NPORT-P false 0000809593 XXXXXXXX S000064066 C000207202 C000213183 C000207200 C000207201 C000213182 AMERICAN BEACON FUNDS 811-04984 0000809593 549300EXCES9V5RWB620 220 EAST LAS COLINAS BOULEVARD SUITE 1200 IRVING 75039 817-391-6100 American Beacon AHL TargetRisk Fund S000064066 549300OTXTODXR10Y134 2021-12-31 2021-12-31 N 914849701.22 3215073.78 918064775.00 0.00000000 199080393.12000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 83618314.72000000 AUD CAD EUR GBP JPY KRW USD N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -866.96000000 -0.00009443342 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 699377.00000000 SEK 76540.07000000 USD 2022-01-20 -866.96000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 235000000.00000000 OU Notional Amount USD 5742006.45000000 0.625446766542 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S37.V1 2I65BYDZ5 Y sell protection 2026-12-20 5578388.80000000 USD 0.00000000 USD 235000000.00000000 USD 163617.65000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796D30 5000000.00000000 PA USD 4999801.40000000 0.544602247700 Long DBT UST US N 2 2022-02-24 None 0.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5000000.00000000 OU Notional Amount -674061.61000000 -0.07342200990 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe Crossover S36.V1 2I667KJO7 Y buy protection 2026-12-20 0.00000000 EUR -565305.33000000 EUR 5000000.00000000 EUR -33938.24000000 N N N Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 000000000 242.00000000 NC 83563.58000000 0.009102144235 N/A DE HK N 1 Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 Long HKG Hang Seng China Enterprises Index Future HCF2 INDEX 2022-01-28 99379213.28000000 HKD 83563.58000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 266.00000000 NC 53751.07000000 0.005854823261 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX MSCI Singapore Index Future QZF2 INDEX 2022-01-28 8975525.50000000 SGD 53751.07000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -1133.20000000 -0.00012343355 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 254791.60000000 EUR 289039.16000000 USD 2022-01-20 -1133.20000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -6208.95000000 -0.00067630848 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 339089.62000000 GBP 452750.77000000 USD 2022-01-20 -6208.95000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -43663.48000000 -0.00475603477 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1860978.13000000 GBP 2475180.93000000 USD 2022-01-20 -43663.48000000 N N N Euronext Eqf, Equities And Indices Derivatives N/A 000000000 99.00000000 NC 225864.61000000 0.024602252057 N/A DE NL N 1 Euronext Eqf, Equities And Indices Derivatives N/A Long Euronext Amsterdam Index Future EOF2 INDEX 2022-01-21 15595647.28000000 EUR 225864.61000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796H44 50000000.00000000 PA USD 49981536.00000000 5.444227614549 Long DBT UST US N 2 2022-05-19 None 0.00000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 20443.06000000 0.002226755731 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 226382497.00000000 JPY 1988684.50000000 USD 2022-01-20 20443.06000000 N N N Index And Options Market N/A 000000000 133.00000000 NC USD 257259.80000000 0.028021966097 N/A DE US N 1 Index And Options Market N/A Long CME E-Mini NASDAQ 100 Index Future NQH2 Index 2022-03-18 43155935.20000000 USD 257259.80000000 N N N Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 000000000 94.00000000 NC 97981.10000000 0.010672569372 N/A DE HK N 1 Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 Long HKG Hang Seng Index Future HIF2 INDEX 2022-01-28 109455809.96000000 HKD 97981.10000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 5.11000000 0.000000556605 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 32888.54000000 ZAR 2064.39000000 USD 2022-01-20 5.11000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796R35 75000000.00000000 PA USD 74964021.00000000 8.165439197904 Long DBT UST US N 2 2022-06-09 None 0.00000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 2502.81000000 0.000272618018 N/A DFE AU N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2002934.35000000 USD 2756305.76000000 AUD 2022-01-20 2502.81000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -877.01000000 -0.00009552811 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 100709.20000000 SGD 73847.80000000 USD 2022-01-20 -877.01000000 N N N Euronext N.V. 724500QJ4QSZ3H9QU415 000000000 223.00000000 NC 412908.51000000 0.044975966973 N/A DE FR N 1 Euronext N.V. 724500QJ4QSZ3H9QU415 Long Euronext CAC 40 Index Future CFF2 INDEX 2022-01-21 15565797.66000000 EUR 412908.51000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 121224005.20000000 OU Notional Amount USD 5164515.23000000 0.562543664743 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Bloomberg Commodity ex-Agriculture and Livestock Capped Index BBUXALC INDEX Y equity-performance leg 2022-01-05 452.23000000 USD 0.00000000 USD 121224005.20000000 USD 