0001752724-21-033044.txt : 20210223
0001752724-21-033044.hdr.sgml : 20210223
20210223102214
ACCESSION NUMBER: 0001752724-21-033044
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201231
FILED AS OF DATE: 20210223
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: 21663494
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
2020-12-31
2020-12-31
N
403941454.75
19915235.76
384026218.99
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
1030404.43000000
UST
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GUNR SWAP
000000000
143523.96000000
OU
Notional Amount
USD
1571.90000000
0.000409321010
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
2022-09-14
0.00000000
USD
0.00000000
USD
143523.96000000
USD
1571.90000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EWJ SWAP ML
000000000
268763.86000000
OU
Notional Amount
USD
-13231.58000000
-0.00344548870
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
268763.86000000
USD
-13231.58000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IJT SWAP ML
000000000
186115.50000000
OU
Notional Amount
USD
-15983.10000000
-0.00416198145
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
186115.50000000
USD
-15983.10000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ULTR SWAP
000000000
2900021.60000000
OU
Notional Amount
USD
-10871.84000000
-0.00283101503
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
2022-09-14
0.00000000
USD
0.00000000
USD
2900021.60000000
USD
-10871.84000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FLOT SWAP
000000000
825748.95000000
OU
Notional Amount
USD
-483.83000000
-0.00012598879
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
2022-09-14
0.00000000
USD
0.00000000
USD
825748.95000000
USD
-483.83000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
DBEU SWAP ML
000000000
268745.88000000
OU
Notional Amount
USD
-2538.76000000
-0.00066109027
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
268745.88000000
USD
-2538.76000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLE SWAP
000000000
20144.48000000
OU
Notional Amount
USD
624.72000000
0.000162676392
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
2022-09-14
0.00000000
USD
0.00000000
USD
20144.48000000
USD
624.72000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPYV SWAP ML
000000000
228667.04000000
OU
Notional Amount
USD
-6285.44000000
-0.00163672158
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
228667.04000000
USD
-6285.44000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHG SWAP ML
000000000
58373.10000000
OU
Notional Amount
USD
2493.24000000
0.000649236920
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
58373.10000000
USD
2493.24000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VMBS SWAP ML
000000000
299268.45000000
OU
Notional Amount
USD
261.35000000
0.000068055249
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
299268.45000000
USD
261.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
USMV SWAP
000000000
2159793.25000000
OU
Notional Amount
USD
-39858.15000000
-0.01037901789
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI USA Min Vol Factor ETF
iShares MSCI USA Min Vol Factor ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
2159793.25000000
USD
-39858.15000000
N
N
N
iShares JP Morgan USD Emerging Markets Bond ETF
54930070R8WH6MNUJG74
iShares JP Morgan USD Emerging Markets Bond ETF
464288281
70849.00000000
NS
USD
8212107.59000000
2.138423676278
Long
EC
RF
US
N
1
N
N
N
Vanguard FTSE Developed Markets ETF
5493002789CX3L0CJP65
Vanguard FTSE Developed Markets ETF
921943858
109731.00000000
NS
USD
5180400.51000000
1.348970526966
Long
EC
RF
US
N
1
N
N
N
Aberdeen Standard Physical Gold Shares ETF
549300DWUGC6Q38L2L08
Aberdeen Standard Physical Gold Shares ETF
00326A104
3633.00000000
NS
USD
66411.24000000
0.017293412979
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
JNK SWAP ML
000000000
3440.96000000
OU
Notional Amount
USD
45.12000000
0.000011749197
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
3440.96000000
USD
45.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SJNK SWAP
000000000
179739.15000000
OU
Notional Amount
USD
2038.60000000
0.000530849171
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
2022-09-14
0.00000000
USD
0.00000000
USD
179739.15000000
USD
2038.60000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EFG SWAP ML
000000000
102320.10000000
OU
Notional Amount
USD
4442.68000000
0.001156868927
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
102320.10000000
USD
4442.68000000
N
N
N
Vanguard FTSE Emerging Markets ETF
I9EY4HOGV0KQ5WF8MP19
Vanguard FTSE Emerging Markets ETF
922042858
252066.00000000
NS
USD
12631027.26000000
3.289105440045
Long
EC
RF
US
N
1
N
N
iShares Broad USD Investment Grade Corporate Bond ETF
5493004QFMCNV0WLX398
iShares Broad USD Investment Grade Corporate Bond ETF
464288620
22577.00000000
NS
USD
1399096.69000000
0.364323220867
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EWX SWAP ML
000000000
437119.90000000
OU
Notional Amount
USD
19547.45000000
0.005090134223
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
437119.90000000
USD
19547.45000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SGOL SWAP
000000000
3125.64000000
OU
Notional Amount
USD
219.60000000
0.000057183595
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
2022-09-14
0.00000000
USD
0.00000000
USD
3125.64000000
USD
219.60000000
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
55832.00000000
NS
USD
937419.28000000
0.244102937155
Long
EC
CORP
GB
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CLTL SWAP
000000000
696800.52000000
OU
Notional Amount
USD
-329.55000000
-0.00008581445
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco Treasury Collateral ETF
Invesco Treasury Collateral ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
696800.52000000
USD
-329.55000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
UUP SWAP ML
000000000
1199486.52000000
OU
Notional Amount
USD
15435.24000000
0.004019319316
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
1199486.52000000
USD
15435.24000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VTV SWAP
000000000
1897480.00000000
OU
Notional Amount
USD
-53464.00000000
-0.01392196609
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Value ETF
Vanguard Value ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
1897480.00000000
USD
-53464.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EMLC SWAP ML
000000000
330584.65000000
OU
Notional Amount
USD
9401.48000000
0.002448134928
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
330584.65000000
USD
9401.48000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLE SWAP ML
000000000
20144.48000000
OU
Notional Amount
USD
624.72000000
0.000162676392
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
20144.48000000
USD
624.72000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VGLT SWAP
000000000
4324.95000000
OU
Notional Amount
USD
-11.25000000
-0.00000292948
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
2022-09-14
0.00000000
USD
0.00000000
USD
4324.95000000
USD
-11.25000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
KBWB SWAP ML
000000000
202121.01000000
OU
Notional Amount
USD
-15627.69000000
-0.00406943308
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
202121.01000000
USD
-15627.69000000
N
N
N
iShares 0-5 Year High Yield Corporate Bond ETF
549300R96U5WQ7R5ID10
iShares 0-5 Year High Yield Corporate Bond ETF
46434V407
117206.00000000
NS
USD
5325840.64000000
