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        <lei>N/A</lei>
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        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                      <issuerName>N/A</issuerName>
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      </invstOrSec>
      <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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                  <derivAddlInfo>
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                      <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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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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        </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="21IEKBB0JJS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.862600"/>
        <valUSD>747.180000</valUSD>
        <pctVal>0.0001597</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>31000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>36685.800000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-11-17</settlementDt>
            <unrealizedAppr>747.180000</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="21IHKBBQ561"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.862600"/>
        <valUSD>1191.740000</valUSD>
        <pctVal>0.0002548</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>57000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>67272.430000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-11-17</settlementDt>
            <unrealizedAppr>1191.740000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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          <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="21IKKBB6P3D"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.862600"/>
        <valUSD>1732.660000</valUSD>
        <pctVal>0.0003704</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>91000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>107229.910000</amtCurPur>
            <curPur>USD</curPur>
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            <unrealizedAppr>1732.660000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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          <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="21IMKBBV8N4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.862600"/>
        <valUSD>292.930000</valUSD>
        <pctVal>0.0000626</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>22000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>25797.760000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-11-17</settlementDt>
            <unrealizedAppr>292.930000</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="21INKBBR3R6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.862600"/>
        <valUSD>2306.920000</valUSD>
        <pctVal>0.0004932</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>149000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>175044.170000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-11-17</settlementDt>
            <unrealizedAppr>2306.920000</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="21IPKBB9SC4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.862600"/>
        <valUSD>4214.100000</valUSD>
        <pctVal>0.0009010</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>294000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>345051.370000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-11-17</settlementDt>
            <unrealizedAppr>4214.100000</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>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IKKBBP2CT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>10600.020000</valUSD>
        <pctVal>0.0022662</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>310000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>428294.080000</amtCurPur>
            <curPur>USD</curPur>
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            <unrealizedAppr>10600.020000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED FUNDING CERT 2006-OPT2</name>
        <lei>N/A</lei>
        <title>ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2</title>
        <cusip>00075XAB3</cusip>
        <identifiers>
          <isin value="US00075XAB38"/>
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        <balance>1021059.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>999392.160000</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>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <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>SOLD NZD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IAKBB0J0H"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="NZD" exchangeRt="1.448500"/>
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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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>3073000.000000</amtCurSold>
            <curSold>NZD</curSold>
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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 PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21EBKBB9B5T"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="4.161000"/>
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        <pctVal>0.0045828</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, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>1068387.100000</amtCurSold>
            <curSold>PEN</curSold>
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            <curPur>USD</curPur>
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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>CMBX.NA.AAA.12 SP SAL</title>
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        <curCd>USD</curCd>
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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">
            <counterparties>
              <counterpartyName>CITIGROUP GLOBAL MARKETS INC.</counterpartyName>
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                <indexName>CMBX.NA.AAA.12</indexName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
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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>
        <title>CMBX.NA.AAA.8 SP DUB</title>
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          <other otherDesc="Internal ID" value="SWPC0BLE0"/>
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        <curCd>USD</curCd>
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        <assetCat>DCR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
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            <pmntCurCd>USD</pmntCurCd>
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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>
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        <curCd>USD</curCd>
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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.8</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>2057-10-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-17331.580000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>19934.520000</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>COCOA FUTURE      DEC21 IFUS 20211215</title>
        <cusip>000000000</cusip>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>28632.800000</valUSD>
        <pctVal>0.0061216</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>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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            <expDate>2021-12-15</expDate>
            <notionalAmt>318240.000000</notionalAmt>
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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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          <ticker value="KCZ1"/>
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        <balance>-5.000000</balance>
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        <curCd>USD</curCd>
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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 Futures Exchange</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <expDate>2021-12-20</expDate>
            <notionalAmt>-363750.000000</notionalAmt>
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            <unrealizedAppr>-24913.130000</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>
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        <cusip>000000000</cusip>
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          <ticker value="KCH2"/>
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        <balance>2.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>24840.720000</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 Futures Exchange</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1GBKY3-Coffee"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-03-21</expDate>
            <notionalAmt>147600.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>24840.720000</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>COPPER FUTURE     DEC21 XCEC 20211229</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="HGZ1"/>
        </identifiers>
        <balance>6.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-48385.700000</valUSD>
        <pctVal>-0.0103447</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>Copper</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1GMGG3-Copper"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-12-29</expDate>
            <notionalAmt>613350.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-48385.700000</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>CORN FUTURE       DEC21 XCBT 20211214</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="C Z1"/>
        </identifiers>
        <balance>-96.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>80755.850000</valUSD>
        <pctVal>0.0172653</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>
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            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Corn</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1HXGR4-Corn"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-12-14</expDate>
            <notionalAmt>-2576400.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>80755.850000</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>CORN FUTURE       MAR22 XCBT 20220314</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="C H2"/>
        </identifiers>
        <balance>-3.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1066.980000</valUSD>
        <pctVal>-0.0002281</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>Corn</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1T6VB8-Corn"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-03-14</expDate>
            <notionalAmt>-81675.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1066.980000</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>COTTON NO.2 FUTR  MAR22 IFUS 20220309</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CTH2"/>
        </identifiers>
        <balance>4.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>28847.570000</valUSD>
        <pctVal>0.0061675</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 Futures Exchange</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Cotton</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1MTN40-Cotton"/>
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            <expDate>2022-03-09</expDate>
            <notionalAmt>207760.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>28847.570000</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>CRUDE OIL FUT OPT DEC21C 77.5 EXP 11/16/2021</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CLZ1C"/>
        </identifiers>
        <balance>-12.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-29160.000000</valUSD>
        <pctVal>-0.0062343</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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>New York Mercantile Exchange</counterpartyName>
              <counterpartyLei>5493008GFNDTXFPHWI47</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>New York Mercantile Exchange</counterpartyName>
                    <counterpartyLei>5493008GFNDTXFPHWI47</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <other otherDesc="Internal ID" value="CLZ100019"/>
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                    <balance>0.000000</balance>
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                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <assetCat>DCO</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <other otherDesc="Internal ID" value="CLZ100019"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2021-11-20</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>77.500000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>-13935.480000</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>CRUDE OIL FUT OPT DEC21C 80 EXP 11/16/2021</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CLZ1C"/>
        </identifiers>
        <balance>-12.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-19680.000000</valUSD>
        <pctVal>-0.0042075</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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>New York Mercantile Exchange</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                    <counterpartyName>New York Mercantile Exchange</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <invCountry>US</invCountry>
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                  <payOffProf>N/A</payOffProf>
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                      <issuerName>N/A</issuerName>
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                  <expDate>2021-11-20</expDate>
                  <notionalAmt>N/A</notionalAmt>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-5808.960000</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>
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        <identifiers>
          <ticker value="CLX1C"/>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
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                    <counterpartyName>New York Mercantile Exchange</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                  <payOffProf>N/A</payOffProf>
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                      <issuerName>N/A</issuerName>
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                  <expDate>2021-10-21</expDate>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-21147.240000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI15DX19-WTI Crude"/>
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            <expDate>2021-11-18</expDate>
            <notionalAmt>747000.000000</notionalAmt>
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            <unrealizedAppr>115518.190000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CCA CURRENT AUC FEB22 IFED 20220223</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="OWDG22"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-360.000000</valUSD>
        <pctVal>-0.0000770</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>ICE Futures Europe Exchange</counterpartyName>
              <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Current</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="AEIC81368-Current"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-02-23</expDate>
            <notionalAmt>0.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-360.000000</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>CCA VINT2022      DEC22 IFED 20221223</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CTIZ22"/>
        </identifiers>
        <balance>16.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>84803.100000</valUSD>
        <pctVal>0.0181306</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>ICE Futures Europe Exchange</counterpartyName>
              <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Emission</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1S8R46-Emission"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-12-23</expDate>
            <notionalAmt>456960.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>84803.100000</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>ECX EMISSION      DEC21 NDEX 20211220</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="NLICE1584834"/>
        </identifiers>
        <balance>8.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>70285.650000</valUSD>
        <pctVal>0.0150268</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>EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>EUA</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1SRPB0-EUA"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-12-20</expDate>
            <notionalAmt>572132.190000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>70285.650000</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>ZCAZ21C IFE ECAL CCA FUT DEC21 25 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="ZCAZ21C"/>
        </identifiers>
        <balance>-2.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6784.000000</valUSD>
        <pctVal>-0.0014504</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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
              <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
                    <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FIN FUT EMFUT - CCA 2021 GE IFE 12/27/21</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="ZCAZ21012"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCO</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 EMFUT - CCA 2021 GE IFE 12/27/21</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="ZCAZ21012"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2021-12-28</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>25.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-12-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-6294.760000</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>ZCAZ21C IFE ECAL CCA FUT DEC21 30 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="ZCAZ21C"/>
        </identifiers>
        <balance>-1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1410.000000</valUSD>
        <pctVal>-0.0003015</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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
