0001752724-20-166884.txt : 20200824
0001752724-20-166884.hdr.sgml : 20200824
20200824142039
ACCESSION NUMBER: 0001752724-20-166884
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200630
FILED AS OF DATE: 20200824
PERIOD START: 20201231
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: 201126842
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
C000204554
C000204555
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
2020-12-31
2020-06-30
N
425573456.37
62620866.28
362952590.09
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
424028.89000000
UST
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DBEU SWAP
000000000
63692.16000000
OU
Notional Amount
USD
-1128.96000000
-0.00031104888
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
0.00000000
USD
0.00000000
USD
63692.16000000
USD
-1128.96000000
N
N
N
iShares China Large-Cap ETF
5493001YVWPO25CNKN94
iShares China Large-Cap ETF
464287184
35820.00000000
NS
USD
1422054.00000000
0.391801584787
Long
EC
RF
US
N
1
N
N
MainStay US Government Liquidity Fund
549300Y3ZLEL13IJCK58
MainStay US Government Liquidity Fund
56064L488
4776539.92000000
NS
USD
4776539.92000000
1.316023097897
Long
STIV
RF
US
N
1
N
N
N
iShares Core MSCI EAFE ETF
5493009FT582MI7Y3I36
iShares Core MSCI EAFE ETF
46432F842
84938.00000000
NS
USD
4855056.08000000
1.337655719386
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VWO SWAP ML
000000000
56861.92000000
OU
Notional Amount
USD
3424.50000000
0.000943511657
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard FTSE Emerging Markets ETF
Vanguard FTSE Emerging Markets ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
56861.92000000
USD
3424.50000000
N
N
N
SPDR Gold MiniShares Trust
N/A
SPDR Gold MiniShares Trust
98149E204
11678.00000000
NS
USD
207401.28000000
0.057142802025
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EEMV SWAP
000000000
276920.08000000
OU
Notional Amount
USD
-4711.92000000
-0.00129821914
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
0.00000000
USD
0.00000000
USD
276920.08000000
USD
-4711.92000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EWJ SWAP ML
000000000
453710.31000000
OU
Notional Amount
USD
4025.35000000
0.001109056694
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI Japan ETF
iShares MSCI Japan ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
453710.31000000
USD
4025.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VBR SWAP
000000000
1113650.80000000
OU
Notional Amount
USD
-17562.80000000
-0.00483886889
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
0.00000000
USD
0.00000000
USD
1113650.80000000
USD
-17562.80000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLV SWAP
000000000
22971.23000000
OU
Notional Amount
USD
-655.62000000
-0.00018063516
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
0.00000000
USD
0.00000000
USD
22971.23000000
USD
-655.62000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EEMV SWAP ML
000000000
276920.08000000
OU
Notional Amount
USD
-4711.92000000
-0.00129821914
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
2021-09-30
0.00000000
USD
0.00000000
USD
276920.08000000
USD
-4711.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SLV SWAP
000000000
30671.26000000
OU
Notional Amount
USD
814.25000000
0.000224340594
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Silver Trust
iShares Silver Trust
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
30671.26000000
USD
814.25000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VXX SWAP ML
000000000
48604.48000000
OU
Notional Amount
USD
1981.02000000
0.000545806822
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iPath Series B S&P 500 VIX Short-Term Futures ETN
iPath Series B S&P 500 VIX Short-Term Futures ETN
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
48604.48000000
USD
1981.02000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SJNK SWAP
000000000
286798.17000000
OU
Notional Amount
USD
633.03000000
0.000174411208
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
0.00000000
USD
0.00000000
USD
286798.17000000
USD
633.03000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IJS SWAP
000000000
415990.08000000
OU
Notional Amount
USD
-13008.60000000
-0.00358410446
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
0.00000000
USD
0.00000000
USD
415990.08000000
USD
-13008.60000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ULTR SWAP
000000000
1543693.32000000
OU
Notional Amount
USD
6844.68000000
0.001885833077
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IQ Ultra Short Duration Etf
IQ Ultra Short Duration Etf
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
1543693.32000000
USD
6844.68000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IJS SWAP ML
000000000
415990.08000000
OU
Notional Amount
USD
-13008.60000000
-0.00358410446
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
2021-09-30
0.00000000
USD
0.00000000
USD
415990.08000000
USD
-13008.60000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SRLN SWAP ML
000000000
696362.80000000
OU
Notional Amount
USD
2358.86000000
0.000649908573
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
2021-09-30
0.00000000
USD
0.00000000
USD
696362.80000000
USD
2358.86000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VUG SWAP
000000000
638579.49000000
OU
Notional Amount
USD
-23265.26000000
-0.00640999971
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Growth ETF
Vanguard Growth ETF
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
638579.49000000
USD
-23265.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLY SWAP
000000000
407861.30000000
OU
Notional Amount
USD
-8728.72000000
-0.00240492015
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
0.00000000
USD
0.00000000
USD
407861.30000000
USD
-8728.72000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXA SWAP ML
000000000
1233061.60000000
OU
Notional Amount
USD
-42966.40000000
-0.01183801994
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco CurrencyShares Australian Dollar Trust
Invesco CurrencyShares Australian Dollar Trust
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
1233061.60000000
USD
-42966.40000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
CWB SWAP ML
000000000
332908.38000000
OU
Notional Amount
USD
21561.12000000
0.005940478340
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
2021-09-30
0.00000000
USD
0.00000000
USD
332908.38000000
USD
21561.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GUNR SWAP
000000000
118698.86000000
OU
Notional Amount
USD
2723.66000000
0.000750417568
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
0.00000000
USD
0.00000000
USD
118698.86000000
USD
2723.66000000
N
N
N
iShares S&P Small-Cap 600 Growth ETF
549300EFW54J0I4GU776
iShares S&P Small-Cap 600 Growth ETF
464287887
10994.00000000
NS
USD
1866671.26000000
0.514301677675
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLV SWAP ML
000000000
22971.23000000
OU
Notional Amount
USD
-655.62000000
-0.00018063516
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Health Care Select Sector SPDR Fund
Health Care Select Sector SPDR Fund
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
22971.23000000
USD
-655.62000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VBK SWAP ML
000000000
220760.62000000
OU
Notional Amount
USD
6384.18000000
0.001758957002
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Small-Cap Growth ETF
Vanguard Small-Cap Growth ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
220760.62000000
USD
6384.18000000
N
N
N
Vanguard FTSE Developed Markets ETF
5493002789CX3L0CJP65
Vanguard FTSE Developed Markets ETF
921943858
135479.00000000
NS
USD
5255230.41000000
1.447910981623
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXB SWAP
000000000
138248.66000000
OU
Notional Amount
USD
-2311.32000000
-0.00063681044
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco CurrencyShares British Pound Sterling Trust Shs ETF
Invesco CurrencyShares British Pound Sterling Trust Shs ETF
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
138248.66000000
USD
-2311.32000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
USRT SWAP ML
000000000
189890.86000000
OU
Notional Amount
USD
-2160.30000000
