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Form NPORT-P AMERICAN BEACON FUNDS For: Jun 30

August 8, 2022 1:01 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000809593
          XXXXXXXX
        
      
      
      
      
        S000064066
        C000207202
        C000213183
        C000207200
        C000207201
        C000213182
      
      
      
    
  
  
    
      AMERICAN BEACON FUNDS
      811-04984
      0000809593
      549300EXCES9V5RWB620
      220 EAST LAS COLINAS BOULEVARD
      SUITE 1200
      IRVING
      
      75039
      817-391-6100
      American Beacon AHL TargetRisk Fund
      S000064066
      549300OTXTODXR10Y134
      2022-12-31
      2022-06-30
      N
    
    
      1208054982.65
      496584113.80
      711470868.85
      0.00000000
      155680824.58000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      59429976.11000000
      
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          JPY
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bonds OAT
        000000000
        
          
        
        8196710.00000000
        PA
        
        8961926.85000000
        1.259633702850
        Long
        DBT
        NUSS
        FR
        Y
        
        2
        
          2031-07-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold SEK
        000000000
        
          
        
        1.00000000
        NC
        
        802.50000000
        0.000112794498
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1000000.00000000
            SEK
            98584.06000000
            USD
            2022-07-14
            802.50000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Swap
        000000000
        
          
        
        24750000.00000000
        OU
        Notional Amount
        USD
        -751750.56000000
        -0.10566146737
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.HY.S38
                2I65BRZG8
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -272190.58000000
            USD
            24750000.00000000
            USD
            -479559.98000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Future
        000000000
        
          
        
        33.00000000
        NC
        USD
        -223647.31000000
        -0.03143449996
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                CME E-Mini NASDAQ 100 Index Future
                NQU2 INDEX
              
            
            2022-09-16
            7833117.31000000
            USD
            -223647.31000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold AUD
        000000000
        
          
        
        1.00000000
        NC
        
        7382.23000000
        0.001037601161
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            338997.50000000
            AUD
            241383.24000000
            USD
            2022-07-14
            7382.23000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        Future
        000000000
        
          
        
        63.00000000
        NC
        USD
        -229081.31000000
        -0.03219826981
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNU2 Comdty
              
            
            2022-09-21
            9952737.56000000
            USD
            -229081.31000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased GBP / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        19701.17000000
        0.002769076129
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            2415172.00000000
            USD
            2000000.00000000
            GBP
            2022-07-14
            19701.17000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold AUD
        000000000
        
          
        
        1.00000000
        NC
        
        465.58000000
        0.000065439081
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            774097.49000000
            AUD
            534804.60000000
            USD
            2022-07-14
            465.58000000
          
        
        
          N
          N
          N
        
      
      
        Singapore Exchange Derivatives Clearing Limited
        549300ZLWT3FK3F0FW61
        Future
        000000000
        
          
        
        261.00000000
        NC
        USD
        97327.14000000
        0.013679708370
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing Limited
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                SGX FTSE China A50 Futures Contract
                XUN2 Index
              
            
            2022-07-28
            3787135.86000000
            USD
            97327.14000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        Future
        000000000
        
          
        
        219.00000000
        NC
        
        -349847.39000000
        -0.04917241243
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX EURO STOXX 50 Future
                VGU2 INDEX
              
            
            2022-09-16
            7870428.12000000
            EUR
            -349847.39000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Swap
        000000000
        
          
        
        20000000.00000000
        OU
        Notional Amount
        
        -649857.92000000
        -0.09134006021
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S37
                2I667KJP4
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            EUR
            -283766.56000000
            EUR
            20000000.00000000
            EUR
            -350636.50000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796U49
        
          
        
        50000000.00000000
        PA
        USD
        49832430.50000000
        7.004142078304
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-09-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Future
        000000000
        
          
        
        83.00000000
        NC
        USD
        -459525.35000000
        -0.06458807663
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                CME E-Mini Standard & Poor's 500 Index Future
                ESM2 INDEX
              
            
            2022-09-16
            16185950.35000000
            USD
            -459525.35000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796R68
        
          
        
        60000000.00000000
        PA
        USD
        59992637.40000000
        8.432198706458
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-07-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        Future
        000000000
        
          
        