1.386842974942
Long
EC
RF
US
N
1
N
N
N
Vanguard Intermediate-Term Corporate Bond ETF
VKDXEYNPEMWGHJ22MR31
Vanguard Intermediate-Term Corporate Bond ETF
92206C870
101350.00000000
NS
USD
9845139.00000000
2.563663237862
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VXX SWAP ML
000000000
48508.08000000
OU
Notional Amount
USD
-1395.34000000
-0.00036334498
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
48508.08000000
USD
-1395.34000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
MBB SWAP ML
000000000
595136.35000000
OU
Notional Amount
USD
-6.17000000
-0.00000160666
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
595136.35000000
USD
-6.17000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLF SWAP
000000000
90777.28000000
OU
Notional Amount
USD
5209.60000000
0.001356574041
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
2022-09-14
0.00000000
USD
0.00000000
USD
90777.28000000
USD
5209.60000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VBK SWAP
000000000
505826.37000000
OU
Notional Amount
USD
-41003.01000000
-0.01067713816
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
2022-09-14
0.00000000
USD
0.00000000
USD
505826.37000000
USD
-41003.01000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EEMV SWAP ML
000000000
587572.20000000
OU
Notional Amount
USD
-19685.16000000
-0.00512599375
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI Emerging Markets Min Vol Factor ETF
iShares MSCI Emerging Markets Min Vol Factor ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
587572.20000000
USD
-19685.16000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GLDM SWAP ML
000000000
4283.40000000
OU
Notional Amount
USD
300.08000000
0.000078140498
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
4283.40000000
USD
300.08000000
N
N
N
Vanguard Growth ETF
5493000YNP0UJ6BI5W33
Vanguard Growth ETF
922908736
24085.00000000
NS
USD
6101693.90000000
1.588874300314
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPSB SWAP ML
000000000
89795.28000000
OU
Notional Amount
USD
-54.08000000
-0.00001408237
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
89795.28000000
USD
-54.08000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VEA SWAP
000000000
248671.35000000
OU
Notional Amount
USD
11691.80000000
0.003044531706
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
2022-09-14
0.00000000
USD
0.00000000
USD
248671.35000000
USD
11691.80000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ELD SWAP
000000000
12745.20000000
OU
Notional Amount
USD
475.00000000
0.000123689471
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
2022-09-14
0.00000000
USD
0.00000000
USD
12745.20000000
USD
475.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPTL SWAP
000000000
4915.90000000
OU
Notional Amount
USD
3.27000000
0.000000851504
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
2022-09-14
0.00000000
USD
0.00000000
USD
4915.90000000
USD
3.27000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEFA SWAP
000000000
237934.08000000
OU
Notional Amount
USD
10237.20000000
0.002665755485
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
2022-09-14
0.00000000
USD
0.00000000
USD
237934.08000000
USD
10237.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VXX SWAP
000000000
48520.12000000
OU
Notional Amount
USD
-1407.38000000
-0.00036648018
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
2022-09-14
0.00000000
USD
0.00000000
USD
48520.12000000
USD
-1407.38000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
LQD SWAP ML
000000000
696554.40000000
OU
Notional Amount
USD
-1760.50000000
-0.00045843224
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
696554.40000000
USD
-1760.50000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HYG SWAP
000000000
7250.88000000
OU
Notional Amount
USD
82.32000000
0.000021436036
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
2022-09-14
0.00000000
USD
0.00000000
USD
7250.88000000
USD
82.32000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IPAC SWAP
000000000
563843.36000000
OU
Notional Amount
USD
-24762.18000000
-0.00644804411
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
2022-09-14
0.00000000
USD
0.00000000
USD
563843.36000000
USD
-24762.18000000
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
203331.00000000
NS
USD
6764822.37000000
1.761552215833
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXI SWAP ML
000000000
131318.00000000
OU
Notional Amount
USD
-1592.58000000
-0.00041470605
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
131318.00000000
USD
-1592.58000000
N
N
N
SPDR Portfolio S&P 500 Growth ETF
549300VUPJJVH7HVPB06
SPDR Portfolio S&P 500 Growth ETF
78464A409
15478.00000000
NS
USD
855778.62000000
0.222843800157
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHR SWAP ML
000000000
150417.40000000
OU
Notional Amount
USD
-151.58000000
-0.00003947126
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
150417.40000000
USD
-151.58000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EMB SWAP ML
000000000
406844.25000000
OU
Notional Amount
USD
5911.26000000
0.001539285524
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
406844.25000000
USD
5911.26000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IWN SWAP ML
000000000
73817.24000000
OU
Notional Amount
USD
5496.26000000
0.001431219986
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
73817.24000000
USD
5496.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VBR SWAP
000000000
112945.14000000
OU
Notional Amount
USD
6937.89000000
0.001806618834
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
2022-09-14
0.00000000
USD
0.00000000
USD
112945.14000000
USD
6937.89000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLV SWAP ML
000000000
38847.96000000
OU
Notional Amount
USD
1309.80000000
0.000341070462
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
38847.96000000
USD
1309.80000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VUG SWAP ML
000000000
294840.70000000
OU
Notional Amount
USD
11700.70000000
0.003046849257
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
294840.70000000
USD
11700.70000000
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
17844648.00000000
NS
USD
17844648.00000000
4.646726477929
Long
STIV
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHR SWAP
000000000
150421.06000000
OU
Notional Amount
USD
-155.24000000
-0.00004042432
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
2022-09-14
0.00000000
USD
0.00000000
USD
150421.06000000
USD
-155.24000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SHV SWAP ML
000000000
490046.76000000
OU
Notional Amount
USD
-619.92000000
-0.00016142647
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
490046.76000000
USD
-619.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VSS SWAP
000000000
113210.16000000
OU
Notional Amount
USD
-2294.16000000
-0.00059739671
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
2022-09-14
0.00000000
USD
0.00000000
USD
113210.16000000
USD
-2294.16000000
N
N
N
iShares iBoxx High Yield Corporate Bond ETF
549300WY6QQ9HGWLNX87
iShares iBoxx High Yield Corporate Bond ETF
464288513
1668.00000000
NS
USD
145616.40000000
0.037918348487
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEMG SWAP
000000000
556479.66000000
OU
Notional Amount
USD
32466.06000000
0.008454125888
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
2022-09-14
0.00000000
USD
0.00000000
USD
556479.66000000
USD
32466.06000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VWO SWAP ML