-0.00059520170
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core US REIT ETF
iShares Core US REIT ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
189890.86000000
USD
-2160.30000000
N
N
N
Health Care Select Sector SPDR Fund
549300EJNY3KKJHPOY44
Health Care Select Sector SPDR Fund
81369Y209
4447.00000000
NS
USD
445011.29000000
0.122608655276
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VMBS SWAP ML
000000000
337008.18000000
OU
Notional Amount
USD
-1055.95000000
-0.00029093331
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Mortgage-Backed Securities ETF
Vanguard Mortgage-Backed Securities ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
337008.18000000
USD
-1055.95000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
BIL SWAP ML
000000000
784869.75000000
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
2021-09-30
0.00000000
USD
0.00000000
USD
784869.75000000
USD
0.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
BKLN SWAP ML
000000000
1970670.01000000
OU
Notional Amount
USD
-8263.41000000
-0.00227671884
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco Senior Loan ETF
Invesco Senior Loan ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
1970670.01000000
USD
-8263.41000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
UUP SWAP ML
000000000
44634.80000000
OU
Notional Amount
USD
-469.84000000
-0.00012944941
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
2021-09-30
0.00000000
USD
0.00000000
USD
44634.80000000
USD
-469.84000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CLTL SWAP
000000000
1093196.90000000
OU
Notional Amount
USD
-1340.90000000
-0.00036944219
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
0.00000000
USD
0.00000000
USD
1093196.90000000
USD
-1340.90000000
N
N
N
Energy Select Sector SPDR Fund
54930064FLK0RD4TRU75
Energy Select Sector SPDR Fund
81369Y506
27672.00000000
NS
USD
1047385.20000000
0.288573557152
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEI SWAP ML
000000000
386401.48000000
OU
Notional Amount
USD
1107.85000000
0.000305232702
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
2021-09-30
0.00000000
USD
0.00000000
USD
386401.48000000
USD
1107.85000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
MBB SWAP ML
000000000
639929.18000000
OU
Notional Amount
USD
-2186.48000000
-0.00060241476
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MBS ETF
iShares MBS ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
639929.18000000
USD
-2186.48000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
HYG SWAP ML
000000000
868533.08000000
OU
Notional Amount
USD
11604.70000000
0.003197304638
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
2021-09-30
0.00000000
USD
0.00000000
USD
868533.08000000
USD
11604.70000000
N
N
N
Vanguard Intermediate-Term Treasury ETF
JIWE2HYVQ16M1P11J864
Vanguard Intermediate-Term Treasury ETF
92206C706
56117.00000000
NS
USD
3960176.69000000
1.091100269877
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
USIG SWAP
000000000
65489.72000000
OU
Notional Amount
USD
1213.96000000
0.000334467925
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
0.00000000
USD
0.00000000
USD
65489.72000000
USD
1213.96000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VONG SWAP ML
000000000
46283.14000000
OU
Notional Amount
USD
-1468.30000000
-0.00040454319
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Russell 1000 Growth ETF
Vanguard Russell 1000 Growth ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
46283.14000000
USD
-1468.30000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IUSG SWAP
000000000
102802.85000000
OU
Notional Amount
USD
-2716.99000000
-0.00074857986
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
0.00000000
USD
0.00000000
USD
102802.85000000
USD
-2716.99000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IJT SWAP
000000000
90275.84000000
OU
Notional Amount
USD
3278.45000000
0.000903272242
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
0.00000000
USD
0.00000000
USD
90275.84000000
USD
3278.45000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VWOB SWAP ML
000000000
27740.44000000
OU
Notional Amount
USD
564.20000000
0.000155447299
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
2021-09-30
0.00000000
USD
0.00000000
USD
27740.44000000
USD
564.20000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FLOT SWAP ML
000000000
196092.00000000
OU
Notional Amount
USD
1209.00000000
0.000333101356
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Floating Rate Bond ETF
iShares Floating Rate Bond ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
196092.00000000
USD
1209.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
MTUM SWAP ML
000000000
215449.12000000
OU
Notional Amount
USD
-8691.88000000
-0.00239477007
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
2021-09-30
0.00000000
USD
0.00000000
USD
215449.12000000
USD
-8691.88000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VONV SWAP
000000000
98315.82000000
OU
Notional Amount
USD
1334.16000000
0.000367585198
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Russell 1000 Value
Vanguard Russell 1000 Value
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
98315.82000000
USD
1334.16000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GUNR SWAP ML
000000000
118698.86000000
OU
Notional Amount
USD
2723.66000000
0.000750417568
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
2021-09-30
0.00000000
USD
0.00000000
USD
118698.86000000
USD
2723.66000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VXX SWAP
000000000
48608.22000000
OU
Notional Amount
USD
1977.28000000
0.000544776385
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iPath Series B S&P 500 VIX Short-Term Futures ETN
iPath Series B S&P 500 VIX Short-Term Futures ETN
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
48608.22000000
USD
1977.28000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHC SWAP ML
000000000
198575.52000000
OU
Notional Amount
USD
4392.96000000
0.001210339895
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
2021-09-30
0.00000000
USD
0.00000000
USD
198575.52000000
USD
4392.96000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EBND SWAP ML
000000000
40044.51000000
OU
Notional Amount
USD
30.58000000
0.000008425342
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
2021-09-30
0.00000000
USD
0.00000000
USD
40044.51000000
USD
30.58000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IPAC SWAP
000000000
24600.64000000
OU
Notional Amount
USD
273.76000000
0.000075425829
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
0.00000000
USD
0.00000000
USD
24600.64000000
USD
273.76000000
N
N
N
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
549300UZIXAGB0EPMT96
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
78464A391
30490.00000000
NS
USD
799142.90000000
0.220178315796
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EFG SWAP
000000000
43868.20000000
OU
Notional Amount
USD
-567.89000000
-0.00015646396
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
0.00000000
USD
0.00000000
USD
43868.20000000
USD
-567.89000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SRLN SWAP
000000000
696395.46000000
OU
Notional Amount
USD
2326.20000000
0.000640910152
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
0.00000000
USD
0.00000000
USD
696395.46000000
USD
2326.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GXC SWAP
000000000
27417.60000000
OU
Notional Amount
USD
1960.00000000
0.000540015432
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
0.00000000
USD
0.00000000
USD
27417.60000000
USD
1960.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
RWX SWAP ML
000000000
632631.46000000
OU
Notional Amount
USD
-659.22000000
-0.00018162702
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
2021-09-30
0.00000000
USD
0.00000000
USD
632631.46000000
USD
-659.22000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FLRN SWAP ML
000000000
83592.24000000
OU
Notional Amount
USD
441.12000000
0.000121536534
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
2021-09-30
0.00000000
USD
0.00000000
USD
83592.24000000
USD
441.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHV SWAP
000000000
245268.60000000
OU
