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 2022-12-31 2022-06-30 N 1208054982.65 496584113.80 711470868.85 0.00000000 155680824.58000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 59429976.11000000 EUR GBP JPY USD N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 8196710.00000000 PA 8961926.85000000 1.259633702850 Long DBT NUSS FR Y 2 2031-07-25 Fixed 0.10000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 802.50000000 0.000112794498 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1000000.00000000 SEK 98584.06000000 USD 2022-07-14 802.50000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 24750000.00000000 OU Notional Amount USD -751750.56000000 -0.10566146737 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S38 2I65BRZG8 Y sell protection 2027-06-20 0.00000000 USD -272190.58000000 USD 24750000.00000000 USD -479559.98000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 33.00000000 NC USD -223647.31000000 -0.03143449996 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini NASDAQ 100 Index Future NQU2 INDEX 2022-09-16 7833117.31000000 USD -223647.31000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 7382.23000000 0.001037601161 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 338997.50000000 AUD 241383.24000000 USD 2022-07-14 7382.23000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 63.00000000 NC USD -229081.31000000 -0.03219826981 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term US Treasury Bond Future WNU2 Comdty 2022-09-21 9952737.56000000 USD -229081.31000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 19701.17000000 0.002769076129 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2415172.00000000 USD 2000000.00000000 GBP 2022-07-14 19701.17000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 465.58000000 0.000065439081 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 774097.49000000 AUD 534804.60000000 USD 2022-07-14 465.58000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 261.00000000 NC USD 97327.14000000 0.013679708370 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX FTSE China A50 Futures Contract XUN2 Index 2022-07-28 3787135.86000000 USD 97327.14000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 219.00000000 NC -349847.39000000 -0.04917241243 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long EUX EURO STOXX 50 Future VGU2 INDEX 2022-09-16 7870428.12000000 EUR -349847.39000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 20000000.00000000 OU Notional Amount -649857.92000000 -0.09134006021 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe Crossover S37 2I667KJP4 Y sell protection 2027-06-20 0.00000000 EUR -283766.56000000 EUR 20000000.00000000 EUR -350636.50000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796U49 50000000.00000000 PA USD 49832430.50000000 7.004142078304 Long DBT UST US N 2 2022-09-15 None 0.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 83.00000000 NC USD -459525.35000000 -0.06458807663 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini Standard & Poor's 500 Index Future ESM2 INDEX 2022-09-16 16185950.35000000 USD -459525.35000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796R68 60000000.00000000 PA USD 59992637.40000000 8.432198706458 Long DBT UST US N 2 2022-07-07 None 0.00000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 9.00000000 NC -78286.77000000 -0.01100351025 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 30 Year Euro BUXL Future UBU2 Comdty 2022-09-08 1546923.33000000 EUR -78286.77000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -3539.26000000 -0.00049745676 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2000000.00000000 EUR 2093556.00000000 USD 2022-07-14 -3539.26000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796T41 84000000.00000000 PA USD 83850480.00000000 11.78551134996 Long DBT UST US N 2 2022-08-18 None 0.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 2062.87000000 0.000289944408 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 700000.00000000 AUD 485254.35000000 USD 2022-07-14 2062.87000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 2074.68000000 0.000291604349 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2500000.00000000 EUR 2623443.75000000 USD 2022-07-14 2074.68000000 N N N Korea Exchange (Futures Market) N/A 000000000 64.00000000 NC -477538.39000000 -0.06711987952 N/A DE KR N 1 Korea Exchange (Futures Market) N/A Long KFE KOSPI 200 Index Future KMU2 INDEX 2022-09-08 5539235841.00000000 KRW -477538.39000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -25285.36000000 -0.00355395577 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1755307.98000000 GBP 2111690.79000000 USD 2022-07-14 -25285.36000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 22424.25000000 0.003151815623 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1449702.90000000 EUR 1542506.79000000 USD 2022-07-14 22424.25000000 N N N Osaka Exchange 3538001249AILNPRUX57 000000000 95.00000000 NC -612950.17000000 -0.08615253228 N/A DE JP N 1 Osaka Exchange 3538001249AILNPRUX57 Long TSE TOPIX (Tokyo Price Index) Future TPU2 INDEX 2022-09-08 1860247345.00000000 JPY -612950.17000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 4033.16000000 0.000566876336 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 730000.00000000 EUR 769472.93000000 USD 2022-07-14 4033.16000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796V55 33000000.00000000 PA USD 32823752.61000000 4.613506194997 Long DBT UST US N 2 2022-10-13 None 0.