
                  
                    Yue Yuen Industrial Holdings Ltd.
                    
                      
                    
                    133930.78000000
                    USD
                    15715.71000000
                    USD
                  
                  
                    China Conch Environment Protection Holdings Ltd.
                    
                      
                    
                    462270.05000000
                    USD
                    -279240.25000000
                    USD
                  
                  
                    Jiumaojiu International Holdings Ltd.
                    
                      
                    
                    676904.24000000
                    USD
                    -58427.20000000
                    USD
                  
                  
                    Xinyi Glass Holdings Ltd.
                    
                      
                    
                    1740705.49000000
                    USD
                    20026.05000000
                    USD
                  
                  
                    China Southern Airlines Co. Ltd., Class H
                    
                      
                    
                    1000907.73000000
                    USD
                    -61506.74000000
                    USD
                  
                  
                    China Everbright Bank Co. Ltd., Class H
                    
                      
                    
                    788546.36000000
                    USD
                    32958.72000000
                    USD
                  
                  
                    3SBio, Inc.
                    
                      
                    
                    783540.41000000
                    USD
                    102444.27000000
                    USD
                  
                  
                    Zijin Mining Group Co. Ltd., Class H
                    
                      
                    
                    1255631.98000000
                    USD
                    -23417.06000000
                    USD
                  
                  
                    Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H
                    
                      
                    
                    1163304.52000000
                    USD
                    114598.15000000
                    USD
                  
                  
                    HKT Trust & HKT Ltd.
                    
                      
                    
                    828178.21000000
                    USD
                    -21704.56000000
                    USD
                  
                  
                    China Minsheng Banking Corp. Ltd., Class H
                    
                      
                    
                    1336118.66000000
                    USD
                    26697.37000000
                    USD
                  
                  
                    Wharf Real Estate Investment Co. Ltd.
                    
                      
                    
                    3276719.89000000
                    USD
                    -433647.62000000
                    USD
                  
                  
                    Swire Pacific Ltd., Class A
                    
                      
                    
                    1444266.44000000
                    USD
                    142231.73000000
                    USD
                  
                  
                    China Shenhua Energy Co. Ltd., Class H
                    
                      
                    
                    471113.49000000
                    USD
                    60271.98000000
                    USD
                  
                  
                    Sinotruk Hong Kong Ltd.
                    
                      
                    
                    1082099.52000000
                    USD
                    60121.84000000
                    USD
                  
                  
                    China Galaxy Securities Co. Ltd., Class H
                    
                      
                    
                    676612.57000000
                    USD
                    27902.12000000
                    USD
                  
                  
                    China Conch Venture Holdings Ltd.
                    
                      
                    
                    1077163.43000000
                    USD
                    490145.88000000
                    USD
                  
                  
                    Bosideng International Holdings Ltd.
                    
                      
                    
                    112128.69000000
                    USD
                    -13597.50000000
                    USD
                  
                  
                    Kingdee International Software Group Co. Ltd.
                    
                      
                    
                    889516.04000000
                    USD
                    -38987.24000000
                    USD
                  
                  
                    Chongqing Rural Commercial Bank Co. Ltd., Class H
                    
                      
                    
                    536060.26000000
                    USD
                    44004.03000000
                    USD
                  
                  
                    Jiangsu Expressway Co. Ltd., Class H
                    
                      
                    
                    125321.93000000
                    USD
                    -5539.70000000
                    USD
                  
                  
                    Uni-President China Holdings Ltd.
                    
                      
                    
                    605716.55000000
                    USD
                    44468.06000000
                    USD
                  
                  
                    Alibaba Group Holding Ltd.
                    
                      
                    
                    912965.09000000
                    USD
                    91281.85000000
                    USD
                  
                  
                    BOC Aviation Ltd.
                    
                      
                    
                    46345.32000000
                    USD
                    -5275.17000000
                    USD
                  
                  
                    Man Wah Holdings Ltd.
                    
                      
                    
                    1430913.12000000
                    USD
                    -17998.37000000
                    USD
                  
                  
                    China Gas Holdings Ltd.
                    
                      
                    
                    545521.56000000
                    USD
                    111182.84000000
                    USD
                  
                  
                    China Construction Bank Corp., Class H
                    
                      
                    
                    857679.61000000
                    USD
                    50873.48000000
                    USD
                  
                  
                    China Power International Development Ltd.
                    
                      
                    
                    724444.92000000
                    USD
                    47106.50000000
                    USD
                  
                  
                    Guangdong Investment Ltd.
                    
                      
                    
                    520452.64000000
                    USD
                    -21187.94000000
                    USD
                  
                  
                    Sun Hung Kai Properties Ltd.
                    
                      
                    
                    1885751.29000000
                    USD
                    82117.68000000
                    USD
                  
                  
                    Microport Scientific Corp.
                    
                      
                    
                    1270661.57000000
                    USD
                    -31625.14000000
                    USD
                  
                  
                    CLP Holdings Ltd.
                    
                      
                    
                    1138397.98000000
                    USD
                    -18420.67000000
                    USD
                  
                  
                    NetEase, Inc.
                    
                      
                    
                    43302.64000000
                    USD
                    2714.70000000
                    USD
                  
                  
                    SJM Holdings Ltd.
                    
                      
                    
                    555330.78000000
                    USD
                    27071.16000000
                    USD
                  
                  
                    Geely Automobile Holdings Ltd.
                    
                      
                    
                    221509.59000000
                    USD
                    -7454.34000000
                    USD
                  
                  
                    China Longyuan Power Group Corp. Ltd., Class H
                    
                      
                    
                    177571.88000000
                    USD
                    -5343.23000000
                    USD
                  
                  
                    WuXi AppTec Co. Ltd., Class H
                    
                      
                    
                    490592.27000000
                    USD
                    -98462.37000000
                    USD
                  
                  
                    AviChina Industry & Technology Co. Ltd., Class H
                    
                      
                    
                    36982.70000000
                    USD
                    1495.62000000
                    USD
                  
                  
                    GF Securities Co. Ltd., Class H
                    
                      
                    
                    390788.41000000
                    USD
                    -16656.89000000
                    USD
                  
                  
                    Wynn Macau Ltd.
                    
                      
                    
                    396836.03000000
                    USD
                    16317.34000000
                    USD
                  
                  
                    Sun Art Retail Group Ltd.
                    
                      
                    
                    376820.68000000
                    USD
                    37531.62000000
                    USD
                  
                  
                    Aluminum Corp. of China Ltd., Class H
                    
                      
                    
                    119235.51000000
                    USD
                    -12496.55000000
                    USD
                  
                  
                    China Hongqiao Group Ltd.
                    
                      
                    
                    2424521.66000000
                    USD
                    55054.53000000
                    USD
                  
                  
                    GOME Retail Holdings Ltd.
                    
                      
                    
                    211639.34000000
                    USD
                    6217.69000000
                    USD
                  
                  
                    MMG Ltd.
                    