Notional Amount
USD
2134.88000000
0.000588198034
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
0.00000000
USD
0.00000000
USD
245268.60000000
USD
2134.88000000
N
N
N
iShares iBoxx $ Investment Grade Corporate Bond ETF
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
110675.00000000
NS
USD
14885787.50000000
4.101303560420
Long
EC
RF
US
N
1
N
N
N
iShares Short Treasury Bond ETF
549300F8ZJ4IZLOOBP30
iShares Short Treasury Bond ETF
464288679
202692.00000000
NS
USD
22446112.08000000
6.184309657201
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
KBE SWAP ML
000000000
98815.90000000
OU
Notional Amount
USD
-282.78000000
-0.00007791100
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR S&P Bank ETF
SPDR S&P Bank ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
98815.90000000
USD
-282.78000000
N
N
N
iShares 0-5 Year High Yield Corporate Bond ETF
549300R96U5WQ7R5ID10
iShares 0-5 Year High Yield Corporate Bond ETF
46434V407
159985.00000000
NS
USD
6861756.65000000
1.890538003406
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EWX SWAP
000000000
193128.81000000
OU
Notional Amount
USD
14328.42000000
0.003947738738
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
0.00000000
USD
0.00000000
USD
193128.81000000
USD
14328.42000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
BAR SWAP
000000000
4495.85000000
OU
Notional Amount
USD
134.29000000
0.000036999322
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Graniteshares Gold Trust
Graniteshares Gold Trust
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
4495.85000000
USD
134.29000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLF SWAP
000000000
124230.05000000
OU
Notional Amount
USD
-5383.01000000
-0.00148311656
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
0.00000000
USD
0.00000000
USD
124230.05000000
USD
-5383.01000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
TLT SWAP ML
000000000
39752.37000000
OU
Notional Amount
USD
-82.62000000
-0.00002276330
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
2021-09-30
0.00000000
USD
0.00000000
USD
39752.37000000
USD
-82.62000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IAU SWAP
000000000
114228.10000000
OU
Notional Amount
USD
3240.76000000
0.000892887966
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Gold Trust
iShares Gold Trust
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
114228.10000000
USD
3240.76000000
N
N
N
Invesco Treasury Collateral ETF
549300E094R1VT171085
Invesco Treasury Collateral ETF
46138G888
205756.00000000
NS
USD
21768984.80000000
5.997748850504
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PFF SWAP
000000000
792407.00000000
OU
Notional Amount
USD
11275.00000000
0.003106466328
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
0.00000000
USD
0.00000000
USD
792407.00000000
USD
11275.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EMLC SWAP
000000000
146781.63000000
OU
Notional Amount
USD
-428.49000000
-0.00011805674
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
0.00000000
USD
0.00000000
USD
146781.63000000
USD
-428.49000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VSS SWAP ML
000000000
411498.39000000
OU
Notional Amount
USD
16431.59000000
0.004527200094
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
2021-09-30
0.00000000
USD
0.00000000
USD
411498.39000000
USD
16431.59000000
N
N
N
Vanguard Intermediate-Term Corporate Bond ETF
VKDXEYNPEMWGHJ22MR31
Vanguard Intermediate-Term Corporate Bond ETF
92206C870
93431.00000000
NS
USD
8889025.34000000
2.449087176315
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SHV SWAP
000000000
1126286.74000000
OU
Notional Amount
USD
-503.90000000
-0.00013883355
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
0.00000000
USD
0.00000000
USD
1126286.74000000
USD
-503.90000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEMG SWAP ML
000000000
50715.04000000
OU
Notional Amount
USD
2882.56000000
0.000794197390
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
2021-09-30
0.00000000
USD
0.00000000
USD
50715.04000000
USD
2882.56000000
N
N
N
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
549300YI2V5ELVW58659
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
78468R408
227409.00000000
NS
USD
5730706.80000000
1.578913322695
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEFA SWAP
000000000
243746.42000000
OU
Notional Amount
USD
-244.82000000
-0.00006745233
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
0.00000000
USD
0.00000000
USD
243746.42000000
USD
-244.82000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VBR SWAP ML
000000000
1113650.80000000
OU
Notional Amount
USD
-17562.80000000
-0.00483886889
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Small-Cap Value ETF
Vanguard Small-Cap Value ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
1113650.80000000
USD
-17562.80000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SHYG SWAP
000000000
344562.44000000
OU
Notional Amount
USD
-413.08000000
-0.00011381100
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
0.00000000
USD
0.00000000
USD
344562.44000000
USD
-413.08000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VCSH SWAP
000000000
490980.29000000
OU
Notional Amount
USD
3409.17000000
0.000939287965
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
0.00000000
USD
0.00000000
USD
490980.29000000
USD
3409.17000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLE SWAP ML
000000000
53798.88000000
OU
Notional Amount
USD
-1263.08000000
-0.00034800137
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Energy Select Sector SPDR Fund
Energy Select Sector SPDR Fund
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
53798.88000000
USD
-1263.08000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GBIL SWAP ML
000000000
1088143.70000000
OU
Notional Amount
USD
-640.92000000
-0.00017658504
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Goldman Sachs Access Treasury 0-1 Year ETF
Goldman Sachs Access Treasury 0-1 Year ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
1088143.70000000
USD
-640.92000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXE SWAP ML
000000000
420848.94000000
OU
Notional Amount
USD
4488.93000000
0.001236781365
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco CurrencyShares Euro Currency Trust
Invesco CurrencyShares Euro Currency Trust
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
420848.94000000
USD
4488.93000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHG SWAP ML
000000000
119286.23000000
OU
Notional Amount
USD
-3475.63000000
-0.00095759889
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
2021-09-30
0.00000000
USD
0.00000000
USD
119286.23000000
USD
-3475.63000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SHYG SWAP ML
000000000
344559.66000000
OU
Notional Amount
USD
-410.30000000
-0.00011304506
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
2021-09-30
0.00000000
USD
0.00000000
USD
344559.66000000
USD
-410.30000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GLDM SWAP ML
000000000
10115.27000000
OU
Notional Amount
USD
292.09000000
0.000080476075
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR Gold MiniShares Trust
SPDR Gold MiniShares Trust
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
10115.27000000
USD
292.09000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EMB SWAP ML
000000000
239400.00000000
OU
Notional Amount
USD
6345.00000000
0.001748162204
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
2021-09-30
0.00000000
USD
0.00000000
USD
239400.00000000
USD
6345.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VCSH SWAP ML
000000000
490980.29000000
OU
Notional Amount
USD
3409.17000000
0.000939287965
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
2021-09-30
0.00000000
USD
0.00000000
USD
490980.29000000
USD
3409.17000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EWX SWAP ML
000000000
193128.81000000
OU
Notional Amount
USD
14328.42000000
0.003947738738
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
2021-09-30
0.00000000
USD
0.00000000
USD
193128.81000000
USD
14328.42000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLK SWAP ML
000000000
25766.11000000
OU
Notional Amount
USD
1714.76000000