        9.00000000
        NC
        
        -78286.77000000
        -0.01100351025
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Eurex 30 Year Euro BUXL Future
                UBU2 Comdty
              
            
            2022-09-08
            1546923.33000000
            EUR
            -78286.77000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -3539.26000000
        -0.00049745676
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            2000000.00000000
            EUR
            2093556.00000000
            USD
            2022-07-14
            -3539.26000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796T41
        
          
        
        84000000.00000000
        PA
        USD
        83850480.00000000
        11.78551134996
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold AUD
        000000000
        
          
        
        1.00000000
        NC
        
        2062.87000000
        0.000289944408
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            700000.00000000
            AUD
            485254.35000000
            USD
            2022-07-14
            2062.87000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2074.68000000
        0.000291604349
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            2500000.00000000
            EUR
            2623443.75000000
            USD
            2022-07-14
            2074.68000000
          
        
        
          N
          N
          N
        
      
      
        Korea Exchange (Futures Market)
        N/A
        Future
        000000000
        
          
        
        64.00000000
        NC
        
        -477538.39000000
        -0.06711987952
        N/A
        DE
        
        KR
        N
        
        1
        
          
            
              Korea Exchange (Futures Market)
              N/A
            
            Long
            
              
                KFE KOSPI 200 Index Future
                KMU2 INDEX
              
            
            2022-09-08
            5539235841.00000000
            KRW
            -477538.39000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -25285.36000000
        -0.00355395577
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1755307.98000000
            GBP
            2111690.79000000
            USD
            2022-07-14
            -25285.36000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        22424.25000000
        0.003151815623
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1449702.90000000
            EUR
            1542506.79000000
            USD
            2022-07-14
            22424.25000000
          
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        Future
        000000000
        
          
        
        95.00000000
        NC
        
        -612950.17000000
        -0.08615253228
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Long
            
              
                TSE TOPIX (Tokyo Price Index) Future
                TPU2 INDEX
              
            
            2022-09-08
            1860247345.00000000
            JPY
            -612950.17000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        4033.16000000
        0.000566876336
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            730000.00000000
            EUR
            769472.93000000
            USD
            2022-07-14
            4033.16000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796V55
        
          
        
        33000000.00000000
        PA
        USD
        32823752.61000000
        4.613506194997
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-10-13
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -541.91000000
        -0.00007616755
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            100000.00000000
            EUR
            104312.85000000
            USD
            2022-07-14
            -541.91000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        28302.87000000
        0.003978078546
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            5238204.06000000
            USD
            5022668.30000000
            EUR
            2022-07-14
            28302.87000000
          
        
        
          N
          N
          N
        
      
      
        FORWARDS STATE STREET COC USD
        N/A
        Collateral Position
        000000000
        
          
        
        6160000.00000000
        NS
        USD
        6160000.00000000
        0.865811977650
        Long
        STIV
        CORP
        GB
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Securities LLC
        ZBUT11V806EZRVTWT807
        Swap
        000000000
        
          
        
        54781500.00000000
        OU
        Notional Amount
        USD
        -8810381.50000000
        -1.23833341402
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              JPMorgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                Bloomberg Commodity ex-Agriculture and Livestock Capped Index
                BBUXALC INDEX
              
            
            Y
            equity-performance leg
            equity-performance leg
            2022-07-05
            0.00000000
            USD
            0.00000000
            USD
            54781500.00000000
            USD
            -8810381.50000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Swap
        000000000
        
          
        
        5000000.00000000
        OU
        Notional Amount
        
        121904.58000000
        0.017134163229
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S37
                2I667KJP4
              
            
            Y
            buy protection
            
            2027-06-20
            95062.88000000
            EUR
            0.00000000
            EUR
            5000000.00000000
            EUR
            22496.49000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        Future
        000000000
        
          
        
        62.00000000
        NC
        USD
        -102309.52000000
        -0.01438000127
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-09-21
            8697059.52000000
            USD
            -102309.52000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold SEK
        000000000
        
          
        
        1.00000000
        NC
        
        2407.50000000
        0.000338383496
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            3000000.00000000
            SEK
            295752.17000000
            USD
            2022-07-14
            2407.50000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2181.93000000
        -0.00030667875
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1000000.00000000
            EUR
            1046365.70000000
            USD
            2022-07-14
            -2181.93000000
          
