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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNH/BOUGHT USD</title>
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          <other otherDesc="Internal ID" value="19ICKBBJGJP"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="CNY" exchangeRt="6.973100"/>
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        <pctVal>-0.0032720</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
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            <amtCurSold>5012352.660000</amtCurSold>
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            <amtCurPur>699404.550000</amtCurPur>
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            <settlementDt>2020-03-18</settlementDt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>YEN DENOM NIKKEI  MAR20 XCME 20200312</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="NHH0"/>
        </identifiers>
        <balance>69.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.655000"/>
        <valUSD>-14473.140000</valUSD>
        <pctVal>-0.0024406</pctVal>
        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>NIKKEI 225 STOCK AVERAGE INDEX</indexName>
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            <expDate>2020-03-12</expDate>
            <notionalAmt>7437876.770000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-14473.140000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>OMXS30 IND FUTURE JAN20 XSTO 20200117</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="SE0013279320"/>
        </identifiers>
        <balance>-1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="9.366400"/>
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        <pctVal>0.0000365</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>OMX NORDIC EXCHANGE STOCKHOLM AB</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <expDate>2020-01-17</expDate>
            <notionalAmt>-18878.750000</notionalAmt>
            <curCd>SEK</curCd>
            <unrealizedAppr>216.680000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>PLATINUM FUTURE   APR20 XNYM 20200428</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="PLJ0"/>
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        <balance>22.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>53332.010000</valUSD>
        <pctVal>0.0089932</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Mercantile Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1DR833-Platinum"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-04-28</expDate>
            <notionalAmt>1075580.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>53332.010000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LME PRI ALUM FUTR MAR20 XLME 20200316</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00DV8PQL41"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>987.500000</valUSD>
        <pctVal>0.0001665</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>London Metals Exchange</counterpartyName>
              <counterpartyLei>213800NB8G5VRT1DXC91</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Aluminum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI18KKR7-Aluminum"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-16</expDate>
            <notionalAmt>45250.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>987.500000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LME PRI ALUM FUTR MAY20 XLME 20200518</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00DV8PQY79"/>
        </identifiers>
        <balance>-17.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5918.750000</valUSD>
        <pctVal>0.0009981</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>London Metals Exchange</counterpartyName>
              <counterpartyLei>213800NB8G5VRT1DXC91</counterpartyLei>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Aluminum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1B8VG2-Aluminum"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-18</expDate>
            <notionalAmt>-774137.500000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>5918.750000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2006-M1</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 M1 A1</title>
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        <identifiers>
          <isin value="US04012MAM10"/>
        </identifiers>
        <balance>523681.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>455363.900000</valUSD>
        <pctVal>0.0767868</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.942</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KHKBBMW71"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>102568.840000</valUSD>
        <pctVal>0.0172959</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Royal Bank of Canada</counterpartyName>
              <counterpartyLei>549300XWG7K5S2JIV532</counterpartyLei>
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            <amtCurSold>7619927.040000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>51130000.000000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2020-04-01</settlementDt>
            <unrealizedAppr>102568.840000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175SD546 EQO OTC SPX EP UI 26 MAR20 2683 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI407247"/>
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        <balance>4332.820000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>64.990000</valUSD>
        <pctVal>0.0000110</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. Incorporated</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>S&amp;P 500 INDEX</issuerName>
                <issueTitle>S&amp;P500 INDEX</issueTitle>
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                  <isin value="US78378X1072"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>2683.000000</exercisePrice>
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            <expDt>2020-03-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-99570.370000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX JAN20 3145 CALL</title>
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          <other otherDesc="Internal ID" value="ADI1HBNH6"/>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Credit Suisse Securities (USA) LLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-28136.980000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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            <putOrCall>Put</putOrCall>
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            <delta>XXXX</delta>
            <unrealizedAppr>21976.880000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX JAN20 3170 CALL</title>
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          <other otherDesc="Internal ID" value="ADI1HHK11"/>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-20021.970000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX JAN20 3170 PUT</title>
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        <valUSD>-4590.690000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Put</putOrCall>
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            <shareNo>N/A</shareNo>
            <exercisePrice>3170.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-01-10</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>14777.080000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX JAN20 3225 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="ADI1HNVG3"/>
        </identifiers>
        <balance>-6.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-18859.800000</valUSD>
        <pctVal>-0.0031803</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Credit Suisse Securities (USA) LLC</counterpartyName>
              <counterpartyLei>1V8Y6QCX6YMJ2OELII46</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>S&amp;P 500 INDEX</issuerName>
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                  <isin value="US78378X1072"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3225.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-01-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>81.970000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX JAN20 3225 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="ADI1HP1Z9"/>
        </identifiers>
        <balance>-6.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-14825.680000</valUSD>
        <pctVal>-0.0025000</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>Credit Suisse Securities (USA) LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>S&amp;P 500 INDEX</issuerName>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3225.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-01-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4716.090000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX JAN20 3240 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="ADI1HS233"/>
        </identifiers>
        <balance>-6.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-17283.060000</valUSD>
        <pctVal>-0.0029144</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Credit Suisse Securities (USA) LLC</counterpartyName>
              <counterpartyLei>1V8Y6QCX6YMJ2OELII46</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>S&amp;P 500 INDEX</issuerName>
                <issueTitle>S&amp;P500 INDEX</issueTitle>
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                  <isin value="US78378X1072"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3240.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-01-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5528.710000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX JAN20 3240 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="ADI1HRZJ4"/>
        </identifiers>
        <balance>-6.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-21844.790000</valUSD>
        <pctVal>-0.0036836</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Credit Suisse Securities (USA) LLC</counterpartyName>
              <counterpartyLei>1V8Y6QCX6YMJ2OELII46</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>S&amp;P 500 INDEX</issuerName>
                <issueTitle>S&amp;P500 INDEX</issueTitle>
                <identifiers>
                  <isin value="US78378X1072"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3240.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-01-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>258.980000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX JUN20 2700 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="ADI169ZS6"/>
        </identifiers>
        <balance>-40.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-102562.790000</valUSD>
        <pctVal>-0.0172949</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Credit Suisse Securities (USA) LLC</counterpartyName>
              <counterpartyLei>1V8Y6QCX6YMJ2OELII46</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>S&amp;P 500 INDEX</issuerName>
                <issueTitle>S&amp;P500 INDEX</issueTitle>
                <identifiers>
                  <isin value="US78378X1072"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>2700.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>321315.690000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX JUN20 2800 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="ADI181YZ6"/>
        </identifiers>
        <balance>40.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>140131.800000</valUSD>
        <pctVal>0.0236301</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Credit Suisse Securities (USA) LLC</counterpartyName>
              <counterpartyLei>1V8Y6QCX6YMJ2OELII46</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>S&amp;P 500 INDEX</issuerName>
                <issueTitle>S&amp;P500 INDEX</issueTitle>
                <identifiers>
                  <isin value="US78378X1072"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>2800.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-391589.720000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX MAR20 2600 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="ADI17GPC5"/>
        </identifiers>
        <balance>-44.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-21347.030000</valUSD>
        <pctVal>-0.0035997</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Credit Suisse Securities (USA) LLC</counterpartyName>
              <counterpartyLei>1V8Y6QCX6YMJ2OELII46</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>S&amp;P 500 INDEX</issuerName>
                <issueTitle>S&amp;P500 INDEX</issueTitle>
                <identifiers>
                  <isin value="US78378X1072"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>2600.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-03-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>409719.260000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P 500 INDEX MAR20 2700 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="ADI195Q69"/>
        </identifiers>
        <balance>44.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>32446.470000</valUSD>
        <pctVal>0.0054714</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Credit Suisse Securities (USA) LLC</counterpartyName>
              <counterpartyLei>1V8Y6QCX6YMJ2OELII46</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>S&amp;P 500 INDEX</issuerName>
                <issueTitle>S&amp;P500 INDEX</issueTitle>
                <identifiers>
                  <isin value="US78378X1072"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>2700.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-03-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-511087.240000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P500 EMINI FUT  MAR20 XCME 20200320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="ESH0"/>
        </identifiers>
        <balance>131.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>297389.150000</valUSD>
        <pctVal>0.0501480</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P 500 INDEX</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
            <notionalAmt>21163705.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>297389.150000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPI 200 FUTURES   MAR20 XSFE 20200319</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="XPH0"/>
        </identifiers>
        <balance>14.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.425000"/>
        <valUSD>-43989.200000</valUSD>
        <pctVal>-0.0074178</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ASX - SYDNEY FUTURES EXCHANGE LIMITED</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P/ASX 200 INDEX</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-19</expDate>
            <notionalAmt>1621779.230000</notionalAmt>
            <curCd>AUD</curCd>
            <unrealizedAppr>-43989.200000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S+P/TSX 60 IX FUT MAR20 XMOD 20200319</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="PTH0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.298600"/>
        <valUSD>63.220000</valUSD>
        <pctVal>0.0000107</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>THE MONTREAL EXCHANGE / BOURSE DE MONTREAL</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P/TSX 60 INDEX</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-19</expDate>
            <notionalAmt>155927.770000</notionalAmt>
            <curCd>CAD</curCd>
            <unrealizedAppr>63.220000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SILVER FUTURE     MAR20 XCEC 20200327</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="SIH0"/>
        </identifiers>
        <balance>3.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>7307.310000</valUSD>
        <pctVal>0.0012322</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Silver</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI18G3N4-Silver"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-27</expDate>
            <notionalAmt>268815.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>7307.310000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KSKBBQKK9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.889200"/>
        <valUSD>-11263.480000</valUSD>
        <pctVal>-0.0018993</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Societe Generale</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
            </counterparties>
            <amtCurSold>636000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>704003.030000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-11263.480000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HKD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBVXHR"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="HKD" exchangeRt="7.797000"/>
        <valUSD>-5981.590000</valUSD>
        <pctVal>-0.0010087</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>HK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Societe Generale</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
            </counterparties>
            <amtCurSold>10104000.000000</amtCurSold>
            <curSold>HKD</curSold>
            <amtCurPur>1289908.410000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-5981.590000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOYBEAN FUTURE    MAR20 XCBT 20200313</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="S H0"/>
        </identifiers>
        <balance>-13.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-20197.930000</valUSD>
        <pctVal>-0.0034059</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Soybeans</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI132JQ6-Soybeans"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-13</expDate>
            <notionalAmt>-621075.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-20197.930000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOYBEAN FUTURE    MAY20 XCBT 20200514</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="S K0"/>
        </identifiers>
        <balance>-16.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-8061.250000</valUSD>
        <pctVal>-0.0013593</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Soybeans</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1C6Z30-Soybeans"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-14</expDate>
            <notionalAmt>-775000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-8061.250000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOYBEAN MEAL FUTR MAR20 XCBT 20200313</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="SMH0"/>
        </identifiers>
        <balance>-1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>24.740000</valUSD>
        <pctVal>0.0000042</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Soybean Meal</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI19HR13-Soybean Meal"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-13</expDate>
            <notionalAmt>-30470.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>24.740000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOYBEAN OIL FUTR  MAR20 XCBT 20200313</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="BOH0"/>
        </identifiers>
        <balance>3.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3361.560000</valUSD>
        <pctVal>0.0005669</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Soybean Oil</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1B7102-Soybean Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-13</expDate>
            <notionalAmt>62586.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3361.560000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LSKBB0M4L"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>17698.350000</valUSD>
        <pctVal>0.0029844</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Standard Chartered Bank</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>5400782.870000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>4818000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>17698.350000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KJKBBN9Q2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-88225.860000</valUSD>
        <pctVal>-0.0148773</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Standard Chartered Bank</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>21380460.790000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2308700000.000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-88225.860000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NZD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBMC62"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>224681.080000</valUSD>
        <pctVal>0.0378874</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Standard Chartered Bank</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>8616902.760000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>13133000.000000</amtCurPur>
            <curPur>NZD</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>224681.080000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CNY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KSKBBK415"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3658.420000</valUSD>
        <pctVal>0.0006169</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Standard Chartered Bank</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>401103.780000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2824131.600000</amtCurPur>
            <curPur>CNY</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>3658.420000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KRKBBQVXP"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.741300"/>
        <valUSD>-2663.140000</valUSD>
        <pctVal>-0.0004491</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Standard Chartered Bank</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>4163992.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>137343.890000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-2663.140000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBB1W5K"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>619.470000</valUSD>
        <pctVal>0.0001045</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>State Street Bank and Trust Co.</counterpartyName>
              <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
            </counterparties>
            <amtCurSold>345000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>24806949.000000</amtCurPur>
            <curPur>INR</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>619.470000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LPKBB4ZKP"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5170.260000</valUSD>
        <pctVal>0.0008718</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>State Street Bank and Trust Co.</counterpartyName>
              <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
            </counterparties>
            <amtCurSold>1216841.740000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>23243000.000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2020-02-12</settlementDt>
            <unrealizedAppr>5170.260000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CHF/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBTML0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.965100"/>
        <valUSD>-44446.260000</valUSD>
        <pctVal>-0.0074949</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>State Street Bank and Trust Co.</counterpartyName>
              <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
            </counterparties>
            <amtCurSold>2113000.000000</amtCurSold>
            <curSold>CHF</curSold>
            <amtCurPur>2144874.990000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-44446.260000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CHF/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LLKBBWGFG"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.965100"/>
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        <pctVal>-0.0007062</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>State Street Bank and Trust Co.</counterpartyName>
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            <amtCurSold>332000.000000</amtCurSold>
            <curSold>CHF</curSold>
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          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LNKBBZH2R"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="19.020300"/>
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        <pctVal>-0.0014883</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>State Street Bank and Trust Co.</counterpartyName>
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            <amtCurSold>33246999.910000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="SBH0"/>
        </identifiers>
        <balance>-26.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-23699.400000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Board of Trade</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1353Q6-Raw Sugar"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-02-28</expDate>
            <notionalAmt>-390790.400000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-23699.400000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="SBK0"/>
        </identifiers>