5164063.00000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -15000.83000000 -0.00163396204 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1450820.37000000 EUR 1637282.71000000 USD 2022-01-20 -15000.83000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -112.01000000 -0.00001220066 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2565293.38000000 HKD 328883.77000000 USD 2022-01-20 -112.01000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 85000000.00000000 OU Notional Amount USD 7817052.20000000 0.851470660117 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S37.V1 2I65BRYQ7 Y sell protection 2026-12-20 7670482.97000000 USD 0.00000000 USD 85000000.00000000 USD 146569.23000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 26416.97000000 0.002877462540 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1867541.55000000 USD 2395797.16000000 CAD 2022-01-20 26416.97000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 19798.60000000 0.002156558070 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 171592603.00000000 JPY 1511679.27000000 USD 2022-01-20 19798.60000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -598.12000000 -0.00006515008 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2445305.50000000 SEK 270048.23000000 USD 2022-01-20 -598.12000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 64.00000000 NC -679056.86000000 -0.07396611638 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 30 Year Euro BUXL Future UBH2 COMDTY 2022-03-08 13828490.69000000 EUR -679056.86000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -1708.28000000 -0.00018607401 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 142713.20000000 AUD 102127.21000000 USD 2022-01-20 -1708.28000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CCA7 69590400.00000000 PA USD 75112778.90000000 8.181642618844 Long DBT UST US N 2 2026-04-15 Fixed 0.12500000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 46.00000000 NC 32770.92000000 0.003569565121 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Future on STOXX Europe 600 ESG-X FUEH2 INDEX 2022-03-18 808842.79000000 EUR 32770.92000000 N N N Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 000000000 801.00000000 NC 822437.07000000 0.089583773650 N/A DE SE N 1 Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 Long OML Stockholm OMXS30 Index Future QCF2 INDEX 2022-01-21 186335703.17000000 SEK 822437.07000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 414.00000000 NC USD 905824.00000000 0.098666676324 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT US Long Bond Future USH2 COMDTY 2022-03-22 65515301.00000000 USD 905824.00000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -1622.96000000 -0.00017678055 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 151474.60000000 SGD 110769.07000000 USD 2022-01-20 -1622.96000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 727.00000000 NC -2079393.02000000 -0.22649741898 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 10 Year Euro BUND Future RXH2 COMDTY 2022-03-08 126414510.49000000 EUR -2079393.02000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -2492546.42000000 -0.27150006054 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 76503898.33000000 GBP 101055911.90000000 USD 2022-01-20 -2492546.42000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -29.67000000 -0.00000323179 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 305874.43000000 ZAR 19122.33000000 USD 2022-01-20 -29.67000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -8278.00000000 -0.00090167929 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 745258.59000000 EUR 840468.36000000 USD 2022-01-20 -8278.00000000 N N N FORWARDS STATE STREET COC USD N/A 000000000 2910000.00000000 NS USD 2910000.00000000 0.316971098253 Long STIV CORP GB N 1 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -2807.90000000 -0.00030584987 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 169112.47000000 CAD 130881.22000000 USD 2022-01-20 -2807.90000000 N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 246.00000000 NC 752830.19000000 0.082001859836 N/A DE CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange S&P/TSX 60 Index Future PTH2 INDEX 2022-03-17 62069342.54000000 CAD 752830.19000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796G45 50000000.00000000 PA USD 49988937.50000000 5.445033821279 Long DBT UST US N 2 2022-04-21 None 0.00000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -4918.53000000 -0.00053574977 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 192474.80000000 GBP 255597.20000000 USD 2022-01-20 -4918.53000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -4149.65000000 -0.00045199969 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 324867.73000000 CAD 252669.26000000 USD 2022-01-20 -4149.65000000 N N N FORWARDS JP MORGAN COC N/A 000000000 13640000.00000000 NS USD 13640000.00000000 1.485733945080 Long STIV CORP US N 1 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 153.62000000 0.000016733024 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 