0001752724-20-030286.txt : 20200221
0001752724-20-030286.hdr.sgml : 20200221
20200221162437
ACCESSION NUMBER: 0001752724-20-030286
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200221
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MAINSTAY VP FUNDS TRUST
CENTRAL INDEX KEY: 0000887340
IRS NUMBER: 133186036
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03833-01
FILM NUMBER: 20640355
BUSINESS ADDRESS:
STREET 1: 51 MADISON AVE
CITY: NEW YORK
STATE: NY
ZIP: 10010
BUSINESS PHONE: 2125767000
MAIL ADDRESS:
STREET 1: 51 MADISON AVE
CITY: NEW YORK
STATE: NY
ZIP: 10010
FORMER COMPANY:
FORMER CONFORMED NAME: MAINSTAY VP SERIES FUND INC
DATE OF NAME CHANGE: 20010518
FORMER COMPANY:
FORMER CONFORMED NAME: NEW YORK LIFE MFA SERIES FUND INC
DATE OF NAME CHANGE: 19920929
0000887340
S000063068
MainStay VP IQ Hedge Multi-Strategy Portfolio
C000204554
Initial Class
C000204555
Service Class
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000887340
XXXXXXXX
S000063068
C000204555
C000204554
MAINSTAY VP FUNDS TRUST
811-03833-01
0000887340
549300AG6K4RXYNOVN04
51 MADISON AVE
NEW YORK
10010
212-576-7000
MainStay VP IQ Hedge Multi-Strategy Portfolio
S000063068
549300O6VX5PX2Z8O034
2019-12-31
2019-12-31
N
434124380.49
34175464.77
399948915.72
0
0
0
0
0
0
0
0
0
0
0
0
0
293031.28
UST
Vanguard Growth ETF
5493000YNP0UJ6BI5W33
Vanguard Growth ETF
922908736
45213.00000000
NS
USD
8236452.21000000
2.059376056857
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
DBEF SWAP ML
000000000
768089.64000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Xtrackers MSCI EAFE Hedged Equity ETF
Xtrackers MSCI EAFE Hedged Equity ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
768089.64
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
BIL SWAP
000000000
1360661.26000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
1360661.26
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
RWX SWAP ML
000000000
970913.70000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Dow Jones International Real Estate ETF
SPDR Dow Jones International Real Estate ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
970913.7
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GLDM SWAP ML
000000000
16214.94000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Gold MiniShares Trust
SPDR Gold MiniShares Trust
Y
equity-performance leg
2020-03-31
0
USD
0
USD
16214.94
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
ELD SWAP ML
000000000
14052.54000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
WisdomTree Emerging Markets Local Debt Fund
WisdomTree Emerging Markets Local Debt Fund
Y
equity-performance leg
2020-03-31
0
USD
0
USD
14052.54
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
USRT SWAP ML
000000000
27567.95000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core US REIT ETF
iShares Core US REIT ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
27567.95
USD
0
N
N
N
Xtrackers MSCI EAFE Hedged Equity ETF
VB3LV8F59BT690138S60
Xtrackers MSCI EAFE Hedged Equity ETF
233051200
455608.00000000
NS
USD
15390438.24000000
3.848101003672
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
BIL SWAP ML
000000000
1360661.26000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
1360661.26
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IUSV SWAP
000000000
192021.94000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Core S&P U.S. Value ETF
iShares Core S&P U.S. Value ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
192021.94
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EZU SWAP ML
000000000
99392.32000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI Eurozone ETF
iShares MSCI Eurozone ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
99392.32
USD
0
N
N
N
Goldman Sachs Access Treasury 0-1 Year ETF
549300Q2J4ZAD8E71F28
Goldman Sachs Access Treasury 0-1 Year ETF
381430529
108924.00000000
NS
USD
10907649.36000000
2.727260640365
Long
EC
RF
US
N
1
N
N
N
SPDR Portfolio S&P 500 Growth ETF
549300VUPJJVH7HVPB06
SPDR Portfolio S&P 500 Growth ETF
78464A409
22575.00000000
NS
USD
946118.25000000
0.236559773714
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VGK SWAP ML
000000000
227661.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard FTSE Europe ETF
Vanguard FTSE Europe ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
227661
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPSB SWAP ML
000000000
164500.56000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Portfolio Short Term Corporate Bond ETF
SPDR Portfolio Short Term Corporate Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
164500.56
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VWO SWAP
000000000
652730.66000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard FTSE Emerging Markets ETF
Vanguard FTSE Emerging Markets ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
652730.66
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IUSV SWAP ML
000000000
192021.94000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core S&P U.S. Value ETF
iShares Core S&P U.S. Value ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
192021.94
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VB SWAP
000000000
85801.52000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Small-Cap ETF
Vanguard Small-Cap ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
85801.52
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VXX SWAP
000000000
113324.40000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IPATH SERIES B S&P 500 VIX
IPATH SERIES B S&P 500 VIX
Y
equity-performance leg
2020-09-15
0
USD
0
USD
113324.4
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SHYG SWAP
000000000
52419.47000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares 0-5 Year High Yield Corporate Bond ETF
iShares 0-5 Year High Yield Corporate Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
52419.47
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
AAXJ SWAP
000000000
438427.50000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI All Country Asia ex Japan ETF
iShares MSCI All Country Asia ex Japan ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
438427.5
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEFA SWAP
000000000
138765.48000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Core MSCI EAFE ETF
iShares Core MSCI EAFE ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
138765.48
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VCIT SWAP
000000000
301845.65000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Intermediate-Term Corporate Bond ETF
Vanguard Intermediate-Term Corporate Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
301845.65
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PFF SWAP
000000000
207384.03000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Preferred & Income Securities ETF
iShares Preferred & Income Securities ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
207384.03
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
USRT SWAP
000000000
27567.95000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Core US REIT ETF
iShares Core US REIT ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
27567.95
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GLD SWAP ML
000000000
607896.60000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Gold Shares
SPDR Gold Shares
Y
equity-performance leg
2020-03-31
0
USD
0
USD
607896.6
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SRLN SWAP
000000000
548153.44000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Blackstone / GSO Senior Loan ETF
SPDR Blackstone / GSO Senior Loan ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
548153.44
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
BKLN SWAP
000000000
1272078.08000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco Senior Loan ETF