                      
                    
                    381403.10000000
                    USD
                    21213.86000000
                    USD
                  
                  
                    Hang Lung Properties Ltd.
                    
                      
                    
                    820339.75000000
                    USD
                    5686.88000000
                    USD
                  
                  
                    Nongfu Spring Co. Ltd., Class H
                    
                      
                    
                    1035338.76000000
                    USD
                    -67726.58000000
                    USD
                  
                  
                    ZTE Corp., Class H
                    
                      
                    
                    46590.02000000
                    USD
                    -622.38000000
                    USD
                  
                  
                    WH Group Ltd.
                    
                      
                    
                    5144523.55000000
                    USD
                    -127440.24000000
                    USD
                  
                  
                    Huatai Securities Co. Ltd., Class H
                    
                      
                    
                    549989.53000000
                    USD
                    -9592.56000000
                    USD
                  
                  
                    Xinjiang Goldwind Science & Technology Co. Ltd., Class H
                    
                      
                    
                    267771.71000000
                    USD
                    -4347.26000000
                    USD
                  
                  
                    Hua Hong Semiconductor Ltd.
                    
                      
                    
                    396694.81000000
                    USD
                    -254.96000000
                    USD
                  
                  
                    China Meidong Auto Holdings Ltd.
                    
                      
                    
                    494062.98000000
                    USD
                    26987.48000000
                    USD
                  
                  
                    COSCO SHIPPING Holdings Co. Ltd., Class H
                    
                      
                    
                    808093.30000000
                    USD
                    -77405.09000000
                    USD
                  
                  
                    Tongcheng Travel Holdings Ltd.
                    
                      
                    
                    279109.22000000
                    USD
                    28092.68000000
                    USD
                  
                  
                    China Communications Services Corp. Ltd., Class H
                    
                      
                    
                    455419.06000000
                    USD
                    -50214.16000000
                    USD
                  
                  
                    China Oilfield Services Ltd., Class H
                    
                      
                    
                    58930.11000000
                    USD
                    -5482.72000000
                    USD
                  
                  
                    Yihai International Holding Ltd.
                    
                      
                    
                    1079269.16000000
                    USD
                    49384.76000000
                    USD
                  
                  
                    Galaxy Entertainment Group Ltd.
                    
                      
                    
                    1254485.45000000
                    USD
                    -149367.32000000
                    USD
                  
                  
                    China Resources Pharmaceutical Group Ltd.
                    
                      
                    
                    582554.60000000
                    USD
                    77858.95000000
                    USD
                  
                  
                    China Mengniu Dairy Co. Ltd.
                    
                      
                    
                    1077641.78000000
                    USD
                    42200.83000000
                    USD
                  
                  
                    Ganfeng Lithium Co. Ltd., Class H
                    
                      
                    
                    2090634.34000000
                    USD
                    -124003.67000000
                    USD
                  
                  
                    CITIC Securities Co. Ltd., Class H
                    
                      
                    
                    1479552.08000000
                    USD
                    -31156.45000000
                    USD
                  
                  
                    China Education Group Holdings Ltd.
                    
                      
                    
                    47324.67000000
                    USD
                    -3968.59000000
                    USD
                  
                  
                    Ping An Healthcare and Technology Co. Ltd.
                    
                      
                    
                    117854.45000000
                    USD
                    2026.96000000
                    USD
                  
                  
                    Shandong Weigao Group Medical Polymer Co. Ltd., Class H
                    
                      
                    
                    322033.50000000
                    USD
                    -48704.17000000
                    USD
                  
                  
                    Beijing Enterprises Holdings Ltd.
                    
                      
                    
                    1077743.49000000
                    USD
                    -29375.21000000
                    USD
                  
                  
                    Budweiser Brewing Co. APAC Ltd.
                    
                      
                    
                    2341194.61000000
                    USD
                    188374.98000000
                    USD
                  
                  
                    China Feihe Ltd.
                    
                      
                    
                    552325.47000000
                    USD
                    -19112.19000000
                    USD
                  
                  
                    Huabao International Holdings Ltd.
                    
                      
                    
                    307861.63000000
                    USD
                    22139.74000000
                    USD
                  
                  
                    Anhui Conch Cement Co. Ltd., Class H
                    
                      
                    
                    923163.49000000
                    USD
                    30406.36000000
                    USD
                  
                  
                    Jiangxi Copper Co. Ltd., Class H
                    
                      
                    
                    23156.96000000
                    USD
                    -107.76000000
                    USD
                  
                  
                    Kerry Properties Ltd.
                    
                      
                    
                    659199.17000000
                    USD
                    30528.01000000
                    USD
                  
                  
                    Fosun International Ltd.
                    
                      
                    
                    39990.78000000
                    USD
                    4484.41000000
                    USD
                  
                  
                    ASM Pacific Technology Ltd.
                    
                      
                    
                    1518170.17000000
                    USD
                    57675.64000000
                    USD
                  
                  
                    ESR Cayman Ltd.
                    
                      
                    
                    2323550.47000000
                    USD
                    -129608.37000000
                    USD
                  
                  
                    ZhongAn Online P&C Insurance Co. Ltd., Class H
                    
                      
                    
                    2280184.37000000
                    USD
                    -259668.00000000
                    USD
                  
                  
                    China CITIC Bank Corp. Ltd., Class H
                    
                      
                    
                    2192585.47000000
                    USD
                    223760.41000000
                    USD
                  
                  
                    Postal Savings Bank of China Co. Ltd., Class H
                    
                      
                    
                    1174856.09000000
                    USD
                    -18361.67000000
                    USD
                  
                  
                    China Resources Power Holdings Co. Ltd.
                    
                      
                    
                    964015.36000000
                    USD
                    -132069.97000000
                    USD
                  
                  
                    BOC Hong Kong Holdings Ltd.
                    
                      
                    
                    1954767.32000000
                    USD
                    184339.60000000
                    USD
                  
                  
                    Sunny Optical Technology Group Co. Ltd.
                    
                      
                    
                    574904.45000000
                    USD
                    93545.15000000
                    USD
                  
                  
                    Bank of China Ltd., Class H
                    
                      
                    
                    1323667.87000000
                    USD
                    100038.76000000
                    USD
                  
                  
                    CanSino Biologics, Inc., Class H
                    
                      
                    
                    171896.19000000
                    USD
                    15484.37000000
                    USD
                  
                  
                    AAC Technologies Holdings, Inc.
                    
                      
                    
                    371915.56000000
                    USD
                    9632.10000000
                    USD
                  
                  
                    Beijing Capital International Airport Co. Ltd., Class H
                    
                      
                    
                    645260.73000000
                    USD
                    3653.03000000
                    USD
                  
                  
                    China State Construction International Holdings Ltd.
                    
                      
                    
                    389867.35000000
                    USD
                    -4834.90000000
                    USD
                  
                  
                    China Traditional Chinese Medicine Holdings Co. Ltd.
                    
                      
                    
                    910779.20000000
                    USD
                    37758.50000000
                    USD
                  
                  
                    Sands China Ltd.
                    