306301.63000000 ZAR 19332.37000000 USD 2022-01-20 153.62000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -6746.41000000 -0.00073485119 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1075458.28000000 EUR 1218051.68000000 USD 2022-01-20 -6746.41000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -899065.43000000 -0.09793050060 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 86112805.22000000 EUR 97171497.78000000 USD 2022-01-20 -899065.43000000 N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 345.00000000 NC 839675.08000000 0.091461420028 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange 10 Year Canadian Bond Future CNH2 COMDTY 2022-03-22 48143264.42000000 CAD 839675.08000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 226.00000000 NC 345716.74000000 0.037657118475 N/A DE AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE S&P ASX Share Price Index 200 Future XPH2 INDEX 2022-03-17 41035043.94000000 AUD 345716.74000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -773.56000000 -0.00008425984 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 51173.03000000 AUD 36458.99000000 USD 2022-01-20 -773.56000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 205000000.00000000 OU Notional Amount 6073585.98000000 0.661563992584 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe S36.V1 2I666VCZ6 Y sell protection 2026-12-20 5097363.08000000 EUR 0.00000000 EUR 205000000.00000000 EUR 326700.33000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 400.00000000 NC 560371.21000000 0.061038308544 N/A DE GB N 1 ICE Futures Europe - Financial Products Division N/A Long FTSE 100 Index Future Z H2 INDEX 2022-03-18 28882274.01000000 GBP 560371.21000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -374.15000000 -0.00004075420 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 419974.50000000 SEK 46108.62000000 USD 2022-01-20 -374.15000000 N N N South African Futures Exchange N/A 000000000 100.00000000 NC 93429.20000000 0.010176754684 N/A DE ZA N 1 South African Futures Exchange N/A Long SAFEX FTSE/JSE Top 40 Index Future AIH2 Index 2022-03-17 65500870.02000000 ZAR 93429.20000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -50937.06000000 -0.00554830785 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4241575.86000000 USD 481997411.00000000 JPY 2022-01-20 -50937.06000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -384.43000000 -0.00004187395 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 5965248.20000000 HKD 764651.45000000 USD 2022-01-20 -384.43000000 N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 46348145.00000000 PA 64974570.00000000 7.077340485043 Long DBT NUSS FR Y 2 2030-07-25 Fixed 0.70000000 N N N N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 15.00000000 NC 587.95000000 0.000064042322 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 3 Year Australian Bond Future YMH2 COMDTY 2022-03-15 1711442.97000000 AUD 587.95000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 15.00000000 NC USD -2918.26000000 -0.00031787081 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year US Treasury Note Future TUH2 COMDTY 2022-03-31 3275496.40000000 USD -2918.26000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1747.00000000 NC USD 2168843.21000000 0.236240760898 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year US Treasury Note TYH2 COMDTY 2022-03-22 225760063.04000000 USD 2168843.21000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 29903.84000000 0.003257269074 N/A DFE XX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 3810867.67000000 USD 3372465.68000000 EUR 2022-01-20 29903.84000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 343.00000000 NC -1054098.09000000 -0.11481739836 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Euro-BTP Italian Bond Futures IKH2 COMDTY 2022-03-08 51351354.32000000 EUR -1054098.09000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 360.00000000 NC USD 1356136.00000000 0.147716810069 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini Standard & Poor's 500 Index Future ESH2 INDEX 2022-03-18 84296864.00000000 USD 1356136.00000000 N N N Osaka Exchange 3538001249AILNPRUX57 000000000 106.00000000 NC -375246.55000000 -0.04087364641 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Long TSE Japanese 10 Year Bond Futures JBH2 COMDTY 2022-03-14 16111751516.00000000 JPY -375246.55000000 N N N DEUTSCHLAND I/L BOND 529900AQBND3S6YJLY83 000000000 51647980.00000000 PA 72667200.10000000 7.915258495785 Long DBT NUSS DE Y 2 2030-04-15 Fixed 0.50000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 108642.98000000 0.011833912263 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1032965757.00000000 JPY 9089575.83000000 USD 2022-01-20 108642.98000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -126.88000000 -0.00001382037 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4334400.00000000 HKD 555754.69000000 USD 2022-01-20 -126.88000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 984.00000000 NC USD -185637.20000000 -0.02022049043 