        <balance>-36.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-22254.230000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Board of Trade</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI14WCV5-Raw Sugar"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-04-30</expDate>
            <notionalAmt>-545932.800000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-22254.230000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>ARGENT LETRAS DEL TESORO BILLS 05/20 0.00000</title>
        <cusip>ACI1DM1J8</cusip>
        <identifiers>
          <isin value="ARARGE5207W0"/>
        </identifiers>
        <balance>12420000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="73.000000"/>
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        <pctVal>0.0254426</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-05-13</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI765669"/>
        </identifiers>
        <balance>-2420000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-43116.170000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP PARIBAS S.A</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BNP PARIBAS S.A</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <other otherDesc="Internal ID" value="SWU00Y3L4"/>
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                    <balance>0.000000</balance>
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                    <curCd>USD</curCd>
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                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 1.71800 01/06/20-10Y CME</indexName>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.718000"/>
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                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-25875.920000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U685U8 IRO USD 10Y C 1.71 JAN20 1.718 CALL</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEI765677"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP PARIBAS S.A</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>17240.010000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U686U7 IRO USD 10Y P 1.84 JAN20 1.848 PUT</title>
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        <identifiers>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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                  <derivAddlInfo>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD HSFOCO 4Q19 -16.15 12/31/19 BPS</title>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
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        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <assetCat>DCO</assetCat>
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        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>ARGENTINA GOVT</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA BONDS 04/22 VAR</title>
        <cusip>ACI0TFSY6</cusip>
        <identifiers>
          <isin value="ARARGE3203R1"/>
        </identifiers>
        <balance>2035000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="73.000000"/>
        <valUSD>18048.100000</valUSD>
        <pctVal>0.0030434</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>52.5635</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA BONDS 06/20 VAR</title>
        <cusip>ACI0VSDQ8</cusip>
        <identifiers>
          <isin value="ARARGE3204M0"/>
        </identifiers>
        <balance>44337000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="73.000000"/>
        <valUSD>410202.600000</valUSD>
        <pctVal>0.0691714</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>70.2531</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR -0.25000 06/17/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ21FNF0P871"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>-1394762.390000</valUSD>
        <pctVal>-0.2351951</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00Y1O0-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.250000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-06-17</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-1278522.410000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>24500000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-116239.980000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR -0.50000 03/18/20-5Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ81H43BT8T1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>636723.160000</valUSD>
        <pctVal>0.1073690</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00W8O7-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.500000"/>
            <terminationDt>2025-03-18</terminationDt>
            <upfrontPmnt>268065.410000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>27500000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>368657.750000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS GBP 0.75000 06/17/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ3XYY3F0BT2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.754900"/>
        <valUSD>-192768.380000</valUSD>
        <pctVal>-0.0325060</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>GBP-LIBOR-BBA-Bloomberg 6M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.750000"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="GBP-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-06-17</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>-159655.230000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>5300000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-33113.150000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA BONDS 10/26 15.5</title>
        <cusip>ACI0QD081</cusip>
        <identifiers>
          <isin value="ARARGE4502K0"/>
        </identifiers>
        <balance>10280000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="73.000000"/>
        <valUSD>52298.640000</valUSD>
        <pctVal>0.0088190</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>15.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS KRW R 1.43000 07/01/19-10Y CBK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00UUU2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1156.450000"/>
        <valUSD>0.420000</valUSD>
        <pctVal>0.0000001</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Citibank International Limited</counterpartyName>
              <counterpartyLei>31OGKFG0Y1795OV0AK56</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SOUTH KOREAN WON 3 MONTH</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="KRW" fixedOrFloating="Fixed" fixedRt="1.430000"/>
            <floatingPmntDesc curCd="KRW" fixedOrFloating="Floating" floatingRtIndex="SOUTH KOREAN WON 3 MONTH" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2029-07-02</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>KRW</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>KRW</rcptCurCd>
            <notionalAmt>100000.000000</notionalAmt>
            <curCd>KRW</curCd>
            <unrealizedAppr>0.420000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS MXN 6.42000 10/25/19-2Y* CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00X9O4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.907500"/>
        <valUSD>32139.960000</valUSD>
        <pctVal>0.0054197</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>MEXICO INTERBANK TIIE 28 DAY</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="MXN" fixedOrFloating="Floating" floatingRtIndex="MEXICO INTERBANK TIIE 28 DAY" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="28" resetDt="Day" resetDtUnit="30"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="MXN" fixedOrFloating="Fixed" fixedRt="6.420000"/>
            <terminationDt>2021-12-09</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>MXN</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>MXN</rcptCurCd>
            <notionalAmt>108400000.000000</notionalAmt>
            <curCd>MXN</curCd>
            <unrealizedAppr>32139.960000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS MXN 6.46250 10/29/19-3Y* CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00XBU7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.907500"/>
        <valUSD>18996.620000</valUSD>
        <pctVal>0.0032034</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>MEXICO INTERBANK TIIE 28 DAY</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="MXN" fixedOrFloating="Floating" floatingRtIndex="MEXICO INTERBANK TIIE 28 DAY" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="28" resetDt="Day" resetDtUnit="30"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="MXN" fixedOrFloating="Fixed" fixedRt="6.462500"/>
            <terminationDt>2022-06-09</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>MXN</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>MXN</rcptCurCd>
            <notionalAmt>95400000.000000</notionalAmt>
            <curCd>MXN</curCd>
            <unrealizedAppr>18996.620000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS MXN 6.52500 10/24/19-2Y* CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00X8U1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.907500"/>
        <valUSD>2081.720000</valUSD>
        <pctVal>0.0003510</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>MEXICO INTERBANK TIIE 28 DAY</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="MXN" fixedOrFloating="Floating" floatingRtIndex="MEXICO INTERBANK TIIE 28 DAY" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="28" resetDt="Day" resetDtUnit="30"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="MXN" fixedOrFloating="Fixed" fixedRt="6.525000"/>
            <terminationDt>2021-12-09</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>MXN</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>MXN</rcptCurCd>
            <notionalAmt>10900000.000000</notionalAmt>
            <curCd>MXN</curCd>
            <unrealizedAppr>2081.720000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.25000 06/17/20-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZWFBCKW5586"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>917827.920000</valUSD>
        <pctVal>0.1547709</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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      </invstOrSec>
      <invstOrSec>
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        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU00XHY3"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU00XCT9"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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        <lei>N/A</lei>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU00XCU6"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU00XRD8"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU00YI04"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.680000"/>
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            <curCd>USD</curCd>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU00XTQ7"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU00XYC2"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU00Y3I1"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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      </invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
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        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SMI FUTURE TRS EQUITY *BULLET* FBF</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="SWU00YCB6"/>
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        <currencyConditional curCd="CHF" exchangeRt="0.967800"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Credit Suisse International</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SWISS MARKET INDEX</indexName>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="CHF" fixedOrFloating="Floating" floatingRtIndex="SWISS MKT IX FUTR Mar20" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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            <terminationDt>2020-03-20</terminationDt>
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            <pmntCurCd>CHF</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>CHF</rcptCurCd>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>TOPIX INDX FUTR   MAR20 XOSE 20200312</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TPH0"/>
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        <balance>13.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="108.655000"/>
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        <pctVal>0.0008873</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>OSAKA SECURITIES EXCHANGE</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>TOKYO STOCK EXCHANGE TOKYO PRICE INDEX TOPIX</indexName>
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            </descRefInstrmnt>
            <expDate>2020-03-12</expDate>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="19LQKBBM4ZF"/>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>The Toronto-Dominion Bank</counterpartyName>
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            <amtCurSold>7485666.030000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CLP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBBZQ02"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>213394.910000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>The Toronto-Dominion Bank</counterpartyName>
              <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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            <amtCurSold>5635000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>4396257950.000000</amtCurPur>
            <curPur>CLP</curPur>
            <settlementDt>2020-01-27</settlementDt>
            <unrealizedAppr>213394.910000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NOK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KLKBBSB2X"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>42930.320000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>The Toronto-Dominion Bank</counterpartyName>
              <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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            <amtCurSold>1186302.870000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>10790000.000000</amtCurPur>
            <curPur>NOK</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>42930.320000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT AUD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBMFBM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>194531.530000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>7048869.600000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>10320000.000000</amtCurPur>
            <curPur>AUD</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>194531.530000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19FPKBBWHSF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5815.740000</valUSD>
        <pctVal>-0.0009807</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>181018.070000</amtCurSold>
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            <amtCurPur>1160000.000000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2020-04-01</settlementDt>
            <unrealizedAppr>-5815.740000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LLKBBRSS4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>13033.710000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>4191968.630000</amtCurSold>
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            <curPur>EUR</curPur>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA UNSECURED 10/22 VAR</title>
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          <isin value="ARARGE03G621"/>
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        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="73.000000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-04</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JGKBBQXB2"/>
        </identifiers>
        <balance>1.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>309803.000000</valUSD>
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        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>5233280.240000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KQKBBQ401"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.298300"/>
        <valUSD>-108045.320000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>5975000.000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CHF/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KLKBBSB22"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CHF" exchangeRt="0.965100"/>
        <valUSD>-18167.870000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>940000.000000</amtCurSold>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19CQKBBTNG9"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.620900"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>52160000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>8165421.160000</amtCurPur>
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            <unrealizedAppr>287357.700000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IRKBBNKHC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.661900"/>
        <valUSD>-210385.820000</valUSD>
        <pctVal>-0.0354768</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>88055612.920000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>13007506.040000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-02</settlementDt>
            <unrealizedAppr>-210385.820000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KLKBCHLV9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.363700"/>
        <valUSD>147542.380000</valUSD>
        <pctVal>0.0248797</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>3230000000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>29954558.100000</amtCurPur>
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            <settlementDt>2020-02-25</settlementDt>
            <unrealizedAppr>147542.380000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NZD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KSKBBSL7R"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.485400"/>
        <valUSD>-191919.290000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>6350500.000000</amtCurSold>
            <curSold>NZD</curSold>
            <amtCurPur>4083454.060000</amtCurPur>
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            <unrealizedAppr>-191919.290000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBBZLXZ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.741300"/>
        <valUSD>-9169.240000</valUSD>
        <pctVal>-0.0015462</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>15202841.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>502000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-9169.240000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LME LEAD FUTURE   MAY20 XLME 20200518</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00FVN1B433"/>
        </identifiers>
        <balance>11.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-21987.500000</valUSD>
        <pctVal>-0.0037077</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>London Metals Exchange</counterpartyName>
              <counterpartyLei>213800NB8G5VRT1DXC91</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Lead</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1B8WW6-Lead"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-18</expDate>
            <notionalAmt>530956.250000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-21987.500000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LME NICKEL FUTURE MAR20 XLME 20200316</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00FQYMYJ62"/>
        </identifiers>
        <balance>10.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>19536.000000</valUSD>
        <pctVal>0.0032943</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>London Metals Exchange</counterpartyName>
              <counterpartyLei>213800NB8G5VRT1DXC91</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Nickel</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1B8PZ7-Nickel"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-16</expDate>
            <notionalAmt>841500.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>19536.000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LME NICKEL FUTURE MAY20 XLME 20200518</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00FVN1B656"/>
        </identifiers>
        <balance>2.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-16602.000000</valUSD>
        <pctVal>-0.0027996</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>London Metals Exchange</counterpartyName>
              <counterpartyLei>213800NB8G5VRT1DXC91</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Nickel</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1CLK25-Nickel"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-18</expDate>
            <notionalAmt>168816.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-16602.000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LME ZINC FUTURE   MAR20 XLME 20200316</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00FQYMYL84"/>
        </identifiers>
        <balance>12.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>13125.000000</valUSD>
        <pctVal>0.0022132</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>London Metals Exchange</counterpartyName>
              <counterpartyLei>213800NB8G5VRT1DXC91</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Zinc</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI18KGW1-Zinc"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-16</expDate>
            <notionalAmt>682425.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>13125.000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LME ZINC FUTURE   MAY20 XLME 20200518</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00FVN1B870"/>
        </identifiers>
        <balance>9.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-39056.250000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>London Metals Exchange</counterpartyName>
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            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Zinc</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1B8W30-Zinc"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-18</expDate>
            <notionalAmt>509793.750000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-39056.250000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>THE REPUBLIC OF ARGENTINA 04/20 0</title>
        <cusip>ACI1HS2L5</cusip>
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          <isin value="ARARGE5208A4"/>
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        <balance>4160000.000000</balance>
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        <currencyConditional curCd="ARS" exchangeRt="73.000000"/>
        <valUSD>56986.300000</valUSD>
        <pctVal>0.0096095</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2020-04-03</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317572220 OTC EPUT FN 4.0  1 JAN20 74 PUT</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEI723643"/>
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        <balance>81700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.820000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
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            <descRefInstrmnt>
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                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-3190.590000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317578276 OTC ECAL FN 3.0 FEB20 108.5 CALL</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="AEI767285"/>
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        <balance>17800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>FIRST UNION NATIONAL BANK CHARLOTTE</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
            <exercisePrice>108.500000</exercisePrice>
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            <expDt>2020-02-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-695.130000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>ECTRVYYCEF89VWYS6K36</lei>
        <title>LONG GILT FUTURE  MAR20 IFLL 20200327</title>
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          <isin value="GB00H7MXJN56"/>
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        <currencyConditional curCd="GBP" exchangeRt="0.754900"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <expDate>2020-03-27</expDate>
            <notionalAmt>-19664929.230000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>153280.660000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>31750FQZ9 OTC ECAL USD VS MXN 19.5735</title>
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          <other otherDesc="Internal ID" value="AEI765180"/>
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        <balance>-1700000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-1.700000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>254900HROIFWPRGM1V77</lei>
                    <title>USD - MXN</title>
                    <cusip>000000000</cusip>
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                    <currencyConditional curCd="MXN" exchangeRt="N/A"/>