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -541.91000000 -0.00007616755 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 100000.00000000 EUR 104312.85000000 USD 2022-07-14 -541.91000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 28302.87000000 0.003978078546 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 5238204.06000000 USD 5022668.30000000 EUR 2022-07-14 28302.87000000 N N N FORWARDS STATE STREET COC USD N/A 000000000 6160000.00000000 NS USD 6160000.00000000 0.865811977650 Long STIV CORP GB N 1 N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 54781500.00000000 OU Notional Amount USD -8810381.50000000 -1.23833341402 N/A DCO US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 Bloomberg Commodity ex-Agriculture and Livestock Capped Index BBUXALC INDEX Y equity-performance leg equity-performance leg 2022-07-05 0.00000000 USD 0.00000000 USD 54781500.00000000 USD -8810381.50000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5000000.00000000 OU Notional Amount 121904.58000000 0.017134163229 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe Crossover S37 2I667KJP4 Y buy protection 2027-06-20 95062.88000000 EUR 0.00000000 EUR 5000000.00000000 EUR 22496.49000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 62.00000000 NC USD -102309.52000000 -0.01438000127 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT US Long Bond Future USM2 COMDTY 2022-09-21 8697059.52000000 USD -102309.52000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 2407.50000000 0.000338383496 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 3000000.00000000 SEK 295752.17000000 USD 2022-07-14 2407.50000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -2181.93000000 -0.00030667875 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1000000.00000000 EUR 1046365.70000000 USD 2022-07-14 -2181.93000000 N N N FORWARDS JP MORGAN COC N/A 000000000 17650000.00000000 NS USD 17650000.00000000 2.480776202197 Long STIV CORP US N 1 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 48.00000000 NC -160233.76000000 -0.02252147867 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long French Government Bond Futures OATM2 COMDTY 2022-09-08 6802707.76000000 EUR -160233.76000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796W62 52000000.00000000 PA USD 51588907.24000000 7.251021721154 Long DBT UST US N 2 2022-11-17 None 0.00000000 N N N N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 2.00000000 NC 319.36000000 0.000044887291 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 3 Year Australian Bond Future YMU2 COMDTY 2022-09-15 214454.80000000 AUD 319.36000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -216.27000000 -0.00003039759 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 500000.00000000 AUD 344920.50000000 USD 2022-07-14 -216.27000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796V63 50000000.00000000 PA USD 49705734.50000000 6.986334462343 Long DBT UST US N 2 2022-10-20 None 0.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 12579.33000000 0.001768073796 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 402545.94000000 GBP 502653.48000000 USD 2022-07-14 12579.33000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 54.00000000 NC -107920.67000000 -0.01516867024 N/A DE AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE S&P ASX Share Price Index 200 Future XPU2 INDEX 2022-09-15 8879291.26000000 AUD -107920.67000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 15.00000000 NC -255418.62000000 -0.03590008125 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long EUX DAX Index Future GXU2 INDEX 2022-09-16 5033439.55000000 EUR -255418.62000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796K57 50000000.00000000 PA USD 49981538.00000000 7.025099717826 Long DBT UST US N 2 2022-07-14 None 0.00000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 7968590.00000000 PA 11193073.23000000 1.573230011243 Long DBT NUSS GB Y 2 2031-08-10 Fixed 0.12500000 N N N N N N Euronext Eqf, Equities And Indices Derivatives N/A 000000000 28.00000000 NC -14734.07000000 -0.00207093089 N/A DE NL N 1 Euronext Eqf, Equities And Indices Derivatives N/A Long Euronext Amsterdam Index Future EON2 Index 2022-07-15 3704325.52000000 EUR -14734.07000000 N N N South