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International plc 4PQUHN3JPFGFNF3BB653 Pitney Bowes, Inc. Pitney Bowes, Inc. Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 0.00000000 USD 61470.39000000 USD 1500000.00000000 USD 20872.99000000 N N N N/A N/A N/A 650000.00000000 PA USD 9233.63000000 0.001150882672 N/A DCR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Vistra Operations Co. LLC Vistra Operations Co. LLC Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 106051.79000000 USD 0.00000000 USD 650000.00000000 USD 9233.63000000 N N N N/A N/A N/A 1000000.00000000 PA USD 14205.56000000 0.001770585658 N/A DCR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Vistra Operations Co. LLC Vistra Operations Co. 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International plc 4PQUHN3JPFGFNF3BB653 CCO Holdings LLC CCO Holdings LLC Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 227935.90000000 USD 0.00000000 USD 2000000.00000000 USD -37776.35000000 N N N N/A N/A N/A 2650000.00000000 PA USD 27671.74000000 0.003449014750 N/A DCR US N 2 J.P. Morgan 7H6GLXDRUGQFU57RNE97 Vistra Operations Co. LLC Vistra Operations Co. LLC Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 442338.02000000 USD 0.00000000 USD 2650000.00000000 USD 27671.74000000 N N N N/A N/A N/A 500000.00000000 PA USD 6269.16000000 0.000781390158 N/A DCR GB N 2 Morgan Stanley & Co. International plc 4PQUHN3JPFGFNF3BB653 Pitney Bowes, Inc. Pitney Bowes, Inc. 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Morgan 7H6GLXDRUGQFU57RNE97 Vistra Operations Co. LLC Vistra Operations Co. LLC Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 110329.55000000 USD 0.00000000 USD 650000.00000000 USD 4955.87000000 N N N N/A N/A N/A 878000.00000000 PA 47780.12000000 0.005955329829 N/A DCR US N 2 J.P. Morgan 7H6GLXDRUGQFU57RNE97 Eutelsat SA Eutelsat SA Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 110286.22000000 USD 0.00000000 USD 878000.00000000 EUR 47780.12000000 N N N N/A N/A N/A 14114000.00000000 PA 153628.52000000 0.019148309125 N/A DCR FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 iTraxx Europe Crossover44-V1 2I667KMH8 Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 2953499.31000000 USD 0.00000000 USD 14114000.00000000 EUR 153628.52000000 N N N N/A N/A N/A 1060000.00000000 PA 50540.41000000 0.006299373280 N/A DCR US N 2 J.P. Morgan 7H6GLXDRUGQFU57RNE97 Altice France SA Altice France SA Y Payout of notional amount upon default event with regard to the reference instrument 2027-12-20 18623.54000000 USD 0.00000000 USD 1060000.00000000 EUR 50540.41000000 N N N N/A N/A N/A 1000000.00000000 PA USD -12790.95000000 -0.00159426820 N/A DCR US N 2 J.P. Morgan 7H6GLXDRUGQFU57RNE97 Ally Financial, Inc. Ally Financial, Inc. Y Receipt of notional amount upon default event with regard to the reference instrument 2030-12-20 0.00000000 USD 144715.57000000 USD 1000000.00000000 USD -12790.95000000 N N N N/A N/A N/A 1300000.00000000 PA USD -20379.42000000 -0.00254009759 N/A DCR GB N 2 Goldman Sachs W22LROWP2IHZNBB6K528 Ally Financial, Inc. Ally Financial, Inc. Y Receipt of notional amount upon default event with regard to the reference instrument 2030-12-20 0.00000000 USD 184379.06000000 USD 1300000.00000000 USD -20379.42000000 N N N N/A N/A N/A 1500000.00000000 PA USD 5120.84000000 0.000638263177 N/A DCR US N 2 J.P. Morgan 7H6GLXDRUGQFU57RNE97 DXC Technology Co. DXC Technology Co. Y Receipt of notional amount upon default event with regard to the reference instrument 2030-12-20 0.00000000 USD 203763.41000000 USD 1500000.00000000 USD 5120.84000000 N N N N/A N/A N/A 300000.00000000 PA USD -28877.13000000 -0.00359925495 N/A DCR GB N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 Xerox Corp. Xerox Corp. Y Receipt of notional amount upon default event with regard to the reference instrument 2026-12-20 48392.31000000 USD 0.00000000 USD 300000.00000000 USD -28877.13000000 N N N N/A N/A N/A 300000.00000000 PA USD -5292.33000000 -0.00065963774 N/A DCR GB N 2 Goldman Sachs W22LROWP2IHZNBB6K528 CHS/Community Health Systems, Inc. CHS/Community Health Systems, Inc. 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BV Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 17210.23000000 USD 0.00000000 USD 624000.00000000 EUR -11987.33000000 N N N N/A N/A N/A 1257000.00000000 PA -7666.74000000 -0.00095558498 N/A DCR US N 2 J.P. Morgan 7H6GLXDRUGQFU57RNE97 Virgin Media Finance plc Virgin Media Finance plc Y Payout of notional amount upon default event with regard to the reference instrument 2028-12-20 100411.89000000 USD 0.00000000 USD 1257000.00000000 EUR -7666.74000000 N N N N/A N/A N/A 535000.00000000 PA 12720.50000000 0.001585487292 N/A DCR GB N 2 Morgan Stanley & Co. 