                    <valUSD>0.000000</valUSD>
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                    <assetCat>DFE</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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            <shareNo>N/A</shareNo>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>Citibank NA</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                <fwdDeriv derivCat="FWD">
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                    <counterpartyName>None</counterpartyName>
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                  <derivAddlInfo>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                    <invCountry>US</invCountry>
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                  <curSold>N/A</curSold>
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            <shareNo>N/A</shareNo>
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            <unrealizedAppr>-18266.500000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                  <curSold>N/A</curSold>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <other otherDesc="Internal ID" value="AEI778985"/>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <counterparties>
                    <counterpartyName>None</counterpartyName>
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                  <derivAddlInfo>
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            <shareNo>N/A</shareNo>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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            <shareNo>N/A</shareNo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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            <putOrCall>Call</putOrCall>
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                  <derivAddlInfo>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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            <putOrCall>Put</putOrCall>
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                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT US 10YR CBT 03/20/20</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="TYH000015"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-03-21</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>115.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-15.200000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US 10YR FUT OPTN  MAR20P 115.5 EXP 02/21/2020</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYH0P"/>
        </identifiers>
        <balance>26.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>26.000000</valUSD>
        <pctVal>0.0000044</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>254900HROIFWPRGM1V77</lei>
                    <title>FIN FUT US 10YR CBT 03/20/20</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="TYH000015"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT US 10YR CBT 03/20/20</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="TYH000015"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-03-21</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>115.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-197.600000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US 10YR FUT OPTN  MAR20P 117.5 EXP 02/21/2020</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYH0P"/>
        </identifiers>
        <balance>295.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>295.000000</valUSD>
        <pctVal>0.0000497</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>254900HROIFWPRGM1V77</lei>
                    <title>FIN FUT US 10YR CBT 03/20/20</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="TYH000015"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT US 10YR CBT 03/20/20</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="TYH000015"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-03-21</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>117.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2242.000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US 10YR NOTE (CBT)MAR20 XCBT 20200320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYH0"/>
        </identifiers>
        <balance>824.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-855859.910000</valUSD>
        <pctVal>-0.1443214</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1CT4X8-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
            <notionalAmt>105819625.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-855859.910000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US 5YR NOTE (CBT) MAR20 XCBT 20200331</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="FVH0"/>
        </identifiers>
        <balance>-311.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>120869.070000</valUSD>
        <pctVal>0.0203818</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1CW4N3-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-31</expDate>
            <notionalAmt>-36887515.630000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>120869.070000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US BOND FUTR OPTN MAR20P 123 EXP 02/21/2020</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USH0P"/>
        </identifiers>
        <balance>73.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>73.000000</valUSD>
        <pctVal>0.0000123</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>254900HROIFWPRGM1V77</lei>
                    <title>FIN FUT US 30YR CBT 03/20/20</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="USH000016"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT US 30YR CBT 03/20/20</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="USH000016"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-03-21</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>123.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-554.800000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US BOND FUTR OPTN MAR20P 125 EXP 02/21/2020</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USH0P"/>
        </identifiers>
        <balance>46.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>46.000000</valUSD>
        <pctVal>0.0000078</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>254900HROIFWPRGM1V77</lei>
                    <title>FIN FUT US 30YR CBT 03/20/20</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="USH000016"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT US 30YR CBT 03/20/20</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="USH000016"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-03-21</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>125.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-349.600000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US BOND FUTR OPTN MAR20P 128 EXP 02/21/2020</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USH0P"/>
        </identifiers>
        <balance>50.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>50.000000</valUSD>
        <pctVal>0.0000084</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>254900HROIFWPRGM1V77</lei>
                    <title>FIN FUT US 30YR CBT 03/20/20</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="USH000016"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT US 30YR CBT 03/20/20</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="USH000016"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-03-21</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>128.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-380.000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US LONG BOND(CBT) MAR20 XCBT 20200320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USH0"/>
        </identifiers>
        <balance>215.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-704434.680000</valUSD>
        <pctVal>-0.1187870</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1CT5R0-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
            <notionalAmt>33519843.750000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-704434.680000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>KC HRW WHEAT FUT  MAR20 XCBT 20200313</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="KWH0"/>
        </identifiers>
        <balance>-11.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-24286.390000</valUSD>
        <pctVal>-0.0040954</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Kansas Wheat</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI18DFN8-Kansas Wheat"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-13</expDate>
            <notionalAmt>-267300.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-24286.390000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>WHEAT FUTURE(CBT) MAR20 XCBT 20200313</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="W H0"/>
        </identifiers>
        <balance>-44.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-102728.630000</valUSD>
        <pctVal>-0.0173229</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Wheat</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI133GM6-Wheat"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-13</expDate>
            <notionalAmt>-1229250.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-102728.630000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>WHEAT FUTURE(CBT) MAY20 XCBT 20200514</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="W K0"/>
        </identifiers>
        <balance>-9.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-16140.650000</valUSD>
        <pctVal>-0.0027218</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Wheat</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI198913-Wheat"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-14</expDate>
            <notionalAmt>-252787.500000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-16140.650000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T INC</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT+T INC SR UNSECURED 01/20 VAR</title>
        <cusip>00206RDU3</cusip>
        <identifiers>
          <isin value="US00206RDU32"/>
        </identifiers>
        <balance>280000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>280072.910000</valUSD>
        <pctVal>0.0472280</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.65088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T INC</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT+T INC SR UNSECURED 06/21 VAR</title>
        <cusip>00206RFZ0</cusip>
        <identifiers>
          <isin value="US00206RFZ01"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>905567.580000</valUSD>
        <pctVal>0.1527035</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.65688</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T INC</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT+T INC SR UNSECURED 07/21 VAR</title>
        <cusip>00206RDV1</cusip>
        <identifiers>
          <isin value="US00206RDV15"/>
        </identifiers>
        <balance>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3534213.380000</valUSD>
        <pctVal>0.5959651</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.95088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AURIUM CLO II DAC 2A</name>
        <lei>N/A</lei>
        <title>AURIUM CLO ACLO 2A AR 144A</title>
        <cusip>ACI13K0X3</cusip>
        <identifiers>
          <isin value="XS1844246733"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>893600.020000</valUSD>
        <pctVal>0.1506854</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.68</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BAT CAPITAL CORPORATION</name>
        <lei>2138005GYEXN7XRHFA84</lei>
        <title>BAT CAPITAL CORP COMPANY GUAR 08/20 VAR</title>
        <cusip>05526DAT2</cusip>
        <identifiers>
          <isin value="US05526DAT28"/>
        </identifiers>
        <balance>1100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1102041.830000</valUSD>
        <pctVal>0.1858344</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.49925</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2006-2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2</title>
        <cusip>07388DAS7</cusip>
        <identifiers>
          <isin value="US07388DAS71"/>
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        <balance>160736.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>155456.630000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.23777</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1</title>
        <cusip>07387AGE9</cusip>
        <identifiers>
          <isin value="US07387AGE91"/>
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        <balance>36890.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36365.170000</valUSD>
        <pctVal>0.0061322</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.06511</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BRAZIL GOVT</name>
        <lei>254900ZFY40OYEADAP90</lei>
        <title>LETRA TESOURO NACIONAL BILLS 07/20 0.00000</title>
        <cusip>ACI0NY765</cusip>
        <identifiers>
          <isin value="BRSTNCLTN7F8"/>
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        <balance>50214000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="BRL" exchangeRt="4.022700"/>
        <valUSD>12228194.120000</valUSD>
        <pctVal>2.0620083</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-01</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>BROADCOM INC COMPANY GUAR 144A 04/21 3.125</title>
        <cusip>11135FAA9</cusip>
        <identifiers>
          <isin value="US11135FAA93"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>202436.190000</valUSD>
        <pctVal>0.0341363</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.125</annualizedRt>
          <isDefault>N</isDefault>
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      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
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        <cusip>11135FAC5</cusip>
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          <isin value="US11135FAC59"/>
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        <balance>200000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>203717.850000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>CAMPBELL SOUP COMPANY</name>
        <lei>5493007JDSMX8Z5Z1902</lei>
        <title>CAMPBELL SOUP CO SR UNSECURED 03/21 VAR</title>
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        <identifiers>
          <isin value="US134429BC21"/>
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        <balance>610000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>611425.740000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.52363</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ALEXANDRIA REAL ESTATE EQUITIES INC</name>
        <lei>MGCJBT4MKTQBVLNUIS88</lei>
        <title>ALEXANDRIA REAL ESTATE EQUIT REIT USD.01</title>
        <cusip>015271109</cusip>
        <identifiers>
          <isin value="US0152711091"/>
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        <balance>2618.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>423016.440000</valUSD>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CIT MTGE LOAN TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A</title>
        <cusip>12559QAA0</cusip>
        <identifiers>
          <isin value="US12559QAA04"/>
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        <balance>2062843.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2085352.520000</valUSD>
        <pctVal>0.3516475</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.142</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DUKE REALTY CORPORATION</name>
        <lei>N/A</lei>
        <title>DUKE REALTY CORP REIT USD.01</title>
        <cusip>264411505</cusip>
        <identifiers>
          <isin value="US2644115055"/>
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        <balance>12959.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>449288.530000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITY OF BUENOS AIRES</name>
        <lei>5299007MC8RF52X0ON96</lei>
        <title>CITY OF BUENOS AIRES SR UNSECURED 01/22 VAR</title>
        <cusip>ACI0SB547</cusip>
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          <isin value="ARCBAS3201C0"/>
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        <currencyConditional curCd="ARS" exchangeRt="73.000000"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>EQUINIX INC</name>
        <lei>549300EVUN2BTLJ3GT74</lei>
        <title>EQUINIX INC REIT USD.001</title>
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          <isin value="US29444U7000"/>
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        <balance>872.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>508986.400000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>EQUITY RESIDENTIAL</name>
        <lei>5493008RACSH5EP3PI59</lei>
        <title>EQUITY RESIDENTIAL REIT USD.01</title>
        <cusip>29476L107</cusip>
        <identifiers>
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        <balance>5615.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>454365.800000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERTS 2006-21</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 1A</title>
        <cusip>12667LAA0</cusip>
        <identifiers>
          <isin value="US12667LAA08"/>
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        <balance>592986.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>575525.220000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.932</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTI 2006-19</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3</title>
        <cusip>12667CAD4</cusip>
        <identifiers>
          <isin value="US12667CAD48"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>666159.060000</valUSD>
        <pctVal>0.1123327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.042</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2006-6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2006 6 A4</title>
        <cusip>126694K64</cusip>
        <identifiers>
          <isin value="US126694K641"/>
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        <balance>397846.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>319256.650000</valUSD>
        <pctVal>0.0538354</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED</name>
        <lei>549300PXR5FKNXF0OH19</lei>
        <title>CRED SUIS GP FUN LTD COMPANY GUAR 09/22 3.8</title>
        <cusip>225433AH4</cusip>
        <identifiers>
          <isin value="US225433AH43"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>832753.200000</valUSD>
        <pctVal>0.1404250</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CVP CASCADE CLO LTD 2013-CLO1</name>
        <lei>N/A</lei>
        <title>CVP CASCADE CLO LTD CVPC 2013 CLO1 A1R 144A</title>
        <cusip>126612AJ9</cusip>
        <identifiers>
          <isin value="US126612AJ93"/>
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        <balance>243529.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>243609.650000</valUSD>
        <pctVal>0.0410793</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.15088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CZECH REPUBLIC GOVT</name>
        <lei>3157007EFDLQABN47912</lei>
        <title>MOF OF CZECH REP T BILL BILLS 01/20 0.00000</title>
        <cusip>ACI1HGFN3</cusip>
        <identifiers>
          <isin value="CZ0001005839"/>
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        <balance>5000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CZK" exchangeRt="22.670000"/>
        <valUSD>220516.720000</valUSD>
        <pctVal>0.0371852</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-10</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DELL INTERNATIONAL LLC / EMC CORP</name>
        <lei>N/A</lei>
        <title>DELL INT LLC / EMC CORP SR SECURED 144A 06/21 4.42</title>
        <cusip>25272KAD5</cusip>
        <identifiers>
          <isin value="US25272KAD54"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>823302.340000</valUSD>
        <pctVal>0.1388313</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.42</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DELTA AIR LINES INC</name>
        <lei>Q2CCMS6R0AS67HJMBN42</lei>
        <title>DELTA AIR LINES INC SR UNSECURED 03/20 2.875</title>
        <cusip>247361ZK7</cusip>
        <identifiers>
          <isin value="US247361ZK72"/>
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        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>900183.710000</valUSD>
        <pctVal>0.1517956</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-03-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 10/21 4.25</title>
        <cusip>251526BX6</cusip>
        <identifiers>
          <isin value="US251526BX61"/>
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        <balance>3400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3496817.310000</valUSD>
        <pctVal>0.5896591</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DOMINION ENERGY GAS HOLDINGS LLC</name>
        <lei>549300BFOD6TDMVV4O24</lei>
        <title>DOMINION ENERGY GAS HLDG SR UNSECURED 06/21 VAR</title>
        <cusip>257375AM7</cusip>
        <identifiers>
          <isin value="US257375AM72"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>401670.910000</valUSD>
        <pctVal>0.0677327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.49363</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DRYDEN XXV SENIOR LOAN FUND 2012-25A</name>
        <lei>N/A</lei>
        <title>DRYDEN SENIOR LOAN FUND DRSLF 2012 25A ARR 144A</title>
        <cusip>26250JAS9</cusip>
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          <isin value="US26250JAS96"/>
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        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1597702.240000</valUSD>
        <pctVal>0.2694163</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.88613</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EBAY INC</name>
        <lei>OML71K8X303XQONU6T67</lei>
        <title>EBAY INC SR UNSECURED 01/23 2.75</title>
        <cusip>278642AS2</cusip>
        <identifiers>
          <isin value="US278642AS20"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>507209.010000</valUSD>
        <pctVal>0.0855293</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENBRIDGE INC</name>
        <lei>98TPTUM4IVMFCZBCUR27</lei>
        <title>ENBRIDGE INC COMPANY GUAR 01/20 VAR</title>
        <cusip>29250NAU9</cusip>
        <identifiers>
          <isin value="US29250NAU90"/>
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        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1300147.120000</valUSD>
        <pctVal>0.2192404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.4095</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FCE BANK PLC</name>
        <lei>TU5V87TL5Q0UV1EW4H93</lei>
        <title>FCE BANK PLC SR UNSECURED REGS 09/21 0.869</title>
        <cusip>ACI0RTLT6</cusip>
        <identifiers>
          <isin value="XS1548776498"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>676429.020000</valUSD>
        <pctVal>0.1140645</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.869</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)</name>
        <lei>5493006ORUSIL88JOE18</lei>
        <title>AMERICAN TOWER CORP REIT USD.01</title>
        <cusip>03027X100</cusip>
        <identifiers>
          <isin value="US03027X1000"/>
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        <balance>2779.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>638669.780000</valUSD>
        <pctVal>0.1076972</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INVITATION HOMES INC</name>
        <lei>N/A</lei>
        <title>INVITATION HOMES INC REIT USD.01</title>
        <cusip>46187W107</cusip>
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          <isin value="US46187W1071"/>
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        <balance>9009.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ISHARES CORE US AGGREGATE BOND ETF</name>
        <lei>549300F7VSXTKBGHJE47</lei>
        <title>ISHARES CORE U.S. AGGREGATE BO ISHARES CORE U.S. AGGREGATE</title>
        <cusip>464287226</cusip>
        <identifiers>
          <isin value="US4642872265"/>
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        <balance>158000.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>17754460.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIGUEROA CLO LTD 2013-2A</name>
        <lei>N/A</lei>
        <title>FIGUEROA CLO LTD FIG 2013 2A A1RR 144A</title>
        <cusip>31683VAY6</cusip>
        <identifiers>
          <isin value="US31683VAY65"/>
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        <balance>809450.690000</balance>
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        <curCd>USD</curCd>
        <valUSD>809394.380000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-20</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN 2005-FF12</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF12 M2</title>
        <cusip>32027NXX4</cusip>
        <identifiers>
          <isin value="US32027NXX47"/>