        
        
          N
          N
          N
        
      
      
        FORWARDS JP MORGAN COC
        N/A
        Collateral Position
        000000000
        
          
        
        17650000.00000000
        NS
        USD
        17650000.00000000
        2.480776202197
        Long
        STIV
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        Future
        000000000
        
          
        
        48.00000000
        NC
        
        -160233.76000000
        -0.02252147867
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                French Government Bond Futures
                OATM2 COMDTY
              
            
            2022-09-08
            6802707.76000000
            EUR
            -160233.76000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796W62
        
          
        
        52000000.00000000
        PA
        USD
        51588907.24000000
        7.251021721154
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-11-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        Future
        000000000
        
          
        
        2.00000000
        NC
        
        319.36000000
        0.000044887291
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                SFE 3 Year Australian Bond Future
                YMU2 COMDTY
              
            
            2022-09-15
            214454.80000000
            AUD
            319.36000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -216.27000000
        -0.00003039759
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            500000.00000000
            AUD
            344920.50000000
            USD
            2022-07-14
            -216.27000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796V63
        
          
        
        50000000.00000000
        PA
        USD
        49705734.50000000
        6.986334462343
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-10-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold GBP
        000000000
        
          
        
        1.00000000
        NC
        
        12579.33000000
        0.001768073796
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            402545.94000000
            GBP
            502653.48000000
            USD
            2022-07-14
            12579.33000000
          
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        Future
        000000000
        
          
        
        54.00000000
        NC
        
        -107920.67000000
        -0.01516867024
        N/A
        DE
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                SFE S&P ASX Share Price Index 200 Future
                XPU2 INDEX
              
            
            2022-09-15
            8879291.26000000
            AUD
            -107920.67000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        Future
        000000000
        
          
        
        15.00000000
        NC
        
        -255418.62000000
        -0.03590008125
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX DAX Index Future
                GXU2 INDEX
              
            
            2022-09-16
            5033439.55000000
            EUR
            -255418.62000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796K57
        
          
        
        50000000.00000000
        PA
        USD
        49981538.00000000
        7.025099717826
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-07-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM I/L GILT
        ECTRVYYCEF89VWYS6K36
        U.K. Inflation-Linked Gilt
        000000000
        
          
        
        7968590.00000000
        PA
        
        11193073.23000000
        1.573230011243
        Long
        DBT
        NUSS
        GB
        Y
        
        2
        
          2031-08-10
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Euronext Eqf, Equities And Indices Derivatives
        N/A
        Future
        000000000
        
          
        
        28.00000000
        NC
        
        -14734.07000000
        -0.00207093089
        N/A
        DE
        
        NL
        N
        
        1
        
          
            
              Euronext Eqf, Equities And Indices Derivatives
              N/A
            
            Long
            
              
                Euronext Amsterdam Index Future
                EON2 Index
              
            
            2022-07-15
            3704325.52000000
            EUR
            -14734.07000000
          
        
        
          N
          N
          N
        
      
      
        South African Futures Exchange
        N/A
        Future
        000000000
        
          
        
        28.00000000
        NC
        
        -2494.12000000
        -0.00035055827
        N/A
        DE
        
        ZA
        N
        
        1
        
          
            
              South African Futures Exchange
              N/A
            
            Long
            
              
                SAFEX FTSE/JSE Top 40 Index Future
                AIU2 Index
              
            
            2022-09-15
            16829099.84000000
            ZAR
            -2494.12000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1842.50000000
        -0.00025897054
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            340000.00000000
            EUR
            354663.69000000
            USD
            2022-07-14
            -1842.50000000
          
        
        
          N
          N
          N
        
      
      
        Euronext N.V.
        724500QJ4QSZ3H9QU415
        Future
        000000000
        
          
        
        68.00000000
        NC
        
        -48395.63000000
        -0.00680219417
        N/A
        DE
        
        FR
        N
        
        1
        
          
            
              Euronext N.V.
              724500QJ4QSZ3H9QU415
            
            Long
            
              
                EUX CAC 40 Index Future
                CFN2 Index
              
            
            2022-07-15
            4067811.68000000
            EUR
            -48395.63000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3325.36000000
        -0.00046739229
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            2475574.22000000
            USD
            2357784.04000000
            EUR
            2022-07-14
            -3325.36000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796X61
        