000000000
602490.08000000
OU
Notional Amount
USD
32303.40000000
0.008411769405
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
602490.08000000
USD
32303.40000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PFF SWAP
000000000
509317.27000000
OU
Notional Amount
USD
-10529.22000000
-0.00274179716
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
2022-09-14
0.00000000
USD
0.00000000
USD
509317.27000000
USD
-10529.22000000
N
N
N
iShares 3-7 Year Treasury Bond ETF
549300BUGBHWMFPSNL42
iShares 3-7 Year Treasury Bond ETF
464288661
67797.00000000
NS
USD
9015645.06000000
2.347663939121
Long
EC
RF
US
N
1
N
N
iShares China Large-Cap ETF
5493001YVWPO25CNKN94
iShares China Large-Cap ETF
464287184
55591.00000000
NS
USD
2581090.13000000
0.672112997073
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SHV SWAP
000000000
490046.76000000
OU
Notional Amount
USD
-619.92000000
-0.00016142647
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
2022-09-14
0.00000000
USD
0.00000000
USD
490046.76000000
USD
-619.92000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VGLT SWAP ML
000000000
4324.50000000
OU
Notional Amount
USD
-10.80000000
-0.00000281230
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
4324.50000000
USD
-10.80000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FLRN SWAP ML
000000000
352994.52000000
OU
Notional Amount
USD
-230.64000000
-0.00006005839
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
352994.52000000
USD
-230.64000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
KBWB SWAP
000000000
202121.01000000
OU
Notional Amount
USD
-15627.69000000
-0.00406943308
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco KBW Bank ETF
Invesco KBW Bank ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
202121.01000000
USD
-15627.69000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
MTUM SWAP ML
000000000
351175.14000000
OU
Notional Amount
USD
-11566.07000000
-0.00301179175
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI USA Momentum Factor ETF
iShares MSCI USA Momentum Factor ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
351175.14000000
USD
-11566.07000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IUSV SWAP ML
000000000
234567.64000000
OU
Notional Amount
USD
-6869.37000000
-0.00178877630
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
234567.64000000
USD
-6869.37000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IPAC SWAP ML
000000000
563843.35000000
OU
Notional Amount
USD
-24762.19000000
-0.00644804671
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
563843.35000000
USD
-24762.19000000
N
N
N
SPDR Portfolio Long Term Treasury ETF
549300GYQKAMF6JUVI06
SPDR Portfolio Long Term Treasury ETF
78464A664
2169.00000000
NS
USD
97886.97000000
0.025489658038
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
USRT SWAP
000000000
162970.08000000
OU
Notional Amount
USD
-3753.96000000
-0.00097752700
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
2022-09-14
0.00000000
USD
0.00000000
USD
162970.08000000
USD
-3753.96000000
N
N
N
SPDR S&P Emerging Markets SmallCap ETF
549300S4JUBZHM54WJ41
SPDR S&P Emerging Markets SmallCap ETF
78463X756
176001.00000000
NS
USD
9086931.63000000
2.366226882606
Long
EC
RF
US
N
1
N
N
N
Energy Select Sector SPDR Fund
54930064FLK0RD4TRU75
Energy Select Sector SPDR Fund
81369Y506
10910.00000000
NS
USD
413489.00000000
0.107672075382
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEUR SWAP
000000000
106398.60000000
OU
Notional Amount
USD
4161.08000000
0.001083540600
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
2022-09-14
0.00000000
USD
0.00000000
USD
106398.60000000
USD
4161.08000000
N
N
N
iShares Floating Rate Bond ETF
549300G2T0MQ0NCEG317
iShares Floating Rate Bond ETF
46429B655
323751.00000000
NS
USD
16420650.72000000
4.275919171140
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VONV SWAP ML
000000000
102324.39000000
OU
Notional Amount
USD
-2997.39000000
-0.00078051701
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
102324.39000000
USD
-2997.39000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLY SWAP
000000000
366812.52000000
OU
Notional Amount
USD
-8126.44000000
-0.00211611593
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
2022-09-14
0.00000000
USD
0.00000000
USD
366812.52000000
USD
-8126.44000000
N
N
N
Health Care Select Sector SPDR Fund
549300EJNY3KKJHPOY44
Health Care Select Sector SPDR Fund
81369Y209
7049.00000000
NS
USD
799638.56000000
0.208224991018
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
JNK SWAP
000000000
3440.96000000
OU
Notional Amount
USD
45.12000000
0.000011749197
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
2022-09-14
0.00000000
USD
0.00000000
USD
3440.96000000
USD
45.12000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
KBE SWAP ML
000000000
360556.32000000
OU
Notional Amount
USD
-29875.20000000
-0.00777946882
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
360556.32000000
USD
-29875.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TIP SWAP
000000000
894547.92000000
OU
Notional Amount
USD
-8703.48000000
-0.00226637650
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares TIPS Bond ETF
iShares TIPS Bond ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
894547.92000000
USD
-8703.48000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VTV SWAP ML
000000000
1897480.00000000
OU
Notional Amount
USD
-53464.00000000
-0.01392196609
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
1897480.00000000
USD
-53464.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLF SWAP ML
000000000
90777.28000000
OU
Notional Amount
USD
5209.60000000
0.001356574041
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
90777.28000000
USD
5209.60000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPYG SWAP ML
000000000
41467.40000000
OU
Notional Amount
USD
1548.22000000
0.000403154764
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
41467.40000000
USD
1548.22000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
BKLN SWAP
000000000
1125261.25000000
OU
Notional Amount
USD
13803.75000000
0.003594481136
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco Senior Loan ETF
Invesco Senior Loan ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
1125261.25000000
USD
13803.75000000
N
N
N
Vanguard Small-Cap Value ETF
IYAYRN9IGNRICDXDWU21
Vanguard Small-Cap Value ETF
922908611
16777.00000000
NS
USD
2385857.17000000
0.621274551585
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MCHI SWAP
000000000
214768.71000000
OU
Notional Amount
USD
3121.56000000
0.000812850749
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI China ETF
iShares MSCI China ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
214768.71000000
USD
3121.56000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EBND SWAP
000000000
93797.02000000
OU
Notional Amount
USD
2190.08000000
0.000570294394
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
2022-09-14
0.00000000
USD
0.00000000
USD
93797.02000000
USD
2190.08000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PGX SWAP ML
000000000
180044.37000000
OU
Notional Amount
USD
-2755.17000000
-0.00071744320
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
180044.37000000
USD
-2755.17000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLK SWAP ML
000000000
27451.60000000
OU
Notional Amount
USD
-1152.80000000
-0.00030018783
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
27451.60000000
USD
-1152.80000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VWOB SWAP