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX FTSE China A50 Futures Contract XUF2 INDEX 2022-01-28 15633453.20000000 USD -185637.20000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -1166.00000000 -0.00012700628 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 125131.50000000 SGD 91679.82000000 USD 2022-01-20 -1166.00000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -5791.63000000 -0.00063085200 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1357131.24000000 EUR 1539792.96000000 USD 2022-01-20 -5791.63000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 161.00000000 NC USD 100634.28000000 0.010961566410 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX FTSE Taiwan Index Futures TWTF2 INDEX 2022-01-27 10225905.72000000 USD 100634.28000000 N N N Korea Exchange (Futures Market) N/A 000000000 16.00000000 NC 1492.58000000 0.000162578942 N/A DIR KR N 1 Korea Exchange (Futures Market) N/A Long KFE 3 Year Treasury Bond Future KEH2 COMDTY 2022-03-15 1743985696.00000000 KRW 1492.58000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 25.00000000 NC -31999.95000000 -0.00348558738 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long CME 1 Year Mid-Curve 3 Month Eurodollar Option OEH2 COMDTY 2022-03-08 3359139.25000000 EUR -31999.95000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -9141.11000000 -0.00099569335 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1370675.21000000 EUR 1551868.19000000 USD 2022-01-20 -9141.11000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 105328.17000000 0.011472847327 N/A DFE GB N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 9204772.57000000 USD 6878508.98000000 GBP 2022-01-20 105328.17000000 N N N SWAP CCPC GOLDMAN SACHS COC N/A 000000000 1200000.00000000 NS USD 1200000.00000000 0.130709731238 Long STIV CORP US N 1 N N N Korea Exchange (Futures Market) N/A 000000000 254.00000000 NC -5859.81000000 -0.00063827849 N/A DE KR N 1 Korea Exchange (Futures Market) N/A Long KFE KOSPI 200 Index Future KMH2 INDEX 2022-03-10 25041840852.00000000 KRW -5859.81000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 51.00000000 NC 366497.16000000 0.039920621069 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex DAX Index Future GXH2 INDEX 2022-03-18 19894119.62000000 EUR 366497.16000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -3541.62000000 -0.00038577016 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 126855.00000000 GBP 168157.34000000 USD 2022-01-20 -3541.62000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 42106.49000000 0.004586439992 N/A DFE XX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 5365941.01000000 USD 4748643.48000000 EUR 2022-01-20 42106.49000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 36.00000000 NC USD 15449.33000000 0.001682814810 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year US Treasury Note FVH2 COMDTY 2022-03-31 4339706.94000000 USD 15449.33000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CBF7 89227320.00000000 PA USD 99943312.34000000 10.88630291255 Long DBT UST US N 2 2031-01-15 Fixed 0.12500000 N N N N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 65.00000000 NC USD 32681.40000000 0.003559814175 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX Nifty 50 Index Futures IHF2 INDEX 2022-01-27 2234453.60000000 USD 32681.40000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -35803.71000000 -0.00389991109 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2347948.77000000 USD 265937482.00000000 JPY 2022-01-20 -35803.71000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -675513.69000000 -0.07358017738 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 64700940.93000000 EUR 73009900.47000000 USD 2022-01-20 -675513.69000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -10598.25000000 -0.00115441200 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1365217.34000000 EUR 1544195.29000000 USD 2022-01-20 -10598.25000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -973.17000000 -0.00010600232 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 87840.00000000 SGD 64202.88000000 USD 2022-01-20 -973.17000000 N N N SWAP CCPC JP MORGAN COC N/A 000000000 -1000000.00000000 NS USD -1000000.00000000 -0.10892477603 Short STIV CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 912796Q28 70000000.00000000 PA USD 69977425.00000000 7.622275345440 Long DBT UST US N 2 2022-05-12 None 0.00000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -183.58000000 -0.00001999641 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 3573600.00000000 HKD 458126.30000000 USD 2022-01-20 -183.58000000 N N N ICE Futures Europe - Financial Products Division 549300UF4R84F48NCH34 000000000 434.00000000 NC -113529.06000000 -0.01236612743 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division 549300UF4R84F48NCH34 Long Long Gilt Future G H2 COMDTY 2022-03-29 54290419.30000000 GBP -113529.06000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -28.52000000 -0.00000310653 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1086049.78000000 ZAR 67973.34000000 USD 2022-01-20 -28.52000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 90000000.00000000 OU Notional Amount 12133109.00000000 1.321596180400 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe Crossover S36.V1 2I667KJO7 Y sell protection 2026-12-20 9851381.96000000 EUR 0.00000000 EUR 90000000.00000000 EUR 996526.98000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796P37 80000000.00000000 PA USD 79980513.60000000 8.711859530826 Long DBT UST US N 2 2022-04-28 None 0.