Invesco Senior Loan ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
1272078.08
USD
0
N
N
N
SPDR Blackstone / GSO Senior Loan ETF
549300ME4SR63Y3TRD06
SPDR Blackstone / GSO Senior Loan ETF
78467V608
235803.00000000
NS
USD
10983703.74000000
2.746276663915
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SRLN SWAP ML
000000000
548153.44000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Blackstone / GSO Senior Loan ETF
SPDR Blackstone / GSO Senior Loan ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
548153.44
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VBR SWAP
000000000
938518.29000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Small-Cap Value ETF
Vanguard Small-Cap Value ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
938518.29
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PGX SWAP ML
000000000
69781.49000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco Preferred ETF
Invesco Preferred ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
69781.49
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPTL SWAP
000000000
21223.02000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Portfolio Long Term Treasury ETF
SPDR Portfolio Long Term Treasury ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
21223.02
USD
0
N
N
N
Financial Select Sector SPDR Fund
549300Y12KQ6ZG08NY28
Financial Select Sector SPDR Fund
81369Y605
115970.00000000
NS
USD
3569556.60000000
0.892503132199
Long
EC
RF
US
N
1
N
N
N
SPDR S&P China ETF
549300B1I89QUAK0X692
SPDR S&P China ETF
78463X400
12420.00000000
NS
USD
1274913.00000000
0.318768960207
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLV SWAP
000000000
259743.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Health Care Select Sector SPDR Fund
Health Care Select Sector SPDR Fund
Y
equity-performance leg
2020-09-15
0
USD
0
USD
259743
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEUR SWAP
000000000
61489.71000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Core MSCI Europe ETF
iShares Core MSCI Europe ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
61489.71
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IJS SWAP ML
000000000
427888.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares S&P Small-Cap 600 Value ETF
iShares S&P Small-Cap 600 Value ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
427888.8
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EWJ SWAP
000000000
236723.04000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI Japan ETF
iShares MSCI Japan ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
236723.04
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXE SWAP
000000000
333144.20000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco CurrencyShares Euro Currency Trust
Invesco CurrencyShares Euro Currency Trust
Y
equity-performance leg
2020-09-15
0
USD
0
USD
333144.2
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHC SWAP
000000000
443208.15000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Schwab International Small-Cap Equity ETF
Schwab International Small-Cap Equity ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
443208.15
USD
0
N
N
N
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
549300YI2V5ELVW58659
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
78468R408
35252.00000000
NS
USD
949688.88000000
0.237452545230
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
KBWB SWAP
000000000
4658.40000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco KBW Bank ETF
Invesco KBW Bank ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
4658.4
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXY SWAP
000000000
534547.02000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco CurrencyShares Japanese Yen Trust
Invesco CurrencyShares Japanese Yen Trust
Y
equity-performance leg
2020-09-15
0
USD
0
USD
534547.02
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GXC SWAP
000000000
127286.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR S&P China ETF
SPDR S&P China ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
127286
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EBND SWAP ML
000000000
71198.41000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
71198.41
USD
0
N
N
N
Schwab US Small-Cap ETF
5493003UKSEZNILT8D61
Schwab US Small-Cap ETF
808524607
7518.00000000
NS
USD
568661.52000000
0.142183538359
Long
EC
RF
US
N
1
N
N
N
Invesco Preferred ETF
549300J11Q08WEERN210
Invesco Preferred ETF
46138E511
93147.00000000
NS
USD
1398136.47000000
0.349578762448
Long
EC
RF
US
N
1
N
N
N
iShares Core MSCI Pacific ETF
549300Q9GRKBMCU6NO32
iShares Core MSCI Pacific ETF
46434V696
136351.00000000
NS
USD
7964261.91000000
1.991319790344
Long
EC
RF
US
N
1
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
1116964.00000000
NS
USD
25489118.48000000
6.373093532236
Long
EC
RF
US
N
1
N
N
iShares Floating Rate Bond ETF
549300G2T0MQ0NCEG317
iShares Floating Rate Bond ETF
46429B655
359002.00000000
NS
USD
18280381.84000000
4.570679184638
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
UUP SWAP
000000000
2003975.05000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco DB US Dollar Index Bullish Fund
Invesco DB US Dollar Index Bullish Fund
Y
equity-performance leg
2020-09-15
0
USD
0
USD
2003975.05
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
HYD SWAP ML
000000000
19150.95000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VanEck Vectors High-Yield Municipal Index ETF
VanEck Vectors High-Yield Municipal Index ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
19150.95
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
DBEU SWAP ML
000000000
929572.93000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Xtrackers MSCI Europe Hedged Equity ETF
Xtrackers MSCI Europe Hedged Equity ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
929572.93
USD
0
N
N
N
Vanguard FTSE All World ex-US Small-Cap ETF
DHT9U5XH2TTB8CZQX861
Vanguard FTSE All World ex-US Small-Cap ETF
922042718
184513.00000000
NS
USD
20499394.30000000
5.125503156595
Long
EC
RF
US
N
1
N
N
Vanguard Intermediate-Term Corporate Bond ETF
VKDXEYNPEMWGHJ22MR31
Vanguard Intermediate-Term Corporate Bond ETF
92206C870
66225.00000000
NS
USD
6048329.25000000
1.512275446255
Long
EC
RF
US
N
1
N
N
N
iShares MSCI Eurozone ETF
549300Q88WD2SU6SPH06
iShares MSCI Eurozone ETF
464286608
47507.00000000
NS
USD
1991493.44000000
0.497936951876
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VCIT SWAP ML
000000000
301845.65000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Intermediate-Term Corporate Bond ETF
Vanguard Intermediate-Term Corporate Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
301845.65
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EMLC SWAP
000000000
353125.83000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
353125.83
USD
0
N
N
N
Vanguard Small-Cap ETF
HZKQM2YGJWB4I8NIZL49
Vanguard Small-Cap ETF
922908751
10374.00000000
NS
USD
1718349.36000000
0.429642209907
Long
EC
RF
US
N
1
N
N
N
iShares MSCI China ETF
549300Q0IWAYMYXW0R77
iShares MSCI China ETF
46429B671
68511.00000000
NS
USD
4390869.99000000
1.097857705676
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HYD SWAP
000000000
19150.95000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VanEck Vectors High-Yield Municipal Index ETF
VanEck Vectors High-Yield Municipal Index ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
19150.95
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHA SWAP ML
000000000
28365.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Schwab US Small-Cap ETF
Schwab US Small-Cap ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
28365
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EEMV SWAP
000000000
1085444.64000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Edge MSCI Min Vol Emerging Markets ETF