African Futures Exchange N/A 000000000 28.00000000 NC -2494.12000000 -0.00035055827 N/A DE ZA N 1 South African Futures Exchange N/A Long SAFEX FTSE/JSE Top 40 Index Future AIU2 Index 2022-09-15 16829099.84000000 ZAR -2494.12000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -1842.50000000 -0.00025897054 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 340000.00000000 EUR 354663.69000000 USD 2022-07-14 -1842.50000000 N N N Euronext N.V. 724500QJ4QSZ3H9QU415 000000000 68.00000000 NC -48395.63000000 -0.00680219417 N/A DE FR N 1 Euronext N.V. 724500QJ4QSZ3H9QU415 Long EUX CAC 40 Index Future CFN2 Index 2022-07-15 4067811.68000000 EUR -48395.63000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -3325.36000000 -0.00046739229 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2475574.22000000 USD 2357784.04000000 EUR 2022-07-14 -3325.36000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796X61 30000000.00000000 PA USD 29700500.10000000 4.174520897532 Long DBT UST US N 2 2022-12-08 None 0.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 55000000.00000000 OU Notional Amount USD -31620.60000000 -0.00444439841 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.IG.S38 2I65BYEA9 Y sell protection 2027-06-20 145351.44000000 USD 0.00000000 USD 55000000.00000000 USD -176972.04000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 9025.84000000 0.001268616944 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 8477918.66000000 USD 8094000.00000000 EUR 2022-07-14 9025.84000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -52853.59000000 -0.00742877780 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 28000000.00000000 EUR 29306480.00000000 USD 2022-07-14 -52853.59000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1401.48000000 0.000196983469 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 700000.00000000 CAD 545236.10000000 USD 2022-07-14 1401.48000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 40000000.00000000 OU Notional Amount -369627.17000000 -0.05195253750 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe S37 2I666VDA0 Y sell protection 2027-06-20 0.00000000 EUR -184600.48000000 EUR 40000000.00000000 EUR -174972.72000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -71216.20000000 -0.01000971411 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 26000000.00000000 GBP 31582135.00000000 USD 2022-07-14 -71216.20000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 16829.91000000 0.002365509360 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1310208.23000000 GBP 1611925.34000000 USD 2022-07-14 16829.91000000 N N N Italian Derivatives Market N/A 000000000 34.00000000 NC -107301.61000000 -0.01508165895 N/A DE IT N 1 Italian Derivatives Market N/A Long MIL FTSE/MIB Index Future STU2 INDEX 2022-09-16 3707996.78000000 EUR -107301.61000000 N N N Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 000000000 73.00000000 NC -46033.90000000 -0.00647024383 N/A DE HK N 1 Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 Long HKG Hang Seng China Enterprises Index Future HCN2 Index 2022-07-28 28061075.75000000 HKD -46033.90000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 5.00000000 NC USD -5007.16000000 -0.00070377582 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year US Treasury Note FVM2 COMDTY 2022-09-30 566257.16000000 USD -5007.16000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 91.00000000 NC -371870.36000000 -0.05226782659 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 10 Year Euro BUND Future RXU2 Comdty 2022-09-08 13894683.67000000 EUR -371870.36000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 2432.60000000 0.000341911398 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 227988.44000000 CAD 179558.33000000 USD 2022-07-14 2432.60000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -69932.49000000 -0.00982928368 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 6642225.51000000 USD 6267996.65000000 EUR 2022-07-14 -69932.49000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 116.00000000 NC -4962.13000000 -0.00069744668 N/A DE GB N 1 ICE Futures Europe - Financial Products Division N/A Long ICF FTSE 100 Index Future Z U2 INDEX 2022-09-16 8264445.91000000 GBP -4962.13000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 3.00000000 NC -2667.06000000 -0.00037486566 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 5 Year Euro BOBL Future OEU2 Comdty 2022-09-08 375121.11000000 EUR -2667.06000000 N N N SWAP CCPC GOLDMAN SACHS COC N/A 000000000 1200000.00000000 NS USD 1200000.00000000 0.168664670970 Long STIV CORP US N 1 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -24770.32000000 -0.00348156489 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 5685970.29000000 USD 5399087.10000000 EUR 2022-07-14 -24770.32000000 N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 44.00000000 NC -139994.82000000 -0.01967681687 