0.000472447379
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Technology Select Sector SPDR Fund
Technology Select Sector SPDR Fund
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
25766.11000000
USD
1714.76000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VSS SWAP
000000000
411498.39000000
OU
Notional Amount
USD
16431.59000000
0.004527200094
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
0.00000000
USD
0.00000000
USD
411498.39000000
USD
16431.59000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SJNK SWAP ML
000000000
286788.08000000
OU
Notional Amount
USD
643.12000000
0.000177191186
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
2021-09-30
0.00000000
USD
0.00000000
USD
286788.08000000
USD
643.12000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SLV SWAP ML
000000000
30660.86000000
OU
Notional Amount
USD
824.65000000
0.000227205982
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Silver Trust
iShares Silver Trust
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
30660.86000000
USD
824.65000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IWN SWAP
000000000
667757.85000000
OU
Notional Amount
USD
-15924.05000000
-0.00438736364
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
0.00000000
USD
0.00000000
USD
667757.85000000
USD
-15924.05000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPYV SWAP ML
000000000
184701.36000000
OU
Notional Amount
USD
3663.30000000
0.001009305374
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
2021-09-30
0.00000000
USD
0.00000000
USD
184701.36000000
USD
3663.30000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SGOL SWAP
000000000
9555.84000000
OU
Notional Amount
USD
282.52000000
0.000077839367
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Aberdeen Standard Physical Gold Shares ETF
Aberdeen Standard Physical Gold Shares ETF
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
9555.84000000
USD
282.52000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VCIT SWAP
000000000
438510.07000000
OU
Notional Amount
USD
7315.97000000
0.002015681992
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
0.00000000
USD
0.00000000
USD
438510.07000000
USD
7315.97000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TIP SWAP
000000000
1372225.80000000
OU
Notional Amount
USD
-19027.20000000
-0.00524233757
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares TIPS Bond ETF
iShares TIPS Bond ETF
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
1372225.80000000
USD
-19027.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VEA SWAP
000000000
261419.49000000
OU
Notional Amount
USD
2158.56000000
0.000594722302
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
0.00000000
USD
0.00000000
USD
261419.49000000
USD
2158.56000000
N
N
N
iShares Russell 2000 Growth ETF
549300CPJOUVKWJGSH44
iShares Russell 2000 Growth ETF
464287648
18331.00000000
NS
USD
3792133.97000000
1.044801462653
Long
EC
RF
US
N
1
N
N
Schwab International Small-Cap Equity ETF
549300WKPJ36EQS9LQ80
Schwab International Small-Cap Equity ETF
808524888
136858.00000000
NS
USD
4046891.06000000
1.114991646428
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
BKLN SWAP
000000000
1970923.26000000
OU
Notional Amount
USD
-8516.66000000
-0.00234649379
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
0.00000000
USD
0.00000000
USD
1970923.26000000
USD
-8516.66000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IJT SWAP ML
000000000
90275.84000000
OU
Notional Amount
USD
3278.45000000
0.000903272242
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
2021-09-30
0.00000000
USD
0.00000000
USD
90275.84000000
USD
3278.45000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TLT SWAP
000000000
39752.37000000
OU
Notional Amount
USD
-82.62000000
-0.00002276330
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
0.00000000
USD
0.00000000
USD
39752.37000000
USD
-82.62000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VGLT SWAP
000000000
4196.22000000
OU
Notional Amount
USD
-7.98000000
-0.00000219863
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
0.00000000
USD
0.00000000
USD
4196.22000000
USD
-7.98000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
RWX SWAP
000000000
632631.46000000
OU
Notional Amount
USD
-659.22000000
-0.00018162702
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
0.00000000
USD
0.00000000
USD
632631.46000000
USD
-659.22000000
N
N
N
Invesco CurrencyShares British Pound Sterling Trust
549300QKM404ILG3V824
Invesco CurrencyShares British Pound Sterling Trust
46138M109
22582.00000000
NS
USD
2709388.36000000
0.746485473303
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GXC SWAP ML
000000000
27417.60000000
OU
Notional Amount
USD
1960.00000000
0.000540015432
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPDR S&P China ETF
SPDR S&P China ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
27417.60000000
USD
1960.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MCHI SWAP
000000000
121573.00000000
OU
Notional Amount
USD
8868.85000000
0.002443528505
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
0.00000000
USD
0.00000000
USD
121573.00000000
USD
8868.85000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VEA SWAP ML
000000000
261394.25000000
OU
Notional Amount
USD
2183.80000000
0.000601676378
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard FTSE Developed Markets ETF
Vanguard FTSE Developed Markets ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
261394.25000000
USD
2183.80000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
UUP SWAP
000000000
44634.80000000
OU
Notional Amount
USD
-469.84000000
-0.00012944941
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
0.00000000
USD
0.00000000
USD
44634.80000000
USD
-469.84000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MBB SWAP
000000000
639929.33000000
OU
Notional Amount
USD
-2186.63000000
-0.00060245609
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MBS ETF
iShares MBS ETF
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
639929.33000000
USD
-2186.63000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPSB SWAP ML
000000000
119589.60000000
OU
Notional Amount
USD
536.62000000
0.000147848510
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
2021-09-30
0.00000000
USD
0.00000000
USD
119589.60000000
USD
536.62000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
USIG SWAP ML
000000000
65488.01000000
OU
Notional Amount
USD
1215.67000000
0.000334939061
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
2021-09-30
0.00000000
USD
0.00000000
USD
65488.01000000
USD
1215.67000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VGK SWAP ML
000000000
480763.16000000
OU
Notional Amount
USD
15037.67000000
0.004143149934
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard FTSE Europe ETF
Vanguard FTSE Europe ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
480763.16000000
USD
15037.67000000
N
N
N
Invesco DB US Dollar Index Bullish Fund
549300QQBOFDEGGI5W06
Invesco DB US Dollar Index Bullish Fund
46141D203
33464.00000000
NS
USD
880772.48000000
0.242668740780
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VMBS SWAP
000000000
337009.10000000
OU
Notional Amount
USD
-1056.87000000
-0.00029118679
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
0.00000000
USD
0.00000000
USD
337009.10000000
USD
-1056.87000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MTUM SWAP
000000000
215449.12000000
OU
Notional Amount
USD
-8691.88000000
-0.00239477007
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
0.00000000
USD
0.00000000
USD
215449.12000000
USD
-8691.88000000
N
N
N
iShares MSCI EAFE Growth ETF
549300TM3QJ7458P4314
iShares MSCI EAFE Growth ETF
464288885
10394.00000000
NS
USD
863845.34000000
0.238005007702
Long
EC
RF
US
N
1
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
61239995.75000000
NS
USD
61239995.75000000
16.87272592126
Long
STIV
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GBIL SWAP
000000000
1088145.80000000
OU
Notional Amount
USD
-643.02000000
-0.00017716363
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Goldman Sachs Access Treasury 0-1 Year ETF
Goldman Sachs Access Treasury 0-1 Year ETF
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