              <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
                    <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FIN FUT EMFUT - CCA 2021 GE IFE 12/27/21</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="ZCAZ21012"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCO</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 EMFUT - CCA 2021 GE IFE 12/27/21</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="ZCAZ21012"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2021-12-28</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>30.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-12-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-544.780000</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>OCDFVA971 FVA FWD JUN23 0 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI995282"/>
        </identifiers>
        <balance>14200.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1648.340000</valUSD>
        <pctVal>0.0003524</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 12.25 SW30 06/19/54 BOA</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="3175SG937"/>
                    </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 12.25000 06/19/24-30Y BOA</title>
                          <cusip>000000000</cusip>
                          <identifiers>
                            <other otherDesc="Internal ID" value="SWU0SM207"/>
                          </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 12.25000 06/19/24-30Y BOA</indexIdentifier>
                            <narrativeDesc>N/A</narrativeDesc>
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                        </descRefInstrmnt>
                        <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="12.250000"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        <terminationDt>2054-06-19</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>12.250000</exercisePrice>
                  <exercisePriceCurCd>USD</exercisePriceCurCd>
                  <expDt>2024-06-17</expDt>
                </optionSwaptionWarrantDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2023-06-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-91.160000</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>OCDFVA989 FVA FWD JUN23 0 CALL</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEI995308"/>
        </identifiers>
        <balance>21300.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2472.510000</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>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <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 12.31 SW30 06/19/54 MYC</title>
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                      <other otherDesc="Internal ID" value="3175SG945"/>
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                    <curCd>USD</curCd>
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                    <invCountry>US</invCountry>
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                  <putOrCall>Call</putOrCall>
                  <writtenOrPur>Written</writtenOrPur>
                  <descRefInstrmnt>
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                          <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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                        <derivAddlInfo>
                          <name>N/A</name>
                          <lei>N/A</lei>
                          <title>IRS USD R 12.31000 06/19/24-30Y MYC</title>
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                          <identifiers>
                            <other otherDesc="Internal ID" value="SWU0SM215"/>
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                          <curCd>USD</curCd>
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                          <assetCat>DIR</assetCat>
                          <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                          <invCountry>US</invCountry>
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                        <descRefInstrmnt>
                          <indexBasketInfo>
                            <indexName>N/A</indexName>
                            <indexIdentifier>IRS USD R 12.31000 06/19/24-30Y MYC</indexIdentifier>
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                        <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="12.310000"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        <curCd>USD</curCd>
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                  </descRefInstrmnt>
                  <principalAmt>N/A</principalAmt>
                  <curCd>USD</curCd>
                  <exercisePrice>12.310000</exercisePrice>
                  <exercisePriceCurCd>USD</exercisePriceCurCd>
                  <expDt>2024-06-17</expDt>
                </optionSwaptionWarrantDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-149.520000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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>EURO-OAT FUTURE   DEC21 XEUR 20211208</title>
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          <isin value="DE000C58EEM8"/>
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        <balance>-6.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
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        <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>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>Eurex</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <cusip>000000000</cusip>
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        <balance>1.000000</balance>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <curSold>EUR</curSold>
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      </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="20BCKBB6Z3Z"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.862400"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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        <securityLending>
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      </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="20FDKBB5LD9"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.858300"/>
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        <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">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <unrealizedAppr>-1240.470000</unrealizedAppr>
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      </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="21IDKBCR99T"/>
        </identifiers>
        <balance>1.000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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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 IDR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IEKBB88GQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="14387.709400"/>
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        <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, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <amtCurSold>178948.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2572198552.000000</amtCurPur>
            <curPur>IDR</curPur>
            <settlementDt>2021-11-15</settlementDt>
            <unrealizedAppr>-170.510000</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>LEAN HOGS FUTURE  DEC21 XCME 20211214</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="LHZ1"/>
        </identifiers>
        <balance>-27.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-57657.490000</valUSD>
        <pctVal>-0.0123269</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>
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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="ADI1SV3V1-Lean Hogs"/>
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            <expDate>2021-12-14</expDate>
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            <curCd>USD</curCd>
            <unrealizedAppr>-57657.490000</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>LIVE CATTLE FUTR  DEC21 XCME 20211231</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="LCZ1"/>
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        <balance>21.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-63810.910000</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>Long</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1R3K78-Live Cattle"/>
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            <expDate>2021-12-31</expDate>
            <notionalAmt>1056090.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-63810.910000</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>VARS GOLDLNPM 0.04347225 03/04/22 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GF981"/>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <descRefInstrmnt>
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                <indexName>LONDON GOLD MKT FIX LTD PM</indexName>
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            <swapFlag>Y</swapFlag>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>16351.980000</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>VARS GOLDLNPM 0.051529 12/05/22 UAG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GE166"/>
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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>UBS AG</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>
            <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">
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            <rcptCurCd>USD</rcptCurCd>
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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>VARS GOLDLNPM 0.069696 08/02/24 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GA826"/>
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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">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT IDR/SOLD USD</title>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NZD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
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            <amtCurSold>2132216.420000</amtCurSold>
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      <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>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>1</fairValLevel>
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              <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>HENRY HB LD1      JAN23 IFED 20221228</title>
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          <ticker value="NDF23"/>
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        <balance>1.000000</balance>
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        <assetCat>DCO</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
                <issueTitle>Henry</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1RQP15-Henry"/>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>HENRY HB LD1      JUL23 IFED 20230628</title>
        <cusip>000000000</cusip>
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          <ticker value="NDN23"/>
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        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1RQQH9-Henry"/>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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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>
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              <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
                <issueTitle>Henry</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1RQP49-Henry"/>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>HENRY HB LD1      MAY23 IFED 20230426</title>
        <cusip>000000000</cusip>
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          <ticker value="NDK23"/>
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        <assetCat>DCO</assetCat>
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        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DCO</assetCat>
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        <fairValLevel>1</fairValLevel>
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              <counterpartyName>ICE Futures Europe Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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            <payOffProf>Long</payOffProf>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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            <payOffProf>Long</payOffProf>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="NGJ22"/>
        </identifiers>
        <balance>-10.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-102326.650000</valUSD>
        <pctVal>-0.0218770</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>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Henry</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1LGRK9-Henry"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-03-29</expDate>
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            <unrealizedAppr>-102326.650000</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="NGF22"/>
        </identifiers>
        <balance>-8.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-40850.110000</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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            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Henry</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1H81Z7-Henry"/>
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              </otherRefInst>
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            <expDate>2021-12-29</expDate>
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            <unrealizedAppr>-40850.110000</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>NATURAL GAS FUTR  MAR22 XNYM 20220224</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="NGH22"/>
        </identifiers>
        <balance>2.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>29057.080000</valUSD>
        <pctVal>0.0062123</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>Henry</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1SCZ30-Henry"/>
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            <expDate>2022-02-24</expDate>
            <notionalAmt>110340.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>29057.080000</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>NATURAL GAS FUTR  MAY22 XNYM 20220427</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="NGK22"/>
        </identifiers>
        <balance>14.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>103945.190000</valUSD>
        <pctVal>0.0222231</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>Henry</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1LGR29-Henry"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-04-27</expDate>
            <notionalAmt>535360.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>103945.190000</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  OCT22 XNYM 20220928</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="NGV22"/>
        </identifiers>
        <balance>-4.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4492.590000</valUSD>
        <pctVal>-0.0009605</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>Henry</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1LGRC7-Henry"/>
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              </otherRefInst>
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            <expDate>2022-09-28</expDate>
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            <curCd>USD</curCd>
            <unrealizedAppr>-4492.590000</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>TTF NAT GAS F     APR22 NDEX 20220330</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="NLICE0019543"/>
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        <balance>2.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
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        <pctVal>0.0101972</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V.</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>TTF</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1K3R37-TTF"/>
                </identifiers>
              </otherRefInst>
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            <expDate>2022-03-30</expDate>
            <notionalAmt>87239.320000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>47696.080000</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>TTF NAT GAS F     AUG22 NDEX 20220728</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="NLICE0040242"/>
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        <balance>2.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
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        <pctVal>0.0071366</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V.</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1K3R78-TTF"/>
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            <expDate>2022-07-28</expDate>
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            <unrealizedAppr>33380.350000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <isin value="NLICE0015574"/>
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        <assetCat>DCO</assetCat>
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        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V.</counterpartyName>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <isin value="NLICE0018180"/>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="NLICE0016648"/>
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        <assetCat>DCO</assetCat>
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        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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                <issuerName>N/A</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>TTF NAT GAS F     JUL22 NDEX 20220629</title>
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          <isin value="NLICE0038378"/>
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        <invCountry>NL</invCountry>
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        <fairValLevel>1</fairValLevel>