          
        
        30000000.00000000
        PA
        USD
        29700500.10000000
        4.174520897532
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-12-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Swap
        000000000
        
          
        
        55000000.00000000
        OU
        Notional Amount
        USD
        -31620.60000000
        -0.00444439841
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S38
                2I65BYEA9
              
            
            Y
            
            sell protection
            2027-06-20
            145351.44000000
            USD
            0.00000000
            USD
            55000000.00000000
            USD
            -176972.04000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        9025.84000000
        0.001268616944
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            8477918.66000000
            USD
            8094000.00000000
            EUR
            2022-07-14
            9025.84000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -52853.59000000
        -0.00742877780
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            28000000.00000000
            EUR
            29306480.00000000
            USD
            2022-07-14
            -52853.59000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold CAD
        000000000
        
          
        
        1.00000000
        NC
        
        1401.48000000
        0.000196983469
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            700000.00000000
            CAD
            545236.10000000
            USD
            2022-07-14
            1401.48000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Swap
        000000000
        
          
        
        40000000.00000000
        OU
        Notional Amount
        
        -369627.17000000
        -0.05195253750
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S37
                2I666VDA0
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            EUR
            -184600.48000000
            EUR
            40000000.00000000
            EUR
            -174972.72000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -71216.20000000
        -0.01000971411
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            26000000.00000000
            GBP
            31582135.00000000
            USD
            2022-07-14
            -71216.20000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold GBP
        000000000
        
          
        
        1.00000000
        NC
        
        16829.91000000
        0.002365509360
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1310208.23000000
            GBP
            1611925.34000000
            USD
            2022-07-14
            16829.91000000
          
        
        
          N
          N
          N
        
      
      
        Italian Derivatives Market
        N/A
        Future
        000000000
        
          
        
        34.00000000
        NC
        
        -107301.61000000
        -0.01508165895
        N/A
        DE
        
        IT
        N
        
        1
        
          
            
              Italian Derivatives Market
              N/A
            
            Long
            
              
                MIL FTSE/MIB Index Future
                STU2 INDEX
              
            
            2022-09-16
            3707996.78000000
            EUR
            -107301.61000000
          
        
        
          N
          N
          N
        
      
      
        Hong Kong Futures Exchange Ltd.
        213800YTVSXYQN17BW16
        Future
        000000000
        
          
        
        73.00000000
        NC
        
        -46033.90000000
        -0.00647024383
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              Hong Kong Futures Exchange Ltd.
              213800YTVSXYQN17BW16
            
            Long
            
              
                HKG Hang Seng China Enterprises Index Future
                HCN2 Index
              
            
            2022-07-28
            28061075.75000000
            HKD
            -46033.90000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        Future
        000000000
        
          
        
        5.00000000
        NC
        USD
        -5007.16000000
        -0.00070377582
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-09-30
            566257.16000000
            USD
            -5007.16000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        Future
        000000000
        
          
        
        91.00000000
        NC
        
        -371870.36000000
        -0.05226782659
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Eurex 10 Year Euro BUND Future
                RXU2 Comdty
              
            
            2022-09-08
            13894683.67000000
            EUR
            -371870.36000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold CAD
        000000000
        
          
        
        1.00000000
        NC
        
        2432.60000000
        0.000341911398
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            227988.44000000
            CAD
            179558.33000000
            USD
            2022-07-14
            2432.60000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        -69932.49000000
        -0.00982928368
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            6642225.51000000
            USD
            6267996.65000000
            EUR
            2022-07-14
            -69932.49000000
          
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        N/A
        Future
        000000000
        
          
        
        116.00000000
        NC
        
        -4962.13000000
        -0.00069744668
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              N/A
            
            Long
            
              
                ICF FTSE 100 Index Future
                Z U2 INDEX
              
            
            2022-09-16
            8264445.91000000
            GBP
            -4962.13000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        Future
        000000000
        
          
        
        3.00000000
        NC
        
        -2667.06000000
        -0.00037486566
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Eurex 5 Year Euro BOBL Future
                OEU2 Comdty
              