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        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1462704.160000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.262</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>APARTMENT INVESTMENT AND MANAGEMENT COMPANY</name>
        <lei>549300O8FT5GJ4RU1D57</lei>
        <title>APARTMENT INVT + MGMT CO  A REIT USD.01</title>
        <cusip>03748R754</cusip>
        <identifiers>
          <isin value="US03748R7540"/>
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        <balance>8106.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL5548 FN 05/38 FLOATING VAR</title>
        <cusip>3138ENEW5</cusip>
        <identifiers>
          <isin value="US3138ENEW53"/>
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        <balance>1482756.970000</balance>
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        <curCd>USD</curCd>
        <valUSD>1555135.500000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-01</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>NATIONWIDE BUILDING SOCIETY</name>
        <lei>549300XFX12G42QIKN82</lei>
        <title>NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR</title>
        <cusip>ACI07BWB4</cusip>
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          <isin value="GB00BBQ33664"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BK5282 FN 06/48 FIXED 4</title>
        <cusip>3140HJ2Q3</cusip>
        <identifiers>
          <isin value="US3140HJ2Q35"/>
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        <balance>6683802.580000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM2007 FN 09/48 FIXED VAR</title>
        <cusip>3140J6GR2</cusip>
        <identifiers>
          <isin value="US3140J6GR20"/>
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        <balance>1240229.240000</balance>
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        <curCd>USD</curCd>
        <valUSD>1291021.870000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA2631 FN 11/48 FIXED 4</title>
        <cusip>3140Q94R1</cusip>
        <identifiers>
          <isin value="US3140Q94R11"/>
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        <balance>58545232.830000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-C</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2006 C 1A1</title>
        <cusip>35729TAA0</cusip>
        <identifiers>
          <isin value="US35729TAA07"/>
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        <balance>1016441.870000</balance>
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        <curCd>USD</curCd>
        <valUSD>953506.230000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>FREMONT HOME LOAN TRUST 2006-C</name>
        <lei>N/A</lei>
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        <cusip>35729TAD4</cusip>
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          <isin value="US35729TAD46"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>PIMCO FUNDS</name>
        <lei>549300PFV1F66T7RF111</lei>
        <title>PIMCO MORTGAGE OPPORTUNITIES A PIMCO MRTG OPP + BND INST</title>
        <cusip>72201U638</cusip>
        <identifiers>
          <isin value="US72201U6385"/>
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        <curCd>USD</curCd>
        <valUSD>90321221.660000</valUSD>
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        <assetCat>EC</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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        <name>PIMCO FUNDS</name>
        <lei>LWVQWTQCFH3YG7CVH718</lei>
        <title>PIMCO PRV SHORT TERM FLT III MUTUAL FUND</title>
        <cusip>000000000</cusip>
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          <isin value="US72201W1541"/>
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        <balance>11375510.710000</balance>
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        <curCd>USD</curCd>
        <valUSD>112537927.450000</valUSD>
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        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS GROUP INC</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>GOLDMAN SACHS GROUP INC SR UNSECURED 09/20 VAR</title>
        <cusip>38141GVQ4</cusip>
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          <isin value="US38141GVQ45"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG</title>
        <cusip>38380LJY0</cusip>
        <identifiers>
          <isin value="US38380LJY02"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <annualizedRt>2.26588</annualizedRt>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20</name>
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        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2019 20 FE</title>
        <cusip>38381RCM9</cusip>
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        <curCd>USD</curCd>
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          <maturityDt>2049-02-20</maturityDt>
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        <name>HALCYON LOAN ADVISORS FUNDING LTD 2015-1A</name>
        <lei>N/A</lei>
        <title>HALCYON LOAN ADVISORS FUNDING HLA 2015 1A AR 144A</title>
        <cusip>40538HAN9</cusip>
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        <curCd>USD</curCd>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.88588</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>HAWKSMOOR MORTGAGES 19-1A</name>
        <lei>N/A</lei>
        <title>HAWKSMOOR MORTGAGES PLC HWKSM 2019 1A A 144A</title>
        <cusip>ACI1DHFV7</cusip>
        <identifiers>
          <isin value="XS2033256145"/>
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        <balance>2395846.240000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.754900"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-05-25</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>HYUNDAI CAPITAL AMERICA</name>
        <lei>549300RIPPWJB5Z0FK07</lei>
        <title>HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/20 VAR</title>
        <cusip>44891AAX5</cusip>
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          <isin value="US44891AAX54"/>
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        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2505550.650000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-09-18</maturityDt>
          <couponKind>Floating</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDB MORTGAGE LOAN TR 2006-1</name>
        <lei>N/A</lei>
        <title>INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1</title>
        <cusip>45661JAA1</cusip>
        <identifiers>
          <isin value="US45661JAA16"/>
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        <balance>1019692.320000</balance>
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        <curCd>USD</curCd>
        <valUSD>452295.130000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.862</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>ING BANK NV/AMSTERDAM BRANCH</name>
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        <cusip>44986L2A6</cusip>
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          <isin value="US44986L2A69"/>
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        <curCd>USD</curCd>
        <valUSD>1020734.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JAPAN GOVT</name>
        <lei>N/A</lei>
        <title>JAPAN TREASURY DISC BILL BILLS 02/20 0.00000</title>
        <cusip>ACI1GVT89</cusip>
        <identifiers>
          <isin value="JP1748701KB3"/>
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        <balance>6423000000.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="108.655000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-02-25</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JAPAN GOVT</name>
        <lei>N/A</lei>
        <title>JAPAN TREASURY DISC BILL BILLS 03/20 0.00000</title>
        <cusip>ACI1H06B4</cusip>
        <identifiers>
          <isin value="JP1748721KB1"/>
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        <balance>407400000.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="108.655000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-03-02</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JAPAN GOVT</name>
        <lei>N/A</lei>
        <title>JAPAN TREASURY DISC BILL BILLS 03/20 0.00000</title>
        <cusip>ACI1H3M46</cusip>
        <identifiers>
          <isin value="JP1748731KC8"/>
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        <balance>893600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="JPY" exchangeRt="108.655000"/>
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        <pctVal>1.3872074</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-03-09</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JAPAN GOVT</name>
        <lei>N/A</lei>
        <title>JAPAN TREASURY DISC BILL BILLS 03/20 0.00000</title>
        <cusip>ACI1HC3D7</cusip>
        <identifiers>
          <isin value="JP1748761KC5"/>
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        <balance>460000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="JPY" exchangeRt="108.655000"/>
        <valUSD>4234921.170000</valUSD>
        <pctVal>0.7141237</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-03-23</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SIMON PROPERTY GROUP INC</name>
        <lei>529900GQL5X8H7AO3T64</lei>
        <title>SIMON PROPERTY GROUP INC REIT USD.0001</title>
        <cusip>828806109</cusip>
        <identifiers>
          <isin value="US8288061091"/>
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        <balance>1875.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>279300.000000</valUSD>
        <pctVal>0.0470976</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JYSKE REALKREDIT A/S</name>
        <lei>529900R9HQNZRT2OXB26</lei>
        <title>JYSKE REALKREDIT A/S COVERED REGS 10/50 1</title>
        <cusip>ACI1CPNN9</cusip>
        <identifiers>
          <isin value="DK0009397069"/>
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        <balance>30052646.570000</balance>
        <units>PA</units>
        <currencyConditional curCd="DKK" exchangeRt="6.661900"/>
        <valUSD>4442361.160000</valUSD>
        <pctVal>0.7491037</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN ABS MANUFACTURED HOUSING 2001-B</name>
        <lei>N/A</lei>
        <title>LEHMAN ABS MANUFACTURED HOUSIN LABMH 2001 B M2</title>
        <cusip>52519SAM5</cusip>
        <identifiers>
          <isin value="US52519SAM52"/>
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        <balance>744394.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>588472.320000</valUSD>
        <pctVal>0.0992325</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-04-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.17</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2006-7</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 7 1A1A</title>
        <cusip>52522EAA7</cusip>
        <identifiers>
          <isin value="US52522EAA73"/>
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        <balance>883520.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>917826.060000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.952</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2006-8</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 8 3A4</title>
        <cusip>52522HAM4</cusip>
        <identifiers>
          <isin value="US52522HAM43"/>
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        <balance>765857.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>790869.230000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC SR UNSECURED 06/21 VAR</title>
        <cusip>53944YAG8</cusip>
        <identifiers>
          <isin value="US53944YAG89"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>502872.900000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.72775</annualizedRt>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TR 2006-WL3</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL3 2A4</title>
        <cusip>542514SW5</cusip>
        <identifiers>
          <isin value="US542514SW51"/>
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        <balance>1571028.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1486902.380000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.092</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MAN GLG EURO CLO II DAC 2A</name>
        <lei>N/A</lei>
        <title>MAN GLG EURO CLO GLGE 2A A1R 144A</title>
        <cusip>ACI1DJHC3</cusip>
        <identifiers>
          <isin value="XS2034709910"/>
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        <balance>300000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
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        <pctVal>0.0565384</pctVal>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.87</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MARLETTE FUNDING TRUST 2019-3</name>
        <lei>N/A</lei>
        <title>MARLETTE FUNDING TRUST MFT 2019 3A A 144A</title>
        <cusip>57109MAA9</cusip>
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          <isin value="US57109MAA99"/>
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        <balance>150178.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>150760.820000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.69</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SUN COMMUNITIES INC</name>
        <lei>549300H5GEOJYN41ZG57</lei>
        <title>SUN COMMUNITIES INC REIT USD.01</title>
        <cusip>866674104</cusip>
        <identifiers>
          <isin value="US8666741041"/>
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        <balance>3125.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>469062.500000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MEXICO GOVT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>MEX BONOS DESARR FIX RT BONDS 06/22 6.5</title>
        <cusip>ACI01LTQ9</cusip>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MEXICO GOVT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>MEX BONOS DESARR FIX RT SR UNSECURED 12/21 7.25</title>
        <cusip>ACI12F5K8</cusip>
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          <isin value="MX0MGO000144"/>
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        <currencyConditional curCd="MXN" exchangeRt="18.907500"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-12-09</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>MEXICO GOVT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>MEXICO CETES BILLS 01/20 0.00000</title>
        <cusip>ACI17ZMD6</cusip>
        <identifiers>
          <isin value="MXBIGO000O44"/>
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        <balance>4206500.000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-02</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MEXICO GOVT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>MEXICO CETES BILLS 01/20 0.00000</title>
        <cusip>ACI1DRW87</cusip>
        <identifiers>
          <isin value="MXBIGO000P01"/>
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        <balance>14443500.000000</balance>
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        <currencyConditional curCd="MXN" exchangeRt="18.907500"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-30</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MEXICO GOVT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>MEXICO CETES BILLS 01/20 0.00000</title>
        <cusip>ACI1G7P86</cusip>
        <identifiers>
          <isin value="MXBIGO000PE4"/>
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        <balance>40295000.000000</balance>
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        <currencyConditional curCd="MXN" exchangeRt="18.907500"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-09</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MICROCHIP TECHNOLOGY INCORPORATED</name>
        <lei>5493007PTFULNYZJ1R12</lei>
        <title>MICROCHIP TECHNOLOGY INC SR SECURED 06/21 3.922</title>
        <cusip>595017AN4</cusip>
        <identifiers>
          <isin value="US595017AN45"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2005-HE3</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2005 HE3 M4</title>
        <cusip>61744CSJ6</cusip>
        <identifiers>
          <isin value="US61744CSJ61"/>
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        <balance>55082.670000</balance>
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        <curCd>USD</curCd>
        <valUSD>55348.870000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MOUNTAIN VIEW CLO LTD 2014-1A</name>
        <lei>N/A</lei>
        <title>MOUNTAIN VIEW CLO LTD MVW 2014 1A ARR 144A</title>
        <cusip>62431XAU0</cusip>
        <identifiers>
          <isin value="US62431XAU00"/>
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        <balance>461944.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>461743.010000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.80088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MYLAN NV</name>
        <lei>549300A0CD4KNFGIIS89</lei>
        <title>MYLAN NV COMPANY GUAR 12/20 3.75</title>
        <cusip>62854AAL8</cusip>
        <identifiers>
          <isin value="US62854AAL89"/>
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        <balance>50000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50998.060000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT CORPORATION</name>
        <lei>54930067J0ZNOEBRW338</lei>
        <title>NAVIENT CORP SR UNSECURED 03/20 8</title>
        <cusip>78442FEJ3</cusip>
        <identifiers>
          <isin value="US78442FEJ30"/>
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        <balance>133000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>134600.660000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NORDEA KREDIT REALKREDITAKTIESELSKAB</name>
        <lei>52990080NNXXLC14OC65</lei>
        <title>NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1</title>
        <cusip>BK99HJII9</cusip>
        <identifiers>
          <isin value="DK0002044551"/>
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        <balance>24170553.560000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.661900"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>1</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NXP BV/NXP FUNDING LLC</name>
        <lei>N/A</lei>
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        <cusip>62947QAU2</cusip>
        <identifiers>
          <isin value="US62947QAU22"/>
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        <balance>200000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>205081.990000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.125</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>NYKREDIT REALKREDIT A/S</name>
        <lei>LIU16F6VZJSD6UKHD557</lei>
        <title>NYKREDIT REALKREDIT AS COVERED REGS 10/50 1</title>
        <cusip>BK9CXBII1</cusip>
        <identifiers>
          <isin value="DK0009522815"/>
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        <balance>37055850.920000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.661900"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>BANK OF AMERICA CORPORATION</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR</title>
        <cusip>060505FL3</cusip>
        <identifiers>
          <isin value="US060505FL38"/>
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        <balance>420000.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>466074.000000</valUSD>
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        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>VENTAS INC</name>
        <lei>ORQTRC074CWLT3DKHT41</lei>
        <title>VENTAS INC REIT USD.25</title>
        <cusip>92276F100</cusip>
        <identifiers>
          <isin value="US92276F1003"/>
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        <balance>4972.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>287083.280000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>QATAR GOVT</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>STATE OF QATAR SR UNSECURED REGS 04/23 3.875</title>
        <cusip>ACI122SK2</cusip>
        <identifiers>
          <isin value="XS1806502453"/>
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        <balance>1400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1480102.400000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2006-QO6</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1</title>
        <cusip>75114NAA2</cusip>
        <identifiers>
          <isin value="US75114NAA28"/>
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        <balance>263148.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>102562.430000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC TRUST 2005-A5</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3</title>
        <cusip>45660LJZ3</cusip>
        <identifiers>
          <isin value="US45660LJZ31"/>
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        <balance>525174.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>437363.170000</valUSD>
        <pctVal>0.0737514</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.192</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC SR UNSECURED 06/24 VAR</title>
        <cusip>780097BH3</cusip>
        <identifiers>
          <isin value="US780097BH35"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>710983.450000</valUSD>
        <pctVal>0.1198913</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.49663</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC SR UNSECURED 06/24 VAR</title>
        <cusip>780097BJ9</cusip>
        <identifiers>
          <isin value="US780097BJ90"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>424876.540000</valUSD>
        <pctVal>0.0716458</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.519</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEMPRA ENERGY</name>
        <lei>PBBKGKLRK5S5C0Y4T545</lei>
        <title>SEMPRA ENERGY SR UNSECURED 03/21 VAR</title>
        <cusip>816851BB4</cusip>
        <identifiers>
          <isin value="US816851BB47"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1000551.920000</valUSD>
        <pctVal>0.1687204</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.34363</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACE SECURITIES CORP 2004-FM2</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2004 FM2 M2</title>
        <cusip>004421GK3</cusip>
        <identifiers>
          <isin value="US004421GK37"/>
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        <balance>135718.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>137716.100000</valUSD>
        <pctVal>0.0232227</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.592</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XIV LTD 2016-3A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2016 3A AR 144A</title>
        <cusip>83609NAL4</cusip>
        <identifiers>
          <isin value="US83609NAL47"/>
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        <balance>2900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2898483.740000</valUSD>
        <pctVal>0.4887637</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.084</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINGCASTLE FUNDING ASSET-BACKED NOTES 2019-AA</name>
        <lei>N/A</lei>
        <title>SPRINGCASTLE SPV SCFT 2019 AA A 144A</title>
        <cusip>85022WAL8</cusip>
        <identifiers>
          <isin value="US85022WAL81"/>
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        <balance>2788854.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2799989.970000</valUSD>
        <pctVal>0.4721550</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STATE BANK OF INDIA/LONDON BRANCH</name>
        <lei>5493001JZ37UBBZF6L49</lei>
        <title>STATE BANK INDIA/LONDON SR UNSECURED REGS 04/20 VAR</title>
        <cusip>ACI0TFDW6</cusip>
        <identifiers>
          <isin value="XS1589358644"/>
        </identifiers>
        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1601440.000000</valUSD>
        <pctVal>0.2700466</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-04-06</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.99313</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SUDBURY MILL CLO LTD 2013-1A</name>
        <lei>N/A</lei>
        <title>SUDBURY MILL CLO LTD SUDSM 2013 1A A1R 144A</title>
        <cusip>864662AM3</cusip>
        <identifiers>
          <isin value="US864662AM36"/>
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        <balance>1153813.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1154484.240000</valUSD>
        <pctVal>0.1946777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.15213</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SYMPHONY CLO XII LTD 2013-12A</name>
        <lei>N/A</lei>
        <title>CALIFORNIA STREET CLO XII, LTD SYMP 2013 12A AR 144A</title>
        <cusip>13080BAA9</cusip>
        <identifiers>
          <isin value="US13080BAA98"/>
        </identifiers>
        <balance>1105922.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1106248.810000</valUSD>