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                <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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                <issuerName>N/A</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>1</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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                <issuerName>N/A</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>TTF NAT GAS F     SEP22 NDEX 20220830</title>
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          <isin value="NLICE0041570"/>
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        <assetCat>DCO</assetCat>
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        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V.</counterpartyName>
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                <issuerName>N/A</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <ticker value="PAZ1"/>
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        <balance>-1.000000</balance>
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        <valUSD>47808.710000</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>
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              <counterpartyName>New York Mercantile Exchange</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>N/A</issuerName>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <ticker value="PLF2"/>
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        <balance>2.000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>New York Mercantile Exchange</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1Z6J25-Platinum"/>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LME PRI ALUM FUTR JAN22 XLME 20220117</title>
        <cusip>000000000</cusip>
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          <isin value="GB00DV8PQQ95"/>
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        <balance>-6.000000</balance>
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        <assetCat>DCO</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>London Metals Exchange</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1THC41-Aluminum"/>
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            <expDate>2022-01-17</expDate>
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            <unrealizedAppr>3138.000000</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>SOYBEAN FUTURE    JAN22 XCBT 20220114</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="S F2"/>
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        <balance>21.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-26854.970000</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>
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              <counterpartyName>Chicago Board of Trade</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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            <unrealizedAppr>-26854.970000</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>SOYBEAN FUTURE    MAR22 XCBT 20220314</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="S H2"/>
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        <balance>-2.000000</balance>
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        <curCd>USD</curCd>
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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 Board of Trade</counterpartyName>
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                <issuerName>N/A</issuerName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOYBEAN MEAL FUTR JAN22 XCBT 20220114</title>
        <cusip>000000000</cusip>
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          <ticker value="SMF2"/>
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        <balance>72.000000</balance>
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        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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              <counterpartyName>Chicago Board of Trade</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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            <unrealizedAppr>-83101.650000</unrealizedAppr>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOYBEAN MEAL FUTR MAR22 XCBT 20220314</title>
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          <ticker value="SMH2"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>Chicago Board of Trade</counterpartyName>
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                <issuerName>N/A</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOYBEAN OIL FUTR  JAN22 XCBT 20220114</title>
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          <ticker value="BOF2"/>
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        <units>NC</units>
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        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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              <counterpartyName>Chicago Board of Trade</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>N/A</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOYBEAN OIL FUTR  MAR22 XCBT 20220314</title>
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          <ticker value="BOH2"/>
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        <balance>-2.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-2925.920000</valUSD>
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        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>Chicago Board of Trade</counterpartyName>
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                <issuerName>N/A</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>120981.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>786591.850000</amtCurPur>
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            <settlementDt>2021-12-15</settlementDt>
            <unrealizedAppr>343.820000</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>BOUGHT IDR/SOLD USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="21IDKBBSNVB"/>
        </identifiers>
        <balance>1.000000</balance>
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        <pctVal>-0.0002007</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>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
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            <unrealizedAppr>-938.930000</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 EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21HVKBB60X7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>742242.880000</valUSD>
        <pctVal>0.1586886</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>
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            </counterparties>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21HTKBBPFR3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
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        <pctVal>0.0434575</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>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
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            <amtCurSold>8843000.000000</amtCurSold>
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            <amtCurPur>12118326.050000</amtCurPur>
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            <unrealizedAppr>203266.160000</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>
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          <other otherDesc="Internal ID" value="21HVKBB9QX5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="111.295000"/>
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        <pctVal>0.0233317</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>
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            <amtCurSold>911200000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>8296380.530000</amtCurPur>
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            <unrealizedAppr>109130.430000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="21HKKBB76HN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742100"/>
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        <pctVal>0.0000339</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>State Street Bank and Trust Company</counterpartyName>
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            <amtCurSold>4000.000000</amtCurSold>
            <curSold>GBP</curSold>
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            <settlementDt>2021-11-17</settlementDt>
            <unrealizedAppr>158.600000</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>SUGAR  11 (WORLD) MAR22 IFUS 20220228</title>
        <cusip>000000000</cusip>
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          <ticker value="SBH2"/>
        </identifiers>
        <balance>-4.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1106.180000</valUSD>
        <pctVal>-0.0002365</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 Futures Exchange</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Raw Sugar</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1RY1S5-Raw Sugar"/>
                </identifiers>
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            <expDate>2022-02-28</expDate>
            <notionalAmt>-91123.200000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1106.180000</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>
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        <balance>1190000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</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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                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
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                      <issuerName>N/A</issuerName>
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                  <pmntCurCd>EUR</pmntCurCd>
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                  <rcptCurCd>EUR</rcptCurCd>
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                  <curCd>EUR</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.200000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>77658.590000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="AEIB30979"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BNP Paribas S.A.</counterpartyName>
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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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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
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            <expDt>2022-11-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-75689.530000</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>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>26730.900000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
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            <unrealizedAppr>40729.040000</unrealizedAppr>
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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="AEIB34682"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                  <derivAddlInfo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-38729.730000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZLVRT9HR039"/>
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        <balance>900000.000000</balance>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY CAPITAL SERVICES LLC</counterpartyName>
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            <descRefInstrmnt>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  <descRefInstrmnt>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZW13CLWXFV1"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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              <counterpartyName>MORGAN STANLEY CAPITAL SERVICES LLC</counterpartyName>
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                    <counterpartyName>MORGAN STANLEY CAPITAL SERVICES LLC</counterpartyName>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-60049.420000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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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"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
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            <descRefInstrmnt>
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                <swapDeriv derivCat="SWP">
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                  <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <rcptCurCd>EUR</rcptCurCd>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>133835.210000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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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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          <isin value="EZW13CLWXFV1"/>
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        <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>BNP Paribas S.A.</counterpartyName>
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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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                  <descRefInstrmnt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-132541.180000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD EURMARG3 1H22 6.21 06/30/22 MYC</title>
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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>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0GJ207-Petroleum"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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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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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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        <curCd>USD</curCd>
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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>2</fairValLevel>
        <derivativeInfo>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <terminationDt>2022-06-30</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>6129.460000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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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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        <assetCat>DCO</assetCat>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.600000"/>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU079365"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="7.700000"/>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU01BMK4"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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                  <other otherDesc="Internal ID" value="SWU01BMK4-GOLD 100 OZ FUTR Dec11"/>
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            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <rcptCurCd>USD</rcptCurCd>
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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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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1774.369000"/>
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            <rcptCurCd>USD</rcptCurCd>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD GOLDLNPM 1776.421 11/29/21 CIB</title>
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        <curCd>USD</curCd>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1776.421000"/>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD GOLDLNPM 1889.912 11/29/22 JPM</title>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD HOBR CAL21 11.9936 12/31/21 BPS</title>
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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>
        <title>COM FWD HOBR CAL21 14.08 12/31/21 GST</title>
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        <payoffProfile>N/A</payoffProfile>
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        <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>
        <title>COM FWD HOBR CAL21 15.50 12/31/21 JPM</title>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="15.500000"/>
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            <terminationDt>2021-12-31</terminationDt>
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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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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="15.670000"/>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU0DM591"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>MACQUARIE BANK LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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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="SWU0FQ186"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <descRefInstrmnt>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-2693.940000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD LLSCO CAL21 -1.25 12/31/21 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GD598"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>167.650000</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>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <descRefInstrmnt>
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                <issueTitle>Petroleum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0GD598-Petroleum"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.250000"/>
            <terminationDt>2021-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>167.650000</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>COM FWD LLSCO CAL21 -1.25 12/31/21 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GD606"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>167.650000</valUSD>
        <pctVal>0.0000358</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>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <descRefInstrmnt>
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                <identifiers>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.250000"/>
            <terminationDt>2021-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>167.650000</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>COM FWD LLSCO CAL21 -1.7 12/31/21 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SP382"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-65.350000</valUSD>
