(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
Air
Liquide
Monthly,
Receive
Variable
(0.435)%
(EUR
ESTR
+
(0.345)%)
Monthly,
1/17/24
259
(12)
—
(
12
)
Citibank,
Receive
Underlying
Reference:
AXA
Monthly,
Pay
Variable
(0.127)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
1,104
44
—
44
Citibank,
Receive
Underlying
Reference:
TotalEnergies
Monthly,
Pay
Variable
(0.127)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
932
10
—
10
Morgan
Stanley,
Pay
Underlying
Reference:
BNP
Paribas
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
245
(27)
—
(
27
)
Morgan
Stanley,
Pay
Underlying
Reference:
Remy
Cointreau
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
565
(60)
—
(
60
)
Morgan
Stanley,
Pay
Underlying
Reference:
Unibail-Rodamco-Westfield
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
276
(38)
—
(
38
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Sanofi
Monthly,
Pay
Variable
(0.177)%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
392
(8)
—
(
8
)
Total
France
—
(
172
)
Germany
0.0%
Bank
of
America,
Pay
Underlying
Reference:
Infineon
Technologies
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
676
(99)
—
(
99
)
Bank
of
America,
Pay
Underlying
Reference:
SAP
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
484
(20)
—
(
20
)
Citibank,
Pay
Underlying
Reference:
E.ON
Monthly,
Receive
Variable
(0.440)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
212
(16)
—
(
16
)
Citibank,
Pay
Underlying
Reference:
HelloFresh
Monthly,
Receive
Variable
(0.390)%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
237
51
—
51