                      
                    
                    1155232.71000000
                    USD
                    8615.31000000
                    USD
                  
                  
                    CGN Power Co. Ltd., Class H
                    
                      
                    
                    50254.83000000
                    USD
                    1481.77000000
                    USD
                  
                  
                    Dongyue Group Ltd.
                    
                      
                    
                    711243.01000000
                    USD
                    62479.27000000
                    USD
                  
                  
                    Zhongsheng Group Holdings Ltd.
                    
                      
                    
                    854294.85000000
                    USD
                    104316.06000000
                    USD
                  
                  
                    Meituan
                    
                      
                    
                    1718215.45000000
                    USD
                    561.80000000
                    USD
                  
                  
                    Smoore International Holdings Ltd.
                    
                      
                    
                    180394.06000000
                    USD
                    33350.31000000
                    USD
                  
                  
                    SITC International Holdings Co. Ltd.
                    
                      
                    
                    674864.43000000
                    USD
                    -58727.42000000
                    USD
                  
                  
                    CK Asset Holdings Ltd.
                    
                      
                    
                    2610259.63000000
                    USD
                    187752.41000000
                    USD
                  
                  
                    Topsports International Holdings Ltd.
                    
                      
                    
                    1181049.71000000
                    USD
                    -66708.90000000
                    USD
                  
                  
                    COSCO SHIPPING Ports Ltd.
                    
                      
                    
                    347175.56000000
                    USD
                    8685.09000000
                    USD
                  
                  
                    Beijing Enterprises Water Group Ltd.
                    
                      
                    
                    672467.17000000
                    USD
                    141168.28000000
                    USD
                  
                  
                    Guangzhou Automobile Group Co. Ltd., Class H
                    
                      
                    
                    263865.20000000
                    USD
                    -3948.43000000
                    USD
                  
                  
                    PICC Property & Casualty Co. Ltd., Class H
                    
                      
                    
                    1154747.22000000
                    USD
                    73582.36000000
                    USD
                  
                  
                    MTR Corp. Ltd.
                    
                      
                    
                    1172345.69000000
                    USD
                    -60802.15000000
                    USD
                  
                  
                    Bank of Communications Co. Ltd., Class H
                    
                      
                    
                    1438993.08000000
                    USD
                    133106.83000000
                    USD
                  
                  
                    CITIC Ltd.
                    
                      
                    
                    1137163.33000000
                    USD
                    15163.76000000
                    USD
                  
                  
                    Bank of East Asia Ltd. (The)
                    
                      
                    
                    150628.69000000
                    USD
                    -1712.91000000
                    USD
                  
                  
                    China Cinda Asset Management Co. Ltd., Class H
                    
                      
                    
                    1162069.97000000
                    USD
                    4157.52000000
                    USD
                  
                  
                    Sino Land Co. Ltd.
                    
                      
                    
                    716912.68000000
                    USD
                    19994.41000000
                    USD
                  
                  
                    Hangzhou Tigermed Consulting Co. Ltd., Class H
                    
                      
                    
                    74775.39000000
                    USD
                    -14549.46000000
                    USD
                  
                  
                    Nine Dragons Paper Holdings Ltd.
                    
                      
                    
                    248346.86000000
                    USD
                    -4628.84000000
                    USD
                  
                  
                    Techtronic Industries Co. Ltd.
                    
                      
                    
                    1802415.70000000
                    USD
                    9611.96000000
                    USD
                  
                  
                    Sany Heavy Equipment International Holdings Co. Ltd.
                    
                      
                    
                    650357.15000000
                    USD
                    -33990.15000000
                    USD
                  
                  
                    Hong Kong & China Gas Co. Ltd.
                    
                      
                    
                    4956961.63000000
                    USD
                    1005342.17000000
                    USD
                  
                  
                    Li Ning Co. Ltd.
                    
                      
                    
                    1214264.13000000
                    USD
                    -87767.32000000
                    USD
                  
                  
                    Lee & Man Paper Manufacturing Ltd.
                    
                      
                    
                    44101.84000000
                    USD
                    -3479.39000000
                    USD
                  
                  
                    ANTA Sports Products Ltd.
                    
                      
                    
                    555744.11000000
                    USD
                    -1973.43000000
                    USD
                  
                  
                    Kuaishou Technology
                    
                      
                    
                    722937.86000000
                    USD
                    6320.56000000
                    USD
                  
                  
                    China Taiping Insurance Holdings Co. Ltd.
                    
                      
                    
                    1442954.10000000
                    USD
                    109969.42000000
                    USD
                  
                  
                    BYD Co. Ltd., Class H
                    
                      
                    
                    1362949.35000000
                    USD
                    -167741.12000000
                    USD
                  
                  
                    Zhuzhou CRRC Times Electric Co. Ltd.
                    
                      
                    
                    426281.68000000
                    USD
                    36031.73000000
                    USD
                  
                  
                    Vinda International Holdings Ltd.
                    
                      
                    
                    90485.49000000
                    USD
                    2231.41000000
                    USD
                  
                  
                    China National Building Material Co. Ltd., Class H
                    
                      
                    
                    1456371.96000000
                    USD
                    49536.01000000
                    USD
                  
                  
                    China Yuhua Education Corp. Ltd.
                    
                      
                    
                    571997.90000000
                    USD
                    12244.52000000
                    USD
                  
                  
                    Want Want China Holdings Ltd.
                    
                      
                    
                    39677.83000000
                    USD
                    855.84000000
                    USD
                  
                  
                    Dongfeng Motor Group Co. Ltd., Class H
                    
                      
                    
                    770468.50000000
                    USD
                    22480.97000000
                    USD
                  
                  
                    Huaneng Power International, Inc., Class H
                    
                      
                    
                    364771.13000000
                    USD
                    -96048.50000000
                    USD
                  
                  
                    Ping An Insurance Group Co. of China Ltd., Class H
                    
                      
                    
                    870387.54000000
                    USD
                    -21337.04000000
                    USD
                  
                  
                    China Railway Group Ltd., Class H
                    
                      
                    
                    837128.30000000
                    USD
                    -15792.03000000
                    USD
                  
                  
                    Henderson Land Development Co. Ltd.
                    
                      
                    
                    849216.62000000
                    USD
                    29295.38000000
                    USD
                  
                  
                    China Suntien Green Energy Corp. Ltd., Class H
                    
                      
                    
                    651925.50000000
                    USD
                    20906.07000000
                    USD
                  
                  
                    JD Health International, Inc.
                    
                      
                    
                    147893.75000000
                    USD
                    -4641.21000000
                    USD
                  
                  
                    Shenzhou International Group Holdings Ltd.
                    
                      
                    
                    1358487.99000000
                    USD
                    17034.94000000
                    USD
                  
                  
                    Shanghai Pharmaceuticals Holding Co. Ltd., Class H
                    
                      
                    
                    685283.53000000
                    USD
                    76933.74000000
                    USD
                  
                  
                    China Literature Ltd.
                    