        <pctVal>0.1865438</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.03088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST</name>
        <lei>N/A</lei>
        <title>AERCAP IRELAND CAP/GLOBA COMPANY GUAR 07/20 4.25</title>
        <cusip>00772BAN1</cusip>
        <identifiers>
          <isin value="US00772BAN10"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>909140.810000</valUSD>
        <pctVal>0.1533060</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A</title>
        <cusip>ACI19VH23</cusip>
        <identifiers>
          <isin value="XS1968576568"/>
        </identifiers>
        <balance>2133425.280000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.754900"/>
        <valUSD>2842395.780000</valUSD>
        <pctVal>0.4793058</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.82038</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRALEE CLO III LTD 2014-3A</name>
        <lei>N/A</lei>
        <title>TRALEE CLO LTD TRAL 2014 3A AR 144A</title>
        <cusip>89300ABA4</cusip>
        <identifiers>
          <isin value="US89300ABA43"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1000337.030000</valUSD>
        <pctVal>0.1686842</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.99588</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UBS AG/LONDON BRANCH</name>
        <lei>BFM8T61CT2L1QCEMIK50</lei>
        <title>UBS AG LONDON SR UNSECURED 144A 12/20 2.45</title>
        <cusip>902674XK1</cusip>
        <identifiers>
          <isin value="US902674XK19"/>
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        <balance>3300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3312286.100000</valUSD>
        <pctVal>0.5585421</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.45</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022626</cusip>
        <identifiers>
          <isin value="US01F0226260"/>
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        <balance>7800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7704253.280000</valUSD>
        <pctVal>1.2991480</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030629</cusip>
        <identifiers>
          <isin value="US01F0306294"/>
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        <balance>10600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10737440.870000</valUSD>
        <pctVal>1.8106265</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F040628</cusip>
        <identifiers>
          <isin value="US01F0406284"/>
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        <balance>29700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30898655.170000</valUSD>
        <pctVal>5.2103593</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F040628</cusip>
        <identifiers>
          <isin value="US01F0406284"/>
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        <balance>-96900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-100810763.840000</valUSD>
        <pctVal>-16.9994550</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNICREDIT SPA</name>
        <lei>549300TRUWO2CD2G5692</lei>
        <title>UNICREDIT SPA SR UNSECURED 144A 12/23 7.83</title>
        <cusip>904678AG4</cusip>
        <identifiers>
          <isin value="US904678AG48"/>
        </identifiers>
        <balance>6150000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7176080.020000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.83</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 01/20 0.00000</title>
        <cusip>912796TB5</cusip>
        <identifiers>
          <isin value="US912796TB59"/>
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        <balance>266000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>265855.950000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-16</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 02/20 0.00000</title>
        <cusip>912796SD2</cusip>
        <identifiers>
          <isin value="US912796SD25"/>
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        <balance>3336000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3328190.050000</valUSD>
        <pctVal>0.5612240</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-02-27</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 02/20 0.00000</title>
        <cusip>912796TE9</cusip>
        <identifiers>
          <isin value="US912796TE98"/>
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        <balance>172000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>171751.680000</valUSD>
        <pctVal>0.0289620</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-02-06</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TSY INFL IX N/B 01/26 0.625</title>
        <cusip>912828N71</cusip>
        <identifiers>
          <isin value="US912828N712"/>
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        <balance>11913550.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12281336.540000</valUSD>
        <pctVal>2.0709696</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TSY INFL IX N/B 04/23 0.625</title>
        <cusip>9128284H0</cusip>
        <identifiers>
          <isin value="US9128284H06"/>
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        <balance>21860655.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22201587.220000</valUSD>
        <pctVal>3.7437955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENTURE XXI CLO LTD 2015-21A</name>
        <lei>N/A</lei>
        <title>VENTURE XXI CLO VENTR 2015 21A AR 144A</title>
        <cusip>92330MAL3</cusip>
        <identifiers>
          <isin value="US92330MAL37"/>
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        <balance>767578.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>766466.640000</valUSD>
        <pctVal>0.1292473</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.88088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALLIANCE BANCORP TRUST 2007-OA1</name>
        <lei>N/A</lei>
        <title>ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1</title>
        <cusip>01852TAA1</cusip>
        <identifiers>
          <isin value="US01852TAA16"/>
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        <balance>476425.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>441229.700000</valUSD>
        <pctVal>0.0744034</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.032</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VMWARE INC</name>
        <lei>549300BUDHS3LRWBE814</lei>
        <title>VMWARE INC SR UNSECURED 08/27 3.9</title>
        <cusip>928563AC9</cusip>
        <identifiers>
          <isin value="US928563AC98"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209300.000000</valUSD>
        <pctVal>0.0352937</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALLY FINANCIAL INC</name>
        <lei>549300JBN1OSM8YNAI90</lei>
        <title>ALLY FINANCIAL INC COMPANY GUAR 11/31 8</title>
        <cusip>36186CBY8</cusip>
        <identifiers>
          <isin value="US36186CBY84"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1111960.000000</valUSD>
        <pctVal>0.1875069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR2</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 1A1A</title>
        <cusip>92922FC97</cusip>
        <identifiers>
          <isin value="US92922FC975"/>
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        <balance>2829645.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2812450.890000</valUSD>
        <pctVal>0.4742562</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.122</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WIND RIVER CLO LTD 2012-1A</name>
        <lei>N/A</lei>
        <title>WIND RIVER CLO LTD WINDR 2012 1A AR2 144A</title>
        <cusip>87244ABL3</cusip>
        <identifiers>
          <isin value="US87244ABL35"/>
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        <balance>430666.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>430874.720000</valUSD>
        <pctVal>0.0726573</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.88088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIGROUP REPO REPO                     5807</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="795991009"/>
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        <balance>20200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20200000.000000</valUSD>
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        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="6SHGI4ZSSLCXXQSBB395" name="Citigroup Inc"/>
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          <isTriParty>N</isTriParty>
          <repurchaseRt>1.5500000</repurchaseRt>
          <maturityDt>2020-01-02</maturityDt>
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            <repurchaseCollateral>
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              <invstCat>UST</invstCat>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>PARIBAS REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="69999A006"/>
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        <balance>10800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10800000.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P84" name="BNP PARIBAS S.A"/>
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          <maturityDt>2020-01-02</maturityDt>
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            <repurchaseCollateral>
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              <invstCat>UST</invstCat>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REPO TORONTO DOMINION GRAND CAYMAN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="891999005"/>
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        <balance>10800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10800000.000000</valUSD>
        <pctVal>1.8211757</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="5493006RJSLS5DA4PD75" name="BONY/TORONTO DOMINION SECURITIES INC"/>
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          <isTriParty>N</isTriParty>
          <repurchaseRt>1.5800000</repurchaseRt>
          <maturityDt>2020-01-02</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>8272422.400000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>10902759.050000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
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          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>XSGZFLO9YTNO9VCQV219</lei>
        <title>ALTRIA GROUP INC SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0E510"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-10500.680000</valUSD>
        <pctVal>-0.0017707</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
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            <descRefInstrmnt>
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                <issuerName>ALTRIA GROUP INC</issuerName>
                <issueTitle>ALTRIA GROUP INC GLBL CO GTD</issueTitle>
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                  <isin value="US02209SAD53"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2021-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-23904.750000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>13404.070000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT HKD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KRKBBMTLF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2646.000000</valUSD>
        <pctVal>0.0004462</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>HK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Australia and New Zealand Banking Group</counterpartyName>
              <counterpartyLei>JHE42UYNWWTJB8YTTU19</counterpartyLei>
            </counterparties>
            <amtCurSold>566127.770000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>4434705.250000</amtCurPur>
            <curPur>HKD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>2646.000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBCBV8M"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.983000"/>
        <valUSD>-18431.120000</valUSD>
        <pctVal>-0.0031080</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Banco Santander, S.A.</counterpartyName>
              <counterpartyLei>5493006QMFDDMYWIAM13</counterpartyLei>
            </counterparties>
            <amtCurSold>14443500.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>742432.260000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-30</settlementDt>
            <unrealizedAppr>-18431.120000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LGKBCD20M"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.922700"/>
        <valUSD>-8796.700000</valUSD>
        <pctVal>-0.0014834</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Banco Santander, S.A.</counterpartyName>
              <counterpartyLei>5493006QMFDDMYWIAM13</counterpartyLei>
            </counterparties>
            <amtCurSold>8649000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>448274.070000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-09</settlementDt>
            <unrealizedAppr>-8796.700000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CHF/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KQKBBQ402"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>66226.030000</valUSD>
        <pctVal>0.0111675</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>2425642.220000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2405000.000000</amtCurPur>
            <curPur>CHF</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>66226.030000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD AUD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KSKBBS3SW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.424700"/>
        <valUSD>-644469.470000</valUSD>
        <pctVal>-0.1086752</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>28133000.000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>19101519.280000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>-644469.470000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CZK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IKKBB247C"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CZK" exchangeRt="22.669700"/>
        <valUSD>-4113.750000</valUSD>
        <pctVal>-0.0006937</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>3264237.990000</amtCurSold>
            <curSold>CZK</curSold>
            <amtCurPur>139877.410000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-17</settlementDt>
            <unrealizedAppr>-4113.750000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CZK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LIKBCB2ST"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CZK" exchangeRt="22.669600"/>
        <valUSD>-1001.360000</valUSD>
        <pctVal>-0.0001689</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>2500000.000000</amtCurSold>
            <curSold>CZK</curSold>
            <amtCurPur>109278.730000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>-1001.360000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KIKBBTBWQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.889200"/>
        <valUSD>-137048.110000</valUSD>
        <pctVal>-0.0231101</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>8572000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>9503304.940000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-137048.110000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KQKBBQ4SS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.429200"/>
        <valUSD>1489.660000</valUSD>
        <pctVal>0.0002512</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>104900000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>968941.230000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>1489.660000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JUKBBSLFM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.977300"/>
        <valUSD>-100576.850000</valUSD>
        <pctVal>-0.0169600</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>102059000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>5277387.170000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-28</settlementDt>
            <unrealizedAppr>-100576.850000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBCB5FD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.907500"/>
        <valUSD>-5356.970000</valUSD>
        <pctVal>-0.0009033</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
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            <amtCurSold>4206500.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>217120.880000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-02</settlementDt>
            <unrealizedAppr>-5356.970000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NZD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KRKBBXBCH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.485400"/>
        <valUSD>-195119.950000</valUSD>
        <pctVal>-0.0329026</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>6350500.000000</amtCurSold>
            <curSold>NZD</curSold>
            <amtCurPur>4080253.400000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>-195119.950000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KLKBBR6B8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>27672.740000</valUSD>
        <pctVal>0.0046664</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <amtCurSold>1535129.850000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2029000.000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>27672.740000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LLKBBRSQ5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1094.500000</valUSD>
        <pctVal>0.0001846</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>616294.830000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>466000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>1094.500000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ILS/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LJKBB3DXW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1271.990000</valUSD>
        <pctVal>0.0002145</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>176635.850000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>614000.000000</amtCurPur>
            <curPur>ILS</curPur>
            <settlementDt>2020-01-16</settlementDt>
            <unrealizedAppr>1271.990000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LKKBBRVZQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>17880.180000</valUSD>
        <pctVal>0.0030151</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
            </counterparties>
            <amtCurSold>1601149.420000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2102000.000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>17880.180000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LTKBBQ1Z2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>509.460000</valUSD>
        <pctVal>0.0000859</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
            </counterparties>
            <amtCurSold>334631.140000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>298000.000000</amtCurPur>
            <curPur>EUR</curPur>
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            <unrealizedAppr>509.460000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT SEK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KSKBBSWW2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>137899.650000</valUSD>
        <pctVal>0.0232537</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
            </counterparties>
            <amtCurSold>6184434.170000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>59195000.000000</amtCurPur>
            <curPur>SEK</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>137899.650000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT SEK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LKKBBRVV1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4730.740000</valUSD>
        <pctVal>-0.0007977</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
            </counterparties>
            <amtCurSold>2797152.700000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>26145000.000000</amtCurPur>
            <curPur>SEK</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>-4730.740000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LNKBBQQHZ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.298300"/>
        <valUSD>-1710.790000</valUSD>
        <pctVal>-0.0002885</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
            </counterparties>
            <amtCurSold>224000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>170821.380000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-1710.790000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LQKBBM44B"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.889200"/>
        <valUSD>-21838.060000</valUSD>
        <pctVal>-0.0036825</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
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            <amtCurSold>1643000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>1825933.760000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-21838.060000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBMC7Q"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.429200"/>
        <valUSD>22100.700000</valUSD>
        <pctVal>0.0037268</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
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            <amtCurSold>582200000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>5391503.040000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>22100.700000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LIKBB45X7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.604100"/>
        <valUSD>5090.580000</valUSD>
        <pctVal>0.0008584</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
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            <amtCurSold>203600000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>1879789.490000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>5090.580000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LMKBB9V9T"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.604100"/>
        <valUSD>-22858.460000</valUSD>
        <pctVal>-0.0038546</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
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            <amtCurSold>460000000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>4212708.830000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>-22858.460000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NOK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LKKBBRVWC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="8.777800"/>
        <valUSD>-65557.490000</valUSD>
        <pctVal>-0.0110548</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
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            <amtCurSold>24665000.000000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>2744362.500000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-65557.490000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBVSGL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="14.067400"/>
        <valUSD>-230483.020000</valUSD>
        <pctVal>-0.0388657</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
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            <amtCurSold>74544000.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>5068564.880000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-05</settlementDt>
            <unrealizedAppr>-230483.020000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>Y6ZDD9FP4P8JSSJMW954</lei>
        <title>BOSTON SCIENTIFIC CORPORATION SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZB47LS49ZR8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5886.790000</valUSD>
        <pctVal>-0.0009927</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>BOSTON SCIENTIFIC CORPORATION</issuerName>
                <issueTitle>BOSTON SCIENTIFIC CORP SR UNSEC</issueTitle>
                <identifiers>
                  <isin value="US101137AM97"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2020-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-31351.830000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>25465.040000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>254900ZFY40OYEADAP90</lei>
        <title>BRAZIL LA SP HUS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZXMHBKLRYP6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6090.710000</valUSD>
        <pctVal>0.0010271</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>HSBC BANK USA, N.A.</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>BRAZIL GOVT</issuerName>
                <issueTitle>BRAZIL BD GLBL</issueTitle>
                <identifiers>
                  <isin value="US105756BV13"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2020-03-21</terminationDt>
            <upfrontPmnt>8232.100000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2141.390000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BRENT CRUDE FUTR  JUL20 IFEU 20200529</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWQ436"/>
        </identifiers>
        <balance>2.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>9633.460000</valUSD>