iShares Edge MSCI Min Vol Emerging Markets ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
1085444.64
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHR SWAP
000000000
366492.96000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Schwab Intermediate-Term U.S. Treasury ETF
Schwab Intermediate-Term U.S. Treasury ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
366492.96
USD
0
N
N
N
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
549300QJ0FR0L0XRBI28
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
78468R200
204852.00000000
NS
USD
6295101.96000000
1.573976503641
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHR SWAP ML
000000000
366492.96000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Schwab Intermediate-Term U.S. Treasury ETF
Schwab Intermediate-Term U.S. Treasury ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
366492.96
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPTL SWAP ML
000000000
21223.02000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Portfolio Long Term Treasury ETF
SPDR Portfolio Long Term Treasury ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
21223.02
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GBIL SWAP ML
000000000
544361.04000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Goldman Sachs Treasury Access 0-1 Year ETF
Goldman Sachs Treasury Access 0-1 Year ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
544361.04
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXB SWAP ML
000000000
7448.94000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco CurrencyShares British Pound Sterling Trust
Invesco CurrencyShares British Pound Sterling Trust
Y
equity-performance leg
2020-03-31
0
USD
0
USD
7448.94
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
DBJP SWAP ML
000000000
1087191.15000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Xtrackers MSCI Japan Hedged Equity ETF
Xtrackers MSCI Japan Hedged Equity ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
1087191.15
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPSB SWAP
000000000
164500.56000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Portfolio Short Term Corporate Bond ETF
SPDR Portfolio Short Term Corporate Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
164500.56
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TLT SWAP
000000000
199155.60000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares 20+ Year Treasury Bond ETF
iShares 20+ Year Treasury Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
199155.6
USD
0
N
N
N
iShares 20+ Year Treasury Bond ETF
549300WWURKS1JGBZU59
iShares 20+ Year Treasury Bond ETF
464287432
29445.00000000
NS
USD
3989208.60000000
0.997429532423
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EEMV SWAP ML
000000000
1085444.64000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Edge MSCI Min Vol Emerging Markets ETF
iShares Edge MSCI Min Vol Emerging Markets ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
1085444.64
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IWM SWAP ML
000000000
149268.67000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Russell 2000 ETF
iShares Russell 2000 ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
149268.67
USD
0
N
N
N
Health Care Select Sector SPDR Fund
549300EJNY3KKJHPOY44
Health Care Select Sector SPDR Fund
81369Y209
25549.00000000
NS
USD
2602421.14000000
0.650688384869
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FLRN SWAP
000000000
314183.52000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
314183.52
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EFG SWAP
000000000
156164.82000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI EAFE Growth ETF
iShares MSCI EAFE Growth ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
156164.82
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
TLT SWAP ML
000000000
199155.60000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares 20+ Year Treasury Bond ETF
iShares 20+ Year Treasury Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
199155.6
USD
0
N
N
N
SPDR Portfolio Long Term Treasury ETF
549300GYQKAMF6JUVI06
SPDR Portfolio Long Term Treasury ETF
78464A664
10939.00000000
NS
USD
425198.93000000
0.106313309847
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXY SWAP ML
000000000
534547.02000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco CurrencyShares Japanese Yen Trust
Invesco CurrencyShares Japanese Yen Trust
Y
equity-performance leg
2020-03-31
0
USD
0
USD
534547.02
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IPAC SWAP ML
000000000
397480.05000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core MSCI Pacific ETF
iShares Core MSCI Pacific ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
397480.05
USD
0
N
N
N
SPDR S&P Bank ETF
549300WRV3OCU6OV1X49
SPDR S&P Bank ETF
78464A797
5735.00000000
NS
USD
271208.15000000
0.067810697651
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SLV SWAP ML
000000000
121930.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Silver Trust
iShares Silver Trust
Y
equity-performance leg
2020-03-31
0
USD
0
USD
121930.8
USD
0
N
N
N
SPDR Portfolio Short Term Corporate Bond ETF
549300D2BO7L1J2SO973
SPDR Portfolio Short Term Corporate Bond ETF
78464A474
106878.00000000
NS
USD
3296117.52000000
0.824134630810
Long
EC
RF
US
N
1
N
N
N
MainStay US Government Liquidity Fund
549300Y3ZLEL13IJCK58
MainStay US Government Liquidity Fund
56064L488
3674594.76000000
NS
USD
3674594.76000000
0.918766026252
Long
STIV
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
MBB SWAP ML
000000000
79856.34000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MBS ETF
iShares MBS ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
79856.34
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EWX SWAP
000000000
443143.26000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR S&P Emerging Markets SmallCap ETF
SPDR S&P Emerging Markets SmallCap ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
443143.26
USD
0
N
N
N
iShares MSCI All Country Asia ex Japan ETF
549300EQSX1KKO1KLL54
iShares MSCI All Country Asia ex Japan ETF
464288182
119529.00000000
NS
USD
8785381.50000000
2.196625907632
Long
EC
RF
US
N
1
N
N
iShares China Large-Cap ETF
5493001YVWPO25CNKN94
iShares China Large-Cap ETF
464287184
106973.00000000
NS
USD
4667231.99000000
1.166957030399
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPYV SWAP ML
000000000
134647.87000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Portfolio S&P 500 Value ETF
SPDR Portfolio S&P 500 Value ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
134647.87
USD
0
N
N
N
Vanguard FTSE Europe ETF
5493000IQHGUVNGQR883
Vanguard FTSE Europe ETF
922042874
77850.00000000
NS
USD
4562010.00000000
1.140648172976
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MBB SWAP
000000000
79856.34000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MBS ETF
iShares MBS ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
79856.34
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IWO SWAP
000000000
113750.82000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Russell 2000 Growth ETF
iShares Russell 2000 Growth ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
113750.82
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VWOB SWAP ML
000000000
29470.42000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Emerging Markets Government Bond ETF
Vanguard Emerging Markets Government Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
29470.42
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VWO SWAP ML
000000000
652730.66000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard FTSE Emerging Markets ETF
Vanguard FTSE Emerging Markets ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
652730.66