        <pctVal>-0.0000140</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>
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            <descRefInstrmnt>
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                <issueTitle>Petroleum</issueTitle>
                <identifiers>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.700000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2021-12-31</terminationDt>
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            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-65.350000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD LLSCO CAL22 -2.1 12/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GD614"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>707.740000</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>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <identifiers>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-2.100000"/>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>707.740000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD LLSCO CAL22 -2.1 12/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GD622"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>707.740000</valUSD>
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        <assetCat>DCO</assetCat>
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        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-2.100000"/>
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            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD LLSCO CAL22 -2.5 12/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GB576"/>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD LLSCO CAL22 -2.8 12/31/22 MAC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SP366"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
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        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-2.800000"/>
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            <pmntCurCd>USD</pmntCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>1198.610000</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>COM FWD LLSMEH 1H22 1 06/30/22 GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0DG172"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>708.010000</valUSD>
        <pctVal>0.0001514</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">
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0DG172-Petroleum"/>
                </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>2022-06-30</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>708.010000</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>COM FWD LLSMEH 1H22 1.05 06/30/22 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SV538"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>383.980000</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>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
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                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <terminationDt>2022-06-30</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>600.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>383.980000</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>COM FWD LLSMEH 2H22 1 12/31/22 GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SV520"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>352.320000</valUSD>
        <pctVal>0.0000753</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>
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0SV520-Petroleum"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
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            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>600.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>352.320000</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>COM FWD LLSMEH CAL22 1 12/31/22 GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SM983"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>706.330000</valUSD>
        <pctVal>0.0001510</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>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0SM983-Petroleum"/>
                </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>2022-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>706.330000</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>COM FWD MEHCO CAL21 -3.25 12/31/21 MAC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0DA092"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>382.900000</valUSD>
        <pctVal>0.0000819</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>MACQUARIE BANK LIMITED</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0DA092-Petroleum"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-3.250000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2021-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>382.900000</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>COM FWD MEHCO CAL22 -2.3 12/31/22 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0JL886"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>910.700000</valUSD>
        <pctVal>0.0001947</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>JPMorgan Chase Bank, National Association</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0JL886-Petroleum"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-2.300000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2400.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>910.700000</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>COM FWD MEHCO CAL22 -2.3 12/31/22 MAC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GE125"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>455.350000</valUSD>
        <pctVal>0.0000974</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>MACQUARIE BANK LIMITED</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0GE125-Petroleum"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-2.300000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>455.350000</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>COM FWD MEHCO CAL22 -2.3 12/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0PS900"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>455.350000</valUSD>
        <pctVal>0.0000974</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">
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              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
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                <issueTitle>Petroleum</issueTitle>
                <identifiers>
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                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-2.300000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>455.350000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD MEHCO CAL22 -2.33 12/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SV058"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>491.300000</valUSD>
        <pctVal>0.0001050</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>
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            <descRefInstrmnt>
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                <issueTitle>Petroleum</issueTitle>
                <identifiers>
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                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-2.330000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>491.300000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD MEHCO CAL22 -2.36 12/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SV199"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>527.250000</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>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <issueTitle>Petroleum</issueTitle>
                <identifiers>
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                </identifiers>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-2.360000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>527.250000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD MEHCO CAL22 -2.82 12/31/22 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GB360"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3235.540000</valUSD>
        <pctVal>0.0006917</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>
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            <descRefInstrmnt>
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                <issueTitle>Petroleum</issueTitle>
                <identifiers>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-2.820000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-12-31</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-35.840000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3600.000000</notionalAmt>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD MEHMIDCAL20-21 1.84 12/31/21 CBK</title>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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                <identifiers>
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                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.840000"/>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-16.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>400.000000</notionalAmt>
            <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>
        <title>COM FWD MEHMIDCAL21 1.10 12/31/21 MAC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0FQ301"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <pctVal>-0.0000263</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>
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              <counterpartyName>MACQUARIE BANK LIMITED</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
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                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.100000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2021-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>200.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-122.960000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD TTFNBP 1Q22 -5 03/31/22 MYC</title>
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        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-7136.980000</valUSD>
        <pctVal>-0.0015259</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>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
                <issueTitle>Natural Gas</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0PS082-Natural Gas"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="-5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-03-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>180000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-7136.980000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD TTFNBP 1Q22 -5.15 03/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0PS140"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-3386.730000</valUSD>
        <pctVal>-0.0007241</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>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Natural Gas</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0PS140-Natural Gas"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="-5.150000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-03-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>90000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-3386.730000</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>COM FWD TTFNBP 1Q22 -5.36 03/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0DD765"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-6264.560000</valUSD>
        <pctVal>-0.0013393</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>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Natural Gas</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0DD765-Natural Gas"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="-5.360000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-03-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>180000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-6264.560000</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>COM FWD TTFNBP V1-H2 -4.13 03/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0PS157"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-8529.410000</valUSD>
        <pctVal>-0.0018236</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>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
                <issueTitle>Natural Gas</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0PS157-Natural Gas"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="-4.130000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-03-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>182000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-8529.410000</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>COM FWD TTFNBP V1-H2 -4.25 03/31/22 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0EP395"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
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        <pctVal>-0.0017607</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
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                <issueTitle>Natural Gas</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0EP395-Natural Gas"/>
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              </otherRefInst>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="-4.250000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-03-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>182000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-8235.370000</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>COM FWD TTFNBP V21 -0.7 10/31/21 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01CDX4"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
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        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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            <descRefInstrmnt>
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                <issueTitle>Natural Gas</issueTitle>
                <identifiers>
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              </otherRefInst>
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            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>31000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>1715.920000</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>COM FWD TTFNBP V21 0.35 10/31/21 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01CLV9"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
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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>

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        <derivativeInfo>
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            <descRefInstrmnt>
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                <identifiers>
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              </otherRefInst>
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            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <terminationDt>2021-10-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>31000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>2154.470000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COM FWD ULSDCO CAL21 6.45 12/31/21 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SQ448"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1841.000000</valUSD>
        <pctVal>0.0003936</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <descRefInstrmnt>
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                <issueTitle>Petroleum</issueTitle>
                <identifiers>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="6.450000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2021-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1841.000000</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>COM FWD ULSDCO CAL21 6.63 12/31/21 MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0GD168"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1787.010000</valUSD>
        <pctVal>0.0003821</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>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0GD168-Petroleum"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="6.630000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2021-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1787.010000</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>COM FWD ULSDCO CAL21 9.17 12/31/21 BPS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SJ873"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1025.130000</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>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BNP PARIBAS</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Petroleum</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0SJ873-Petroleum"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="9.170000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2021-12-31</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1025.130000</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>COMM SWAP BCOM GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0DC148"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>53028.070000</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>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>BCOM</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0DC148-BCOM"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-01-14</terminationDt>
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            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>220766.950000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>33354.660000</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>COMM SWAP BCOM JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SR966"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>70096.090000</valUSD>
        <pctVal>0.0149863</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>JPMorgan Chase Bank, National Association</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>BCOM</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0SR966-BCOM"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-01-18</terminationDt>