        <pctVal>0.0016245</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Brent Oil</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1BSMS2-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-29</expDate>
            <notionalAmt>126920.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>9633.460000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BRENT CRUDE FUTR  MAR20 IFEU 20200131</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWR517"/>
        </identifiers>
        <balance>-7.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-35848.280000</valUSD>
        <pctVal>-0.0060450</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Brent Oil</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI12RWW4-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-01-31</expDate>
            <notionalAmt>-462000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-35848.280000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BRENT CRUDE FUTR  MAY20 IFEU 20200331</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWR954"/>
        </identifiers>
        <balance>8.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>57317.790000</valUSD>
        <pctVal>0.0096653</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Brent Oil</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1991C5-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-31</expDate>
            <notionalAmt>517440.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>57317.790000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CAC40 10 EURO FUT JAN20 XPAR 20200117</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="FRENX5954990"/>
        </identifiers>
        <balance>-1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>184.170000</valUSD>
        <pctVal>0.0000311</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>NYSE EURONEXT - EURONEXT PARIS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CAC-40 INDEX</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-01-17</expDate>
            <notionalAmt>-66965.490000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>184.170000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>4BFD7AQU0A75QLAHK410</lei>
        <title>CAN 10YR BOND FUT MAR20 XMOD 20200320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CNH0"/>
        </identifiers>
        <balance>173.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.298600"/>
        <valUSD>-369841.250000</valUSD>
        <pctVal>-0.0623654</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>THE MONTREAL EXCHANGE / BOURSE DE MONTREAL</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CANADA GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1B2G31-CANADA GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
            <notionalAmt>18315844.600000</notionalAmt>
            <curCd>CAD</curCd>
            <unrealizedAppr>-369841.250000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX HY33 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZS2817SPH67"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1603572.200000</valUSD>
        <pctVal>0.2704062</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.NA.HY.33</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-12-21</terminationDt>
            <upfrontPmnt>1285564.500000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>16335000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>318007.700000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX IG33 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ1BGCPP3726"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-245581.060000</valUSD>
        <pctVal>-0.0414117</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.NA.IG.33</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2024-12-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-183413.580000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>9340000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-62167.480000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>45RS2W538ZOGNWLVIX82</lei>
        <title>CIGNA CORPORATION SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0EI57"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2297.230000</valUSD>
        <pctVal>-0.0003874</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>CIGNA HOLDING COMPANY</issuerName>
                <issueTitle>CIGNA CORP DEB</issueTitle>
                <identifiers>
                  <isin value="US125509AZ26"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2021-03-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-5742.760000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3445.530000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LGKBB7BNC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>14131.000000</valUSD>
        <pctVal>0.0023829</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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            <amtCurSold>476087.010000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1972000.000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-01-03</settlementDt>
            <unrealizedAppr>14131.000000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LOKBB7GR0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>92921.890000</valUSD>
        <pctVal>0.0156692</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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            </counterparties>
            <amtCurSold>5612776.320000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>22973374.100000</amtCurPur>
            <curPur>BRL</curPur>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LTKBCB784"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>10361.900000</valUSD>
        <pctVal>0.0017473</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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            <amtCurSold>5210354.060000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>21001374.100000</amtCurPur>
            <curPur>BRL</curPur>
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            <unrealizedAppr>10361.900000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KIKBB5CNH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>31570.010000</valUSD>
        <pctVal>0.0053236</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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            <amtCurSold>1618290.080000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2142027.490000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>31570.010000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CLP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LCKBCC4P9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8088.570000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>152000.000000</amtCurSold>
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        </derivativeInfo>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CLP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LCKBCDBHT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>14969.070000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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            </counterparties>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LDKBCCVWC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4332.260000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CLP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LNKBB2BBF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6.030000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>272036.000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LGKBBX0QN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>7605.050000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>391127.430000</amtCurSold>
            <curSold>USD</curSold>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JRKBB0200"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="BRL" exchangeRt="4.056200"/>
        <valUSD>-10084.290000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
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            <curSold>BRL</curSold>
            <amtCurPur>11873090.940000</amtCurPur>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LGKBB5ZF6"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.056200"/>
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        <pctVal>-0.0024438</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="19LOKBB7GSG"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="BRL" exchangeRt="4.022700"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CLP/BOUGHT USD</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="19LBKBB9087"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CLP" exchangeRt="751.803300"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CLP/BOUGHT USD</title>
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        <currencyConditional curCd="CLP" exchangeRt="751.905000"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank NA</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD COP/BOUGHT USD</title>
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          <other otherDesc="Internal ID" value="19KNKBB13N9"/>
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        <currencyConditional curCd="COP" exchangeRt="3292.517600"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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              <counterpartyName>Citibank NA</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
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          <other otherDesc="Internal ID" value="19LOKBBTBGF"/>
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              <counterpartyName>Citibank NA</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
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          <other otherDesc="Internal ID" value="19KKKBBFWBC"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="108.363700"/>
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        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KKKBBFWQJ"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="108.363700"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank NA</counterpartyName>
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            <settlementDt>2020-02-25</settlementDt>
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        </derivativeInfo>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="108.604100"/>
        <valUSD>-26796.930000</valUSD>
        <pctVal>-0.0045187</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
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            </counterparties>
            <amtCurSold>407400000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>3724442.450000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>-26796.930000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="19LKKBCF9T3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.604100"/>
        <valUSD>-34478.670000</valUSD>
        <pctVal>-0.0058140</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>690000000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>6318872.270000</amtCurPur>
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            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>-34478.670000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD KRW/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KOKBBGQ3X"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1153.610600"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>17130108525.000000</amtCurSold>
            <curSold>KRW</curSold>
            <amtCurPur>14600187.960000</amtCurPur>
            <curPur>USD</curPur>
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            <unrealizedAppr>-248936.910000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JRKBB543M"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.977300"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>108400000.000000</amtCurSold>
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          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JRKBBVLVD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.977300"/>
        <valUSD>-11804.330000</valUSD>
        <pctVal>-0.0019905</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>11535000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>596028.540000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-28</settlementDt>
            <unrealizedAppr>-11804.330000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBB97CL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.922700"/>
        <valUSD>-16326.920000</valUSD>
        <pctVal>-0.0027532</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>15823000.000000</amtCurSold>
            <curSold>MXN</curSold>
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            <settlementDt>2020-01-09</settlementDt>
            <unrealizedAppr>-16326.920000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NOK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KQKBBQ4SR"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="8.777800"/>
        <valUSD>-80226.120000</valUSD>
        <pctVal>-0.0135283</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>16590000.000000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>1809762.640000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-80226.120000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NOK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBMC4T"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="8.777800"/>
        <valUSD>-174109.460000</valUSD>
        <pctVal>-0.0293596</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
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            <amtCurSold>38665000.000000</amtCurSold>
            <curSold>NOK</curSold>
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            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-174109.460000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ISKBB4W1W"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.314600"/>
        <valUSD>-46604.080000</valUSD>
        <pctVal>-0.0078587</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
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            <amtCurSold>5849068.100000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>1718040.270000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-17</settlementDt>
            <unrealizedAppr>-46604.080000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KCKBCC6BS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.317600"/>
        <valUSD>-19200.040000</valUSD>
        <pctVal>-0.0032377</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
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            <amtCurSold>7364447.080000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>2200641.590000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-12</settlementDt>
            <unrealizedAppr>-19200.040000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KFKBB2PZC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.314400"/>
        <valUSD>-101890.560000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
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            <amtCurSold>23833218.000000</amtCurSold>
            <curSold>PEN</curSold>
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            <curPur>USD</curPur>
            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>-101890.560000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PHP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LCKBBHVTD"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PHP" exchangeRt="50.820000"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
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            <amtCurSold>318472372.000000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RUB/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JIKBBNR95"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="RUB" exchangeRt="62.178200"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
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            <amtCurSold>9157256.100000</amtCurSold>
            <curSold>RUB</curSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CMBX.NA.AAA.9 SP GST</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="SWPC0C1D2"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>145339.670000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Goldman Sachs International</counterpartyName>
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            <descRefInstrmnt>
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                <indexName>CMBX.NA.AAA-9</indexName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2058-09-18</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-684655.150000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>11100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>829994.820000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CMBX.NA.AAA.10 SP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>24171.670000</valUSD>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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      <invstOrSec>
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      <invstOrSec>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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            <unrealizedAppr>-12617.240000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <ticker value="HGH0"/>
        </identifiers>
        <balance>-7.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-14920.140000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <payOffProf>Short</payOffProf>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1BG3C4-Copper"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-27</expDate>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="HGK0"/>
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        <balance>5.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-1287.830000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1CB177-Copper"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-27</expDate>
            <notionalAmt>350937.500000</notionalAmt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CORN FUTURE       MAR20 XCBT 20200313</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="C H0"/>
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        <balance>31.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>Chicago Board of Trade</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI16PLH9-Corn"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-13</expDate>
            <notionalAmt>601012.500000</notionalAmt>
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            <unrealizedAppr>-1574.850000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CORN FUTURE       MAY20 XCBT 20200514</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="C K0"/>
        </identifiers>
        <balance>-29.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3790.050000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
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            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Corn</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1987J6-Corn"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-14</expDate>
            <notionalAmt>-572387.500000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3790.050000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COTTON NO.2 FUTR  MAR20 IFUS 20200309</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CTH0"/>
        </identifiers>
        <balance>10.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>14130.800000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Board of Trade</counterpartyName>
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            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal ID" value="ADI130HH2-Cotton"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-09</expDate>
            <notionalAmt>345250.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>14130.800000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COTTON NO.2 FUTR  MAY20 IFUS 20200506</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CTK0"/>
        </identifiers>
        <balance>-17.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-31514.290000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Board of Trade</counterpartyName>
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            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Cotton</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1C3HS2-Cotton"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-06</expDate>
            <notionalAmt>-596530.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-31514.290000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBVXGD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>42111.760000</valUSD>
        <pctVal>0.0071012</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK</counterpartyName>
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            <amtCurSold>1931887.410000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>37546000.000000</amtCurPur>
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            <unrealizedAppr>42111.760000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT SEK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LSKBBMR16"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2999.850000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK</counterpartyName>
              <counterpartyLei>1VUV7VQFKUOQSJ21A208</counterpartyLei>
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            <amtCurSold>2980069.390000</amtCurSold>
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            <amtCurPur>27930000.000000</amtCurPur>
            <curPur>SEK</curPur>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CLP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JRKBB7N43"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-22860.820000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Credit Suisse International</counterpartyName>
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            <amtCurSold>629855.470000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KTKBBK8KS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>76327.570000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Credit Suisse International</counterpartyName>
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            <amtCurSold>10801813.680000</amtCurSold>
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            <amtCurPur>780782097.250000</amtCurPur>
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            <unrealizedAppr>76327.570000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>WTI CRUDE FUTURE  MAR20 XNYM 20200220</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CLH0"/>
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        <balance>9.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>51617.510000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Mercantile Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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            </descRefInstrmnt>
            <expDate>2020-02-20</expDate>
            <notionalAmt>546930.000000</notionalAmt>
            <curCd>USD</curCd>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>WTI CRUDE FUTURE  MAY20 XNYM 20200421</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CLK0"/>
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        <balance>8.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>33120.490000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>New York Mercantile Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>WTI Crude</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI18DH71-WTI Crude"/>
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            <expDate>2020-04-21</expDate>
            <notionalAmt>479760.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>33120.490000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>529900R27DL06UVNT076</lei>
        <title>DAIMLER AG SNR SE ICE</title>
        <cusip>000000000</cusip>
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          <isin value="EZ1JZK927PB8"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>DAIMLER AG</issuerName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2020-12-21</terminationDt>
            <upfrontPmnt>7956.230000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>480000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-3153.000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <isin value="DE000C360PW8"/>
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        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>Eurex</counterpartyName>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>Eurex</counterpartyName>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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                <indexName>DOW JONES US SELECT REIT TOTAL RETURN INDEX</indexName>
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      <invstOrSec>
        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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            <shareNo>N/A</shareNo>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750FTW3 OTC ECAL EUR VS USD 1.1112</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI783241"/>
