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
French Republic Government Bonds OAT
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
Purchased USD / Sold SEK
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
Swap
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
Future
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
Purchased USD / Sold AUD
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
Future
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
Purchased GBP / Sold USD
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
Purchased USD / Sold AUD
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
Future
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
Future
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
Swap
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
U.S. Treasury Bills
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
Future
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
U.S. Treasury Bills
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
Future
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
Purchased USD / Sold EUR
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
U.S. Treasury Bills
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
Purchased USD / Sold AUD
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
Purchased USD / Sold EUR
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
Future
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
Purchased USD / Sold GBP
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
Purchased USD / Sold EUR
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
Future
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
Purchased USD / Sold EUR
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
U.S. Treasury Bills
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
Purchased USD / Sold EUR
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
Purchased EUR / Sold USD
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
Collateral Position
000000000
6160000.00000000
NS
USD
6160000.00000000
0.865811977650
Long
STIV
CORP
GB
N
1
N
N
N
JPMorgan Securities LLC
ZBUT11V806EZRVTWT807
Swap
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
Swap
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
Future
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
Purchased USD / Sold SEK
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
Purchased USD / Sold EUR
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
Collateral Position
000000000
17650000.00000000
NS
USD
17650000.00000000
2.480776202197
Long
STIV
CORP
US
N
1
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
Future
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
U.S. Treasury Bills
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
Future
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
Purchased USD / Sold AUD
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
U.S. Treasury Bills
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
Purchased USD / Sold GBP
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
Future
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
Future
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
U.S. Treasury Bills
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
U.K. Inflation-Linked Gilt
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
Future
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
Future
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
Purchased USD / Sold EUR
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
Future
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
Purchased EUR / Sold USD
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
U.S. Treasury Bills
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
Swap
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
Purchased EUR / Sold USD
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
Purchased USD / Sold EUR
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
Purchased USD / Sold CAD
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
Swap
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
Purchased USD / Sold GBP
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
Purchased USD / Sold GBP
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
Future
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
Future
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
Future
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
Future
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
Purchased USD / Sold CAD
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
Purchased EUR / Sold USD
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
Future
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
Future
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
Collateral Position
000000000
1200000.00000000
NS
USD
1200000.00000000
0.168664670970
Long
STIV
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
Purchased EUR / Sold USD
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
Future
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
Purchased USD / Sold EUR
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
Future
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
Purchased HKD / Sold USD
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
Purchased EUR / Sold USD
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
Purchased GBP / Sold USD
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
Future
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
Purchased GBP / Sold USD
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
Future
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
U.S. Treasury Bills
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
Purchased EUR / Sold USD
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
Future
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
Future
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
Future
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
Purchased EUR / Sold USD
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
Purchased USD / Sold SGD
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
U.S. Treasury Inflation-Indexed Notes
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
Purchased USD / Sold JPY
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
Swap
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
Purchased USD / Sold SEK
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
Future
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
Purchased USD / Sold CAD
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
U.S. Treasury Bills
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
Future
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
Future
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
U.S. Treasury Bills
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
Purchased USD / Sold JPY
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
Future
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
Purchased EUR / Sold USD
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
Future
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
Purchased EUR / Sold USD
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
Purchased USD / Sold EUR
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
Future
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
Future
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
U.S. Treasury Inflation-Indexed Notes
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
Future
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
Future
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
Purchased GBP / Sold USD
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
Deutsche Bundesrepublik Bonds Inflation-Linked
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
Purchased USD / Sold GBP
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
U.S. Treasury Inflation-Indexed Notes
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
Future
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
Purchased USD / Sold AUD
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
Future
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
Purchased GBP / Sold USD
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
Purchased USD / Sold EUR
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