            <upfrontPmnt>43611.750000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>277692.660000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>26484.340000</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>COMM SWAP BCOM MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0ST996"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>16214.050000</valUSD>
        <pctVal>0.0034665</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>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>BCOM</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0ST996-BCOM"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-03-02</terminationDt>
            <upfrontPmnt>2747.030000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>88699.310000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>13467.020000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COMM SWAP BCOM UAG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SU498"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>15063.480000</valUSD>
        <pctVal>0.0032205</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">
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              <counterpartyName>UBS AG</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>BCOM</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU0SU498-BCOM"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-03-02</terminationDt>
            <upfrontPmnt>3085.580000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>11977.900000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COMM SWAP BCOMF1NTC BPS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SU472"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2431.390000</valUSD>
        <pctVal>0.0005198</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>
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              <counterpartyName>BNP PARIBAS</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>COMM SWAP BCOMF1NTC BPS</indexName>
                <indexIdentifier>BCOMF1NTC</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-02-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>2431.390000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COMM SWAP CMDSKEWLS GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SU266"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-44833.440000</valUSD>
        <pctVal>-0.0095852</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">
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-02-15</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-44833.440000</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>COMM SWAP JMABFNJ2 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0CA994"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>56479.600000</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>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>COMM SWAP JMABFNJ2 JPM</indexName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>56479.600000</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>COMM SWAP PIMCODB CIB</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SU365"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>20203.050000</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>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Canadian Imperial Bank of Commerce</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>COMM SWAP PIMCODB CIB</indexName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-02-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>20203.050000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>COMM SWAP PIMCODB MAC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SU183"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>18106.760000</valUSD>
        <pctVal>0.0038712</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>MACQUARIE BANK LIMITED</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>COMM SWAP PIMCODB MAC</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-02-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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            <descRefInstrmnt>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP GB NI 3.4 01/15/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ4D312TX8Y1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-335084.650000</valUSD>
        <pctVal>-0.0716398</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.400000"/>
            <terminationDt>2030-01-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>-1594.600000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>3800000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-333490.050000</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>INF SWAP GB NI 3.4 06/15/15-15Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ9FFVXYSTR8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-85280.460000</valUSD>
        <pctVal>-0.0182326</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.400000"/>
            <terminationDt>2030-06-15</terminationDt>
            <upfrontPmnt>35397.160000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>2100000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-120677.620000</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>INF SWAP GB NI 3.475 08/15/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZXWWRFJDLT3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-21549.380000</valUSD>
        <pctVal>-0.0046072</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.475000"/>
            <terminationDt>2030-08-15</terminationDt>
            <upfrontPmnt>2080.920000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>200000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-23630.300000</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>INF SWAP GB NI 3.48 01/15/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ4D312TX8Y1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-7459.990000</valUSD>
        <pctVal>-0.0015949</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.480000"/>
            <terminationDt>2030-01-15</terminationDt>
            <upfrontPmnt>1069.670000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>100000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-8529.660000</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>INF SWAP GB NI 3.566 03/15/21-15Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0LK299"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-34688.170000</valUSD>
        <pctVal>-0.0074162</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.566000"/>
            <terminationDt>2036-03-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>300000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-34688.170000</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>INF SWAP GB NI 3.58 03/15/21-15Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0G7690"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-89306.080000</valUSD>
        <pctVal>-0.0190933</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.580000"/>
            <terminationDt>2036-03-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>-4995.490000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>800000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-84310.590000</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>INF SWAP GB NI 3.624 02/15/21-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0JI313"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-125971.670000</valUSD>
        <pctVal>-0.0269322</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.624000"/>
            <terminationDt>2031-02-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>1300000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-125971.670000</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>INF SWAP GB NI 3.6325 12/15/18-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ9122B02ZQ4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-3600.980000</valUSD>
        <pctVal>-0.0007699</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.632500"/>
            <terminationDt>2028-12-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>200000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-3600.980000</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>INF SWAP GB NI 3.75 04/15/21-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0K0L85"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-146786.000000</valUSD>
        <pctVal>-0.0313823</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.750000"/>
            <terminationDt>2031-04-15</terminationDt>
            <upfrontPmnt>789.980000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>1940000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-147575.980000</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>INF SWAP GB NI 4.066 09/15/21-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU088762"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>937.990000</valUSD>
        <pctVal>0.0002005</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <terminationDt>2031-09-15</terminationDt>
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            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
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            <curCd>GBP</curCd>
            <unrealizedAppr>937.990000</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>INF SWAP GB NI 4.18 09/15/21-1Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU09HT83"/>
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        <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">
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              <counterpartyName>London Clearing house</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK RPI All Items NSA</indexName>
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
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            <curCd>GBP</curCd>
            <unrealizedAppr>38597.840000</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>INF SWAP GB NI 4.22 08/15/21-1Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU02FG21"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK RPI All Items NSA</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            </floatingPmntDesc>
            <terminationDt>2022-08-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>1100000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>29399.950000</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>INF SWAP GB NI 4.48 09/15/21-2Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU078656"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>4659.160000</valUSD>
        <pctVal>0.0009961</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>UK RPI All Items NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="4.480000"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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            </floatingPmntDesc>
            <terminationDt>2023-09-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>500000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>4659.160000</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>INF SWAP US IT 1.28 11/02/20-1Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0DA993"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-83461.040000</valUSD>
        <pctVal>-0.0178436</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
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              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.280000"/>
            <terminationDt>2021-11-02</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-83461.040000</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>INF SWAP US IT 1.29 11/05/20-1Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SQ935"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-139032.180000</valUSD>
        <pctVal>-0.0297245</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
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            <terminationDt>2021-11-05</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-169.880000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-138862.300000</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>INF SWAP US IT 1.79375 08/24/20-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0DA357"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>61780.660000</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.793800"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
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            </floatingPmntDesc>
            <terminationDt>2027-08-24</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>61780.660000</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>INF SWAP US IT 1.7975 08/25/20-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0DA365"/>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>30766.690000</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.797500"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <terminationDt>2027-08-25</terminationDt>
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            <curCd>USD</curCd>
            <unrealizedAppr>30766.690000</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>INF SWAP US IT 1.89 08/27/20-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0DA449"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>28639.610000</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">
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              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP US IT 1.954 06/03/19-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0JB268"/>
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        <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>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <curCd>USD</curCd>
            <unrealizedAppr>-35403.730000</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>INF SWAP US IT 1.9975 07/25/19-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SG481"/>
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        <units>NC</units>
        <curCd>USD</curCd>
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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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              <counterpartyName>London Clearing house</counterpartyName>
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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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        <securityLending>
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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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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
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            <curCd>USD</curCd>
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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>
        <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>
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            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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                <narrativeDesc>N/A</narrativeDesc>
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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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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0Y2907"/>
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        <units>NC</units>
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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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <upfrontRcpt>0.000000</upfrontRcpt>
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            <curCd>USD</curCd>
            <unrealizedAppr>-126540.730000</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>
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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0A1962"/>
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        <valUSD>-39832.350000</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <curCd>USD</curCd>
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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>INF SWAP US IT 2.155 10/17/17-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0Y5728"/>
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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>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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            <swapFlag>Y</swapFlag>
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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>INF SWAP US IT 2.165 04/16/19-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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                <indexName>US CPI Urban Consumers NSA</indexName>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP US IT 2.2625 05/09/18-5Y LCH</title>
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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>
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              <counterpartyName>London Clearing house</counterpartyName>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP US IT 2.26325 04/27/18-5Y LCH</title>
        <cusip>000000000</cusip>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
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                <indexName>US CPI Urban Consumers NSA</indexName>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
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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>INF SWAP US IT 2.281 05/10/18-5Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0Z3003"/>
        </identifiers>
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        <valUSD>22979.990000</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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            <swapFlag>Y</swapFlag>
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            <pmntCurCd>USD</pmntCurCd>
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            <curCd>USD</curCd>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP US IT 2.31125 02/24/21-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0PS017"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>502474.400000</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.311200"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <terminationDt>2031-02-24</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>498711.950000</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>INF SWAP US IT 2.335 02/05/18-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0Y9274"/>