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPYG SWAP
000000000
47232.57000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Portfolio S&P 500 Growth ETF
SPDR Portfolio S&P 500 Growth ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
47232.57
USD
0
N
N
N
Invesco KBW Bank ETF
5493006QRDPX6RZ3LB17
Invesco KBW Bank ETF
46138E628
1604.00000000
NS
USD
93400.92000000
0.023353212455
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SHV SWAP
000000000
3350141.34000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Short Treasury Bond ETF
iShares Short Treasury Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
3350141.34
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CWB SWAP
000000000
342157.50000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Bloomberg Barclays Convertible Securities ETF
SPDR Bloomberg Barclays Convertible Securities ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
342157.5
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CLTL SWAP
000000000
88020.36000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco Treasury Collateral ETF
Invesco Treasury Collateral ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
88020.36
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPLV SWAP ML
000000000
535561.20000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco S&P 500 Low Volatility ETF
Invesco S&P 500 Low Volatility ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
535561.2
USD
0
N
N
N
Vanguard Emerging Markets Government Bond ETF
549300JYQ3EMXCXKZG97
Vanguard Emerging Markets Government Bond ETF
921946885
7252.00000000
NS
USD
590385.32000000
0.147615182038
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
MTUM SWAP ML
000000000
103587.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Edge MSCI USA Momentum Factor ETF
iShares Edge MSCI USA Momentum Factor ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
103587
USD
0
N
N
N
iShares iBoxx $ Investment Grade Corporate Bond ETF
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
65440.00000000
NS
USD
8373702.40000000
2.093692986996
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
HYLB SWAP ML
000000000
114642.12000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Xtrackers USD High Yield Corporate Bond ETF
Xtrackers USD High Yield Corporate Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
114642.12
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IJS SWAP
000000000
427888.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares S&P Small-Cap 600 Value ETF
iShares S&P Small-Cap 600 Value ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
427888.8
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
BAR SWAP ML
000000000
8219.84000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Graniteshares Gold Trust
Graniteshares Gold Trust
Y
equity-performance leg
2020-03-31
0
USD
0
USD
8219.84
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLY SWAP
000000000
740605.10000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Consumer Discretionary Select Sector SPDR Fund
Consumer Discretionary Select Sector SPDR Fund
Y
equity-performance leg
2020-09-15
0
USD
0
USD
740605.1
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
LQD SWAP ML
000000000
417917.36000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares iBoxx $ Investment Grade Corporate Bond ETF
iShares iBoxx $ Investment Grade Corporate Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
417917.36
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VGIT SWAP ML
000000000
327392.10000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Intermediate-Term Treasury ETF
Vanguard Intermediate-Term Treasury ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
327392.1
USD
0
N
N
N
WisdomTree Emerging Markets Local Debt Fund
549300SEEWOPCRAVKB36
WisdomTree Emerging Markets Local Debt Fund
97717X867
7831.00000000
NS
USD
281446.14000000
0.070370522068
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VCSH SWAP
000000000
668821.62000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Short-Term Corporate Bond ETF
Vanguard Short-Term Corporate Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
668821.62
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
KBE SWAP ML
000000000
13524.94000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR S&P Bank ETF
SPDR S&P Bank ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
13524.94
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IJT SWAP ML
000000000
65142.10000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares S&P Small-Cap 600 Growth ETF
iShares S&P Small-Cap 600 Growth ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
65142.1
USD
0
N
N
N
iShares Core MSCI EAFE ETF
5493009FT582MI7Y3I36
iShares Core MSCI EAFE ETF
46432F842
42613.00000000
NS
USD
2780072.12000000
0.695106802576
Long
EC
RF
US
N
1
N
N
N
iShares Russell 2000 Growth ETF
549300CPJOUVKWJGSH44
iShares Russell 2000 Growth ETF
464287648
10630.00000000
NS
USD
2277158.60000000
0.569362363666
Long
EC
RF
US
N
1
N
N
SPDR Bloomberg Barclays High Yield Bond ETF
549300NCLW2248PN7J24
SPDR Bloomberg Barclays High Yield Bond ETF
78468R622
53967.00000000
NS
USD
5911545.18000000
1.478075061000
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEI SWAP
000000000
737146.50000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares 3-7 Year Treasury Bond ETF
iShares 3-7 Year Treasury Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
737146.5
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
KBE SWAP
000000000
13524.94000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR S&P Bank ETF
SPDR S&P Bank ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
13524.94
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VGLT SWAP ML
000000000
17320.16000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Long-Term Treasury ETF
Vanguard Long-Term Treasury ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
17320.16
USD
0
N
N
N
IPATH SERIES B S+P 500 VIX SHO IPATH SERIES B S+P 500 VIX
N/A
IPATH SERIES B S&P 500 VIX
06746P621
150184.00000000
NS
USD
2270782.08000000
0.567768030052
Long
EC
CORP
GB
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DBEF SWAP
000000000
768089.64000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Xtrackers MSCI EAFE Hedged Equity ETF
Xtrackers MSCI EAFE Hedged Equity ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
768089.64
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHA SWAP
000000000
28365.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Schwab US Small-Cap ETF
Schwab US Small-Cap ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
28365
USD
0
N
N
N
iShares S&P Small-Cap 600 Growth ETF
549300EFW54J0I4GU776
iShares S&P Small-Cap 600 Growth ETF
464287887
6747.00000000
NS
USD
1304195.10000000
0.326090420235
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VPL SWAP
000000000
117451.04000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard FTSE Pacific ETF
Vanguard FTSE Pacific ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
117451.04
USD
0
N
N
N
iShares MSCI Japan ETF
5493008I6YRUC6I0S051
iShares MSCI Japan ETF
46434G822
80074.00000000
NS
USD
4743583.76000000
1.186047410945
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEUR SWAP ML
000000000
61489.71000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core MSCI Europe ETF
iShares Core MSCI Europe ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
61489.71
USD
0
N
N
N
iShares MSCI EAFE Growth ETF
549300TM3QJ7458P4314
iShares MSCI EAFE Growth ETF
464288885
36180.00000000
NS
USD
3128484.60000000
0.782221047997
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EZU SWAP
000000000
99392.32000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI Eurozone ETF
iShares MSCI Eurozone ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
99392.32
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VEA SWAP ML