1088145.80000000
USD
-643.02000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEFA SWAP ML
000000000
243730.71000000
OU
Notional Amount
USD
-229.11000000
-0.00006312394
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core MSCI EAFE ETF
iShares Core MSCI EAFE ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
243730.71000000
USD
-229.11000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IWO SWAP
000000000
183239.41000000
OU
Notional Amount
USD
6874.12000000
0.001893944329
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
0.00000000
USD
0.00000000
USD
183239.41000000
USD
6874.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FLOT SWAP
000000000
196092.00000000
OU
Notional Amount
USD
1209.00000000
0.000333101356
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
0.00000000
USD
0.00000000
USD
196092.00000000
USD
1209.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHH SWAP
000000000
678417.12000000
OU
Notional Amount
USD
6137.76000000
0.001691063837
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
0.00000000
USD
0.00000000
USD
678417.12000000
USD
6137.76000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VUG SWAP ML
000000000
638594.10000000
OU
Notional Amount
USD
-23250.65000000
-0.00640597439
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Growth ETF
Vanguard Growth ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
638594.10000000
USD
-23250.65000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXI SWAP
000000000
70172.85000000
OU
Notional Amount
USD
1168.05000000
0.000321818890
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
0.00000000
USD
0.00000000
USD
70172.85000000
USD
1168.05000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEI SWAP
000000000
386419.71000000
OU
Notional Amount
USD
1089.62000000
0.000300210008
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
0.00000000
USD
0.00000000
USD
386419.71000000
USD
1089.62000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
KBWB SWAP ML
000000000
32150.48000000
OU
Notional Amount
USD
75.51000000
0.000020804370
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco KBW Bank ETF
Invesco KBW Bank ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
32150.48000000
USD
75.51000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHV SWAP ML
000000000
245268.60000000
OU
Notional Amount
USD
2134.88000000
0.000588198034
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
2021-09-30
0.00000000
USD
0.00000000
USD
245268.60000000
USD
2134.88000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHR SWAP ML
000000000
168029.07000000
OU
Notional Amount
USD
493.19000000
0.000135882760
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
2021-09-30
0.00000000
USD
0.00000000
USD
168029.07000000
USD
493.19000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHR SWAP
000000000
168047.17000000
OU
Notional Amount
USD
475.09000000
0.000130895883
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
0.00000000
USD
0.00000000
USD
168047.17000000
USD
475.09000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PFF SWAP ML
000000000
792407.00000000
OU
Notional Amount
USD
11275.00000000
0.003106466328
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Preferred & Income Securities ETF
iShares Preferred & Income Securities ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
792407.00000000
USD
11275.00000000
N
N
N
Aberdeen Standard Physical Gold Shares ETF
549300DWUGC6Q38L2L08
Aberdeen Standard Physical Gold Shares ETF
00326A104
11446.00000000
NS
USD
196184.44000000
0.054052359827
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEUR SWAP
000000000
145324.80000000
OU
Notional Amount
USD
3480.00000000
0.000958802911
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
0.00000000
USD
0.00000000
USD
145324.80000000
USD
3480.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXB SWAP ML
000000000
138237.33000000
OU
Notional Amount
USD
-2299.99000000
-0.00063368882
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco CurrencyShares British Pound Sterling Trust Shs ETF
Invesco CurrencyShares British Pound Sterling Trust Shs ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
138237.33000000
USD
-2299.99000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EFG SWAP ML
000000000
43862.99000000
OU
Notional Amount
USD
-562.68000000
-0.00015502851
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI EAFE Growth ETF
iShares MSCI EAFE Growth ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
43862.99000000
USD
-562.68000000
N
N
N
SPDR S&P China ETF
549300B1I89QUAK0X692
SPDR S&P China ETF
78463X400
5583.00000000
NS
USD
585768.36000000
0.161389772657
Long
EC
RF
US
N
1
N
N
N
Vanguard Emerging Markets Government Bond ETF
549300JYQ3EMXCXKZG97
Vanguard Emerging Markets Government Bond ETF
921946885
7253.00000000
NS
USD
563993.28000000
0.155390344468
Long
EC
RF
US
N
1
N
N
N
iShares 3-7 Year Treasury Bond ETF
549300BUGBHWMFPSNL42
iShares 3-7 Year Treasury Bond ETF
464288661
57791.00000000
NS
USD
7724922.97000000
2.128355928823
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VGLT SWAP ML
000000000
4196.22000000
OU
Notional Amount
USD
-7.98000000
-0.00000219863
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Long-Term Treasury ETF
Vanguard Long-Term Treasury ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
4196.22000000
USD
-7.98000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VONV SWAP ML
000000000
98315.82000000
OU
Notional Amount
USD
1334.16000000
0.000367585198
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Russell 1000 Value
Vanguard Russell 1000 Value
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
98315.82000000
USD
1334.16000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXA SWAP
000000000
116381.84000000
OU
Notional Amount
USD
-4055.36000000
-0.00111732499
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
0.00000000
USD
0.00000000
USD
116381.84000000
USD
-4055.36000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
BIL SWAP
000000000
784869.75000000
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
0.00000000
USD
0.00000000
USD
784869.75000000
USD
0.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VPL SWAP ML
000000000
86381.91000000
OU
Notional Amount
USD
2027.94000000
0.000558734130
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard FTSE Pacific ETF
Vanguard FTSE Pacific ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
86381.91000000
USD
2027.94000000
N
N
N
Vanguard FTSE Emerging Markets ETF
I9EY4HOGV0KQ5WF8MP19
Vanguard FTSE Emerging Markets ETF
922042858
30355.00000000
NS
USD
1202361.55000000
0.331272343228
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
TIP SWAP ML
000000000
1372326.80000000
OU
Notional Amount
USD
-18926.20000000
-0.00521451024
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares TIPS Bond ETF
iShares TIPS Bond ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
1372326.80000000
USD
-18926.20000000
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
1832608.00000000
NS
USD
39126180.80000000
10.77997013061
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
DBEU SWAP ML
000000000
63692.16000000
OU
Notional Amount
USD
-1128.96000000
-0.00031104888
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
2021-09-30
0.00000000
USD
0.00000000
USD
63692.16000000
USD
-1128.96000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
USRT SWAP
000000000
189884.81000000
OU
Notional Amount
USD
-2166.35000000
-0.00059686858
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
0.00000000
USD
0.00000000
USD
189884.81000000
USD
-2166.35000000
N
N
N
Xtrackers MSCI Japan Hedged Equity ETF
3379V8ZPZKCNZWO8YR10
Xtrackers MSCI Japan Hedged Equity ETF
233051507
78275.00000000
NS
USD
3028459.75000000
0.834395409397
Long
EC
RF
US
N
1
N
N
N
Vanguard Short-Term Corporate Bond ETF
GW69FWO1NUHCKLV98X51
Vanguard Short-Term Corporate Bond ETF
92206C409
119241.00000000
NS
USD
9856461.06000000
2.715633206407
Long
EC
RF
US
N
1
N
N
N
Vanguard FTSE Europe ETF
5493000IQHGUVNGQR883
Vanguard FTSE Europe ETF
922042874
196405.00000000
NS
USD
9885063.65000000
2.723513737027
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
JNK SWAP ML
000000000
421917.12000000
OU