000000000
42360.30000000
OU
Notional Amount
USD
600.30000000
0.000156317451
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
2022-09-14
0.00000000
USD
0.00000000
USD
42360.30000000
USD
600.30000000
N
N
N
IQ Ultra Short Duration Etf
5493005TWXGQCEG58C67
IQ Ultra Short Duration Etf
45409F819
1159972.00000000
NS
USD
57488212.32000000
14.96986650317
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHC SWAP
000000000
58765.77000000
OU
Notional Amount
USD
-1210.68000000
-0.00031525972
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
2022-09-14
0.00000000
USD
0.00000000
USD
58765.77000000
USD
-1210.68000000
N
N
N
SPDR Gold MiniShares Trust
N/A
SPDR Gold MiniShares Trust
98149E204
4824.00000000
NS
USD
91366.56000000
0.023791750532
Long
EC
RF
US
N
1
N
N
iShares S&P Small-Cap 600 Value ETF
549300XRN6BYGRPV6Y61
iShares S&P Small-Cap 600 Value ETF
464287879
10552.00000000
NS
USD
857983.12000000
0.223417849504
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VGK SWAP ML
000000000
381702.36000000
OU
Notional Amount
USD
16664.76000000
0.004339484955
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
381702.36000000
USD
16664.76000000
N
N
N
iShares iBoxx $ Investment Grade Corporate Bond ETF
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
100083.00000000
NS
USD
13824464.79000000
3.599875244549
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
MCHI SWAP ML
000000000
214768.71000000
OU
Notional Amount
USD
3121.56000000
0.000812850749
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
214768.71000000
USD
3121.56000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
ULTR SWAP ML
000000000
2899926.96000000
OU
Notional Amount
USD
-10777.20000000
-0.00280637088
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
2899926.96000000
USD
-10777.20000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
DBJP SWAP ML
000000000
50554.00000000
OU
Notional Amount
USD
2104.50000000
0.000548009457
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
50554.00000000
USD
2104.50000000
N
N
N
iShares MSCI EAFE Growth ETF
549300TM3QJ7458P4314
iShares MSCI EAFE Growth ETF
464288885
21061.00000000
NS
USD
2125265.51000000
0.553416773362
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GXC SWAP ML
000000000
58290.05000000
OU
Notional Amount
USD
955.50000000
0.000248811136
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
58290.05000000
USD
955.50000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IUSG SWAP
000000000
44840.25000000
OU
Notional Amount
USD
1722.00000000
0.000448406883
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
2022-09-14
0.00000000
USD
0.00000000
USD
44840.25000000
USD
1722.00000000
N
N
N
iShares Core S&P U.S. Growth ETF
549300JOHA1VZHAEBP32
iShares Core S&P U.S. Growth ETF
464287671
10453.00000000
NS
USD
927076.57000000
0.241409706982
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
RWX SWAP ML
000000000
1317581.22000000
OU
Notional Amount
USD
-67870.47000000
-0.01767339484
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
1317581.22000000
USD
-67870.47000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SRLN SWAP ML
000000000
505795.20000000
OU
Notional Amount
USD
5941.30000000
0.001547107907
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
505795.20000000
USD
5941.30000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SHYG SWAP ML
000000000
265480.18000000
OU
Notional Amount
USD
2161.42000000
0.000562831362
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
265480.18000000
USD
2161.42000000
N
N
N
SPDR Bloomberg Barclays High Yield Bond ETF
549300NCLW2248PN7J24
SPDR Bloomberg Barclays High Yield Bond ETF
78468R622
627.00000000
NS
USD
68305.38000000
0.017786644927
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHV SWAP ML
000000000
244732.23000000
OU
Notional Amount
USD
-7020.14000000
-0.00182803664
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
244732.23000000
USD
-7020.14000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IWN SWAP
000000000
73817.24000000
OU
Notional Amount
USD
5496.26000000
0.001431219986
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
2022-09-14
0.00000000
USD
0.00000000
USD
73817.24000000
USD
5496.26000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VONG SWAP ML
000000000
23799.00000000
OU
Notional Amount
USD
982.00000000
0.000255711707
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
23799.00000000
USD
982.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EMLC SWAP
000000000
330584.65000000
OU
Notional Amount
USD
9401.48000000
0.002448134928
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
2022-09-14
0.00000000
USD
0.00000000
USD
330584.65000000
USD
9401.48000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPYV SWAP
000000000
228667.04000000
OU
Notional Amount
USD
-6285.44000000
-0.00163672158
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
2022-09-14
0.00000000
USD
0.00000000
USD
228667.04000000
USD
-6285.44000000
N
N
N
Vanguard FTSE Europe ETF
5493000IQHGUVNGQR883
Vanguard FTSE Europe ETF
922042874
131583.00000000
NS
USD
7926559.92000000
2.064067380828
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXB SWAP ML
000000000
104222.37000000
OU
Notional Amount
USD
2002.11000000
0.000521347215
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
2021-09-30
0.00000000
USD
0.00000000
USD
104222.37000000
USD
2002.11000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EWX SWAP
000000000
437119.90000000
OU
Notional Amount
USD
19547.45000000
0.005090134223
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
2022-09-14
0.00000000
USD
0.00000000
USD
437119.90000000
USD
19547.45000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EEMV SWAP
000000000
587572.20000000
OU
Notional Amount
USD
-19685.16000000
-0.00512599375
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI Emerging Markets Min Vol Factor ETF
iShares MSCI Emerging Markets Min Vol Factor ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
587572.20000000
USD
-19685.16000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VBK SWAP ML
000000000
505826.37000000
OU
Notional Amount
USD
-41003.01000000
-0.01067713816
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
505826.37000000
USD
-41003.01000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TLT SWAP
000000000
32293.65000000
OU
Notional Amount
USD
41.00000000
0.000010676354
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
2022-09-14
0.00000000
USD
0.00000000
USD
32293.65000000
USD
41.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
UUP SWAP
000000000
1198376.54000000
OU
Notional Amount
USD
14325.26000000
0.003730281759
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
2022-09-14
0.00000000
USD
0.00000000
USD
1198376.54000000
USD
14325.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IEI SWAP
000000000
453119.07000000
OU
Notional Amount
USD
-56.21000000
-0.00001463702
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
2022-09-14
0.00000000
USD
0.00000000
USD
453119.07000000
USD
-56.21000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FLRN SWAP
000000000
352994.52000000
OU
Notional Amount
USD
-230.64000000
-0.00006005839
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
2022-09-14
0.00000000
USD
0.00000000
USD
352994.52000000
USD
-230.64000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
HYLB SWAP ML
000000000
1782.72000000
OU
Notional Amount
USD
20.52000000
0.000005343385
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
1782.72000000
USD
20.52000000