            
            2022-09-08
            375121.11000000
            EUR
            -2667.06000000
          
        
        
          N
          N
          N
        
      
      
        SWAP CCPC GOLDMAN SACHS COC
        N/A
        Collateral Position
        000000000
        
          
        
        1200000.00000000
        NS
        USD
        1200000.00000000
        0.168664670970
        Long
        STIV
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        -24770.32000000
        -0.00348156489
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            5685970.29000000
            USD
            5399087.10000000
            EUR
            2022-07-14
            -24770.32000000
          
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        Future
        000000000
        
          
        
        44.00000000
        NC
        
        -139994.82000000
        -0.01967681687
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                Montreal Exchange 10 Year Canadian Bond Future
                CNU2 Comdty
              
            
            2022-09-20
            5636146.32000000
            CAD
            -139994.82000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        12590.41000000
        0.001769631133
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            2789457.50000000
            EUR
            2937469.46000000
            USD
            2022-07-14
            12590.41000000
          
        
        
          N
          N
          N
        
      
      
        Singapore Exchange Derivatives Clearing Limited
        549300ZLWT3FK3F0FW61
        Future
        000000000
        
          
        
        45.00000000
        NC
        USD
        -89379.75000000
        -0.01256267177
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing Limited
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                SGX FTSE Taiwan Index Futures
                TWTN2 Index
              
            
            2022-07-28
            2371779.75000000
            USD
            -89379.75000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased HKD / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        -503.13000000
        -0.00007071687
        N/A
        DFE
        
        HK
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1638078.32000000
            USD
            12846301.81000000
            HKD
            2022-07-14
            -503.13000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2364.24000000
        -0.00033230313
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1760072.19000000
            USD
            1676326.28000000
            EUR
            2022-07-14
            -2364.24000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased GBP / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        -39746.43000000
        -0.00558651544
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            3308061.24000000
            USD
            2684587.31000000
            GBP
            2022-07-14
            -39746.43000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        Future
        000000000
        
          
        
        13.00000000
        NC
        
        -2724.97000000
        -0.00038300514
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Future on STOXX Europe 600 ESG-X
                FUEU2 Index
              
            
            2022-09-16
            198386.50000000
            EUR
            -2724.97000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased GBP / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        -503.16000000
        -0.00007072109
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            6143688.17000000
            USD
            5046000.00000000
            GBP
            2022-07-14
            -503.16000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        Future
        000000000
        
          
        
        244.00000000
        NC
        USD
        -390034.59000000
        -0.05482087982
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-09-21
            29311659.59000000
            USD
            -390034.59000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796M89
        
          
        
        50000000.00000000
        PA
        USD
        49766284.00000000
        6.994844930255
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-10-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1832.82000000
        -0.00025760998
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1364447.02000000
            USD
            1299525.33000000
            EUR
            2022-07-14
            -1832.82000000
          
        
        
          N
          N
          N
        
      
      
        Singapore Exchange Derivatives Clearing Limited
        549300ZLWT3FK3F0FW61
        Future
        000000000
        
          
        
        86.00000000
        NC
        
        -556191.37000000
        -0.07817486201
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing Limited
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                SGX Nikkei 225 Stock Index Future
                NIU2 INDEX
              
            
            2022-09-08
            1206461379.00000000
            JPY
            -556191.37000000
          
        
        
          N
          N
          N
        
      
      
        Singapore Exchange Derivatives Clearing Limited
        549300ZLWT3FK3F0FW61
        Future
        000000000
        
          
        
        16.00000000
        NC
        USD
        -1666.86000000
        -0.00023428366
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing Limited
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                SGX Nifty 50 Index Futures
                IHN2 Index
              
            
            2022-07-28
            504786.86000000
            USD
            -1666.86000000
          
        
        
          N
          N
          N
        
      
      
        Nasdaq Stockholm AB
        549300KBQIVNEJEZVL96
        Future
        000000000
        
          
        
        237.00000000
        NC
        
        -183678.25000000
        -0.02581669300
        N/A
        DE
        
        SE
        N
        
        1
        
          
            