Notional Amount
USD
4733.28000000
0.001304104207
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
2021-09-30
0.00000000
USD
0.00000000
USD
421917.12000000
USD
4733.28000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DBJP SWAP
000000000
157816.93000000
OU
Notional Amount
USD
-5919.99000000
-0.00163106426
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
0.00000000
USD
0.00000000
USD
157816.93000000
USD
-5919.99000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPTL SWAP
000000000
4591.30000000
OU
Notional Amount
USD
-5.88000000
-0.00000162004
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
0.00000000
USD
0.00000000
USD
4591.30000000
USD
-5.88000000
N
N
N
iShares MSCI China ETF
549300Q0IWAYMYXW0R77
iShares MSCI China ETF
46429B671
39739.00000000
NS
USD
2600917.55000000
0.716599804221
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IPAC SWAP ML
000000000
24600.64000000
OU
Notional Amount
USD
273.76000000
0.000075425829
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core MSCI Pacific ETF
iShares Core MSCI Pacific ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
24600.64000000
USD
273.76000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PGX SWAP
000000000
286977.28000000
OU
Notional Amount
USD
5198.56000000
0.001432297259
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco Preferred ETF
Invesco Preferred ETF
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
286977.28000000
USD
5198.56000000
N
N
N
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
549300GQCVCME1YJ6B50
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
78468R663
170962.00000000
NS
USD
15648151.86000000
4.311348723567
Long
EC
RF
US
N
1
N
N
N
iShares Silver Trust
549300K2C2CG14B0ZA09
iShares Silver Trust
46428Q109
36911.00000000
NS
USD
627856.11000000
0.172985708641
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
ELD SWAP ML
000000000
6284.59000000
OU
Notional Amount
USD
-90.17000000
-0.00002484346
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
2021-09-30
0.00000000
USD
0.00000000
USD
6284.59000000
USD
-90.17000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EWJ SWAP
000000000
453710.22000000
OU
Notional Amount
USD
4025.26000000
0.001109031898
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
0.00000000
USD
0.00000000
USD
453710.22000000
USD
4025.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EBND SWAP
000000000
40044.51000000
OU
Notional Amount
USD
30.58000000
0.000008425342
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
0.00000000
USD
0.00000000
USD
40044.51000000
USD
30.58000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEMG SWAP
000000000
50715.04000000
OU
Notional Amount
USD
2882.56000000
0.000794197390
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
0.00000000
USD
0.00000000
USD
50715.04000000
USD
2882.56000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IAU SWAP ML
000000000
114226.02000000
OU
Notional Amount
USD
3242.84000000
0.000893461043
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Gold Trust
iShares Gold Trust
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
114226.02000000
USD
3242.84000000
N
N
N
Vanguard FTSE All World ex-US Small-Cap ETF
DHT9U5XH2TTB8CZQX861
Vanguard FTSE All World ex-US Small-Cap ETF
922042718
88298.00000000
NS
USD
8531352.76000000
2.350541914547
Long
EC
RF
US
N
1
N
N
Technology Select Sector SPDR Fund
549300BR5T0JNM2MW070
Technology Select Sector SPDR Fund
81369Y803
5242.00000000
NS
USD
547736.58000000
0.150911329731
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VTV SWAP
000000000
2001940.20000000
OU
Notional Amount
USD
35734.83000000
0.009845591676
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Value ETF
Vanguard Value ETF
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
2001940.20000000
USD
35734.83000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VTV SWAP ML
000000000
2001940.20000000
OU
Notional Amount
USD
35734.83000000
0.009845591676
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Value ETF
Vanguard Value ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
2001940.20000000
USD
35734.83000000
N
N
N
IQ Ultra Short Duration Etf
5493005TWXGQCEG58C67
IQ Ultra Short Duration Etf
45409F819
624540.00000000
NS
USD
30914730.00000000
8.517566989213
Long
EC
RF
US
N
1
N
N
N
Invesco CurrencyShares Euro Currency Trust
N/A
Invesco CurrencyShares Euro Currency Trust
46138K103
80020.00000000
NS
USD
8481319.80000000
2.336756929574
Long
EC
RF
US
N
1
N
N
N
SPDR S&P Emerging Markets SmallCap ETF
549300S4JUBZHM54WJ41
SPDR S&P Emerging Markets SmallCap ETF
78463X756
101296.00000000
NS
USD
4135915.68000000
1.139519538619
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLK SWAP
000000000
25766.11000000
OU
Notional Amount
USD
1714.76000000
0.000472447379
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
0.00000000
USD
0.00000000
USD
25766.11000000
USD
1714.76000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VWO SWAP
000000000
56861.92000000
OU
Notional Amount
USD
3424.50000000
0.000943511657
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
0.00000000
USD
0.00000000
USD
56861.92000000
USD
3424.50000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEUR SWAP ML
000000000
145324.80000000
OU
Notional Amount
USD
3480.00000000
0.000958802911
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Core MSCI Europe ETF
iShares Core MSCI Europe ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
145324.80000000
USD
3480.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
CLTL SWAP ML
000000000
1093196.80000000
OU
Notional Amount
USD
-1340.80000000
-0.00036941463
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco Treasury Collateral ETF
Invesco Treasury Collateral ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
1093196.80000000
USD
-1340.80000000
N
N
N
Schwab Intermediate-Term U.S. Treasury ETF
549300LPS1K6133V2Q55
Schwab Intermediate-Term U.S. Treasury ETF
808524854
57156.00000000
NS
USD
3359629.68000000
0.925638711978
Long
EC
RF
US
N
1
N
N
N
iShares Core MSCI Emerging Markets ETF
5493007C24Z3ZDJ0VD06
iShares Core MSCI Emerging Markets ETF
46434G103
22458.00000000
NS
USD
1069000.80000000
0.294529045717
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CWB SWAP
000000000
332908.38000000
OU
Notional Amount
USD
21561.12000000
0.005940478340
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
0.00000000
USD
0.00000000
USD
332908.38000000
USD
21561.12000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PGX SWAP ML
000000000
286979.78000000
OU
Notional Amount
USD
5201.06000000
0.001432986054
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Invesco Preferred ETF
Invesco Preferred ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
286979.78000000
USD
5201.06000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EMB SWAP
000000000
239400.00000000
OU
Notional Amount
USD
6345.00000000
0.001748162204
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
0.00000000
USD
0.00000000
USD
239400.00000000
USD
6345.00000000
N
N
N
iPath Series B S&P 500 VIX Short-Term Futures ETN
N/A
iPath Series B S&P 500 VIX Short-Term Futures ETN
06746P621
29706.00000000
NS
USD
1008518.70000000
0.277865133776
Long
EC
CORP
GB
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IWN SWAP ML
000000000
667757.85000000
OU
Notional Amount
USD
-15924.05000000
-0.00438736364
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Russell 2000 Value ETF
iShares Russell 2000 Value ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
667757.85000000
USD
-15924.05000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLY SWAP ML
000000000
407867.26000000
OU
Notional Amount
USD
-8722.76000000
-0.00240327806
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
2021-09-30
0.00000000
USD
0.00000000
USD
407867.26000000
USD
-8722.76000000
N
N
N
iShares Gold Trust
5493006UOY7GXQW0IP42
iShares Gold Trust
464285105
137856.00000000
NS
USD
2342173.44000000
0.645311124359
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLE SWAP
000000000
53798.88000000
OU
Notional Amount
USD
-1263.08000000
-0.00034800137
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
0.00000000
USD
0.00000000
USD
53798.88000000
USD
-1263.08000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SHV SWAP ML