N
N
N
WisdomTree Emerging Markets Local Debt Fund
549300SEEWOPCRAVKB36
WisdomTree Emerging Markets Local Debt Fund
97717X867
7566.00000000
NS
USD
263221.14000000
0.068542491888
Long
EC
RF
US
N
1
N
N
Invesco CurrencyShares Euro Currency Trust
N/A
Invesco CurrencyShares Euro Currency Trust
46138K103
52664.00000000
NS
USD
6042667.36000000
1.573503854995
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IWO SWAP ML
000000000
419618.82000000
OU
Notional Amount
USD
-38527.78000000
-0.01003259103
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
419618.82000000
USD
-38527.78000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHC SWAP ML
000000000
58781.70000000
OU
Notional Amount
USD
-1194.75000000
-0.00031111157
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
58781.70000000
USD
-1194.75000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SCHH SWAP ML
000000000
472445.52000000
OU
Notional Amount
USD
-6432.12000000
-0.00167491688
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
472445.52000000
USD
-6432.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHG SWAP
000000000
58373.10000000
OU
Notional Amount
USD
2493.24000000
0.000649236920
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
2022-09-14
0.00000000
USD
0.00000000
USD
58373.10000000
USD
2493.24000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
ELD SWAP ML
000000000
12745.20000000
OU
Notional Amount
USD
475.00000000
0.000123689471
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
12745.20000000
USD
475.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FLOT SWAP ML
000000000
825740.34000000
OU
Notional Amount
USD
-475.22000000
-0.00012374675
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
825740.34000000
USD
-475.22000000
N
N
N
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
549300UZIXAGB0EPMT96
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
78464A391
68094.00000000
NS
USD
1910036.70000000
0.497371430790
Long
EC
RF
US
N
1
N
N
SPDR Blackstone / GSO Senior Loan ETF
549300ME4SR63Y3TRD06
SPDR Blackstone / GSO Senior Loan ETF
78467V608
223057.00000000
NS
USD
10182552.05000000
2.651525220538
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXE SWAP
000000000
296857.55000000
OU
Notional Amount
USD
6859.23000000
0.001786135857
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
2022-09-14
0.00000000
USD
0.00000000
USD
296857.55000000
USD
6859.23000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPLV SWAP
000000000
547882.22000000
OU
Notional Amount
USD
-10425.45000000
-0.00271477557
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
2022-09-14
0.00000000
USD
0.00000000
USD
547882.22000000
USD
-10425.45000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SJNK SWAP ML
000000000
179728.68000000
OU
Notional Amount
USD
2049.07000000
0.000533575547
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
179728.68000000
USD
2049.07000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
TLT SWAP ML
000000000
32291.60000000
OU
Notional Amount
USD
43.05000000
0.000011210172
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
32291.60000000
USD
43.05000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DBJP SWAP
000000000
50554.00000000
OU
Notional Amount
USD
2104.50000000
0.000548009457
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
2022-09-14
0.00000000
USD
0.00000000
USD
50554.00000000
USD
2104.50000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEI SWAP ML
000000000
453117.07000000
OU
Notional Amount
USD
-54.21000000
-0.00001411622
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
453117.07000000
USD
-54.21000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
EBND SWAP ML
000000000
93797.02000000
OU
Notional Amount
USD
2190.08000000
0.000570294394
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
93797.02000000
USD
2190.08000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEMG SWAP ML
000000000
556479.66000000
OU
Notional Amount
USD
32466.06000000
0.008454125888
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
556479.66000000
USD
32466.06000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PFF SWAP ML
000000000
509317.27000000
OU
Notional Amount
USD
-10529.22000000
-0.00274179716
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
509317.27000000
USD
-10529.22000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
BAR SWAP ML
000000000
1342.92000000
OU
Notional Amount
USD
92.72000000
0.000024144184
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
1342.92000000
USD
92.72000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SLV SWAP
000000000
60224.05000000
OU
Notional Amount
USD
10070.72000000
0.002622404279
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Silver Trust
iShares Silver Trust
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
60224.05000000
USD
10070.72000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VCIT SWAP
000000000
494886.81000000
OU
Notional Amount
USD
-152.79000000
-0.00003978634
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
2022-09-14
0.00000000
USD
0.00000000
USD
494886.81000000
USD
-152.79000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPYG SWAP
000000000
41467.40000000
OU
Notional Amount
USD
1548.22000000
0.000403154764
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
2022-09-14
0.00000000
USD
0.00000000
USD
41467.40000000
USD
1548.22000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HYD SWAP
000000000
324962.40000000
OU
Notional Amount
USD
-3415.04000000
-0.00088927261
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VanEck Vectors High Yield Muni ETF
VanEck Vectors High Yield Muni ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
324962.40000000
USD
-3415.04000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VGK SWAP
000000000
381702.36000000
OU
Notional Amount
USD
16664.76000000
0.004339484955
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard FTSE Europe ETF
Vanguard FTSE Europe ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
381702.36000000
USD
16664.76000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VEA SWAP ML
000000000
248671.35000000
OU
Notional Amount
USD
11691.80000000
0.003044531706
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
248671.35000000
USD
11691.80000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GXC SWAP
000000000
58290.05000000
OU
Notional Amount
USD
955.50000000
0.000248811136
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
2022-09-14
0.00000000
USD
0.00000000
USD
58290.05000000
USD
955.50000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
USIG SWAP ML
000000000
70426.75000000
OU
Notional Amount
USD
-90.80000000
-0.00002364421
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
70426.75000000
USD
-90.80000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHV SWAP
000000000
244732.23000000
OU
Notional Amount
USD
-7020.14000000
-0.00182803664
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
2022-09-14
0.00000000
USD
0.00000000
USD
244732.23000000
USD
-7020.14000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPSB SWAP
000000000
89796.05000000
OU
Notional Amount
USD
-54.85000000
-0.00001428287
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
2022-09-14
0.00000000
USD
0.00000000
USD
89796.05000000
USD
-54.85000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VONV SWAP
000000000
102201.33000000
OU
Notional Amount
USD
-3120.45000000
-0.00081256170
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Russell 1000 Value
Vanguard Russell 1000 Value