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange 10 Year Canadian Bond Future CNU2 Comdty 2022-09-20 5636146.32000000 CAD -139994.82000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 12590.41000000 0.001769631133 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2789457.50000000 EUR 2937469.46000000 USD 2022-07-14 12590.41000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 45.00000000 NC USD -89379.75000000 -0.01256267177 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX FTSE Taiwan Index Futures TWTN2 Index 2022-07-28 2371779.75000000 USD -89379.75000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -503.13000000 -0.00007071687 N/A DFE HK N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1638078.32000000 USD 12846301.81000000 HKD 2022-07-14 -503.13000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -2364.24000000 -0.00033230313 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1760072.19000000 USD 1676326.28000000 EUR 2022-07-14 -2364.24000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -39746.43000000 -0.00558651544 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 3308061.24000000 USD 2684587.31000000 GBP 2022-07-14 -39746.43000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 13.00000000 NC -2724.97000000 -0.00038300514 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Future on STOXX Europe 600 ESG-X FUEU2 Index 2022-09-16 198386.50000000 EUR -2724.97000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -503.16000000 -0.00007072109 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 6143688.17000000 USD 5046000.00000000 GBP 2022-07-14 -503.16000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 244.00000000 NC USD -390034.59000000 -0.05482087982 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year US Treasury Note TYM2 COMDTY 2022-09-21 29311659.59000000 USD -390034.59000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796M89 50000000.00000000 PA USD 49766284.00000000 6.994844930255 Long DBT UST US N 2 2022-10-06 None 0.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -1832.82000000 -0.00025760998 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1364447.02000000 USD 1299525.33000000 EUR 2022-07-14 -1832.82000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 86.00000000 NC -556191.37000000 -0.07817486201 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX Nikkei 225 Stock Index Future NIU2 INDEX 2022-09-08 1206461379.00000000 JPY -556191.37000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 16.00000000 NC USD -1666.86000000 -0.00023428366 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX Nifty 50 Index Futures IHN2 Index 2022-07-28 504786.86000000 USD -1666.86000000 N N N Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 000000000 237.00000000 NC -183678.25000000 -0.02581669300 N/A DE SE N 1 Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 Long OML Stockholm OMXS30 Index Future QCM2 Index 2022-07-15 46213074.53000000 SEK -183678.25000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 33533.52000000 0.004713266764 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 6129711.03000000 USD 5877887.07000000 EUR 2022-07-14 33533.52000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -91.84000000 -0.00001290846 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 100000.00000000 SGD 71886.67000000 USD 2022-07-14 -91.84000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CDC2 2115620.00000000 PA USD 2099807.94000000 0.295136179418 Long DBT UST US N 2 2026-10-15 Fixed 0.12500000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1699.95000000 0.000238934589 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 20000000.00000000 JPY 149179.42000000 USD 2022-07-14 1699.95000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5000000.00000000 OU Notional Amount 162464.48000000 0.022835015053 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe Crossover S37 2I667KJP4 Y buy protection 2027-06-20 128561.26000000 EUR 0.00000000 EUR 5000000.00000000 EUR 27751.56000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1851.65000000 0.000260256615 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1500000.00000000 SEK 148523.99000000 USD 2022-07-14 1851.65000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 83.00000000 NC 7810.71000000 0.001097825693 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 10 Year Australian Bond Future XMU2 COMDTY 2022-09-15 9856922.30000000 AUD 7810.71000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -2556.79000000 -0.00035936678 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1000000.00000000 CAD 774349.82000000 USD 2022-07-14 -2556.79000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796W70 85000000.00000000 PA USD 84296288.40000000 11.84817145588 Long DBT UST US N 2 2022-11-25 None 0.00000000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 56.00000000 NC -642792.23000000 -0.09034694997 N/A DE CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long MSE S&P/TSX 60 Index Future PTU2 INDEX 2022-09-15 13625169.84000000 CAD -642792.23000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 49.00000000 NC -84551.23000000 -0.01188400449 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Euro-BTP Italian Bond Futures IKU2 Comdty 2022-09-08 6113755.45000000 EUR -84551.23000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796S42 50000000.00000000 PA USD 49972326.50000000 7.023805005646 Long DBT UST US N 2 2022-07-21 None 0.