                      
                    
                    102385.55000000
                    USD
                    13597.10000000
                    USD
                  
                  
                    Sinopharm Group Co. Ltd., Class H
                    
                      
                    
                    1441029.99000000
                    USD
                    -15839.03000000
                    USD
                  
                  
                    Power Assets Holdings Ltd.
                    
                      
                    
                    1257790.46000000
                    USD
                    -12377.59000000
                    USD
                  
                  
                    Alibaba Pictures Group Ltd.
                    
                      
                    
                    161301.46000000
                    USD
                    6287.92000000
                    USD
                  
                  
                    Swire Properties Ltd.
                    
                      
                    
                    692430.77000000
                    USD
                    -2162.13000000
                    USD
                  
                  
                    AIA Group Ltd.
                    
                      
                    
                    5016281.91000000
                    USD
                    -629277.86000000
                    USD
                  
                  
                    Chinasoft International Ltd.
                    
                      
                    
                    536057.91000000
                    USD
                    22868.94000000
                    USD
                  
                  
                    Kingsoft Corp. Ltd.
                    
                      
                    
                    520539.59000000
                    USD
                    14066.71000000
                    USD
                  
                  
                    CK Hutchison Holdings Ltd.
                    
                      
                    
                    7685343.20000000
                    USD
                    582226.83000000
                    USD
                  
                  
                    Haitong Securities Co. Ltd., Class H
                    
                      
                    
                    433452.46000000
                    USD
                    -20868.24000000
                    USD
                  
                  
                    CSPC Pharmaceutical Group Ltd.
                    
                      
                    
                    1265014.39000000
                    USD
                    56146.14000000
                    USD
                  
                  
                    Tencent Holdings Ltd.
                    
                      
                    
                    165939.64000000
                    USD
                    10882.62000000
                    USD
                  
                  
                    People's Insurance Co. Group of China Ltd. (The), Class H
                    
                      
                    
                    1348163.57000000
                    USD
                    103505.86000000
                    USD
                  
                  
                    Innovent Biologics, Inc.
                    
                      
                    
                    523278.30000000
                    USD
                    14619.35000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-01-13
            0.00000000
            USD
            0.00000000
            USD
            173500302.00000000
            USD
            2365527.96000000
          
        
        
          N
          N
          N
        
      
      
        Amplifon SpA
        ZYXJDNVM2JI3VBM8G556
        Amplifon SpA
        N/A
        
          
          
        
        -57441.00000000
        NS
        
        -2556404.30000000
        -0.33323540111
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        36882.70000000
        0.004807776817
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5585402.25000000
            USD
            49521477.00000000
            NOK
            2022-06-15
            36882.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21928.54000000
        0.002858454675
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1769716.00000000
            EUR
            1985222.09000000
            USD
            2022-06-15
            21928.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3643.02000000
        -0.00047487920
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2115669.66000000
            USD
            13479030.00000000
            CNY
            2022-06-15
            -3643.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        10946.84000000
        0.001426955281
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            36450000.00000000
            NOK
            4149197.53000000
            USD
            2022-06-15
            10946.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15991.89000000
        0.002084593535
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5599276.00000000
            GBP
            7369364.28000000
            USD
            2022-06-15
            15991.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1060.05000000
        -0.00013818087
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2376545.76000000
            USD
            3170500.00000000
            AUD
            2022-06-15
            -1060.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        284997.15000000
        0.037150281587
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3989181.68000000
            USD
            20784434.00000000
            BRL
            2022-06-15
            284997.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44215.47000000
        0.005763626622
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4455998.29000000
            USD
            4056500.00000000
            EUR
            2022-06-15
            44215.47000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17232.13000000
        0.002246262749
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            338834.91000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            17232.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11181.75000000
        0.001457576544
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            463231.43000000
            USD
            2008000.00000000
            PLN
            2022-06-15
            11181.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        33600000.00000000
        PA
        
        -303999.37000000
        -0.03962728117
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-06-13
            0.00000000
            USD
            573739.85000000
            USD
            33600000.00000000
            CAD
            -303999.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11163.80000000
        0.001455236705
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            949275.79000000
            USD
            3058000.00000000
            ILS
            2022-06-15
            11163.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8287.66000000
        0.001080322742
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7153000.00000000
            GBP
            9402122.28000000
            USD
            2022-06-15
            8287.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -5.00000000
        NC
        USD
        -46587.86000000
        -0.00607287517
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-16
            -1296729.98000000
            USD
            -46587.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15326.90000000
        0.001997909982
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            503838.12000000
            USD
            1653000.00000000
            ILS
            2022-06-15
            15326.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        130423.04000000
        0.017001056542
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4613578.00000000
            GBP
            6189305.85000000
            USD
            2022-06-15
            130423.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        68525.60000000
        0.008932529100
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4132168.00000000
            GBP
            5495186.14000000
            USD
            2022-06-15
            68525.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        259165.67000000
        0.033783066316
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2033785000.00000000
            JPY
            16997757.21000000
            USD
            2022-06-15
            259165.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -276.85000000
        -0.00003608827
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            80500.00000000
            ILS
            25006.14000000
            USD
            2022-06-15
            -276.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        76759.46000000
        0.010005838842
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6310740996.00000000
            KRW
            5267956.07000000
            USD
            2022-06-15
            76759.46000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796R35
        
          
          
        
        27072000.00000000
        PA
        USD
        27052542.00000000
        3.526384572515
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1064.52000000
        -0.00013876355
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            490625.00000000
            ZAR
            32196.34000000
            USD
            2022-06-15
            -1064.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2585.01000000
        0.000336964244
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1949000.00000000
            GBP
            2562152.14000000
            USD
            2022-06-15
            2585.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20610.36000000
        0.002686625735
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            12655500.00000000
            NOK
            1457417.81000000
            USD
            2022-06-15
            20610.36000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46.41000000
        0.000006049690
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            12041.69000000
            USD
            345000.00000000
            TWD
            2022-06-15
            46.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -34661.63000000
        -0.00451825330
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3235770.93000000
            USD
            30041722.00000000
            SEK
            2022-06-15
            -34661.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        77372.82000000
        0.010085792262
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4834588.00000000
            GBP
            6426501.87000000
            USD
            2022-06-15
            77372.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -34493.30000000
        -0.00449631095
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2459500.00000000
            BRL
            471286.31000000
            USD
            2022-06-15
            -34493.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Basket Swap
        000000000
        
          
        
        81507499.43000000
        PA
        
        151665.05000000
        0.019770019856
        N/A
        DE
        
        GB
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                N/A
                N/A
                Rec/pay the total return of custom basket plus AOISR +/- spread (-0.13% to 0.04%). AUD Currency. Maturity 35-61 Months 01/13/25 to 04/01/27
                
                  
                    Atlas Arteria Ltd.
                    
                      
                    
                    1977267.92000000
                    USD
                    27499.96000000
                    USD
                  
                  
                    Treasury Wine Estates Ltd.
                    
                      
                    
                    787935.93000000
                    USD
                    9363.07000000
                    USD
                  
                  
                    SEEK Ltd.
                    