              Nasdaq Stockholm AB
              549300KBQIVNEJEZVL96
            
            Long
            
              
                OML Stockholm OMXS30 Index Future
                QCM2 Index
              
            
            2022-07-15
            46213074.53000000
            SEK
            -183678.25000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        33533.52000000
        0.004713266764
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            6129711.03000000
            USD
            5877887.07000000
            EUR
            2022-07-14
            33533.52000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -91.84000000
        -0.00001290846
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            100000.00000000
            SGD
            71886.67000000
            USD
            2022-07-14
            -91.84000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Inflation-Indexed Notes
        91282CDC2
        
          
        
        2115620.00000000
        PA
        USD
        2099807.94000000
        0.295136179418
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-10-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold JPY
        000000000
        
          
        
        1.00000000
        NC
        
        1699.95000000
        0.000238934589
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            20000000.00000000
            JPY
            149179.42000000
            USD
            2022-07-14
            1699.95000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Swap
        000000000
        
          
        
        5000000.00000000
        OU
        Notional Amount
        
        162464.48000000
        0.022835015053
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S37
                2I667KJP4
              
            
            Y
            buy protection
            
            2027-06-20
            128561.26000000
            EUR
            0.00000000
            EUR
            5000000.00000000
            EUR
            27751.56000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold SEK
        000000000
        
          
        
        1.00000000
        NC
        
        1851.65000000
        0.000260256615
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1500000.00000000
            SEK
            148523.99000000
            USD
            2022-07-14
            1851.65000000
          
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        Future
        000000000
        
          
        
        83.00000000
        NC
        
        7810.71000000
        0.001097825693
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                SFE 10 Year Australian Bond Future
                XMU2 COMDTY
              
            
            2022-09-15
            9856922.30000000
            AUD
            7810.71000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -2556.79000000
        -0.00035936678
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1000000.00000000
            CAD
            774349.82000000
            USD
            2022-07-14
            -2556.79000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796W70
        
          
        
        85000000.00000000
        PA
        USD
        84296288.40000000
        11.84817145588
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-11-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        Future
        000000000
        
          
        
        56.00000000
        NC
        
        -642792.23000000
        -0.09034694997
        N/A
        DE
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                MSE S&P/TSX 60 Index Future
                PTU2 INDEX
              
            
            2022-09-15
            13625169.84000000
            CAD
            -642792.23000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        Future
        000000000
        
          
        
        49.00000000
        NC
        
        -84551.23000000
        -0.01188400449
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-BTP Italian Bond Futures
                IKU2 Comdty
              
            
            2022-09-08
            6113755.45000000
            EUR
            -84551.23000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Bills
        912796S42
        
          
        
        50000000.00000000
        PA
        USD
        49972326.50000000
        7.023805005646
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-07-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold JPY
        000000000
        
          
        
        1.00000000
        NC
        
        5507.01000000
        0.000774031691
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            75000000.00000000
            JPY
            558555.00000000
            USD
            2022-07-14
            5507.01000000
          
        
        
          N
          N
          N
        
      
      
        Korea Exchange (Futures Market)
        N/A
        Future
        000000000
        
          
        
        2.00000000
        NC
        
        875.55000000
        0.000123061960
        N/A
        DIR
        
        KR
        N
        
        1
        
          
            
              Korea Exchange (Futures Market)
              N/A
            
            Long
            
              
                KFE 3 Year Treasury Bond Future
                KEU2 COMDTY
              
            
            2022-09-20
            205803192.00000000
            KRW
            875.55000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        -38960.55000000
        -0.00547605695
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            3700493.91000000
            USD
            3492004.81000000
            EUR
            2022-07-14
            -38960.55000000
          
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        N/A
        Future
        000000000
        
          
        
        66.00000000
        NC
        
        -346966.63000000
        -0.04876751040
        N/A
        DIR
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              N/A
            
            Long
            
              
                Long Gilt Future
                G U2 Comdty
              
            
            2022-09-28
            7808378.57000000
            GBP
            -346966.63000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased EUR / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        1809.85000000
        0.000254381462
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1699982.95000000
            USD
            1623000.00000000
            EUR
            2022-07-14
            1809.85000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -333.13000000
        -0.00004682271
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1000000.00000000
            EUR
            1048214.50000000
            USD
            2022-07-14
            -333.13000000
          