        </identifiers>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-79439.160000</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <pmntCurCd>USD</pmntCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-83800.300000</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>INF SWAP US IT 2.3525 05/09/18-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU080215"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-22724.250000</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <curCd>USD</curCd>
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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>INF SWAP US IT 2.36 05/09/18-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU02Y712"/>
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        <units>NC</units>
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        <valUSD>-33447.470000</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
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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>INF SWAP US IT 2.364 05/10/18-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0Z3011"/>
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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>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP US IT 2.37 06/06/18-10Y LCH</title>
        <cusip>000000000</cusip>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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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"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <indexBasketInfo>
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              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2022-07-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-178321.680000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>102652.480000</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>INF SWAP US IT 2.56 05/08/13-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0JI578"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-780656.310000</valUSD>
        <pctVal>-0.1669012</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.560000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            </floatingPmntDesc>
            <terminationDt>2023-05-08</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-2128095.870000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>13100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1347439.560000</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>INF SWAP US IT 2.573 08/26/21-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0EQ690"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>13587.080000</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.573000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2028-08-26</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>13587.080000</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>INF SWAP US IT 2.645 09/10/21-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0EQ781"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2002.710000</valUSD>
        <pctVal>0.0004282</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.645000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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            </floatingPmntDesc>
            <terminationDt>2028-09-10</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>2002.710000</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>INF SWAP US IT 2.703 05/25/21-5Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0ZN009"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3240.420000</valUSD>
        <pctVal>0.0006928</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.703000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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            </floatingPmntDesc>
            <terminationDt>2026-05-25</terminationDt>
            <upfrontPmnt>24.160000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>130000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3216.260000</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 -0.52600 11/21/22-1Y (RED) LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU016N32"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>-18075.480000</valUSD>
        <pctVal>-0.0038645</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 3 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU016N32-Euribor 3 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.526000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 3 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </floatingPmntDesc>
            <terminationDt>2023-11-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>10300000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-18075.480000</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>IRS JPY 0.30000 09/20/17-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ56MLJH1RC1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="111.295000"/>
        <valUSD>-27295.110000</valUSD>
        <pctVal>-0.0058356</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</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>JPY-LIBOR-BBA-Bloomberg 6M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="JPY-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.300000"/>
            <terminationDt>2027-09-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>-3535.090000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>195330000.000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-23760.020000</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>IRS NZD 3.25000 03/21/18-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ5MKD6GJ6B6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.448500"/>
        <valUSD>-53350.610000</valUSD>
        <pctVal>-0.0114061</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>NZ$ Bank Bill 3M FRA</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="NZD" fixedOrFloating="Floating" floatingRtIndex="NZ$ Bank Bill 3M FRA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="NZD" fixedOrFloating="Fixed" fixedRt="3.250000"/>
            <terminationDt>2028-03-21</terminationDt>
            <upfrontPmnt>3050.720000</upfrontPmnt>
            <pmntCurCd>NZD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>NZD</rcptCurCd>
            <notionalAmt>1000000.000000</notionalAmt>
            <curCd>NZD</curCd>
            <unrealizedAppr>-56401.330000</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>IRS USD 1.75000 12/21/16-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ1MLR9KQRN3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-22960.260000</valUSD>
        <pctVal>-0.0049088</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>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</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">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.750000"/>
            <terminationDt>2026-12-21</terminationDt>
            <upfrontPmnt>31227.760000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>600000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-54188.020000</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>BOUGHT CNH/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21ICKBB22WH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="6.483400"/>
        <valUSD>-26.580000</valUSD>
        <pctVal>-0.0000057</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>THE TORONTO-DOMINION BANK</counterpartyName>
              <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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            <amtCurSold>110122.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>713787.680000</amtCurPur>
            <curPur>CNY</curPur>
            <settlementDt>2021-12-15</settlementDt>
            <unrealizedAppr>-26.580000</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 EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DQKBB2P1T"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>665.950000</valUSD>
        <pctVal>0.0001424</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>THE TORONTO-DOMINION BANK</counterpartyName>
              <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
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        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="USZ1"/>
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        <balance>-271.000000</balance>
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        <valUSD>1052874.830000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Board of Trade</counterpartyName>
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            <payOffProf>Short</payOffProf>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="WNZ1"/>
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        <balance>-30.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DIR</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 Board of Trade</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>N/A</issuerName>
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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>KC HRW WHEAT FUT  DEC21 XCBT 20211214</title>
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          <ticker value="KWZ1"/>
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        <balance>-13.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-16666.600000</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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            <payOffProf>Short</payOffProf>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1TX3T1-Kansas Wheat"/>
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            <expDate>2021-12-14</expDate>
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            <unrealizedAppr>-16666.600000</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>KC HRW WHEAT FUT  MAR22 XCBT 20220314</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="KWH2"/>
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        <balance>10.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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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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            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1X1SW2-Kansas Wheat"/>
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            <expDate>2022-03-14</expDate>
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            <unrealizedAppr>7768.280000</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>WHEAT FUTURE(CBT) DEC21 XCBT 20211214</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="W Z1"/>
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        <balance>-13.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>407.830000</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>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago 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="ADI1QZ3L6-Wheat"/>
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            <expDate>2021-12-14</expDate>
            <notionalAmt>-471575.000000</notionalAmt>
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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>WHEAT FUTURE(CBT) MAR22 XCBT 20220314</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="W H2"/>
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        <balance>-8.000000</balance>
        <units>NC</units>
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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 Board of Trade</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="ADI1N1BW1-Wheat"/>
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            <expDate>2022-03-14</expDate>
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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>WHITE SUGAR (ICE) MAR22 IFEU 20220211</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00J8PB0K50"/>
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        <balance>6.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3006.320000</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>Intercontinental 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="ADI1XW723-Refined Sugar"/>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BANK OF AMERICA MTG SEC 2005-3</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1</title>
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        <balance>19189.240000</balance>
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        <curCd>USD</curCd>
        <valUSD>18258.930000</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>2035-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.48724</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>
        <name>BANK OF AMERICA MTGE SECS-2005-J</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A4</title>
        <cusip>05949CKT2</cusip>
        <identifiers>
          <isin value="US05949CKT26"/>
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        <balance>8450.170000</balance>
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        <curCd>USD</curCd>
        <valUSD>8205.940000</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>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.57004</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <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>
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        <balance>21870.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21513.100000</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>Floating</couponKind>
          <annualizedRt>2.96959</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>
        <name>BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 11A1</title>
        <cusip>07384M3X8</cusip>
        <identifiers>
          <isin value="US07384M3X88"/>
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        <balance>66039.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69985.880000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.69147</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>BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1</title>
        <cusip>07387AAB1</cusip>
        <identifiers>
          <isin value="US07387AAB17"/>
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        <balance>34191.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34453.920000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.84637</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>BGCLO 19A</name>
        <lei>N/A</lei>
        <title>BIRCH GROVE CLO LTD. BGCLO 19A AR 144A</title>
        <cusip>09075JAL3</cusip>
        <identifiers>
          <isin value="US09075JAL35"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>300374.510000</valUSD>
        <pctVal>0.0642189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.246</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>BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A</name>
        <lei>N/A</lei>
        <title>BLACK DIAMOND CLO LTD BLACK 2015 1A A1R 144A</title>
        <cusip>ACI0ZL547</cusip>
        <identifiers>
          <isin value="XS1739835145"/>
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        <balance>145349.390000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>168424.380000</valUSD>
        <pctVal>0.0360085</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.65</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>BLACKROCK EUROPEAN CLO VII DAC 7A</name>
        <lei>N/A</lei>
        <title>BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A</title>
        <cusip>ACI1W2WD0</cusip>
        <identifiers>
          <isin value="XS2304369759"/>
        </identifiers>
        <balance>500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>577676.050000</valUSD>
        <pctVal>0.1235049</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.62</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>BROOKSIDE MILL CLO LTD 2013-1A</name>
        <lei>N/A</lei>
        <title>BROOKSIDE MILL CLO LTD BSMC 2013 1A AR 144A</title>
        <cusip>114521AL1</cusip>
        <identifiers>
          <isin value="US114521AL12"/>
        </identifiers>
        <balance>888415.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>888637.340000</valUSD>
        <pctVal>0.1899871</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.95388</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>CANADA GOVT</name>
        <lei>4BFD7AQU0A75QLAHK410</lei>
        <title>CANADIAN GOVERNMENT RRB BONDS 12/26 4.25</title>
        <cusip>135087VS0</cusip>
        <identifiers>
          <isin value="CA135087VS05"/>
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        <balance>971946.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CAD" exchangeRt="1.266600"/>
        <valUSD>978462.630000</valUSD>
        <pctVal>0.2091914</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-01</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>CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A</name>
        <lei>N/A</lei>
        <title>CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A</title>
        <cusip>ACI1YDTG1</cusip>
        <identifiers>
          <isin value="XS2350015942"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>811731.990000</valUSD>
        <pctVal>0.1735451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7</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>CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A</name>
        <lei>N/A</lei>
        <title>CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A</title>
        <cusip>ACI1XGH29</cusip>
        <identifiers>
          <isin value="XS2339017928"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>464265.940000</valUSD>
        <pctVal>0.0992582</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.75</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>CARLYLE US CLO LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A</title>
        <cusip>14314BAL1</cusip>
        <identifiers>
          <isin value="US14314BAL18"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>700055.980000</valUSD>
        <pctVal>0.1496692</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.13425</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>CATAMARAN CLO LTD 2013-1A</name>
        <lei>N/A</lei>
        <title>CATAMARAN CLO LTD CRMN 2013 1A AR 144A</title>
        <cusip>14889EAL0</cusip>
        <identifiers>
          <isin value="US14889EAL02"/>
        </identifiers>
        <balance>211376.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>211517.880000</valUSD>