                      
                    
                    1569328.57000000
                    USD
                    -105990.51000000
                    USD
                  
                  
                    Australia & New Zealand Banking Group Ltd.
                    
                      
                    
                    362096.59000000
                    USD
                    29351.41000000
                    USD
                  
                  
                    WiseTech Global Ltd.
                    
                      
                    
                    423022.31000000
                    USD
                    -16832.65000000
                    USD
                  
                  
                    APA Group
                    
                      
                    
                    5041508.03000000
                    USD
                    -358778.37000000
                    USD
                  
                  
                    Boral Ltd.
                    
                      
                    
                    566458.29000000
                    USD
                    -30302.45000000
                    USD
                  
                  
                    Washington H Soul Pattinson & Co. Ltd.
                    
                      
                    
                    650308.81000000
                    USD
                    -78896.67000000
                    USD
                  
                  
                    Medibank Pvt Ltd.
                    
                      
                    
                    2726857.00000000
                    USD
                    -13279.14000000
                    USD
                  
                  
                    CIMIC Group Ltd.
                    
                      
                    
                    103151.84000000
                    USD
                    404.33000000
                    USD
                  
                  
                    Seven Group Holdings Ltd.
                    
                      
                    
                    350486.80000000
                    USD
                    -16754.17000000
                    USD
                  
                  
                    Cochlear Ltd.
                    
                      
                    
                    1238016.23000000
                    USD
                    -45900.82000000
                    USD
                  
                  
                    Woolworths Group Ltd.
                    
                      
                    
                    785744.56000000
                    USD
                    -27303.56000000
                    USD
                  
                  
                    CSL Ltd.
                    
                      
                    
                    762834.10000000
                    USD
                    -26938.92000000
                    USD
                  
                  
                    Santos Ltd.
                    
                      
                    
                    620109.81000000
                    USD
                    1780.77000000
                    USD
                  
                  
                    Cleanaway Waste Management Ltd.
                    
                      
                    
                    978519.71000000
                    USD
                    90117.57000000
                    USD
                  
                  
                    Coles Group Ltd.
                    
                      
                    
                    65276.86000000
                    USD
                    1971.48000000
                    USD
                  
                  
                    Incitec Pivot Ltd.
                    
                      
                    
                    1412498.20000000
                    USD
                    81339.93000000
                    USD
                  
                  
                    Transurban Group
                    
                      
                    
                    68383.57000000
                    USD
                    -1041.40000000
                    USD
                  
                  
                    Ramsay Health Care Ltd.
                    
                      
                    
                    504985.38000000
                    USD
                    -33928.27000000
                    USD
                  
                  
                    South32 Ltd.
                    
                      
                    
                    1473512.93000000
                    USD
                    44220.98000000
                    USD
                  
                  
                    Computershare Ltd.
                    
                      
                    
                    370614.34000000
                    USD
                    55074.74000000
                    USD
                  
                  
                    Insurance Australia Group Ltd.
                    
                      
                    
                    2071067.95000000
                    USD
                    -48244.11000000
                    USD
                  
                  
                    carsales.com Ltd.
                    
                      
                    
                    535343.77000000
                    USD
                    18333.97000000
                    USD
                  
                  
                    Northern Star Resources Ltd.
                    
                      
                    
                    904896.84000000
                    USD
                    12818.49000000
                    USD
                  
                  
                    BHP Group Ltd.
                    
                      
                    
                    312658.64000000
                    USD
                    20698.69000000
                    USD
                  
                  
                    AMP Ltd.
                    
                      
                    
                    160394.60000000
                    USD
                    -8739.78000000
                    USD
                  
                  
                    Mineral Resources Ltd.
                    
                      
                    
                    275153.36000000
                    USD
                    27979.37000000
                    USD
                  
                  
                    Qube Holdings Ltd.
                    
                      
                    
                    3186325.20000000
                    USD
                    164535.28000000
                    USD
                  
                  
                    Newcrest Mining Ltd.
                    
                      
                    
                    49952.68000000
                    USD
                    -288.74000000
                    USD
                  
                  
                    Suncorp Group Ltd.
                    
                      
                    
                    182414.71000000
                    USD
                    13147.08000000
                    USD
                  
                  
                    Origin Energy Ltd.
                    
                      
                    
                    385662.47000000
                    USD
                    3820.56000000
                    USD
                  
                  
                    AGL Energy Ltd.
                    
                      
                    
                    596811.95000000
                    USD
                    28934.40000000
                    USD
                  
                  
                    Brambles Ltd.
                    
                      
                    
                    2442610.28000000
                    USD
                    46472.84000000
                    USD
                  
                  
                    Commonwealth Bank of Australia
                    
                      
                    
                    152149.58000000
                    USD
                    -10930.77000000
                    USD
                  
                  
                    OZ Minerals Ltd.
                    
                      
                    
                    327981.39000000
                    USD
                    -7528.55000000
                    USD
                  
                  
                    Lendlease Corp. Ltd.
                    
                      
                    
                    95688.15000000
                    USD
                    -686.26000000
                    USD
                  
                  
                    IGO Ltd.
                    
                      
                    
                    1121225.66000000
                    USD
                    -74932.09000000
                    USD
                  
                  
                    Tabcorp Holdings Ltd.
                    
                      
                    
                    3095370.90000000
                    USD
                    188982.62000000
                    USD
                  
                  
                    Magellan Financial Group Ltd.
                    
                      
                    
                    1590940.33000000
                    USD
                    51090.64000000
                    USD
                  
                  
                    Evolution Mining Ltd.
                    
                      
                    
                    1109046.82000000
                    USD
                    22113.41000000
                    USD
                  
                  
                    Domino's Pizza Enterprises Ltd.
                    
                      
                    
                    713884.24000000
                    USD
                    55883.25000000
                    USD
                  
                  
                    Telstra Corp. Ltd.
                    
                      
                    
                    1564267.75000000
                    USD
                    8676.09000000
                    USD
                  
                  
                    James Hardie Industries plc
                    
                      
                    
                    1123699.08000000
                    USD
                    70148.17000000
                    USD
                  
                  
                    Qantas Airways Ltd.
                    
                      
                    
                    1654792.80000000
                    USD
                    -153794.38000000
                    USD
                  
                  
                    Ampol Ltd.
                    
                      
                    
                    295445.50000000
                    USD
                    19161.62000000
                    USD
                  
                  
                    IDP Education Ltd.
                    
                      
                    
                    3976963.30000000
                    USD
                    -337906.48000000
                    USD
                  
                  
                    Orica Ltd.
                    
                      
                    
                    251582.17000000
                    USD
                    -18384.15000000
                    USD
                  
                  
                    NEXTDC Ltd.
                    
                      
                    
                    719480.90000000
                    USD
                    -33935.19000000
                    USD
                  
                  
                    Lynas Rare Earths Ltd.
                    
                      
                    
                    1673815.59000000
                    USD
                    -119471.23000000
                    USD
                  
                  
                    Macquarie Group Ltd.
                    