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Morgan 7H6GLXDRUGQFU57RNE97 Altice France SA Altice France SA Y Payout of notional amount upon default event with regard to the reference instrument 2027-12-20 34766.54000000 USD 0.00000000 USD 760000.00000000 EUR 14822.71000000 N N N N/A N/A N/A 4500000.00000000 PA USD -33308.23000000 -0.00415154871 N/A DCR GB N 2 Goldman Sachs W22LROWP2IHZNBB6K528 Southwest Airlines Co. Southwest Airlines Co. Y Receipt of notional amount upon default event with regard to the reference instrument 2031-06-20 67003.48000000 USD 0.00000000 USD 4500000.00000000 USD -33308.23000000 N N N N/A N/A N/A 11070000.00000000 PA USD -81938.26000000 -0.01021281160 N/A DCR GB N 2 Goldman Sachs W22LROWP2IHZNBB6K528 Southwest Airlines Co. Southwest Airlines Co. Y Receipt of notional amount upon default event with regard to the reference instrument 2031-06-20 164828.58000000 USD 0.00000000 USD 11070000.00000000 USD -81938.26000000 N N N N/A N/A N/A 2000000.00000000 PA USD -14291.10000000 -0.00178124739 N/A DCR US N 2 Citibank E57ODZWZ7FF32TWEFA76 HP, Inc. HP, Inc. Y Receipt of notional amount upon default event with regard to the reference instrument 2031-06-20 8158.59000000 USD 0.00000000 USD 2000000.00000000 USD -14291.10000000 N N N N/A N/A N/A 4000000.00000000 PA USD 38726.75000000 0.004826914823 N/A DCR US N 2 Citibank E57ODZWZ7FF32TWEFA76 Amkor Technology, Inc. Amkor Technology, Inc. Y Payout of notional amount upon default event with regard to the reference instrument 2031-06-20 694148.16000000 USD 0.00000000 USD 4000000.00000000 USD 38726.75000000 N N N N/A N/A N/A 2500000.00000000 PA USD 24204.22000000 0.003016821920 N/A DCR US N 2 Citibank E57ODZWZ7FF32TWEFA76 Amkor Technology, Inc. Amkor Technology, Inc. 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International plc 4PQUHN3JPFGFNF3BB653 American Airlines Group, Inc. American Airlines Group, Inc. Y Receipt of notional amount upon default event with regard to the reference instrument 2031-06-20 12326.43000000 USD 0.00000000 USD 500000.00000000 USD -10112.43000000 N N N N/A N/A N/A 1000000.00000000 PA USD 5851.85000000 0.000729376503 N/A DCR GB N 2 Morgan Stanley & Co. International plc 4PQUHN3JPFGFNF3BB653 Tenet Healthcare Corp. Tenet Healthcare Corp. Y Payout of notional amount upon default event with regard to the reference instrument 2031-06-20 170315.85000000 USD 0.00000000 USD 1000000.00000000 USD 5851.85000000 N N N N/A N/A N/A 1650000.00000000 PA USD 9655.58000000 0.001203474658 N/A DCR GB N 2 Morgan Stanley & Co. International plc 4PQUHN3JPFGFNF3BB653 Tenet Healthcare Corp. Tenet Healthcare Corp. Y Payout of notional amount upon default event with regard to the reference instrument 2031-06-20 281021.14000000 USD 0.00000000 USD 1650000.00000000 USD 9655.58000000 N N N N/A N/A N/A 200000.00000000 PA USD -11236.57000000 -0.00140052977 N/A DCR GB N 2 Goldman Sachs W22LROWP2IHZNBB6K528 CHS/Community Health Systems, Inc. CHS/Community Health Systems, Inc. Y Receipt of notional amount upon default event with regard to the reference instrument 2026-06-20 8988.76000000 USD 0.00000000 USD 200000.00000000 USD -11236.57000000 N N N N/A N/A N/A 705000.00000000 PA USD -26790.92000000 -0.00333922905 N/A DCR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Discovery Global Holdings, Inc. Discovery Global Holdings, Inc. Y Receipt of notional amount upon default event with regard to the reference instrument 2031-06-20 82199.18000000 USD 0.00000000 USD 705000.00000000 USD -26790.92000000 N N N N/A N/A N/A 3000000.00000000 PA -79403.73000000 -0.00989690695 N/A DCR US N 2 J.P. Morgan 7H6GLXDRUGQFU57RNE97 International Consolidated Airlines Group SA International Consolidated Airlines Group SA Y Receipt of notional amount upon default event with regard to the reference instrument 2031-06-20 0.00000000 USD 590380.87000000 USD 3000000.00000000 EUR -79403.73000000 N N N N/A N/A N/A 1621000.00000000 PA -16994.60000000 -0.00211821251 N/A DCR US N 2 Citibank E57ODZWZ7FF32TWEFA76 Volkswagen International Finance NV Volkswagen International Finance NV Y Receipt of notional amount upon default event with regard to the reference instrument 2031-06-20 10457.86000000 USD 0.00000000 USD 1621000.00000000 EUR -16994.60000000 N N N N/A N/A N/A 3243000.00000000 PA -27618.24000000 -0.00344234649 N/A DCR US N 2 J.P. 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