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        Future
        000000000
        
          
        
        21.00000000
        NC
        
        -81474.06000000
        -0.01145149626
        N/A
        DIR
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Long
            
              
                TSE Japanese 10 Year Bond Futures
                JBM2 COMDTY
              
            
            2022-09-12
            3131878659.00000000
            JPY
            -81474.06000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Future
        000000000
        
          
        
        2.00000000
        NC
        USD
        -9142.14000000
        -0.00128496336
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                E-mini S&P 500 ESG Index Futures
                SLBU2 Index
              
            
            2022-09-16
            340562.14000000
            USD
            -9142.14000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Inflation-Indexed Notes
        91282CDX6
        
          
        
        13555880.00000000
        PA
        USD
        12909328.10000000
        1.814456313702
        Long
        DBT
        UST
        US
        N
        
        2
        
          2032-01-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Singapore Exchange Derivatives Clearing Limited
        549300ZLWT3FK3F0FW61
        Future
        000000000
        
          
        
        75.00000000
        NC
        
        -48855.36000000
        -0.00686681101
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing Limited
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                SGX MSCI Singapore Index Future
                QZM2 Index
              
            
            2022-07-28
            2172117.00000000
            SGD
            -48855.36000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        Future
        000000000
        
          
        
        2.00000000
        NC
        USD
        -2421.44000000
        -0.00034034281
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUU2 Comdty
              
            
            2022-09-30
            422452.69000000
            USD
            -2421.44000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased GBP / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        19489.25000000
        0.002739289948
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            3645248.96000000
            USD
            3010208.71000000
            GBP
            2022-07-14
            19489.25000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHLAND I/L BOND
        529900AQBND3S6YJLY83
        Deutsche Bundesrepublik Bonds Inflation-Linked
        000000000
        
          
        
        8787440.00000000
        PA
        
        9960616.33000000
        1.400003396639
        Long
        DBT
        NUSS
        DE
        Y
        
        2
        
          2033-04-15
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold GBP
        000000000
        
          
        
        1.00000000
        NC
        
        4655.93000000
        0.000654409084
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            800000.00000000
            GBP
            978605.20000000
            USD
            2022-07-14
            4655.93000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        U.S. Treasury Inflation-Indexed Notes
        91282CEJ6
        
          
        
        10237600.00000000
        PA
        USD
        10098232.68000000
        1.419345910300
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-04-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hong Kong Futures Exchange Ltd.
        213800YTVSXYQN17BW16
        Future
        000000000
        
          
        
        28.00000000
        NC
        
        -76060.41000000
        -0.01069058668
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              Hong Kong Futures Exchange Ltd.
              213800YTVSXYQN17BW16
            
            Long
            
              
                HKG Hang Seng Index Future
                HIM2 Index
              
            
            2022-07-28
            31038442.23000000
            HKD
            -76060.41000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold AUD
        000000000
        
          
        
        1.00000000
        NC
        
        4669.98000000
        0.000656383866
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            500000.00000000
            AUD
            349806.75000000
            USD
            2022-07-14
            4669.98000000
          
        
        
          N
          N
          N
        
      
      
        Korea Exchange (Futures Market)
        N/A
        Future
        000000000
        
          
        
        59.00000000
        NC
        
        73971.99000000
        0.010397051128
        N/A
        DIR
        
        KR
        N
        
        1
        
          
            
              Korea Exchange (Futures Market)
              N/A
            
            Long
            
              
                KFE 10 Year Treasury Bond Future
                KAAU2 Comdty
              
            
            2022-09-20
            6440564770.00000000
            KRW
            73971.99000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased GBP / Sold USD
        000000000
        
          
        
        1.00000000
        NC
        
        114022.64000000
        0.016026325882
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            9470629.73000000
            USD
            7872814.48000000
            GBP
            2022-07-14
            114022.64000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        Purchased USD / Sold EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -46253.36000000
        -0.00650108978
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            24503424.39000000
            EUR
            25646754.17000000
            USD
            2022-07-14
            -46253.36000000
          
        
        
          N
          N
          N
        
      
    
    
      2022-07-15
      AMERICAN BEACON FUNDS
      Sonia Bates
      Sonia Bates
      Treasurer
    
  





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