        </identifiers>
        <balance>-1900000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>-26233.310000</valUSD>
        <pctVal>-0.0044237</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. International PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>EUROPEAN MONETARY UNION EURO</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ1NR3GN3QT6"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <amtCurSold>0.000000</amtCurSold>
                  <curSold>N/A</curSold>
                  <amtCurPur>0.000000</amtCurPur>
                  <curPur>N/A</curPur>
                  <settlementDt>2020-01-23</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.110000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-01-23</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-16580.620000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750FTX1 OTC EPUT EUR VS USD 1.1112</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI783258"/>
        </identifiers>
        <balance>-1900000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>-2642.730000</valUSD>
        <pctVal>-0.0004456</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. International PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>EUROPEAN MONETARY UNION EURO</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ1NR3GN3QT6"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <amtCurSold>0.000000</amtCurSold>
                  <curSold>N/A</curSold>
                  <amtCurPur>0.000000</amtCurPur>
                  <curPur>N/A</curPur>
                  <settlementDt>2020-01-23</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.110000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-01-23</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7009.960000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>OCDFVA898 FVA FWD USD 1Y30Y S FEB20 0.0000001 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI334052"/>
        </identifiers>
        <balance>12300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1338749.100000</valUSD>
        <pctVal>0.2257498</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
              <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <optionSwaptionWarrantDeriv derivCat="SWO">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>OTC USD ESTRAD 10.015 SW30 02/18/51 BOA</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="3175SD108"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <putOrCall>Call</putOrCall>
                  <writtenOrPur>Written</writtenOrPur>
                  <descRefInstrmnt>
                    <nestedDerivInfo>
                      <swapDeriv derivCat="SWP">
                        <counterparties>
                          <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
                          <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
                        </counterparties>
                        <derivAddlInfo>
                          <name>N/A</name>
                          <lei>N/A</lei>
                          <title>IRS USD R 10.01500 02/18/21-30Y BOA</title>
                          <cusip>000000000</cusip>
                          <identifiers>
                            <other otherDesc="Internal ID" value="SWU0SE585"/>
                          </identifiers>
                          <balance>0.000000</balance>
                          <units>NC</units>
                          <curCd>USD</curCd>
                          <valUSD>0.000000</valUSD>
                          <pctVal>0.000000</pctVal>
                          <assetCat>DIR</assetCat>
                          <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                          <invCountry>US</invCountry>
                        </derivAddlInfo>
                        <descRefInstrmnt>
                          <indexBasketInfo>
                            <indexName>N/A</indexName>
                            <indexIdentifier>IRS USD R 10.01500 02/18/21-30Y BOA</indexIdentifier>
                            <narrativeDesc>N/A</narrativeDesc>
                          </indexBasketInfo>
                        </descRefInstrmnt>
                        <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="10.015000"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
                          <rtResetTenors>
                            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                          </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2051-02-18</terminationDt>
                        <upfrontPmnt>0.000000</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0.000000</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>N/A</notionalAmt>
                        <curCd>USD</curCd>
                      </swapDeriv>
                    </nestedDerivInfo>
                  </descRefInstrmnt>
                  <principalAmt>N/A</principalAmt>
                  <curCd>USD</curCd>
                  <exercisePrice>10.020000</exercisePrice>
                  <exercisePriceCurCd>USD</exercisePriceCurCd>
                  <expDt>2021-02-16</expDt>
                </optionSwaptionWarrantDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-02-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>106904.100000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FTSE 100 IDX FUT  MAR20 IFLL 20200320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00F7D1RN68"/>
        </identifiers>
        <balance>52.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.754900"/>
        <valUSD>116354.170000</valUSD>
        <pctVal>0.0196205</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>FTSE 100 INDEX</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
            <notionalAmt>5165250.450000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>116354.170000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FTSE/MIB IDX FUT  MAR20 XDMI 20200320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="IT0015394957"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>251.370000</valUSD>
        <pctVal>0.0000424</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ITALIAN DERIVATIVES MARKET</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>FTSE MIB INDEX</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
            <notionalAmt>131294.980000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>251.370000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LOW SU GASOIL G   MAR20 IFEU 20200312</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1K80X71"/>
        </identifiers>
        <balance>-28.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-101175.950000</valUSD>
        <pctVal>-0.0170610</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Gasoil</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1D5799-Gasoil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-12</expDate>
            <notionalAmt>-1711500.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-101175.950000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LOW SU GASOIL G   MAY20 IFEU 20200512</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1K81238"/>
        </identifiers>
        <balance>9.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>24298.280000</valUSD>
        <pctVal>0.0040974</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Gasoil</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1G47D0-Gasoil"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-05-12</expDate>
            <notionalAmt>541575.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>24298.280000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>GASOLINE RBOB FUT MAR20 XNYM 20200228</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="XBH0"/>
        </identifiers>
        <balance>14.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>15484.230000</valUSD>
        <pctVal>0.0026111</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Mercantile Exchange</counterpartyName>
              <counterpartyLei>5493008GFNDTXFPHWI47</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Gasoline</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1BLN49-Gasoline"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-02-28</expDate>
            <notionalAmt>1001364.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>15484.230000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>GASOLINE RBOB FUT MAY20 XNYM 20200430</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="XBK0"/>
        </identifiers>
        <balance>5.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4162.570000</valUSD>
        <pctVal>0.0007019</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Mercantile Exchange</counterpartyName>
              <counterpartyLei>5493008GFNDTXFPHWI47</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Gasoline</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1FZBC9-Gasoline"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-04-30</expDate>
            <notionalAmt>394926.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>4162.570000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>529900AQBND3S6YJLY83</lei>
        <title>DUH0C114 MAR20 114 CALL FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="DE000C4D5111"/>
        </identifiers>
        <balance>1606.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>-918.740000</valUSD>
        <pctVal>-0.0001549</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Eurex</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Eurex</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                      <isin value="DE000C3ZZTM9"/>
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                  <payOffProf>N/A</payOffProf>
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                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-03-07</expDate>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <isin value="DE000C3ZZTL1"/>
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        <balance>105.000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>Eurex</counterpartyName>
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                <issuerName>N/A</issuerName>
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        </derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>1</fairValLevel>
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            <expDate>2020-03-06</expDate>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>EURO-BUXL 30Y BND MAR20 XEUR 20200306</title>
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          <isin value="DE000C3ZZTN7"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <derivativeInfo>
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              <counterpartyName>Eurex</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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            <expDate>2020-03-06</expDate>
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            <unrealizedAppr>174534.540000</unrealizedAppr>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>RXH0P157 MAR20 157 PUT FSO</title>
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        <balance>22.000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                  <payOffProf>N/A</payOffProf>
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                  </descRefInstrmnt>
                  <expDate>2020-03-07</expDate>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-12.590000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>GOLD 100 OZ FUTR  APR20 XCEC 20200428</title>
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        <identifiers>
          <ticker value="GCJ0"/>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3749.060000</valUSD>
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        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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            <payOffProf>Long</payOffProf>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1C23B6-Gold"/>
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            </descRefInstrmnt>
            <expDate>2020-04-28</expDate>
            <notionalAmt>152930.000000</notionalAmt>
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            <unrealizedAppr>3749.060000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <ticker value="GCG0"/>
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        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            <expDate>2020-02-26</expDate>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>BOUGHT BRL/SOLD USD</title>
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        <invCountry>BR</invCountry>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT COP/SOLD USD</title>
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        <invCountry>CO</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
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        <identifiers>
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        <invCountry>DK</invCountry>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>BOUGHT IDR/SOLD USD</title>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>1204834.030000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>23608000.000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2020-01-28</settlementDt>
            <unrealizedAppr>39181.440000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBB392X"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>33905.610000</valUSD>
        <pctVal>0.0057174</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>1772000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>34348814.800000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2020-02-12</settlementDt>
            <unrealizedAppr>33905.610000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LSKBB0M4K"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2847.510000</valUSD>
        <pctVal>-0.0004802</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>658000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>12464907.880000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-2847.510000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT PEN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KRKBB2D86"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>83416.160000</valUSD>
        <pctVal>0.0140662</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>3649271.980000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>12371481.600000</amtCurPur>
            <curPur>PEN</curPur>
            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>83416.160000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KCKBBV1D7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3518.670000</valUSD>
        <pctVal>0.0005933</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>125804.780000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>8065346.170000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-02-18</settlementDt>
            <unrealizedAppr>3518.670000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT SGD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LAKBBMCCF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>7378.220000</valUSD>
        <pctVal>0.0012442</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>427152.160000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>584000.000000</amtCurPur>
            <curPur>SGD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>7378.220000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LTKBCB6BN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.022700"/>
        <valUSD>-11334.870000</valUSD>
        <pctVal>-0.0019114</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
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            <amtCurSold>22973374.100000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>5699599.100000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-03</settlementDt>
            <unrealizedAppr>-11334.870000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LGKBBXB6N"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.620900"/>
        <valUSD>-143326.120000</valUSD>
        <pctVal>-0.0241687</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>88582415.290000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>13235851.210000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-04-01</settlementDt>
            <unrealizedAppr>-143326.120000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBB9Z71"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.922700"/>
        <valUSD>-16212.210000</valUSD>
        <pctVal>-0.0027338</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>15823000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>819980.510000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-09</settlementDt>
            <unrealizedAppr>-16212.210000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MYR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBB2R3N"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MYR" exchangeRt="4.084100"/>
        <valUSD>-364506.000000</valUSD>
        <pctVal>-0.0614657</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>73519834.500000</amtCurSold>
            <curSold>MYR</curSold>
            <amtCurPur>17637000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-364506.000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>NY HARB ULSD FUT  MAR20 XNYM 20200228</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="HOH0"/>
        </identifiers>
        <balance>2.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>13494.260000</valUSD>
        <pctVal>0.0022755</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Mercantile Exchange</counterpartyName>
              <counterpartyLei>5493008GFNDTXFPHWI47</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Heating Oil</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI181VK2-Heating Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-02-28</expDate>
            <notionalAmt>169386.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>13494.260000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>NY HARB ULSD FUT  MAY20 XNYM 20200430</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="HOK0"/>
        </identifiers>
        <balance>7.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>32839.700000</valUSD>
        <pctVal>0.0055377</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Mercantile Exchange</counterpartyName>
              <counterpartyLei>5493008GFNDTXFPHWI47</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Heating Oil</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1B1SS5-Heating Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-04-30</expDate>
            <notionalAmt>583354.800000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>32839.700000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CHF/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KIKBB4SMG"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>50812.350000</valUSD>
        <pctVal>0.0085684</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>2863792.800000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2813000.000000</amtCurPur>
            <curPur>CHF</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>50812.350000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KLKBBRWL8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>9410.850000</valUSD>
        <pctVal>0.0015869</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>853182.570000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>767000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>9410.850000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBMFBT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>49655.100000</valUSD>
        <pctVal>0.0083732</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>4548968.750000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>4089000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>49655.100000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LKKBBR07H"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1679.090000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>322215.180000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>288000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>1679.090000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KSKBB0CHC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>19891.950000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>756481.760000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>586000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>19891.950000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT KRW/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBBZQ1R"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>142271.770000</valUSD>
        <pctVal>0.0239909</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>5007000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>5940254730.000000</amtCurPur>
            <curPur>KRW</curPur>
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            <unrealizedAppr>142271.770000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KDKBB037G"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>190845.140000</valUSD>
        <pctVal>0.0321817</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>7822536.770000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>152072000.000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2020-01-28</settlementDt>
            <unrealizedAppr>190845.140000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LLKBBWBZD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8554.280000</valUSD>
        <pctVal>0.0014425</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>3758952.420000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>71659000.000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2020-02-12</settlementDt>
            <unrealizedAppr>8554.280000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NOK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KIKBB4SMS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>137859.040000</valUSD>
        <pctVal>0.0232468</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>2969893.930000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>27279327.220000</amtCurPur>
            <curPur>NOK</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>137859.040000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBBZL0J"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>21350.150000</valUSD>
        <pctVal>0.0036002</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
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            <amtCurSold>737000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>47152820.010000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-01-24</settlementDt>
            <unrealizedAppr>21350.150000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT SEK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LFKBBMC4Q"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>53428.510000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
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            <amtCurSold>3674607.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>34905000.000000</amtCurPur>
            <curPur>SEK</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>53428.510000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="19LEKBBQXFR"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.298300"/>
        <valUSD>-2794.060000</valUSD>
        <pctVal>-0.0004712</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
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            <amtCurSold>255000.000000</amtCurSold>
            <curSold>CAD</curSold>
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            <unrealizedAppr>-2794.060000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CLP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KNKBB48SZ"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="CLP" exchangeRt="751.507400"/>
        <valUSD>-344924.020000</valUSD>
        <pctVal>-0.0581636</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
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            <amtCurSold>4993977547.000000</amtCurSold>
            <curSold>CLP</curSold>
            <amtCurPur>6300356.460000</amtCurPur>
            <curPur>USD</curPur>
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            <unrealizedAppr>-344924.020000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CZK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LIKBCB2TW"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CZK" exchangeRt="22.669600"/>
        <valUSD>-1028.440000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
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            <amtCurSold>2500000.000000</amtCurSold>
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            <unrealizedAppr>-1028.440000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LRKBBX5RW"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="MXN" exchangeRt="19.020300"/>
        <valUSD>-4887.770000</valUSD>
        <pctVal>-0.0008242</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