000000000
147953.48000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard FTSE Developed Markets ETF
Vanguard FTSE Developed Markets ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
147953.48
USD
0
N
N
N
iShares JP Morgan USD Emerging Markets Bond ETF
54930070R8WH6MNUJG74
iShares JP Morgan USD Emerging Markets Bond ETF
464288281
48923.00000000
NS
USD
5604618.88000000
1.401333685305
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IWO SWAP ML
000000000
113750.82000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Russell 2000 Growth ETF
iShares Russell 2000 Growth ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
113750.82
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EFG SWAP ML
000000000
156164.82000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI EAFE Growth ETF
iShares MSCI EAFE Growth ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
156164.82
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EMLC SWAP ML
000000000
353125.83000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
353125.83
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
BKLN SWAP ML
000000000
1272078.08000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco Senior Loan ETF
Invesco Senior Loan ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
1272078.08
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEI SWAP ML
000000000
737146.50000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares 3-7 Year Treasury Bond ETF
iShares 3-7 Year Treasury Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
737146.5
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHV SWAP
000000000
202424.04000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Schwab U.S. Large-Cap Value ETF
Schwab U.S. Large-Cap Value ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
202424.04
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHH SWAP
000000000
96929.64000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Schwab U.S. REIT ETF
Schwab U.S. REIT ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
96929.64
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VEA SWAP
000000000
147953.48000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard FTSE Developed Markets ETF
Vanguard FTSE Developed Markets ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
147953.48
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
USMV SWAP
000000000
1567184.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Edge MSCI Min Vol USA ETF
iShares Edge MSCI Min Vol USA ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
1567184
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PFF SWAP ML
000000000
207384.03000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Preferred & Income Securities ETF
iShares Preferred & Income Securities ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
207384.03
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EBND SWAP
000000000
71198.41000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
71198.41
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GLD SWAP
000000000
607896.60000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Gold Shares
SPDR Gold Shares
Y
equity-performance leg
2020-09-15
0
USD
0
USD
607896.6
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VSS SWAP
000000000
1023008.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard FTSE All World ex-US Small-Cap ETF
Vanguard FTSE All World ex-US Small-Cap ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
1023008.8
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHH SWAP ML
000000000
96929.64000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Schwab U.S. REIT ETF
Schwab U.S. REIT ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
96929.64
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
KBWB SWAP ML
000000000
4658.40000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco KBW Bank ETF
Invesco KBW Bank ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
4658.4
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GLDM SWAP
000000000
16214.94000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Gold MiniShares Trust
SPDR Gold MiniShares Trust
Y
equity-performance leg
2020-09-15
0
USD
0
USD
16214.94
USD
0
N
N
N
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
549300UZIXAGB0EPMT96
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
78464A391
51116.00000000
NS
USD
1426647.56000000
0.356707445357
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MTUM SWAP
000000000
103587.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Edge MSCI USA Momentum Factor ETF
iShares Edge MSCI USA Momentum Factor ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
103587
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXA SWAP ML
000000000
350.85000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco CurrencyShares Australian Dollar Trust
Invesco CurrencyShares Australian Dollar Trust
Y
equity-performance leg
2020-03-31
0
USD
0
USD
350.85
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
HYG SWAP ML
000000000
552702.90000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
552702.9
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHG SWAP
000000000
81389.16000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Schwab U.S. Large-Cap Growth ETF
Schwab U.S. Large-Cap Growth ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
81389.16
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHG SWAP ML
000000000
81389.16000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Schwab U.S. Large-Cap Growth ETF
Schwab U.S. Large-Cap Growth ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
81389.16
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
USMV SWAP ML
000000000
1567184.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Edge MSCI Min Vol USA ETF
iShares Edge MSCI Min Vol USA ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
1567184
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPLV SWAP
000000000
535561.20000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco S&P 500 Low Volatility ETF
Invesco S&P 500 Low Volatility ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
535561.2
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLE SWAP ML
000000000
997864.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Energy Select Sector SPDR Fund
Energy Select Sector SPDR Fund
Y
equity-performance leg
2020-03-31
0
USD
0
USD
997864.8
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
CLTL SWAP ML
000000000
88020.36000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco Treasury Collateral ETF
Invesco Treasury Collateral ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
88020.36
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SHYG SWAP ML
000000000
52419.47000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares 0-5 Year High Yield Corporate Bond ETF
iShares 0-5 Year High Yield Corporate Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
52419.47
USD
0
N
N
N
Schwab International Small-Cap Equity ETF
549300WKPJ36EQS9LQ80
Schwab International Small-Cap Equity ETF
808524888
256298.00000000
NS
USD
8880725.70000000
2.220465002139
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EWJ SWAP ML
000000000
236723.04000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI Japan ETF
iShares MSCI Japan ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
236723.04
USD
0
N
N
N
SPDR Bloomberg Barclays Convertible Securities ETF
549300IXKU3G7R6DMX93
SPDR Bloomberg Barclays Convertible Securities ETF
78464A359
123537.00000000
NS
USD
6856303.50000000
1.714294808790
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FLRN SWAP ML
000000000
314183.52000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
314183.52
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
UUP SWAP ML
000000000