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
102201.33000000
USD
-3120.45000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VGIT SWAP
000000000
274084.38000000
OU
Notional Amount
USD
-2305.08000000
-0.00060024026
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
2022-09-14
0.00000000
USD
0.00000000
USD
274084.38000000
USD
-2305.08000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EFG SWAP
000000000
102324.40000000
OU
Notional Amount
USD
4438.38000000
0.001155749212
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
2022-09-14
0.00000000
USD
0.00000000
USD
102324.40000000
USD
4438.38000000
N
N
N
Vanguard Short-Term Corporate Bond ETF
GW69FWO1NUHCKLV98X51
Vanguard Short-Term Corporate Bond ETF
92206C409
104560.00000000
NS
USD
8704620.00000000
2.266673359671
Long
EC
RF
US
N
1
N
N
N
Xtrackers USD High Yield Corporate Bond ETF
5493000ENPC36KSKPY20
Xtrackers USD High Yield Corporate Bond ETF
233051432
709.00000000
NS
USD
35513.81000000
0.009247756596
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VCIT SWAP ML
000000000
494886.81000000
OU
Notional Amount
USD
-152.79000000
-0.00003978634
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
494886.81000000
USD
-152.79000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IAU SWAP
000000000
37442.55000000
OU
Notional Amount
USD
2606.62000000
0.000678760946
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares Gold Trust
iShares Gold Trust
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
37442.55000000
USD
2606.62000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLV SWAP
000000000
38847.96000000
OU
Notional Amount
USD
1309.80000000
0.000341070462
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
2022-09-14
0.00000000
USD
0.00000000
USD
38847.96000000
USD
1309.80000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
BKLN SWAP ML
000000000
1125261.25000000
OU
Notional Amount
USD
13803.75000000
0.003594481136
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
1125261.25000000
USD
13803.75000000
N
N
N
Schwab Intermediate-Term U.S. Treasury ETF
549300LPS1K6133V2Q55
Schwab Intermediate-Term U.S. Treasury ETF
808524854
51364.00000000
NS
USD
2990412.08000000
0.778699977273
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VGIT SWAP ML
000000000
274081.94000000
OU
Notional Amount
USD
-2302.64000000
-0.00059960489
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
274081.94000000
USD
-2302.64000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SHYG SWAP
000000000
265489.12000000
OU
Notional Amount
USD
2152.48000000
0.000560503396
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
2022-09-14
0.00000000
USD
0.00000000
USD
265489.12000000
USD
2152.48000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VPL SWAP ML
000000000
2143841.28000000
OU
Notional Amount
USD
-120335.04000000
-0.03133511048
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
2143841.28000000
USD
-120335.04000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VMBS SWAP
000000000
299263.40000000
OU
Notional Amount
USD
256.30000000
0.000066740234
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
2022-09-14
0.00000000
USD
0.00000000
USD
299263.40000000
USD
256.30000000
N
N
N
iShares Core MSCI Europe ETF
549300XU2KDV0C5LCG21
iShares Core MSCI Europe ETF
46434V738
42910.00000000
NS
USD
2200424.80000000
0.572988168825
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPLV SWAP ML
000000000
547882.22000000
OU
Notional Amount
USD
-10425.45000000
-0.00271477557
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
547882.22000000
USD
-10425.45000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EWJ SWAP
000000000
268763.86000000
OU
Notional Amount
USD
-13231.58000000
-0.00344548870
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI Japan ETF
iShares MSCI Japan ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
268763.86000000
USD
-13231.58000000
N
N
N
Graniteshares Gold Trust
549300B09UIFB1TCF016
Graniteshares Gold Trust
38748G101
1500.00000000
NS
USD
28335.00000000
0.007378402462
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VWOB SWAP ML
000000000
42360.30000000
OU
Notional Amount
USD
600.30000000
0.000156317451
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
42360.30000000
USD
600.30000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEUR SWAP ML
000000000
106398.60000000
OU
Notional Amount
USD
4161.08000000
0.001083540600
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
106398.60000000
USD
4161.08000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IJS SWAP ML
000000000
40089.20000000
OU
Notional Amount
USD
3005.10000000
0.000782524695
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
40089.20000000
USD
3005.10000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
TIP SWAP ML
000000000
894553.39000000
OU
Notional Amount
USD
-8698.01000000
-0.00226495212
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
894553.39000000
USD
-8698.01000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
CWB SWAP ML
000000000
1237998.20000000
OU
Notional Amount
USD
71325.65000000
0.018573119873
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
1237998.20000000
USD
71325.65000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
HYG SWAP ML
000000000
7250.88000000
OU
Notional Amount
USD
82.32000000
0.000021436036
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
7250.88000000
USD
82.32000000
N
N
N
FlexShares Global Upstream Natural Resources Index Fund
N/A
FlexShares Global Upstream Natural Resources Index Fund
33939L407
88728.00000000
NS
USD
2887209.12000000
0.751826041355
Long
EC
RF
US
N
1
N
N
iShares 20+ Year Treasury Bond ETF
549300WWURKS1JGBZU59
iShares 20+ Year Treasury Bond ETF
464287432
4086.00000000
NS
USD
644484.78000000
0.167823119394
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CWB SWAP
000000000
1237998.20000000
OU
Notional Amount
USD
71325.65000000
0.018573119873
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
2022-09-14
0.00000000
USD
0.00000000
USD
1237998.20000000
USD
71325.65000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
RWX SWAP
000000000
1317581.22000000
OU
Notional Amount
USD
-67870.47000000
-0.01767339484
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
2022-09-14
0.00000000
USD
0.00000000
USD
1317581.22000000
USD
-67870.47000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IJS SWAP
000000000
40089.20000000
OU
Notional Amount
USD
3005.10000000
0.000782524695
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
2022-09-14
0.00000000
USD
0.00000000
USD
40089.20000000
USD
3005.10000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IJT SWAP
000000000
186115.50000000
OU
Notional Amount
USD
-15983.10000000
-0.00416198145
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
2022-09-14
0.00000000
USD
0.00000000
USD
186115.50000000
USD
-15983.10000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VSS SWAP ML
000000000
113219.64000000
OU
Notional Amount
USD
-2284.68000000
-0.00059492812
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
113219.64000000
USD
-2284.68000000
N
N
N
iShares Core MSCI EAFE ETF
5493009FT582MI7Y3I36
iShares Core MSCI EAFE ETF
46432F842
71479.00000000
NS
USD
4938484.11000000
1.285975765662
Long
EC
RF
US
N
1
N
N
N
SPDR S&P China ETF
549300B1I89QUAK0X692
SPDR S&P China ETF
78463X400
9048.00000000
NS
USD
1178140.08000000
0.306786365550
Long
EC
RF
US
N
1
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IUSG SWAP ML
000000000
44840.25000000
OU
Notional Amount
USD