                      
                    
                    191613.65000000
                    USD
                    -21969.88000000
                    USD
                  
                  
                    Fortescue Metals Group Ltd.
                    
                      
                    
                    1390091.44000000
                    USD
                    117666.47000000
                    USD
                  
                  
                    REA Group Ltd.
                    
                      
                    
                    987155.77000000
                    USD
                    -39552.12000000
                    USD
                  
                  
                    Wesfarmers Ltd.
                    
                      
                    
                    1004420.69000000
                    USD
                    -14911.37000000
                    USD
                  
                  
                    Harvey Norman Holdings Ltd.
                    
                      
                    
                    1801316.96000000
                    USD
                    13583.42000000
                    USD
                  
                  
                    Pro Medicus Ltd.
                    
                      
                    
                    2644.56000000
                    USD
                    -12.28000000
                    USD
                  
                  
                    Pilbara Minerals Ltd.
                    
                      
                    
                    2427809.69000000
                    USD
                    -247304.32000000
                    USD
                  
                  
                    Xero Ltd.
                    
                      
                    
                    1795334.25000000
                    USD
                    -74711.08000000
                    USD
                  
                  
                    QBE Insurance Group Ltd.
                    
                      
                    
                    1350123.52000000
                    USD
                    -127273.36000000
                    USD
                  
                  
                    BlueScope Steel Ltd.
                    
                      
                    
                    2462389.44000000
                    USD
                    197208.26000000
                    USD
                  
                  
                    Aristocrat Leisure Ltd.
                    
                      
                    
                    1646516.01000000
                    USD
                    45400.75000000
                    USD
                  
                  
                    Sonic Healthcare Ltd.
                    
                      
                    
                    671356.16000000
                    USD
                    41167.17000000
                    USD
                  
                  
                    JB Hi-Fi Ltd.
                    
                      
                    
                    3929125.11000000
                    USD
                    317228.62000000
                    USD
                  
                  
                    Worley Ltd.
                    
                      
                    
                    1891607.36000000
                    USD
                    49789.51000000
                    USD
                  
                  
                    Alumina Ltd.
                    
                      
                    
                    1249088.98000000
                    USD
                    -22775.20000000
                    USD
                  
                  
                    Reece Ltd.
                    
                      
                    
                    1496839.09000000
                    USD
                    -9396.00000000
                    USD
                  
                  
                    Aurizon Holdings Ltd.
                    
                      
                    
                    3801522.36000000
                    USD
                    196619.49000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2025-01-13
            0.00000000
            USD
            0.00000000
            USD
            81507499.00000000
            USD
            -56109.85999999
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Long Gilt
        N/A
        
          
          
          
        
        -1805.00000000
        NC
        
        1968544.37000000
        0.256605996459
        N/A
        DIR
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Short
            
              
                N/A
                Long Gilt
                
                  
                
              
            
            2022-06-28
            -219199200.00000000
            GBP
            1968544.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -1.00000000
        NC
        USD
        -10946.85000000
        -0.00142695658
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-05-23
            -259262.50000000
            USD
            -10946.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Canadian Bankers Acceptance
        N/A
        
          
          
        
        -396.00000000
        NC
        
        37500.75000000
        0.004888341593
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              Canadian Derivatives Clearing
              5493004XJK1P32XQLA57
            
            Short
            
              
                N/A
                3 Month Canadian Bankers Acceptance
                
                  
                
              
            
            2022-12-19
            -96109200.00000000
            CAD
            37500.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -84867.74000000
        -0.01106277883
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1752326.57000000
            USD
            559520278.00000000
            HUF
            2022-06-15
            -84867.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15694.91000000
        0.002045881251
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            340372.13000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            15694.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1079860.46000000
        0.140763232771
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            28157604.94000000
            USD
            39022497.00000000
            AUD
            2022-06-15
            1079860.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        778.29000000
        0.000101452567
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            210500.00000000
            CAD
            169127.03000000
            USD
            2022-06-15
            778.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -11804.58000000
        -0.00153876440
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1835126.82000000
            USD
            139781086.00000000
            INR
            2022-06-15
            -11804.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -179.31000000
        -0.00002337362
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            15718.65000000
            USD
            443500.00000000
            TWD
            2022-06-15
            -179.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8299.41000000
        0.001081854392
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7153000.00000000
            GBP
            9402134.03000000
            USD
            2022-06-15
            8299.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -372884.94000000
        -0.04860673350
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15139500.00000000
            NZD
            10106247.00000000
            USD
            2022-06-15
            -372884.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1523.54000000
        0.000198598266
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            264173.78000000
            USD
            239500.00000000
            EUR
            2022-06-15
            1523.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8455.31000000
        -0.00110217645
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2120482.10000000
            USD
            13479031.00000000
            CNY
            2022-06-15
            -8455.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3059.65000000
        -0.00039883507
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3315103.36000000
            USD
            4420500.00000000
            AUD
            2022-06-15
            -3059.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        73900000.00000000
        PA
        
        -429820.93000000
        -0.05602852022
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-09-23
            0.00000000
            USD
            1883286.94000000
            USD
            73900000.00000000
            GBP
            -429820.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -14.00000000
        NC
        USD
        -145588.33000000
        -0.01897790014
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-04-13
            -3629713.50000000
            USD
            -145588.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15205.53000000
        0.001982089018
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1599000.00000000
            EUR
            1789109.59000000
            USD
            2022-06-15
            15205.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6191.79000000
        -0.00080711944
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520062.00000000
            BRL
            100755.46000000
            USD
            2022-06-15
            -6191.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41297.62000000
        0.005383275628
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338342.00000000
            EUR
            1526032.02000000
            USD
            2022-06-15
            41297.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        37729.06000000
        0.004918102525
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1298016.00000000
            EUR
            1477726.46000000
            USD
            2022-06-15
            37729.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1266.99000000
        -0.00016515616
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            131225.84000000
            USD
            1917000.00000000
            ZAR
            2022-06-15
            -1266.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -49374.39000000
        -0.00643610819
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4111500.00000000
            CHF
            4414157.80000000
            USD
            2022-06-15
            -49374.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1883.01000000
        -0.00024545632
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            34329000.00000000
            INR
            445908.83000000
            USD
            2022-06-15
            -1883.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -217186.60000000
        -0.02831096152
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6445162.37000000
            USD
            4742335.00000000
            GBP
            2022-06-15
            -217186.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -316618.66000000
        -0.04127224561
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            10750000.00000000
            AUD
            7737780.14000000
            USD
            2022-06-15
            -316618.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1778.55000000
        -0.00023183962
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200749.00000000
            CLP
            56208.43000000
            USD
            2022-06-15
            -1778.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1803.09000000
        -0.00023503849
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            46200750.00000000
            CLP
            56183.89000000
            USD
            2022-06-15
            -1803.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13374.48000000
        -0.00174340584
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3269599.33000000
            USD
            4346000.00000000
            AUD
            2022-06-15
            -13374.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -946958.64000000
        -0.12343905940
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            16760941.52000000
            USD
            1921442500.00000000
            JPY
            2022-06-15
            -946958.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -15185.94000000
        -0.00197953539
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1048500.00000000
            BRL
            200431.02000000
            USD
            2022-06-15
            -15185.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        806.33000000
        0.000105107670
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2037000.00000000
            CNY
            319983.47000000
            USD
            2022-06-15
            806.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        7496850000.00000000
        PA
        