2003975.05000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco DB US Dollar Index Bullish Fund
Invesco DB US Dollar Index Bullish Fund
Y
equity-performance leg
2020-03-31
0
USD
0
USD
2003975.05
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EMB SWAP
000000000
279755.52000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares JP Morgan USD Emerging Markets Bond ETF
iShares JP Morgan USD Emerging Markets Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
279755.52
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IWN SWAP ML
000000000
628756.20000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Russell 2000 Value ETF
iShares Russell 2000 Value ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
628756.2
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GBIL SWAP
000000000
544361.04000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Goldman Sachs Treasury Access 0-1 Year ETF
Goldman Sachs Treasury Access 0-1 Year ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
544361.04
USD
0
N
N
N
Vanguard Short-Term Corporate Bond ETF
GW69FWO1NUHCKLV98X51
Vanguard Short-Term Corporate Bond ETF
92206C409
165381.00000000
NS
USD
13400822.43000000
3.350633519252
Long
EC
RF
US
N
1
N
N
N
Vanguard Small-Cap Growth ETF
UWJDRZIFJ6DZX3P2T284
Vanguard Small-Cap Growth ETF
922908595
11571.00000000
NS
USD
2299157.70000000
0.574862841135
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VGK SWAP
000000000
227661.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard FTSE Europe ETF
Vanguard FTSE Europe ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
227661
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HYG SWAP
000000000
552702.90000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
552702.9
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GUNR SWAP
000000000
68132.96000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FlexShares Global Upstream Natural Resources Index Fund
FlexShares Global Upstream Natural Resources Index Fund
Y
equity-performance leg
2020-09-15
0
USD
0
USD
68132.96
USD
0
N
N
N
SPDR S&P Emerging Markets SmallCap ETF
549300S4JUBZHM54WJ41
SPDR S&P Emerging Markets SmallCap ETF
78463X756
192771.00000000
NS
USD
8879032.26000000
2.220041588065
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEMG SWAP ML
000000000
586360.32000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core MSCI Emerging Markets ETF
iShares Core MSCI Emerging Markets ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
586360.32
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ELD SWAP
000000000
14052.54000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
WisdomTree Emerging Markets Local Debt Fund
WisdomTree Emerging Markets Local Debt Fund
Y
equity-performance leg
2020-09-15
0
USD
0
USD
14052.54
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
USIG SWAP
000000000
46640.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Broad USD Investment Grade Corporate Bond ETF
iShares Broad USD Investment Grade Corporate Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
46640
USD
0
N
N
N
VanEck Vectors High-Yield Municipal Index ETF
549300UT41BWOPGYSE94
VanEck Vectors High-Yield Municipal Index ETF
92189H409
5994.00000000
NS
USD
383915.70000000
0.095991184101
Long
EC
RF
US
N
1
N
N
N
iShares Russell 2000 ETF
549300O80OAR5VTWR172
iShares Russell 2000 ETF
464287655
18047.00000000
NS
USD
2989846.49000000
0.747557093539
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
RWX SWAP
000000000
970913.70000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Dow Jones International Real Estate ETF
SPDR Dow Jones International Real Estate ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
970913.7
USD
0
N
N
N
iShares 0-5 Year High Yield Corporate Bond ETF
549300R96U5WQ7R5ID10
iShares 0-5 Year High Yield Corporate Bond ETF
46434V407
22626.00000000
NS
USD
1050525.18000000
0.262664840110
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
LQD SWAP
000000000
417917.36000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares iBoxx $ Investment Grade Corporate Bond ETF
iShares iBoxx $ Investment Grade Corporate Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
417917.36
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SHV SWAP ML
000000000
3350141.34000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Short Treasury Bond ETF
iShares Short Treasury Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
3350141.34
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
USIG SWAP ML
000000000
46640.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Broad USD Investment Grade Corporate Bond ETF
iShares Broad USD Investment Grade Corporate Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
46640
USD
0
N
N
N
iShares Preferred & Income Securities ETF
549300YX74JNY54XCY80
iShares Preferred & Income Securities ETF
464288687
110539.00000000
NS
USD
4155161.01000000
1.038922934075
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEFA SWAP ML
000000000
138765.48000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core MSCI EAFE ETF
iShares Core MSCI EAFE ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
138765.48
USD
0
N
N
N
iShares Broad USD Investment Grade Corporate Bond ETF
5493004QFMCNV0WLX398
iShares Broad USD Investment Grade Corporate Bond ETF
464288620
16037.00000000
NS
USD
934957.10000000
0.233769129819
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SJNK SWAP
000000000
47387.46000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
47387.46
USD
0
N
N
N
iShares Short Treasury Bond ETF
549300F8ZJ4IZLOOBP30
iShares Short Treasury Bond ETF
464288679
607716.00000000
NS
USD
67128309.36000000
16.78422086459
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXI SWAP
000000000
465837.51000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares China Large-Cap ETF
iShares China Large-Cap ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
465837.51
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VWOB SWAP
000000000
29470.42000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Emerging Markets Government Bond ETF
Vanguard Emerging Markets Government Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
29470.42
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VTV SWAP ML
000000000
1587772.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Value ETF
Vanguard Value ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
1587772.8
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DBJP SWAP
000000000
1087191.15000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Xtrackers MSCI Japan Hedged Equity ETF
Xtrackers MSCI Japan Hedged Equity ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
1087191.15
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GUNR SWAP ML
000000000
68132.96000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FlexShares Global Upstream Natural Resources Index Fund
FlexShares Global Upstream Natural Resources Index Fund
Y
equity-performance leg
2020-03-31
0
USD
0
USD
68132.96
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VCSH SWAP ML
000000000
668821.62000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Short-Term Corporate Bond ETF
Vanguard Short-Term Corporate Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
668821.62
USD
0
N
N
N
iShares Core S&P U.S. Growth ETF
549300JOHA1VZHAEBP32
iShares Core S&P U.S. Growth ETF
464287671
19907.00000000
NS
USD
1346509.48000000
0.336670366408
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VGLT SWAP
000000000
17320.16000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Long-Term Treasury ETF
Vanguard Long-Term Treasury ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
17320.16
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXB SWAP
000000000
7448.94000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco CurrencyShares British Pound Sterling Trust