        <pctVal>0.0452217</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.97888</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>CATHEDRAL LAKE CLO LTD 2015-2A</name>
        <lei>N/A</lei>
        <title>CATHEDRAL LAKE LTD CATLK 2015 2A A1RR 144A</title>
        <cusip>14918MAW3</cusip>
        <identifiers>
          <isin value="US14918MAW38"/>
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        <balance>282212.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>282310.070000</valUSD>
        <pctVal>0.0603568</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.97613</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>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>294212.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>296987.470000</valUSD>
        <pctVal>0.0634947</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>1.436</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>CIT MTGE LOAN TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A</title>
        <cusip>12559QAF9</cusip>
        <identifiers>
          <isin value="US12559QAF90"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>612787.260000</valUSD>
        <pctVal>0.1310115</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>1.586</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>CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M3</title>
        <cusip>17309QAG9</cusip>
        <identifiers>
          <isin value="US17309QAG91"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>393402.480000</valUSD>
        <pctVal>0.0841079</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.581</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>CITIGROUP MORTGAGE LOAN TRUST 2019-B</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2019 B A1 144A</title>
        <cusip>17327VAA9</cusip>
        <identifiers>
          <isin value="US17327VAA98"/>
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        <balance>76598.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>77255.690000</valUSD>
        <pctVal>0.0165170</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.258</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>CITIGROUP MTGE LOAN TR INC 2006-HE3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2D</title>
        <cusip>17310VAD2</cusip>
        <identifiers>
          <isin value="US17310VAD29"/>
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        <balance>40974.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34107.880000</valUSD>
        <pctVal>0.0072921</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.546</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>CITIGROUP MTGE LOAN TR INC 2007-10</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA</title>
        <cusip>17313QAL2</cusip>
        <identifiers>
          <isin value="US17313QAL23"/>
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        <balance>141163.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>140948.980000</valUSD>
        <pctVal>0.0301343</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.12406</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>CITY OF BUENOS AIRES</name>
        <lei>5299007MC8RF52X0ON96</lei>
        <title>CITY OF BUENOS AIRES SR UNSECURED 01/22 VAR</title>
        <cusip>ACI0SB547</cusip>
        <identifiers>
          <isin value="ARCBAS3201C0"/>
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        <balance>1850000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="178.050000"/>
        <valUSD>11183.540000</valUSD>
        <pctVal>0.0023910</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>39.1188</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>COUNTRYWIDE ALT LOAN TRUST 2006-OA17</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A</title>
        <cusip>12668PAA0</cusip>
        <identifiers>
          <isin value="US12668PAA03"/>
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        <balance>714287.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>635165.080000</valUSD>
        <pctVal>0.1357958</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.28238</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 29CB A4</title>
        <cusip>12667GUG6</cusip>
        <identifiers>
          <isin value="US12667GUG62"/>
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        <balance>51311.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39349.830000</valUSD>
        <pctVal>0.0084128</pctVal>
        <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>Fixed</couponKind>
          <annualizedRt>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>COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1</title>
        <cusip>021466AA5</cusip>
        <identifiers>
          <isin value="US021466AA50"/>
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        <balance>437538.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>434525.120000</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>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.326</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>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A2</title>
        <cusip>23245LAB6</cusip>
        <identifiers>
          <isin value="US23245LAB62"/>
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        <balance>135555.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>85523.410000</valUSD>
        <pctVal>0.0182846</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2005-5</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 5 M4</title>
        <cusip>126673V33</cusip>
        <identifiers>
          <isin value="US126673V337"/>
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        <balance>22661.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22558.350000</valUSD>
        <pctVal>0.0048229</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.286</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>COUNTRYWIDE ASSET-BACKED CERT 2007-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1</title>
        <cusip>126697AA9</cusip>
        <identifiers>
          <isin value="US126697AA90"/>
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        <balance>140892.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>139428.760000</valUSD>
        <pctVal>0.0298093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.826</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>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>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>194050.620000</valUSD>
        <pctVal>0.0414873</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>0.336</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>COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1</title>
        <cusip>12669WAA4</cusip>
        <identifiers>
          <isin value="US12669WAA45"/>
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        <balance>613589.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>595241.880000</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>2037-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.276</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>COUNTRYWIDE HOME LOANS 2004-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 12 11A1</title>
        <cusip>12669FN58</cusip>
        <identifiers>
          <isin value="US12669FN588"/>
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        <balance>2509.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2566.990000</valUSD>
        <pctVal>0.0005488</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.88695</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>COUNTRYWIDE HOME LOANS 2005-HYB6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 2A1</title>
        <cusip>126694BH0</cusip>
        <identifiers>
          <isin value="US126694BH04"/>
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        <balance>1130116.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1167740.890000</valUSD>
        <pctVal>0.2496584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.72392</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>CREDIT BASED ASSET SRVC &amp; SEC 2007-CB6</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A</title>
        <cusip>1248RHAA5</cusip>
        <identifiers>
          <isin value="US1248RHAA57"/>
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        <balance>10052.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8092.990000</valUSD>
        <pctVal>0.0017302</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>0.21163</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>CREDIT BASED ASSET SRVC &amp; SEC 2007-CB6</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A</title>
        <cusip>1248RHAC1</cusip>
        <identifiers>
          <isin value="US1248RHAC14"/>
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        <balance>43128.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35193.310000</valUSD>
        <pctVal>0.0075242</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>0.31163</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) LTD</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>1100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1136178.180000</valUSD>
        <pctVal>0.2429104</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>CREDIT SUISSE MORTGAGE CAP CERT 2007-4R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4R 1A1 144A</title>
        <cusip>12639QAA4</cusip>
        <identifiers>
          <isin value="US12639QAA40"/>
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        <balance>35416.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34886.960000</valUSD>
        <pctVal>0.0074587</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.11312</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 MORTGAGE CAPITAL CERTIFICATES 2015-3R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2015 3R 5A2 144A</title>
        <cusip>12649WAW1</cusip>
        <identifiers>
          <isin value="US12649WAW10"/>
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        <balance>400490.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>393628.730000</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>2036-09-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.236</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>CVC CORDATUS LOAN FUND VII DAC 7A</name>
        <lei>N/A</lei>
        <title>CORDATUS CLO PLC CORDA 7A ARR 144A</title>
        <cusip>ACI1W2TC6</cusip>
        <identifiers>
          <isin value="XS2305369709"/>
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        <balance>400000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>463735.500000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.63</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>CVC CORDATUS LOAN FUND XI DAC 21-1</name>
        <lei>N/A</lei>
        <title>CORDATUS CLO PLC CORDA 11A AR 144A</title>
        <cusip>ACI1W60L8</cusip>
        <identifiers>
          <isin value="XS2310127027"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>926726.260000</valUSD>
        <pctVal>0.1981304</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.65</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>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>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1601731.600000</valUSD>
        <pctVal>0.3424439</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>DRYDEN 52 EURO CLO 2017 17-52A</name>
        <lei>N/A</lei>
        <title>DRYDEN EURO CLO DRYD 2017 52A AR 144A</title>
        <cusip>ACI1YL2T4</cusip>
        <identifiers>
          <isin value="XS2353412633"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>462075.610000</valUSD>
        <pctVal>0.0987899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.86</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>ELLINGTON LOAN ACQUISITION TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A</title>
        <cusip>288542AA1</cusip>
        <identifiers>
          <isin value="US288542AA12"/>
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        <balance>24935.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25017.750000</valUSD>
        <pctVal>0.0053487</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.186</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>ERAC USA FINANCE LLC</name>
        <lei>LTKX5ODQW6Z7BQ2K1V47</lei>
        <title>ERAC USA FINANCE LLC COMPANY GUAR 144A 12/21 2.6</title>
        <cusip>26884TAQ5</cusip>
        <identifiers>
          <isin value="US26884TAQ58"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200357.170000</valUSD>
        <pctVal>0.0428356</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EUROSAIL PLC 2007-3X</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 3X A3A REGS</title>
        <cusip>ACI01JMT5</cusip>
        <identifiers>
          <isin value="XS0308666493"/>
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        <balance>210000.240000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>282705.540000</valUSD>
        <pctVal>0.0604413</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.01713</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>FANNIE MAE 2006-5</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 5 3A2</title>
        <cusip>31394VL73</cusip>
        <identifiers>
          <isin value="US31394VL730"/>
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        <balance>10935.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11164.300000</valUSD>
        <pctVal>0.0023869</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.94646</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>FANNIEMAE WHOLE LOAN 2003-W-8</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2</title>
        <cusip>31393CX40</cusip>
        <identifiers>
          <isin value="US31393CX406"/>
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        <balance>2417.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2436.510000</valUSD>
        <pctVal>0.0005209</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.436</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1A1082 FH 07/36 FLOATING VAR</title>
        <cusip>3128NFFX0</cusip>
        <identifiers>
          <isin value="US3128NFFX03"/>
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        <balance>64290.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67329.340000</valUSD>
        <pctVal>0.0143947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.975</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1J1334 FH 09/36 FLOATING VAR</title>
        <cusip>3128NHPT4</cusip>
        <identifiers>
          <isin value="US3128NHPT47"/>
        </identifiers>
        <balance>34594.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36449.300000</valUSD>
        <pctVal>0.0077927</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.792</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 847614 FH 10/36 FLOATING VAR</title>
        <cusip>3128JRN77</cusip>
        <identifiers>
          <isin value="US3128JRN777"/>
        </identifiers>
        <balance>36092.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36207.030000</valUSD>
        <pctVal>0.0077409</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.994</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR</title>
        <cusip>31336CLR2</cusip>
        <identifiers>
          <isin value="US31336CLR24"/>
        </identifiers>
        <balance>1370.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1461.340000</valUSD>
        <pctVal>0.0003124</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.35</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>FHLMC STRUCTURED PASS THROUGH SEC T-63</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1</title>
        <cusip>31395M2F5</cusip>
        <identifiers>
          <isin value="US31395M2F53"/>
        </identifiers>
        <balance>29519.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29739.540000</valUSD>
        <pctVal>0.0063582</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.3175</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>FHLMC STRUCTURED PASS THRU SEC T-32</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1</title>
        <cusip>3133TSQG1</cusip>
        <identifiers>
          <isin value="US3133TSQG11"/>
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        <balance>602.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>589.000000</valUSD>
        <pctVal>0.0001259</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.346</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>FIRST HORIZON ALT MTG SEC 2006-FA8</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A7</title>
        <cusip>32052DAG6</cusip>
        <identifiers>
          <isin value="US32052DAG60"/>
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        <balance>41225.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25033.840000</valUSD>
        <pctVal>0.0053521</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</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>FIRST HORIZON ALT MTGE SEC 2004-AA1</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1</title>
        <cusip>32051D3G5</cusip>
        <identifiers>
          <isin value="US32051D3G58"/>
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        <balance>5141.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5296.790000</valUSD>
        <pctVal>0.0011324</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>Fixed</couponKind>
          <annualizedRt>2.15588</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 806506 FN 10/44 FLOATING VAR</title>
        <cusip>31406DAF3</cusip>
        <identifiers>
          <isin value="US31406DAF33"/>
        </identifiers>
        <balance>2178.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2228.230000</valUSD>
        <pctVal>0.0004764</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.293</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 826128 FN 07/35 FLOATING VAR</title>
        <cusip>31407BYZ6</cusip>
        <identifiers>
          <isin value="US31407BYZ65"/>
        </identifiers>
        <balance>8213.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8231.600000</valUSD>
        <pctVal>0.0017599</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.979</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 841068 FN 11/34 FLOATING VAR</title>
        <cusip>31407UMR5</cusip>
        <identifiers>
          <isin value="US31407UMR58"/>
        </identifiers>