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 5507.01000000 0.000774031691 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 75000000.00000000 JPY 558555.00000000 USD 2022-07-14 5507.01000000 N N N Korea Exchange (Futures Market) N/A 000000000 2.00000000 NC 875.55000000 0.000123061960 N/A DIR KR N 1 Korea Exchange (Futures Market) N/A Long KFE 3 Year Treasury Bond Future KEU2 COMDTY 2022-09-20 205803192.00000000 KRW 875.55000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -38960.55000000 -0.00547605695 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 3700493.91000000 USD 3492004.81000000 EUR 2022-07-14 -38960.55000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 66.00000000 NC -346966.63000000 -0.04876751040 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long Long Gilt Future G U2 Comdty 2022-09-28 7808378.57000000 GBP -346966.63000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1809.85000000 0.000254381462 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1699982.95000000 USD 1623000.00000000 EUR 2022-07-14 1809.85000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -333.13000000 -0.00004682271 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1000000.00000000 EUR 1048214.50000000 USD 2022-07-14 -333.13000000 N N N Osaka Exchange 3538001249AILNPRUX57 000000000 21.00000000 NC -81474.06000000 -0.01145149626 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Long TSE Japanese 10 Year Bond Futures JBM2 COMDTY 2022-09-12 3131878659.00000000 JPY -81474.06000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2.00000000 NC USD -9142.14000000 -0.00128496336 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long E-mini S&P 500 ESG Index Futures SLBU2 Index 2022-09-16 340562.14000000 USD -9142.14000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CDX6 13555880.00000000 PA USD 12909328.10000000 1.814456313702 Long DBT UST US N 2 2032-01-15 Fixed 0.12500000 N N N N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 75.00000000 NC -48855.36000000 -0.00686681101 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX MSCI Singapore Index Future QZM2 Index 2022-07-28 2172117.00000000 SGD -48855.36000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 2.00000000 NC USD -2421.44000000 -0.00034034281 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year US Treasury Note Future TUU2 Comdty 2022-09-30 422452.69000000 USD -2421.44000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 19489.25000000 0.002739289948 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 3645248.96000000 USD 3010208.71000000 GBP 2022-07-14 19489.25000000 N N N DEUTSCHLAND I/L BOND 529900AQBND3S6YJLY83 000000000 8787440.00000000 PA 9960616.33000000 1.400003396639 Long DBT NUSS DE Y 2 2033-04-15 Fixed 0.10000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 4655.93000000 0.000654409084 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 800000.00000000 GBP 978605.20000000 USD 2022-07-14 4655.93000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CEJ6 10237600.00000000 PA USD 10098232.68000000 1.419345910300 Long DBT UST US N 2 2027-04-15 Fixed 0.12500000 N N N N N N Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 000000000 28.00000000 NC -76060.41000000 -0.01069058668 N/A DE HK N 1 Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 Long HKG Hang Seng Index Future HIM2 Index 2022-07-28 31038442.23000000 HKD -76060.41000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 4669.98000000 0.000656383866 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 500000.00000000 AUD 349806.75000000 USD 2022-07-14 4669.98000000 N N N Korea Exchange (Futures Market) N/A 000000000 59.00000000 NC 73971.99000000 0.010397051128 N/A DIR KR N 1 Korea Exchange (Futures Market) N/A Long KFE 10 Year Treasury Bond Future KAAU2 Comdty 2022-09-20 6440564770.00000000 KRW 73971.99000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 114022.64000000 0.016026325882 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 9470629.73000000 USD 7872814.48000000 GBP 2022-07-14 114022.64000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -46253.36000000 -0.00650108978 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 24503424.39000000 EUR 25646754.17000000 USD 2022-07-14 -46253.36000000 N N N 2022-07-15 AMERICAN BEACON FUNDS Sonia Bates Sonia Bates Treasurer