Holdings as of 08/18/2017:*

NameTicker  Shares  Notional ValueMarket Value
Cash Instruments**81,905.03$.00$81,905.03
S&P500 EMINI FUT SEP17208.00$25,238,720.00$.00
SPDR S&P 500 ETF TRUSTSPY346,811.00$.00$84,174,497.81
B 0 03/01/189,160,000.00$.00$9,107,882.90

The ETF net assets may not match the total market value of ETF holdings due to creation/redemption activity.

* Fund holdings as of current day. Security pricing as of previous day.

** Cash instruments may include U.S. Treasury obligations, cash and cash equivalents, repurchase agreements, money market mutual funds, and high-quality short-term debt instruments.