Invesco CurrencyShares British Pound Sterling Trust
Y
equity-performance leg
2020-09-15
0
USD
0
USD
7448.94
USD
0
N
N
N
Vanguard Mortgage-Backed Securities ETF
157FPOCFDEEVUKWE4M41
Vanguard Mortgage-Backed Securities ETF
92206C771
16235.00000000
NS
USD
863214.95000000
0.215831301466
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHV SWAP ML
000000000
202424.04000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Schwab U.S. Large-Cap Value ETF
Schwab U.S. Large-Cap Value ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
202424.04
USD
0
N
N
N
Vanguard FTSE Developed Markets ETF
5493002789CX3L0CJP65
Vanguard FTSE Developed Markets ETF
921943858
67294.00000000
NS
USD
2964973.64000000
0.741338086806
Long
EC
RF
US
N
1
N
N
N
iShares iBoxx High Yield Corporate Bond ETF
549300WY6QQ9HGWLNX87
iShares iBoxx High Yield Corporate Bond ETF
464288513
125939.00000000
NS
USD
11075075.66000000
2.769122561580
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VNQ SWAP ML
000000000
603042.21000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Real Estate ETF
Vanguard Real Estate ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
603042.21
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXE SWAP ML
000000000
333144.20000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco CurrencyShares Euro Currency Trust
Invesco CurrencyShares Euro Currency Trust
Y
equity-performance leg
2020-03-31
0
USD
0
USD
333144.2
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EWX SWAP ML
000000000
443143.26000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR S&P Emerging Markets SmallCap ETF
SPDR S&P Emerging Markets SmallCap ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
443143.26
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEMG SWAP
000000000
586360.32000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Core MSCI Emerging Markets ETF
iShares Core MSCI Emerging Markets ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
586360.32
USD
0
N
N
N
Invesco Treasury Collateral ETF
549300E094R1VT171085
Invesco Treasury Collateral ETF
46138G888
16718.00000000
NS
USD
1764417.72000000
0.441160770950
Long
EC
RF
US
N
1
N
N
N
iShares MBS ETF
549300M0TH0IE2E6RP07
iShares MBS ETF
464288588
14807.00000000
NS
USD
1600044.42000000
0.400062197223
Long
EC
RF
US
N
1
N
N
N
Vanguard FTSE Pacific ETF
549300KD20PE2CCUOJ67
Vanguard FTSE Pacific ETF
922042866
33832.00000000
NS
USD
2354030.56000000
0.588582808322
Long
EC
RF
US
N
1
N
N
Schwab U.S. Large-Cap Growth ETF
549300X647G1Z3XCRR98
Schwab U.S. Large-Cap Growth ETF
808524300
17543.00000000
NS
USD
1629920.13000000
0.407532078707
Long
EC
RF
US
N
1
N
N
iShares Core MSCI Europe ETF
549300XU2KDV0C5LCG21
iShares Core MSCI Europe ETF
46434V738
24708.00000000
NS
USD
1232187.96000000
0.308086335921
Long
EC
RF
US
N
1
N
N
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF
549300CNWPR88MZBEA63
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF
92189H300
208056.00000000
NS
USD
7075984.56000000
1.769222088591
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PGX SWAP
000000000
69781.49000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco Preferred ETF
Invesco Preferred ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
69781.49
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
BAR SWAP
000000000
8219.84000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Graniteshares Gold Trust
Graniteshares Gold Trust
Y
equity-performance leg
2020-09-15
0
USD
0
USD
8219.84
USD
0
N
N
N
FlexShares Global Upstream Natural Resources Index Fund
549300NRG12H5S0TF735
FlexShares Global Upstream Natural Resources Index Fund
33939L407
40707.00000000
NS
USD
1364905.71000000
0.341270011332
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IWM SWAP
000000000
149268.67000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Russell 2000 ETF
iShares Russell 2000 ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
149268.67
USD
0
N
N
N
iShares Edge MSCI USA Momentum Factor ETF
5493002ZOOZ0SN3YYI81
iShares Edge MSCI USA Momentum Factor ETF
46432F396
16521.00000000
NS
USD
2074376.76000000
0.518660428486
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLE SWAP
000000000
997864.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Energy Select Sector SPDR Fund
Energy Select Sector SPDR Fund
Y
equity-performance leg
2020-09-15
0
USD
0
USD
997864.8
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EMB SWAP ML
000000000
279755.52000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares JP Morgan USD Emerging Markets Bond ETF
iShares JP Morgan USD Emerging Markets Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
279755.52
USD
0
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
32249468.75000000
NS
USD
32249468.75000000
8.063396969571
Long
STIV
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VGIT SWAP
000000000
327193.50000000
OU
Notional Amount
USD
-198.60000000
-0.00004965634
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Intermediate-Term Treasury ETF
Vanguard Intermediate-Term Treasury ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
327193.5
USD
-198.6
N
N
N
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
549300GQCVCME1YJ6B50
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
78468R663
298192.00000000
NS
USD
27263694.56000000
6.816794217561
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HYLB SWAP
000000000
114642.12000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Xtrackers USD High Yield Corporate Bond ETF
Xtrackers USD High Yield Corporate Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
114642.12
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
AAXJ SWAP ML
000000000
438427.50000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI All Country Asia ex Japan ETF
iShares MSCI All Country Asia ex Japan ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
438427.5
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FLOT SWAP
000000000
912333.64000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Floating Rate Bond ETF
iShares Floating Rate Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
912333.64
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VBR SWAP ML
000000000
938518.29000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Small-Cap Value ETF
Vanguard Small-Cap Value ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
938518.29
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
CWB SWAP ML
000000000
342157.50000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Bloomberg Barclays Convertible Securities ETF
SPDR Bloomberg Barclays Convertible Securities ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
342157.5
USD
0
N
N
N
Xtrackers USD High Yield Corporate Bond ETF
5493000ENPC36KSKPY20
Xtrackers USD High Yield Corporate Bond ETF
233051432
45599.00000000
NS
USD
2296821.63000000
0.574278749041
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IUSG SWAP
000000000
67234.16000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Core S&P U.S. Growth ETF
iShares Core S&P U.S. Growth ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
67234.16
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VNQ SWAP
000000000
603042.21000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Real Estate ETF
Vanguard Real Estate ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
603042.21
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VPL SWAP ML
000000000
117451.04000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard FTSE Pacific ETF
Vanguard FTSE Pacific ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
117451.04
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IPAC SWAP
000000000
397480.05000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Core MSCI Pacific ETF
iShares Core MSCI Pacific ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
