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