000000000
1126285.86000000
OU
Notional Amount
USD
-503.02000000
-0.00013859110
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Short Treasury Bond ETF
iShares Short Treasury Bond ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
1126285.86000000
USD
-503.02000000
N
N
N
iShares JP Morgan USD Emerging Markets Bond ETF
54930070R8WH6MNUJG74
iShares JP Morgan USD Emerging Markets Bond ETF
464288281
44861.00000000
NS
USD
4899718.42000000
1.349961001458
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
DBJP SWAP ML
000000000
157806.72000000
OU
Notional Amount
USD
-5909.78000000
-0.00162825122
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
2021-09-30
0.00000000
USD
0.00000000
USD
157806.72000000
USD
-5909.78000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
ULTR SWAP ML
000000000
1543681.67000000
OU
Notional Amount
USD
6856.33000000
0.001889042863
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IQ Ultra Short Duration Etf
IQ Ultra Short Duration Etf
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
1543681.67000000
USD
6856.33000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EMLC SWAP ML
000000000
146781.63000000
OU
Notional Amount
USD
-428.49000000
-0.00011805674
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
2021-09-30
0.00000000
USD
0.00000000
USD
146781.63000000
USD
-428.49000000
N
N
N
iShares Core MSCI Pacific ETF
549300Q9GRKBMCU6NO32
iShares Core MSCI Pacific ETF
46434V696
9415.00000000
NS
USD
496170.50000000
0.136703942483
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
BAR SWAP ML
000000000
4495.65000000
OU
Notional Amount
USD
134.49000000
0.000037054426
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Graniteshares Gold Trust
Graniteshares Gold Trust
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
4495.65000000
USD
134.49000000
N
N
N
iShares Broad USD Investment Grade Corporate Bond ETF
5493004QFMCNV0WLX398
iShares Broad USD Investment Grade Corporate Bond ETF
464288620
22015.00000000
NS
USD
1330146.30000000
0.366479351936
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IUSG SWAP ML
000000000
102809.22000000
OU
Notional Amount
USD
-2710.62000000
-0.00074682481
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
2021-09-30
0.00000000
USD
0.00000000
USD
102809.22000000
USD
-2710.62000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPYG SWAP
000000000
92136.35000000
OU
Notional Amount
USD
-2644.85000000
-0.00072870398
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
0.00000000
USD
0.00000000
USD
92136.35000000
USD
-2644.85000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
HYD SWAP ML
000000000
630206.46000000
OU
Notional Amount
USD
-16360.50000000
-0.00450761351
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
2021-09-30
0.00000000
USD
0.00000000
USD
630206.46000000
USD
-16360.50000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VGIT SWAP
000000000
198079.77000000
OU
Notional Amount
USD
574.78000000
0.000158362280
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
0.00000000
USD
0.00000000
USD
198079.77000000
USD
574.78000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXI SWAP ML
000000000
70172.85000000
OU
Notional Amount
USD
1168.05000000
0.000321818890
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares China Large-Cap ETF
iShares China Large-Cap ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
70172.85000000
USD
1168.05000000
N
N
N
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF
549300CNWPR88MZBEA63
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF
92189H300
94924.00000000
NS
USD
2917963.76000000
0.803951766614
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VPL SWAP
000000000
86381.91000000
OU
Notional Amount
USD
2027.94000000
0.000558734130
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
0.00000000
USD
0.00000000
USD
86381.91000000
USD
2027.94000000
N
N
N
FlexShares Global Upstream Natural Resources Index Fund
549300NRG12H5S0TF735
FlexShares Global Upstream Natural Resources Index Fund
33939L407
87589.00000000
NS
USD
2420959.96000000
0.667018234915
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IUSV SWAP
000000000
249471.00000000
OU
Notional Amount
USD
3624.39000000
0.000998584966
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
0.00000000
USD
0.00000000
USD
249471.00000000
USD
3624.39000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
JNK SWAP
000000000
421910.15000000
OU
Notional Amount
USD
4726.31000000
0.001302183846
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
0.00000000
USD
0.00000000
USD
421910.15000000
USD
4726.31000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
LQD SWAP ML
000000000
732812.87000000
OU
Notional Amount
USD
13796.63000000
0.003801220979
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
2021-09-30
0.00000000
USD
0.00000000
USD
732812.87000000
USD
13796.63000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IUSV SWAP ML
000000000
249471.00000000
OU
Notional Amount
USD
3624.39000000
0.000998584966
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
2021-09-30
0.00000000
USD
0.00000000
USD
249471.00000000
USD
3624.39000000
N
N
N
WisdomTree Emerging Markets Local Debt Fund
549300SEEWOPCRAVKB36
WisdomTree Emerging Markets Local Debt Fund
97717X867
3865.00000000
NS
USD
123409.45000000
0.034001534461
Long
EC
RF
US
N
1
N
N
iShares MBS ETF
549300M0TH0IE2E6RP07
iShares MBS ETF
464288588
114858.00000000
NS
USD
12714780.60000000
3.503151912167
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHG SWAP
000000000
119280.88000000
OU
Notional Amount
USD
-3480.98000000
-0.00095907291
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
0.00000000
USD
0.00000000
USD
119280.88000000
USD
-3480.98000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLF SWAP ML
000000000
124200.88000000
OU
Notional Amount
USD
-5353.84000000
-0.00147507970
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Financial Select Sector SPDR Fund
Financial Select Sector SPDR Fund
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
124200.88000000
USD
-5353.84000000
N
N
N
Goldman Sachs Access Treasury 0-1 Year ETF
549300Q2J4ZAD8E71F28
Goldman Sachs Access Treasury 0-1 Year ETF
381430529
215767.00000000
NS
USD
21682425.83000000
5.973900289463
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HYLB SWAP
000000000
159193.00000000
OU
Notional Amount
USD
1365.00000000
0.000376082176
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
0.00000000
USD
0.00000000
USD
159193.00000000
USD
1365.00000000
N
N
N
Vanguard FTSE Pacific ETF
549300KD20PE2CCUOJ67
Vanguard FTSE Pacific ETF
922042866
27689.00000000
NS
USD
1762404.85000000
0.485574396800
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ELD SWAP
000000000
6284.59000000
OU
Notional Amount
USD
-90.17000000
-0.00002484346
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
0.00000000
USD
0.00000000
USD
6284.59000000
USD
-90.17000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHC SWAP
000000000
198575.52000000
OU
Notional Amount
USD
4392.96000000
0.001210339895
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
0.00000000
USD
0.00000000
USD
198575.52000000
USD
4392.96000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
USMV SWAP
000000000
2213821.74000000
OU
Notional Amount
USD
35567.73000000
0.009799552605
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
0.00000000
USD
0.00000000
USD
2213821.74000000
USD
35567.73000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
KBWB SWAP
000000000
32150.48000000
OU
Notional Amount
USD
75.51000000
0.000020804370
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
0.00000000
USD
0.00000000
USD
32150.48000000
USD
75.51000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPYG SWAP ML
000000000
92145.80000000
OU
Notional Amount
USD
-2635.40000000
-0.00072610034
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
2021-09-30
0.00000000
USD
0.00000000
USD
92145.80000000
USD
-2635.40000000
N
N
N
Financial Select Sector SPDR Fund
549300Y12KQ6ZG08NY28
Financial Select Sector SPDR Fund
81369Y605
102403.00000000
NS
USD
2369605.42000000
0.652869130762
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GLDM SWAP
000000000
10115.42000000
OU
Notional Amount
USD