1722.00000000
0.000448406883
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
44840.25000000
USD
1722.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VUG SWAP
000000000
294840.70000000
OU
Notional Amount
USD
11700.70000000
0.003046849257
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard Growth ETF
Vanguard Growth ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
294840.70000000
USD
11700.70000000
N
N
N
iShares Core MSCI Emerging Markets ETF
5493007C24Z3ZDJ0VD06
iShares Core MSCI Emerging Markets ETF
46434G103
188895.00000000
NS
USD
11719045.80000000
3.051626482905
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VCSH SWAP ML
000000000
437040.54000000
OU
Notional Amount
USD
438.21000000
0.000114109396
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
437040.54000000
USD
438.21000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PGX SWAP
000000000
180044.37000000
OU
Notional Amount
USD
-2755.17000000
-0.00071744320
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco Preferred ETF
Invesco Preferred ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
180044.37000000
USD
-2755.17000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXB SWAP
000000000
104227.40000000
OU
Notional Amount
USD
1997.08000000
0.000520037409
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
2022-09-14
0.00000000
USD
0.00000000
USD
104227.40000000
USD
1997.08000000
N
N
N
iShares MSCI China ETF
549300Q0IWAYMYXW0R77
iShares MSCI China ETF
46429B671
53554.00000000
NS
USD
4336267.38000000
1.129159199443
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VPL SWAP
000000000
2143841.28000000
OU
Notional Amount
USD
-120335.04000000
-0.03133511048
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vanguard FTSE Pacific ETF
Vanguard FTSE Pacific ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
2143841.28000000
USD
-120335.04000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XLK SWAP
000000000
27449.40000000
OU
Notional Amount
USD
-1155.00000000
-0.00030076071
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
2022-09-14
0.00000000
USD
0.00000000
USD
27449.40000000
USD
-1155.00000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXE SWAP ML
000000000
296857.31000000
OU
Notional Amount
USD
6859.47000000
0.001786198353
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
296857.31000000
USD
6859.47000000
N
N
N
SPDR Portfolio Short Term Corporate Bond ETF
549300D2BO7L1J2SO973
SPDR Portfolio Short Term Corporate Bond ETF
78464A474
56865.00000000
NS
USD
1785561.00000000
0.464958097052
Long
EC
RF
US
N
1
N
N
N
Xtrackers MSCI Japan Hedged Equity ETF
3379V8ZPZKCNZWO8YR10
Xtrackers MSCI Japan Hedged Equity ETF
233051507
22888.00000000
NS
USD
1048041.52000000
0.272908845327
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IEFA SWAP ML
000000000
237934.08000000
OU
Notional Amount
USD
10237.20000000
0.002665755485
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
237934.08000000
USD
10237.20000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
CLTL SWAP ML
000000000
696800.52000000
OU
Notional Amount
USD
-329.55000000
-0.00008581445
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
696800.52000000
USD
-329.55000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SGOL SWAP ML
000000000
3125.64000000
OU
Notional Amount
USD
219.60000000
0.000057183595
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
3125.64000000
USD
219.60000000
N
N
N
MainStay US Government Liquidity Fund
549300Y3ZLEL13IJCK58
MainStay US Government Liquidity Fund
56064L488
4176036.01000000
NS
USD
4176036.01000000
1.087435129034
Long
STIV
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MTUM SWAP
000000000
351163.55000000
OU
Notional Amount
USD
-11577.66000000
-0.00301480977
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MSCI USA Momentum Factor ETF
iShares MSCI USA Momentum Factor ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
351163.55000000
USD
-11577.66000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
BAR SWAP
000000000
1342.92000000
OU
Notional Amount
USD
92.72000000
0.000024144184
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Graniteshares Gold Trust
Graniteshares Gold Trust
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
1342.92000000
USD
92.72000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
EMB SWAP
000000000
406844.25000000
OU
Notional Amount
USD
5911.26000000
0.001539285524
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
2022-09-14
0.00000000
USD
0.00000000
USD
406844.25000000
USD
5911.26000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
XLY SWAP ML
000000000
366813.89000000
OU
Notional Amount
USD
-8125.07000000
-0.00211575918
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
366813.89000000
USD
-8125.07000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GBIL SWAP ML
000000000
1936614.99000000
OU
Notional Amount
USD
-194.07000000
-0.00005053561
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
1936614.99000000
USD
-194.07000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SLV SWAP ML
000000000
60224.05000000
OU
Notional Amount
USD
10070.72000000
0.002622404279
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
60224.05000000
USD
10070.72000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GBIL SWAP
000000000
1936615.32000000
OU
Notional Amount
USD
-194.40000000
-0.00005062154
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
2022-09-14
0.00000000
USD
0.00000000
USD
1936615.32000000
USD
-194.40000000
N
N
N
Financial Select Sector SPDR Fund
549300Y12KQ6ZG08NY28
Financial Select Sector SPDR Fund
81369Y605
64786.00000000
NS
USD
1909891.28000000
0.497333563584
Long
EC
RF
US
N
1
N
N
N
iShares Gold Trust
5493006UOY7GXQW0IP42
iShares Gold Trust
464285105
43958.00000000
NS
USD
796958.54000000
0.207527116793
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VBR SWAP ML
000000000
112945.14000000
OU
Notional Amount
USD
6937.89000000
0.001806618834
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
112945.14000000
USD
6937.89000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
LQD SWAP
000000000
696554.40000000
OU
Notional Amount
USD
-1760.50000000
-0.00045843224
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
2022-09-14
0.00000000
USD
0.00000000
USD
696554.40000000
USD
-1760.50000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VONG SWAP
000000000
23799.00000000
OU
Notional Amount
USD
982.00000000
0.000255711707
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
2022-09-14
0.00000000
USD
0.00000000
USD
23799.00000000
USD
982.00000000
N
N
N
SPDR Bloomberg Barclays Convertible Securities ETF
549300IXKU3G7R6DMX93
SPDR Bloomberg Barclays Convertible Securities ETF
78464A359
314692.00000000
NS
USD
26053350.68000000
6.784263519433
Long
EC
RF
US
N
1
N
N
Vanguard Russell 1000 Growth ETF
N/A
Vanguard Russell 1000 Growth ETF
92206C680
1985.00000000
NS
USD
491902.85000000
0.128090954647
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
GUNR SWAP ML
000000000
143479.46000000
OU
Notional Amount
USD
1616.40000000
0.000420908760
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
143479.46000000
USD
1616.40000000
N
N
N
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
549300QJ0FR0L0XRBI28
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
78468R200
229472.00000000
NS
USD
7019548.48000000
1.827882611364
Long
EC
RF
US
N
1
N
N
N
Schwab U.S. Large-Cap Growth ETF
549300X647G1Z3XCRR98
Schwab U.S. Large-Cap Growth ETF
808524300
9425.00000000
NS
USD
1210264.25000000