        141970.45000000
        0.018506298026
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-09
            0.00000000
            USD
            0.00000000
            USD
            7496850000.00000000
            KRW
            141970.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22319.61000000
        0.002909431888
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1769714.00000000
            EUR
            1985610.95000000
            USD
            2022-06-15
            22319.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4469.84000000
        0.000582657807
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1307190.00000000
            EUR
            1454644.73000000
            USD
            2022-06-15
            4469.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        130621.63000000
        0.017026943378
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4585952.00000000
            GBP
            6153223.99000000
            USD
            2022-06-15
            130621.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40699.01000000
        0.005305244918
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            20987000.00000000
            NOK
            2423400.45000000
            USD
            2022-06-15
            40699.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -18.68000000
        -0.00000243499
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            21500.00000000
            MXN
            1048.06000000
            USD
            2022-06-15
            -18.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7150.70000000
        0.000932116403
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            493092.90000000
            USD
            7379005.00000000
            ZAR
            2022-06-15
            7150.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20669.48000000
        0.002694332214
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            335397.56000000
            USD
            5252282.00000000
            ZAR
            2022-06-15
            20669.48000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796U49
        
          
          
        
        53349000.00000000
        PA
        USD
        53118472.03000000
        6.924161148412
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-09-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21607.86000000
        0.002816653020
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1378898.00000000
            EUR
            1551334.41000000
            USD
            2022-06-15
            21607.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2653.45000000
        0.000345885615
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2921334.74000000
            USD
            27441000.00000000
            SEK
            2022-06-15
            2653.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3695.32000000
        -0.00048169667
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            168741.98000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3695.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4948.95000000
        -0.00064511131
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4133500.00000000
            MXN
            200138.08000000
            USD
            2022-06-15
            -4948.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        3400000.00000000
        PA
        USD
        -47325.61000000
        -0.00616904322
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2032-09-21
            0.00000000
            USD
            157643.00000000
            USD
            3400000.00000000
            USD
            -47325.61000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        46937.25000000
        0.006118419270
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3123554.76000000
            USD
            4580500.00000000
            NZD
            2022-06-15
            46937.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2664.03000000
        0.000347264752
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            360033.89000000
            USD
            524000.00000000
            NZD
            2022-06-15
            2664.03000000
          
        
        
          N
          N
          N
        
      
      
        DiaSorin SpA
        8156002878BDF0EE4348
        DiaSorin SpA
        N/A
        
          
          
        
        -1320.00000000
        NS
        
        -206175.06000000
        -0.02687557238
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        29941.55000000
        0.003902975919
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5533255.09000000
            USD
            49001023.00000000
            NOK
            2022-06-15
            29941.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6824.84000000
        -0.00088963952
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            9089000.00000000
            MXN
            444133.44000000
            USD
            2022-06-15
            -6824.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        86855.89000000
        0.011321940486
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            6976593.44000000
            USD
            8832000.00000000
            CAD
            2022-06-15
            86855.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -609115.41000000
        -0.07940012382
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            11846802.25000000
            USD
            1365409920.00000000
            JPY
            2022-06-15
            -609115.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22322.09000000
        0.002909755164
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1769714.00000000
            EUR
            1985613.43000000
            USD
            2022-06-15
            22322.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        216.31000000
        0.000028196693
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4993.35000000
            USD
            105000.00000000
            MXN
            2022-06-15
            216.31000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796K57
        
          
          
        
        38610000.00000000
        PA
        USD
        38542239.45000000
        5.024103043133
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-07-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -48979.62000000
        -0.00638464867
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            18833261.00000000
            ILS
            5866065.96000000
            USD
            2022-06-15
            -48979.62000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40718.31000000
        0.005307760734
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            743784500.00000000
            JPY
            6162262.59000000
            USD
            2022-06-15
            40718.31000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        78155.59000000
        0.010187828812
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1393412.71000000
            USD
            21706844.00000000
            ZAR
            2022-06-15
            78155.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3716.87000000
        -0.00048450578
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            168763.53000000
            USD
            4710510.00000000
            TWD
            2022-06-15
            -3716.87000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRSIMM
        N/A
        
          
        
        171900000.00000000
        PA
        
        -2451799.26000000
        -0.31959980268
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2024-06-13
            0.00000000
            USD
            88647.20000000
            USD
            171900000.00000000
            AUD
            -2451799.26000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -34657.58000000
        -0.00451772537
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3235766.88000000
            USD
            30041722.00000000
            SEK
            2022-06-15
            -34657.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS
        N/A
        
          
        
        54693100000.00000000
        PA
        
        344539.55000000
        0.044911822103
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2024-09-24
            101472.79000000
            USD
            0.00000000
            USD
            54693100000.00000000
            JPY
            344539.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        243.12000000
        0.000031691462
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1148000.00000000
            TWD
            40466.70000000
            USD
            2022-06-15
            243.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        134456.66000000
        0.017526851690
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4601814.00000000
            GBP
            6177890.14000000
            USD
            2022-06-15
            134456.66000000
          
        
        
          N
          N
          N
        
      
      
        Ferrari NV
        549300RIVY5EX8RCON76
        Ferrari NV
        N/A
        
          
          
        
        -13822.00000000
        NS
        
        -3011256.52000000
        -0.39252682930
        Short
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        HSCEI
        N/A
        
          
          
        
        -75.00000000
        NC
        
        -9773.74000000
        -0.00127403797
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              HKCC & SEOCH
              213800NM8ZN1F16ARD34
            
            Short
            
              
                HSCEI
                HK0000004330
              
            
            2022-04-28
            -28203750.00000000
            HKD
            -9773.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4241.46000000
        0.000552887751
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            5274436.00000000
            TWD
            189046.94000000
            USD
            2022-06-15
            4241.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -120.22000000
        -0.00001567105
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            18431.71000000
            USD
            6144468.00000000
            HUF
            2022-06-15
            -120.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7848.00000000
        0.001023011668
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            487417.20000000
            USD
            619270.00000000
            CAD
            2022-06-15
            7848.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3275.42000000
        -0.00042696137
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2235321.00000000
            ILS
            698781.73000000
            USD
            2022-06-15
            -3275.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
          
          
        