397480.05
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
JNK SWAP ML
000000000
294991.22000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Bloomberg Barclays High Yield Bond ETF
SPDR Bloomberg Barclays High Yield Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
294991.22
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MCHI SWAP
000000000
438247.42000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI China ETF
iShares MSCI China ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
438247.42
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SLV SWAP
000000000
121930.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Silver Trust
iShares Silver Trust
Y
equity-performance leg
2020-09-15
0
USD
0
USD
121930.8
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VBK SWAP ML
000000000
114649.90000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Small-Cap Growth ETF
Vanguard Small-Cap Growth ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
114649.9
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VB SWAP ML
000000000
85801.52000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Small-Cap ETF
Vanguard Small-Cap ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
85801.52
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VMBS SWAP
000000000
43067.70000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Mortgage-Backed Securities ETF
Vanguard Mortgage-Backed Securities ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
43067.7
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IUSG SWAP ML
000000000
67234.16000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core S&P U.S. Growth ETF
iShares Core S&P U.S. Growth ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
67234.16
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLY SWAP ML
000000000
740605.10000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Consumer Discretionary Select Sector SPDR Fund
Consumer Discretionary Select Sector SPDR Fund
Y
equity-performance leg
2020-03-31
0
USD
0
USD
740605.1
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VSS SWAP ML
000000000
1023008.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard FTSE All World ex-US Small-Cap ETF
Vanguard FTSE All World ex-US Small-Cap ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
1023008.8
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VTV SWAP ML
000000000
1558466.04000000
OU
Notional Amount
USD
-29306.76000000
-0.00732762581
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Value ETF
Vanguard Value ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
1558466.04
USD
-29306.76
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
JNK SWAP
000000000
294991.22000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Bloomberg Barclays High Yield Bond ETF
SPDR Bloomberg Barclays High Yield Bond ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
294991.22
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPYV SWAP
000000000
134647.87000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Portfolio S&P 500 Value ETF
SPDR Portfolio S&P 500 Value ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
134647.87
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLK SWAP
000000000
1522180.35000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Technology Select Sector SPDR Fund
Technology Select Sector SPDR Fund
Y
equity-performance leg
2020-09-15
0
USD
0
USD
1522180.35
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DBEU SWAP
000000000
929572.93000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Xtrackers MSCI Europe Hedged Equity ETF
Xtrackers MSCI Europe Hedged Equity ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
929572.93
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VBK SWAP
000000000
114649.90000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Small-Cap Growth ETF
Vanguard Small-Cap Growth ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
114649.9
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHC SWAP ML
000000000
443208.15000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Schwab International Small-Cap Equity ETF
Schwab International Small-Cap Equity ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
443208.15
USD
0
N
N
N
Vanguard Long-Term Treasury ETF
5493002789CX3L0CJP65
Vanguard Long-Term Treasury ETF
92206C847
4162.00000000
NS
USD
346569.74000000
0.086653501579
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXA SWAP
000000000
350.85000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco CurrencyShares Australian Dollar Trust
Invesco CurrencyShares Australian Dollar Trust
Y
equity-performance leg
2020-09-15
0
USD
0
USD
350.85
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VUG SWAP
000000000
410975.52000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Growth ETF
Vanguard Growth ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
410975.52
USD
0
N
N
N
Invesco CurrencyShares British Pound Sterling Trust
549300QKM404ILG3V824
Invesco CurrencyShares British Pound Sterling Trust
46138M109
1167.00000000
NS
USD
149877.81000000
0.037474238361
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IJT SWAP
000000000
65142.10000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares S&P Small-Cap 600 Growth ETF
iShares S&P Small-Cap 600 Growth ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
65142.1
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VUG SWAP ML
000000000
410975.52000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Growth ETF
Vanguard Growth ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
410975.52
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IWN SWAP
000000000
628756.20000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Russell 2000 Value ETF
iShares Russell 2000 Value ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
628756.2
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VTV SWAP
000000000
1587772.80000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Value ETF
Vanguard Value ETF
Y
equity-performance leg
2020-09-15
0
USD
0
USD
1587772.8
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VXX SWAP ML
000000000
113324.40000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IPATH SERIES B S&P 500 VIX
IPATH SERIES B S&P 500 VIX
Y
equity-performance leg
2020-03-31
0
USD
0
USD
113324.4
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPYG SWAP ML
000000000
47232.57000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Portfolio S&P 500 Growth ETF
SPDR Portfolio S&P 500 Growth ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
47232.57
USD
0
N
N
N
Invesco CurrencyShares Australian Dollar Trust
5493004JFG7A5UXA9965
Invesco CurrencyShares Australian Dollar Trust
46090N103
107.00000000
NS
USD
7508.20000000
0.001877289749
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SJNK SWAP ML
000000000
47387.46000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
47387.46
USD
0
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLF SWAP
000000000
356278.50000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Financial Select Sector SPDR Fund
Financial Select Sector SPDR Fund
Y
equity-performance leg
2020-09-15
0
USD
0
USD
356278.5
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FLOT SWAP ML
000000000
912333.64000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Floating Rate Bond ETF
iShares Floating Rate Bond ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
912333.64
USD
0
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VMBS SWAP ML
000000000
43067.70000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Mortgage-Backed Securities ETF
Vanguard Mortgage-Backed Securities ETF
Y
equity-performance leg
2020-03-31
0
USD
0
USD
43067.7
USD
0
N
N
N
2020-01-21
MAINSTAY VP FUNDS TRUST
Jack Benintende
Jack Benintende
Treasurer