0.315151463663
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHH SWAP
000000000
472445.52000000
OU
Notional Amount
USD
-6432.12000000
-0.00167491688
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
2022-09-14
0.00000000
USD
0.00000000
USD
472445.52000000
USD
-6432.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DBEU SWAP
000000000
268745.88000000
OU
Notional Amount
USD
-2538.76000000
-0.00066109027
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
2022-09-14
0.00000000
USD
0.00000000
USD
268745.88000000
USD
-2538.76000000
N
N
N
Invesco CurrencyShares British Pound Sterling Trust
549300QKM404ILG3V824
Invesco CurrencyShares British Pound Sterling Trust
46138M109
16006.00000000
NS
USD
2114712.72000000
0.550668838591
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GLDM SWAP
000000000
4283.40000000
OU
Notional Amount
USD
300.08000000
0.000078140498
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPDR Gold MiniShares Trust
SPDR Gold MiniShares Trust
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
4283.40000000
USD
300.08000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MBB SWAP
000000000
595131.78000000
OU
Notional Amount
USD
-10.74000000
-0.00000279668
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
iShares MBS ETF
iShares MBS ETF
Y
equity-performance leg
2022-09-14
0.00000000
USD
0.00000000
USD
595131.78000000
USD
-10.74000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IUSV SWAP
000000000
234389.90000000
OU
Notional Amount
USD
-7047.11000000
-0.00183505960
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
2022-09-14
0.00000000
USD
0.00000000
USD
234389.90000000
USD
-7047.11000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
USRT SWAP ML
000000000
162970.08000000
OU
Notional Amount
USD
-3753.96000000
-0.00097752700
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
162970.08000000
USD
-3753.96000000
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
1017288.00000000
NS
USD
22665176.64000000
5.901986770489
Long
EC
RF
US
N
1
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VWO SWAP
000000000
602490.08000000
OU
Notional Amount
USD
32303.40000000
0.008411769405
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
2022-09-14
0.00000000
USD
0.00000000
USD
602490.08000000
USD
32303.40000000
N
N
N
Goldman Sachs Access Treasury 0-1 Year ETF
549300Q2J4ZAD8E71F28
Goldman Sachs Access Treasury 0-1 Year ETF
381430529
384839.00000000
NS
USD
38530080.68000000
10.03319012470
Long
EC
RF
US
N
1
N
N
N
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
549300YI2V5ELVW58659
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
78468R408
134207.00000000
NS
USD
3616878.65000000
0.941831174838
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXA SWAP
000000000
897923.38000000
OU
Notional Amount
USD
-40631.90000000
-0.01058050153
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
2022-09-14
0.00000000
USD
0.00000000
USD
897923.38000000
USD
-40631.90000000
N
N
N
iShares Short Treasury Bond ETF
549300F8ZJ4IZLOOBP30
iShares Short Treasury Bond ETF
464288679
88107.00000000
NS
USD
9738466.71000000
2.535885892273
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
USIG SWAP
000000000
70426.75000000
OU
Notional Amount
USD
-90.80000000
-0.00002364421
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
2022-09-14
0.00000000
USD
0.00000000
USD
70426.75000000
USD
-90.80000000
N
N
N
iShares Russell 2000 Value ETF
549300WJAJCAZZLTQD63
iShares Russell 2000 Value ETF
464287630
11978.00000000
NS
USD
1578101.50000000
0.410935874157
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
SPTL SWAP ML
000000000
4914.81000000
OU
Notional Amount
USD
4.36000000
0.000001135339
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
4914.81000000
USD
4.36000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IWO SWAP
000000000
419618.82000000
OU
Notional Amount
USD
-38527.78000000
-0.01003259103
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
2022-09-14
0.00000000
USD
0.00000000
USD
419618.82000000
USD
-38527.78000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SRLN SWAP
000000000
505795.20000000
OU
Notional Amount
USD
5941.30000000
0.001547107907
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
2022-09-14
0.00000000
USD
0.00000000
USD
505795.20000000
USD
5941.30000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXI SWAP
000000000
131318.00000000
OU
Notional Amount
USD
-1592.58000000
-0.00041470605
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
2022-09-14
0.00000000
USD
0.00000000
USD
131318.00000000
USD
-1592.58000000
N
N
N
Vanguard Long-Term Treasury ETF
5493002789CX3L0CJP65
Vanguard Long-Term Treasury ETF
92206C847
891.00000000
NS
USD
85411.26000000
0.022240997040
Long
EC
RF
US
N
1
N
N
N
Vanguard Emerging Markets Government Bond ETF
549300JYQ3EMXCXKZG97
Vanguard Emerging Markets Government Bond ETF
921946885
10387.00000000
NS
USD
854850.10000000
0.222602014583
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HYLB SWAP
000000000
1782.72000000
OU
Notional Amount
USD
20.52000000
0.000005343385
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
2022-09-14
0.00000000
USD
0.00000000
USD
1782.72000000
USD
20.52000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
HYD SWAP ML
000000000
324962.40000000
OU
Notional Amount
USD
-3415.04000000
-0.00088927261
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
VanEck Vectors High Yield Muni ETF
VanEck Vectors High Yield Muni ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
324962.40000000
USD
-3415.04000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VCSH SWAP
000000000
437041.91000000
OU
Notional Amount
USD
436.84000000
0.000113752649
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
2022-09-14
0.00000000
USD
0.00000000
USD
437041.91000000
USD
436.84000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
KBE SWAP
000000000
360556.32000000
OU
Notional Amount
USD
-29875.20000000
-0.00777946882
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
2022-09-14
0.00000000
USD
0.00000000
USD
360556.32000000
USD
-29875.20000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
USMV SWAP ML
000000000
2159793.25000000
OU
Notional Amount
USD
-39858.15000000
-0.01037901789
N/A
DE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
iShares MSCI USA Min Vol Factor ETF
iShares MSCI USA Min Vol Factor ETF
Y
equity-performance leg
2021-09-30
0.00000000
USD
0.00000000
USD
2159793.25000000
USD
-39858.15000000
N
N
N
Vanguard Intermediate-Term Treasury ETF
JIWE2HYVQ16M1P11J864
Vanguard Intermediate-Term Treasury ETF
92206C706
77907.00000000
NS
USD
5408303.94000000
1.408316326479
Long
EC
RF
US
N
1
N
N
N
Invesco Treasury Collateral ETF
549300E094R1VT171085
Invesco Treasury Collateral ETF
46138G888
131144.00000000
NS
USD
13857986.48000000
3.608604255315
Long
EC
RF
US
N
1
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
FXA SWAP ML
000000000
899180.27000000
OU
Notional Amount
USD
-39375.01000000
-0.01025320877
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
899180.27000000
USD
-39375.01000000
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
IAU SWAP ML
000000000
37442.55000000
OU
Notional Amount
USD
2606.62000000
0.000678760946
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
37442.55000000
USD
2606.62000000
N
N
N
iShares Silver Trust
549300K2C2CG14B0ZA09
iShares Silver Trust
46428Q109
56923.00000000
NS
USD
1398598.11000000
0.364193391190
Long
EC
RF
US
N
1
N
N
N
2021-01-29
MAINSTAY VP FUNDS TRUST
Jack Benintende
Jack Benintende
Treasurer