        -21.00000000
        NC
        USD
        -130159.67000000
        -0.01696672542
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2022-06-10
            -5447662.50000000
            USD
            -130159.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        53.85000000
        0.000007019518
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4971.34000000
            USD
            16000.00000000
            ILS
            2022-06-15
            53.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -32010.90000000
        -0.00417272224
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            13779986.71000000
            USD
            129021795.00000000
            SEK
            2022-06-15
            -32010.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        70611.74000000
        0.009204464060
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1227962.31000000
            USD
            435740000.00000000
            HUF
            2022-06-15
            70611.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        53565.28000000
        0.006982403983
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2252550.48000000
            USD
            20312428.00000000
            NOK
            2022-06-15
            53565.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3041.09000000
        -0.00039641571
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            391104.00000000
            ILS
            119794.67000000
            USD
            2022-06-15
            -3041.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -416796.66000000
        -0.05433076535
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            13943000.00000000
            AUD
            10029945.90000000
            USD
            2022-06-15
            -416796.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -17784.06000000
        -0.00231820857
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1085923500.00000000
            JPY
            8919655.20000000
            USD
            2022-06-15
            -17784.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3076.92000000
        0.000401086271
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1292881000.00000000
            KRW
            1066596.95000000
            USD
            2022-06-15
            3076.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8377.83000000
        0.001092076687
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1751538.20000000
            USD
            5603500.00000000
            ILS
            2022-06-15
            8377.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        43244.12000000
        0.005637008071
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3312500.00000000
            PLN
            825860.48000000
            USD
            2022-06-15
            43244.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        377648.73000000
        0.049227708630
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3896530.51000000
            USD
            20784436.00000000
            BRL
            2022-06-15
            377648.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        23454.55000000
        0.003057374914
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            2077816.85000000
            USD
            19719980.00000000
            SEK
            2022-06-15
            23454.55000000
          
        
        
          N
          N
          N
        
      
      
        Eni SpA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        N/A
        
          
          
        
        308738.00000000
        NS
        
        4502396.19000000
        0.586901610346
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Total Return Swap
        000000000
        
          
          
        
        93504180.00000000
        PA
        
        5191776.44000000
        0.676764510409
        N/A
        DE
        
        US
        
        N
        
        2
        
          
            
              Merrill Lynch International
              549300J8H1BYG1YAFY05
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-17
            0.00000000
            USD
            0.00000000
            USD
            93504180.00000000
            CHF
            5191776.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        153685.34000000
        0.020033371059
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            7858892.41000000
            USD
            11575999.00000000
            NZD
            2022-06-15
            153685.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1216.57000000
        -0.00015858375
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            316000.00000000
            EUR
            349348.58000000
            USD
            2022-06-15
            -1216.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6449.23000000
        0.000840677566
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            474250.81000000
            USD
            601058.00000000
            CAD
            2022-06-15
            6449.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1980.40000000
        -0.00025815141
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6131000.00000000
            MXN
            302214.25000000
            USD
            2022-06-15
            -1980.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -102432.21000000
        -0.01335236315
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            8305129.12000000
            USD
            6246000.00000000
            GBP
            2022-06-15
            -102432.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -333338.02000000
        -0.04345166717
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            6357221.97000000
            USD
            731918500.00000000
            JPY
            2022-06-15
            -333338.02000000
          
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        N/A
        
          
          
        
        -36006.00000000
        NS
        
        -388423.75000000
        -0.05063226663
        Short
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        34162.11000000
        0.004453139289
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4650209.30000000
            USD
            4222500.00000000
            EUR
            2022-06-15
            34162.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -54536.75000000
        -0.00710903817
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            4103500.00000000
            BRL
            789320.38000000
            USD
            2022-06-15
            -54536.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 10 Year Notes
        N/A
        
          
          
        
        354.00000000
        NC
        USD
        -188984.12000000
        -0.02463467888
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                United States of America
                U.S. Treasury 10 Year Notes
                
                  
                
              
            
            2022-06-21
            43453500.00000000
            USD
            -188984.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        41.38000000
        0.000005394014
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4041.59000000
            USD
            13000.00000000
            ILS
            2022-06-15
            41.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8937.49000000
        -0.00116503014
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520062.00000000
            BRL
            98009.76000000
            USD
            2022-06-15
            -8937.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7534.23000000
        -0.00098211075
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            520063.00000000
            BRL
            99413.22000000
            USD
            2022-06-15
            -7534.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ETRSI
        N/A
        
          
        
        12084841.38000000
        PA
        
        1212440.21000000
        0.158045423296
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank
              E57ODZWZ7FF32TWEFA76
            
            
              
                MSCI Italy Net Return Index
                M7IT Index
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-15
            0.00000000
            USD
            0.00000000
            USD
            12084841.38000000
            EUR
            1212440.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6191.67000000
        -0.00080710380
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            520063.00000000
            BRL
            100755.78000000
            USD
            2022-06-15
            -6191.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20330.03000000
        0.002650083831
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            261187.62000000
            USD
            94464000.00000000
            HUF
            2022-06-15
            20330.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        39748.57000000
        0.005181352052
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1300720.00000000
            EUR
            1482745.75000000
            USD
            2022-06-15
            39748.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44.28000000
        0.000005772038
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            83000.00000000
            CNY
            13049.53000000
            USD
            2022-06-15
            44.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2.18000000
        0.000000284169
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3500.00000000
            TWD
            124.81000000
            USD
            2022-06-15
            2.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1110.80000000
        -0.00014479629
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            46200750.00000000
            CLP
            56876.18000000
            USD
            2022-06-15
            -1110.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -374.49000000
        -0.00004881595
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            15738.64000000
            USD
            438500.00000000
            TWD
            2022-06-15
            -374.49000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5901.38000000
        -0.00076926358
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1482622.10000000
            USD
            2001500.00000000
            SGD
            2022-06-15
            -5901.38000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        40798.34000000
        0.005318192898
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1338344.00000000
            EUR
            1525534.96000000
            USD
            2022-06-15
            40798.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        21.34000000
        0.000002781736
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            313500.00000000
            TWD
            11005.74000000
            USD
            2022-06-15
            21.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRSIMM
        N/A
        
          
        
        6400000.00000000
        PA
        
        -26254.78000000
        -0.00342239376
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2032-09-09
            116263.57000000
            USD
            0.00000000
            USD
            6400000.00000000
            AUD
            -26254.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11021.27000000
        0.001436657468
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            141369500.00000000
            INR
            1855062.98000000
            USD
            2022-06-15
            11021.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        45.07000000
        0.000005875017
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            663.71000000
            USD
            3000.00000000
            PLN
            2022-06-15
            45.07000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3502.78000000
        0.000456598472
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            109323.62000000
            USD
            2274000.00000000
            MXN
            2022-06-15
            3502.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1523.21000000
        0.000198555250
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            264174.11000000
            USD
            239500.00000000
            EUR
            2022-06-15
            1523.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -175382.49000000
        -0.02286166331
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            9572500.00000000
            CHF
            10216727.90000000
            USD
            2022-06-15
            -175382.49000000
          
        
        
          N
          N
          N
        
      
      
        CNH Industrial NV
        549300WGC2HZ5J67V817
        CNH Industrial NV
        N/A
        
          
          
        
        -65465.00000000
        NS
        
        -1031125.16000000
        -0.13441043198
        Short
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N