291.94000000
0.000080434747
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
0.00000000
USD
0.00000000
USD
10115.42000000
USD
291.94000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IWO SWAP ML
000000000
183239.41000000
OU
Notional Amount
USD
6874.12000000
0.001893944329
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares Russell 2000 Growth ETF
iShares Russell 2000 Growth ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
183239.41000000
USD
6874.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HYG SWAP
000000000
868511.71000000
OU
Notional Amount
USD
11583.33000000
0.003191416817
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
0.00000000
USD
0.00000000
USD
868511.71000000
USD
11583.33000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPLV SWAP
000000000
565523.70000000
OU
Notional Amount
USD
3394.50000000
0.000935246115
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
0.00000000
USD
0.00000000
USD
565523.70000000
USD
3394.50000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VWOB SWAP
000000000
27740.44000000
OU
Notional Amount
USD
564.20000000
0.000155447299
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
0.00000000
USD
0.00000000
USD
27740.44000000
USD
564.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPYV SWAP
000000000
184698.34000000
OU
Notional Amount
USD
3660.28000000
0.001008473310
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
0.00000000
USD
0.00000000
USD
184698.34000000
USD
3660.28000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
KBE SWAP
000000000
98815.90000000
OU
Notional Amount
USD
-282.78000000
-0.00007791100
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
0.00000000
USD
0.00000000
USD
98815.90000000
USD
-282.78000000
N
N
N
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
549300QJ0FR0L0XRBI28
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
78468R200
54967.00000000
NS
USD
1675394.16000000
0.461601378732
Long
EC
RF
US
N
1
N
N
Graniteshares Gold Trust
549300B09UIFB1TCF016
Graniteshares Gold Trust
38748G101
5209.00000000
NS
USD
92407.66000000
0.025459980868
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
USMV SWAP ML
000000000
2213821.74000000
OU
Notional Amount
USD
35567.73000000
0.009799552605
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
2021-09-30
0.00000000
USD
0.00000000
USD
2213821.74000000
USD
35567.73000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FLRN SWAP
000000000
83592.24000000
OU
Notional Amount
USD
441.12000000
0.000121536534
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
0.00000000
USD
0.00000000
USD
83592.24000000
USD
441.12000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
MCHI SWAP ML
000000000
121573.00000000
OU
Notional Amount
USD
8868.85000000
0.002443528505
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI China ETF
iShares MSCI China ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
121573.00000000
USD
8868.85000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPLV SWAP ML
000000000
565523.70000000
OU
Notional Amount
USD
3394.50000000
0.000935246115
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
2021-09-30
0.00000000
USD
0.00000000
USD
565523.70000000
USD
3394.50000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
LQD SWAP
000000000
732822.92000000
OU
Notional Amount
USD
13786.58000000
0.003798452022
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
0.00000000
USD
0.00000000
USD
732822.92000000
USD
13786.58000000
N
N
N
iShares Core MSCI Europe ETF
549300XU2KDV0C5LCG21
iShares Core MSCI Europe ETF
46434V738
69394.00000000
NS
USD
2967287.44000000
0.817541332123
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VBK SWAP
000000000
220760.62000000
OU
Notional Amount
USD
6384.18000000
0.001758957002
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
0.00000000
USD
0.00000000
USD
220760.62000000
USD
6384.18000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HYD SWAP
000000000
630206.46000000
OU
Notional Amount
USD
-16360.50000000
-0.00450761351
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
0.00000000
USD
0.00000000
USD
630206.46000000
USD
-16360.50000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPSB SWAP
000000000
119589.60000000
OU
Notional Amount
USD
536.62000000
0.000147848510
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
0.00000000
USD
0.00000000
USD
119589.60000000
USD
536.62000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VCIT SWAP ML
000000000
438501.86000000
OU
Notional Amount
USD
7324.18000000
0.002017943995
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
2021-09-30
0.00000000
USD
0.00000000
USD
438501.86000000
USD
7324.18000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPTL SWAP ML
000000000
4591.30000000
OU
Notional Amount
USD
-5.88000000
-0.00000162004
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
2021-09-30
0.00000000
USD
0.00000000
USD
4591.30000000
USD
-5.88000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VONG SWAP
000000000
46282.12000000
OU
Notional Amount
USD
-1469.32000000
-0.00040482422
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Russell 1000 Growth ETF
Vanguard Russell 1000 Growth ETF
Y
equity-performance leg
2020-09-15
0.00000000
USD
0.00000000
USD
46282.12000000
USD
-1469.32000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
HYLB SWAP ML
000000000
159196.06000000
OU
Notional Amount
USD
1368.06000000
0.000376925261
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
2021-09-30
0.00000000
USD
0.00000000
USD
159196.06000000
USD
1368.06000000
N
N
N
Vanguard Small-Cap Growth ETF
UWJDRZIFJ6DZX3P2T284
Vanguard Small-Cap Growth ETF
922908595
22695.00000000
NS
USD
4529922.00000000
1.248075402596
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VGK SWAP
000000000
480764.56000000
OU
Notional Amount
USD
15036.27000000
0.004142764209
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
0.00000000
USD
0.00000000
USD
480764.56000000
USD
15036.27000000
N
N
N
SPDR Blackstone / GSO Senior Loan ETF
549300ME4SR63Y3TRD06
SPDR Blackstone / GSO Senior Loan ETF
78467V608
321130.00000000
NS
USD
13930619.40000000
3.838137481412
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXE SWAP
000000000
420851.56000000
OU
Notional Amount
USD
4486.31000000
0.001236059508
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
0.00000000
USD
0.00000000
USD
420851.56000000
USD
4486.31000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VGIT SWAP ML
000000000
198062.24000000
OU
Notional Amount
USD
592.31000000
0.000163192112
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Vanguard Intermediate-Term Treasury ETF
Vanguard Intermediate-Term Treasury ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
198062.24000000
USD
592.31000000
N
N
N
iShares Floating Rate Bond ETF
549300G2T0MQ0NCEG317
iShares Floating Rate Bond ETF
46429B655
77762.00000000
NS
USD
3933979.58000000
1.083882492483
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SGOL SWAP ML
000000000
9555.28000000
OU
Notional Amount
USD
283.08000000
0.000077993657
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Aberdeen Standard Physical Gold Shares ETF
Aberdeen Standard Physical Gold Shares ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
9555.28000000
USD
283.08000000
N
N
N
SPDR Portfolio Short Term Corporate Bond ETF
549300D2BO7L1J2SO973
SPDR Portfolio Short Term Corporate Bond ETF
78464A474
76413.00000000
NS
USD
2394783.42000000
0.659806124928
Long
EC
RF
US
N
1
N
N
N
Vanguard Mortgage-Backed Securities ETF
157FPOCFDEEVUKWE4M41
Vanguard Mortgage-Backed Securities ETF
92206C771
123194.00000000
NS
USD
6698057.78000000
1.845436005385
Long
EC
RF
US
N
1
N
N
N
SPDR Bloomberg Barclays Convertible Securities ETF
549300IXKU3G7R6DMX93
SPDR Bloomberg Barclays Convertible Securities ETF
78464A359
116819.00000000
NS
USD
7067549.50000000
1.947237653889
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHH SWAP ML
000000000
678445.72000000
OU
Notional Amount
USD
6166.36000000
0.001698943655
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Schwab U.S. REIT ETF
Schwab U.S. REIT ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
678445.72000000
USD
6166.36000000
N
N
N
2020-07-20
MAINSTAY VP FUNDS TRUST
Jack Benintende
Jack Benintende
Treasurer