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            <amtCurSold>33288000.000000</amtCurSold>
            <curSold>MXN</curSold>
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            <settlementDt>2020-02-12</settlementDt>
            <unrealizedAppr>-4887.770000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PLN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JJKBBR1R5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PLN" exchangeRt="3.793500"/>
        <valUSD>-99765.280000</valUSD>
        <pctVal>-0.0168232</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
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            <amtCurSold>15617000.000000</amtCurSold>
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            <amtCurPur>4017063.190000</amtCurPur>
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            <settlementDt>2020-02-10</settlementDt>
            <unrealizedAppr>-99765.280000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IBEX 35 INDX FUTR JAN20 XMRV 20200117</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="ES0B00059229"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>1071.950000</valUSD>
        <pctVal>0.0001808</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>MEFF RENTA VARIABLE</counterpartyName>
              <counterpartyLei>959800T2W59YXMVKRU25</counterpartyLei>
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            <payOffProf>Long</payOffProf>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>IBEX 35 INDEX</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1GHS89-IBEX 35 INDEX"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-01-17</expDate>
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        <name>N/A</name>
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              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
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        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                      <issuerName>N/A</issuerName>
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        <name>N/A</name>
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                      <issuerName>N/A</issuerName>
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        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
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        </derivativeInfo>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JPMORGAN CHASE BANK,National Association, LONDON</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ2YYTYF24Z9"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="N/A"/>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ2YYTYF24Z9"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2024-12-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>EUR</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>EUR</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.700000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-03-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>887.590000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX ITRAXX MAIN32 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ2YYTYF24Z9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.891500"/>
        <valUSD>22089.010000</valUSD>
        <pctVal>0.0037248</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ITRAXX EUROPE SERIES 32</issueTitle>
                <identifiers>
                  <ticker value="ITRX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-12-21</terminationDt>
            <upfrontPmnt>19498.430000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>700000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>2590.580000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JP1INDT TRS EQUITY 1ML+32 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00XG08"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-8447.390000</valUSD>
        <pctVal>-0.0014245</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JP Morgan Chase Bank NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>JP MORGAN  IDEX US INDUSTRIAL USD INDEX (TOTAL RETURN SERIES 1)</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00XG08-JP MORGAN  IDEX US INDUSTRIAL USD INDEX (TOTAL RETURN SERIES 1)"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="JPM iDex US IND TRS Index 1" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 1M" floatingRtSpread="32.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2020-10-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>12095034.250000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-8447.390000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JP1INDT TRS EQUITY 1ML+45 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00YGS5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1830.830000</valUSD>
        <pctVal>-0.0003087</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JP Morgan Chase Bank NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>JP MORGAN  IDEX US INDUSTRIAL USD INDEX (TOTAL RETURN SERIES 1)</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00YGS5-JP MORGAN  IDEX US INDUSTRIAL USD INDEX (TOTAL RETURN SERIES 1)"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="JPM iDex US IND TRS Index 1" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 1M" floatingRtSpread="45.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2020-10-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5943288.220000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1830.830000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JP1RTLT TRS EQUITY 1ML+22 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00W0O5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>281197.950000</valUSD>
        <pctVal>0.0474177</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JP Morgan Chase Bank NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>JP MORGAN  IDEX US RETAIL USD INDEX (TOTAL RETURN SERIES 1)</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00W0O5-JP MORGAN  IDEX US RETAIL USD INDEX (TOTAL RETURN SERIES 1)"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="JP1RTLT Index" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 1M" floatingRtSpread="22.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2020-08-26</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>6523373.550000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>281197.950000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LTKBCB749"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>972.970000</valUSD>
        <pctVal>0.0001641</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>489245.040000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1972000.000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-01-03</settlementDt>
            <unrealizedAppr>972.970000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT IDR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBB1BZM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1037.430000</valUSD>
        <pctVal>0.0001749</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>61000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>863455000.000000</amtCurPur>
            <curPur>IDR</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>1037.430000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT PEN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBB1BZF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>13769.660000</valUSD>
        <pctVal>0.0023219</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>689000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2329233.400000</amtCurPur>
            <curPur>PEN</curPur>
            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>13769.660000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT PLN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IQKBBNBZR"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>199944.420000</valUSD>
        <pctVal>0.0337161</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>4161779.590000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>16546000.000000</amtCurPur>
            <curPur>PLN</curPur>
            <settlementDt>2020-02-10</settlementDt>
            <unrealizedAppr>199944.420000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19BQKBB0N7J"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.022700"/>
        <valUSD>22402.540000</valUSD>
        <pctVal>0.0037777</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>1972000.000000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>512620.550000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-03</settlementDt>
            <unrealizedAppr>22402.540000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PHP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LEKBBZLXW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PHP" exchangeRt="50.820000"/>
        <valUSD>-1279.780000</valUSD>
        <pctVal>-0.0002158</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>21256992.000000</amtCurSold>
            <curSold>PHP</curSold>
            <amtCurPur>417000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-1279.780000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PLN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IFKBBNNG1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PLN" exchangeRt="3.793500"/>
        <valUSD>-7396.620000</valUSD>
        <pctVal>-0.0012473</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>879000.000000</amtCurSold>
            <curSold>PLN</curSold>
            <amtCurPur>224318.320000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-10</settlementDt>
            <unrealizedAppr>-7396.620000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>5493003STKEZ2S0RNU91</lei>
        <title>KRAFT HEINZ FOODS CO (AKA: HJ SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0E544"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4105.380000</valUSD>
        <pctVal>-0.0006923</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)</issuerName>
                <issueTitle>HEINZ (H.J.) CO DEB</issueTitle>
                <identifiers>
                  <isin value="US423074AF08"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2020-09-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-13981.520000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>600000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>9876.140000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LIVE CATTLE FUTR  FEB20 XCME 20200228</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="LCG0"/>
        </identifiers>
        <balance>-23.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7025.110000</valUSD>
        <pctVal>-0.0011846</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Live Cattle</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1BBBB8-Live Cattle"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-02-28</expDate>
            <notionalAmt>-1158510.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-7025.110000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>VARS GOLDLNPM 0.03861225 07/29/20 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0C8411"/>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JP Morgan Chase Bank NA</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>LONDON GOLD MKT FIX LTD PM</indexName>
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                <narrativeDesc>N/A</narrativeDesc>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="LONDON GOLD MKT FIX LTD PM" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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            </floatingRecDesc>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2020-07-29</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5597964.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-146620.700000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>VARS GOLDLNPM 0.03976036 07/29/20 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0AQ355"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-17168.130000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JP Morgan Chase Bank NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>LONDON GOLD MKT FIX LTD PM</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="LONDON GOLD MKT FIX LTD PM" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingRecDesc>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2020-07-29</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>628451.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-17168.130000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>VARS GOLDLNPM 0.070225 07/29/20 GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GG716"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>332664.100000</valUSD>
        <pctVal>0.0560963</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Goldman Sachs International</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>LONDON GOLD MKT FIX LTD PM</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="LONDON GOLD MKT FIX LTD PM" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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            </floatingPmntDesc>
            <terminationDt>2020-07-29</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>6226415.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>332664.100000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LBKBB4CWT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>157793.100000</valUSD>
        <pctVal>0.0266082</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. International PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <amtCurSold>4094114.230000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>266037590.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-03-16</settlementDt>
            <unrealizedAppr>157793.100000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NOK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KJKBBNZMM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>489619.970000</valUSD>
        <pctVal>0.0825633</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <amtCurSold>9970254.510000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>91815000.000000</amtCurPur>
            <curPur>NOK</curPur>
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            <unrealizedAppr>489619.970000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NZD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LKKBBRWJC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>44974.940000</valUSD>
        <pctVal>0.0075840</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <amtCurSold>2499850.080000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3780000.000000</amtCurPur>
            <curPur>NZD</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>44974.940000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LBKBB13Q6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>137219.200000</valUSD>
        <pctVal>0.0231389</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <amtCurSold>2655308.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>39283688.680000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-02-05</settlementDt>
            <unrealizedAppr>137219.200000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LCKBBR27R"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>100325.020000</valUSD>
        <pctVal>0.0169175</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <amtCurSold>2226688.100000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>32735100.660000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-02-05</settlementDt>
            <unrealizedAppr>100325.020000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JGKBBNCN3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.661900"/>
        <valUSD>-1553.480000</valUSD>
        <pctVal>-0.0002620</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>755000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>111778.400000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-02</settlementDt>
            <unrealizedAppr>-1553.480000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>NDDUWI TRS EQUITY 3ML-33.5 MEI</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00VSV1"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5512872.840000</valUSD>
        <pctVal>0.9296213</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Merrill Lynch International</counterpartyName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>NDDUWI TRS EQUITY 3ML-34.5 BPS</title>
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          <other otherDesc="Internal ID" value="SWU00WUP9"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>BNPParibas</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
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            <swapFlag>Y</swapFlag>
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            <terminationDt>2020-10-07</terminationDt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>NDDUWI TRS EQUITY 3ML-38 ULO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00UNH9"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5903.240000</valUSD>
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        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UBS AG London</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2020-06-11</terminationDt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>MSCI EMGMKT       MAR20 IFUS 20200320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="MESH0"/>
        </identifiers>
        <balance>103.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>210257.090000</valUSD>
        <pctVal>0.0354551</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Futures Exchange</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>MSCI EMERGING MARKETS INDEX</indexName>
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                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
            <notionalAmt>5769030.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>210257.090000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>NASDAQ 100 E-MINI MAR20 XCME 20200320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="NQH0"/>
        </identifiers>
        <balance>103.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>556968.700000</valUSD>
        <pctVal>0.0939202</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>NASDAQ 100 STOCK INDEX</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
            <notionalAmt>18029635.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>556968.700000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>NATURAL GAS FUTR  MAR20 XNYM 20200226</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="NGH20"/>
        </identifiers>
        <balance>-21.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8334.970000</valUSD>
        <pctVal>0.0014055</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>New York Mercantile Exchange</counterpartyName>
              <counterpartyLei>5493008GFNDTXFPHWI47</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Natural Gas</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI0V7BD3-Natural Gas"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-02-26</expDate>
            <notionalAmt>-453180.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>8334.970000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COMM SWAP JMABDEWE JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0DF711"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>123825.240000</valUSD>
        <pctVal>0.0208803</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JP Morgan Chase Bank NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>COMM SWAP JMABDEWE JPM</indexName>
                <indexIdentifier>JMABDEWE</indexIdentifier>
                <narrativeDesc>Internal ID</narrativeDesc>
                <components>
                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="C H00001"/>
                    </identifiers>
                    <othIndNotAmt>-351173.299589</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-7242.092735</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="CASH US"/>
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                    <othIndNotAmt>2009291.035990</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
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                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="NGG200017"/>
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                    <othIndNotAmt>-130783.229544</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-2697.085108</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="CCH000011"/>
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                    <othIndNotAmt>-76046.367664</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="COH000007"/>
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                    <othIndNotAmt>614631.843835</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
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                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="LXG000008"/>
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                    <othIndNotAmt>-138611.823006</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
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                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
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                      <other otherDesc="Internal ID" value="XBG000011"/>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="FNG000007"/>
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                    <othIndNotAmt>-125184.360025</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
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                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
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                      <other otherDesc="Internal ID" value="HOG000011"/>
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                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-11072.966988</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="LPG200019"/>
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                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>2878.754908</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SMH000012"/>
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                    <othIndNotAmt>354417.740718</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>7309.001420</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="S H00001"/>
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                    <othIndNotAmt>485764.582137</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>10017.709648</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="LNG000000"/>
                    </identifiers>
                    <othIndNotAmt>137805.750029</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>2841.907464</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="KCH000012"/>
                    </identifiers>
                    <othIndNotAmt>-72176.695050</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-1488.468285</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
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                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="LHG000011"/>
                    </identifiers>
                    <othIndNotAmt>-73355.885889</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-1512.786220</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="LAG200012"/>
                    </identifiers>
                    <othIndNotAmt>-139239.503484</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-2871.475132</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABDEWE JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="W H00001"/>
                    </identifiers>
                    <othIndNotAmt>-353365.292530</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-7287.297243</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                </components>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2020-02-14</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>6004358.090000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>123825.240000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="A negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D.  This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f." noteItem="B.2.f"/>
      <explntrNote note="Total returns do not deduct sales loads and redemption fees." noteItem="B.5.a"/>
      <explntrNote note="The form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list.  Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A." noteItem="C.5.a"/>

      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.c.vi"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.d.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.e.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.f.ii"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-02-10</ncom:dateSigned>
      <ncom:nameOfApplicant>PIMCO Variable Insurance Trust</ncom:nameOfApplicant>
      <ncom:signature>/s/ Jason Nagler</ncom:signature>
      <ncom:signerName>Jason Nagler</ncom:signerName>
      <ncom:title>Assistant Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