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 10.00000000 NC USD 37006.00000000 0.004030870261 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long E-mini S&P 500 ESG Index Futures SLBH2 INDEX 2022-03-18 2033394.00000000 USD 37006.00000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -13710.77000000 -0.00149344255 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2137565.44000000 USD 244280765.00000000 JPY 2022-01-20 -13710.77000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796L98 25000000.00000000 PA USD 24998053.75000000 2.722907405961 Long DBT UST US N 2 2022-03-03 None 0.00000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 19701.94000000 0.002146029401 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 177807676.00000000 JPY 1565618.43000000 USD 2022-01-20 19701.94000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 15000000.00000000 OU Notional Amount -444408.73000000 -0.04840712138 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe S36.V1 2I666VCZ6 Y buy protection 2026-12-20 0.00000000 EUR -371686.12000000 EUR 15000000.00000000 EUR -23530.05000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 42040.23000000 0.004579222637 N/A DFE XX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4389854.45000000 USD 3891513.12000000 EUR 2022-01-20 42040.23000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 410.00000000 NC -1099049.62000000 -0.11971373370 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long French Government Bond Futures OATH2 COMDTY 2022-03-08 67857952.58000000 EUR -1099049.62000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796P29 25000000.00000000 PA USD 24994739.50000000 2.722546402022 Long DBT UST US N 2 2022-04-14 None 0.00000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 51232740.00000000 PA 87416978.53000000 9.521874807798 Long DBT NUSS GB Y 2 2029-03-22 Fixed 0.12500000 N N N N N N SWAP CCPC CREDIT SUISSE COC N/A 000000000 -1000000.00000000 NS USD -1000000.00000000 -0.10892477603 Short STIV CORP US N 1 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -1047.78000000 -0.00011412920 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 116125.36000000 EUR 131202.93000000 USD 2022-01-20 -1047.78000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 422.00000000 NC USD 1766220.78000000 0.192385202885 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term US Treasury Bond Future WNH2 COMDTY 2022-03-22 81420529.22000000 USD 1766220.78000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -3227.25000000 -0.00035152748 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 346734.49000000 CAD 270878.07000000 USD 2022-01-20 -3227.25000000 N N N Italian Derivatives Market N/A 000000000 111.00000000 NC 420552.47000000 0.045808583604 N/A DE IT N 1 Italian Derivatives Market N/A Long FTSE/MIB Index Future STH2 INDEX 2022-03-18 14752825.92000000 EUR 420552.47000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 265.00000000 NC 224689.59000000 0.024474263267 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX Nikkei 225 Stock Index Future NIH2 INDEX 2022-03-10 3784825870.00000000 JPY 224689.59000000 N N N Osaka Exchange 3538001249AILNPRUX57 000000000 299.00000000 NC 191477.98000000 0.020856696086 N/A DE JP N 1 Osaka Exchange 3538001249AILNPRUX57 Long TSE TOPIX (Tokyo Price Index) Future TPH2 INDEX 2022-03-10 5934030353.00000000 JPY 191477.98000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -430.52000000 -0.00004689429 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 137129.56000000 EUR 155741.06000000 USD 2022-01-20 -430.52000000 N N N Korea Exchange (Futures Market) N/A 000000000 382.00000000 NC -302884.42000000 -0.03299161761 N/A DIR KR N 1 Korea Exchange (Futures Market) N/A Long KFE 10 Year Treasury Bond Future KAAH2 COMDTY 2022-03-15 47835013851.00000000 KRW -302884.42000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 747.00000000 NC 898725.26000000 0.097893447660 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex EURO STOXX 50 Future VGH2 INDEX 2022-03-18 31237328.25000000 EUR 898725.26000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 34679.36000000 0.003777441520 N/A DFE XX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 6218432.48000000 USD 5490669.01000000 EUR 2022-01-20 34679.36000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 633.00000000 NC -154297.48000000 -0.01680681845 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 10 Year Australian Bond Future XMH2 COMDTY 2022-03-15 88305143.88000000 AUD -154297.48000000 N N N 2022-01-24 AMERICAN BEACON FUNDS Sonia Bates Sonia Bates Treasurer