        <balance>8391.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8945.760000</valUSD>
        <pctVal>0.0019126</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.422</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 846937 FN 01/36 FLOATING VAR</title>
        <cusip>31408B4W5</cusip>
        <identifiers>
          <isin value="US31408B4W54"/>
        </identifiers>
        <balance>14487.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14605.130000</valUSD>
        <pctVal>0.0031225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.788</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FREDDIE MAC REMICS 4779</name>
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        <name>FREDDIE MAC STRIPS 278</name>
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        <name>FREMONT HOME LOAN TRUST 2006-C</name>
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        <name>GALAXY XV CLO LTD 2013-15A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10</name>
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        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15</name>
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        <name>GREENPOINT MTGE FUUNDING TRUST 2006-AR4</name>
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        <name>GSAA HOME EQUITY TRUST 2006-7</name>
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        <name>GSAMP TRUST 2005-HE2</name>
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          <couponKind>Floating</couponKind>
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        <name>GSAMP TRUST 2007-FM1</name>
        <lei>N/A</lei>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR1</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1</title>
        <cusip>36242DUL5</cusip>
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          <isin value="US36242DUL53"/>
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        <curCd>USD</curCd>
        <valUSD>8216.740000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.65353</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <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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          <isin value="US40538HAN98"/>
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        <curCd>USD</curCd>
        <valUSD>9911.200000</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>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.05425</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-1</name>
        <lei>N/A</lei>
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          <isin value="US41161PA868"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-19</maturityDt>
          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>HARVEST CLO XI DAC 11A</name>
        <lei>N/A</lei>
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        <cusip>ACI1XMR09</cusip>
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          <isin value="XS2339929338"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>HARVEST CLO XX DAC 20A</name>
        <lei>N/A</lei>
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        <cusip>ACI1WC7B0</cusip>
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          <isin value="XS2310758011"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>HAWKSMOOR MORTGAGES 19-1A</name>
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        <cusip>ACI1DHFV7</cusip>
        <identifiers>
          <isin value="XS2033256145"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>HOME EQUITY PASS-THRU CERTS 2005-8</name>
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        <identifiers>
          <isin value="US437084QA78"/>
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        <balance>400000.000000</balance>
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        <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>
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          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOMEBANC MORTGAGE TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>HOMEBANC MORTGAGE TRUST HMBT 2005 4 A2</title>
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        <identifiers>
          <isin value="US43739EBT38"/>
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        <balance>12046.810000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>INDYMAC INDA MORTGAGE LOAN TR 2005-AR1</name>
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        <identifiers>
          <isin value="US45660LZK87"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>INDYMAC INDB MORTGAGE LOAN TR 2006-1</name>
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          <isin value="US45661JAA16"/>
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        <name>ING BANK NV/AMSTERDAM BRANCH</name>
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        <name>ITALY GOVT</name>
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        <name>ITALY GOVT</name>
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        <name>JAPAN GOVT</name>
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        <name>JAPAN GOVT</name>
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        <name>JAPAN GOVT</name>
        <lei>353800WZS8AXZXFUC241</lei>
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          <isin value="JP1120261M59"/>
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        <balance>211671600.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="111.295000"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2031-03-10</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2007-A1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1</title>
        <cusip>46630GAA3</cusip>
        <identifiers>
          <isin value="US46630GAA31"/>
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        <balance>11491.630000</balance>
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        <curCd>USD</curCd>
        <valUSD>11872.700000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST-2005-A1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1</title>
        <cusip>466247LZ4</cusip>
        <identifiers>
          <isin value="US466247LZ44"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19964.220000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.28532</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST-2005-A6</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1</title>
        <cusip>466247TQ6</cusip>
        <identifiers>
          <isin value="US466247TQ62"/>
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        <balance>18188.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18502.060000</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>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.56609</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MTGE ACQUIS CORP 2006-CH2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5</title>
        <cusip>46629QAW6</cusip>
        <identifiers>
          <isin value="US46629QAW69"/>
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        <balance>50244.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49997.290000</valUSD>
        <pctVal>0.0106892</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.296</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JUBILEE CLO 2014-XII BV 14-12A</name>
        <lei>N/A</lei>
        <title>JUBILEE CDO BV JUBIL 2014 12A ARRR 144A</title>
        <cusip>ACI1W2W65</cusip>
        <identifiers>
          <isin value="XS2307737937"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
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        <pctVal>0.0741308</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JUBILEE CLO 2015-XVI BV 15-16A</name>
        <lei>N/A</lei>
        <title>JUBILEE CDO BV JUBIL 2015 16A A1R 144A</title>
        <cusip>ACI0YWRZ1</cusip>
        <identifiers>
          <isin value="XS1577947283"/>
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        <balance>1909164.490000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>2204897.910000</valUSD>
        <pctVal>0.4713985</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.256</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>KEURIG DR PEPPER INC</name>
        <lei>DYTQ8KRTKO7Y2BVU5K74</lei>
        <title>KEURIG DR PEPPER INC COMPANY GUAR 05/23 4.057</title>
        <cusip>49271VAG5</cusip>
        <identifiers>
          <isin value="US49271VAG59"/>
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        <balance>50000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52855.170000</valUSD>
        <pctVal>0.0113002</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.057</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>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>95727.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108133.770000</valUSD>
        <pctVal>0.0231186</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>0.406</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>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>153288.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>165068.100000</valUSD>
        <pctVal>0.0352909</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST SERIES 2007-20N</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2007 20N A1</title>
        <cusip>52525AAA2</cusip>
        <identifiers>
          <isin value="US52525AAA25"/>
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        <balance>531214.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>562157.880000</valUSD>
        <pctVal>0.1201871</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.236</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>LOANCORE ISSUER LTD 2019-CRE2</name>
        <lei>N/A</lei>
        <title>LOANCORE 2019 CRE2 ISSUER, LTD LNCR 2019 CRE2 A 144A</title>
        <cusip>53946JAA2</cusip>
        <identifiers>
          <isin value="US53946JAA25"/>
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        <balance>188622.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>188745.390000</valUSD>
        <pctVal>0.0403530</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.21375</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>LONG BEACH MORTGAGE LOAN TR 2006-7</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A2</title>
        <cusip>54251TAC3</cusip>
        <identifiers>
          <isin value="US54251TAC36"/>
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        <balance>539061.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>290307.010000</valUSD>
        <pctVal>0.0620665</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.206</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>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>231266.210000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>267446.680000</valUSD>
        <pctVal>0.0571790</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARATHON CLO V LTD 2013-5A</name>
        <lei>N/A</lei>
        <title>MARATHON CLO LTD MCLO 2013 5A A1R 144A</title>
        <cusip>56576QAN8</cusip>
        <identifiers>
          <isin value="US56576QAN88"/>
        </identifiers>
        <balance>548417.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>548732.180000</valUSD>
        <pctVal>0.1173168</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.00075</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>MARLETTE FUNDING TRUST 2019-3</name>
        <lei>N/A</lei>
        <title>MARLETTE FUNDING TRUST MFT 2019 3A A 144A</title>
        <cusip>57109MAA9</cusip>
        <identifiers>
          <isin value="US57109MAA99"/>
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        <balance>1058.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1061.060000</valUSD>
        <pctVal>0.0002269</pctVal>
        <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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ADJUSTABLE RATE MTGES TRU 2004-13</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7</title>
        <cusip>576433UM6</cusip>
        <identifiers>
          <isin value="US576433UM63"/>
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        <balance>8731.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8887.850000</valUSD>
        <pctVal>0.0019002</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.73106</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>MASTR ASSET BACKED SECUR TR 2006-WMC4</name>
        <lei>N/A</lei>
        <title>MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A5</title>
        <cusip>57645MAE2</cusip>
        <identifiers>
          <isin value="US57645MAE21"/>
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        <balance>179741.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81046.490000</valUSD>
        <pctVal>0.0173274</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.236</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>522 FUNDING CLO I LTD 2018-3A</name>
        <lei>N/A</lei>
        <title>522 FUNDING CLO LTD MORGN 2018 3A AR 144A</title>
        <cusip>33835NAA9</cusip>
        <identifiers>
          <isin value="US33835NAA90"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>400016.940000</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>2031-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.17425</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>MELLON RESIDENTIAL FUND CORP 2002-TBC1</name>
        <lei>N/A</lei>
        <title>MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A</title>
        <cusip>585525FN3</cusip>
        <identifiers>
          <isin value="US585525FN38"/>
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        <balance>63202.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64077.140000</valUSD>
        <pctVal>0.0136994</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.82375</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>MEXICO GOVT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>MEX BONOS DESARR FIX RT BONDS 05/31 7.75</title>
        <cusip>975UCXII2</cusip>
        <identifiers>
          <isin value="MX0MGO0000P2"/>
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        <balance>7972000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="MXN" exchangeRt="20.641500"/>
        <valUSD>396593.630000</valUSD>
        <pctVal>0.0847901</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-05-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.75</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>MIDOCEAN CREDIT CLO II 2013-2A</name>
        <lei>N/A</lei>
        <title>MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A</title>
        <cusip>59863KAS6</cusip>
        <identifiers>
          <isin value="US59863KAS69"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>299862.240000</valUSD>
        <pctVal>0.0641094</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.20713</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>MORGAN STANLEY MORTGAGE TRUST-2006-15XS</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 15XS A6A</title>
        <cusip>61750YAJ8</cusip>
        <identifiers>
          <isin value="US61750YAJ82"/>
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        <balance>715890.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>253442.610000</valUSD>
        <pctVal>0.0541850</pctVal>
        <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>Variable</couponKind>
          <annualizedRt>5.90951</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>MORGAN STANLEY MTGE LN TR 2007-10XS</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1</title>
        <cusip>61751MAA2</cusip>
        <identifiers>
          <isin value="US61751MAA27"/>
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        <balance>57239.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44226.340000</valUSD>
        <pctVal>0.0094554</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</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>MOUNTAIN VIEW CLO LLC 2017-1A</name>
        <lei>N/A</lei>
        <title>MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A</title>
        <cusip>62432HAJ9</cusip>
        <identifiers>
          <isin value="US62432HAJ95"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>800200.000000</valUSD>
        <pctVal>0.1710796</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.21638</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>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC SR UNSECURED 06/24 VAR</title>
        <cusip>780097BH3</cusip>
        <identifiers>
          <isin value="US780097BH35"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>408450.730000</valUSD>
        <pctVal>0.0873252</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>1.68225</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>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC SR UNSECURED 06/24 VAR</title>
        <cusip>780097BJ9</cusip>
        <identifiers>
          <isin value="US780097BJ90"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>319401.870000</valUSD>
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        <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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEW CENTURY HOME EQUITY LOAN TR 2004-4</name>
        <lei>N/A</lei>
        <title>NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1</title>
        <cusip>64352VJJ1</cusip>
        <identifiers>
          <isin value="US64352VJJ17"/>
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        <balance>93471.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92921.650000</valUSD>
        <pctVal>0.0198663</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.851</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>NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3</name>
        <lei>N/A</lei>
        <title>NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A</title>
        <cusip>64830NAA9</cusip>
        <identifiers>
          <isin value="US64830NAA90"/>
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        <balance>924278.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>956267.720000</valUSD>
        <pctVal>0.2044463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-07-25</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>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW ZEALAND GOVT</name>
        <lei>549300237GPHG2AI7C34</lei>
        <title>NEW ZEALAND GVT ILB BONDS REGS 09/25 2</title>
        <cusip>ACI02MK69</cusip>
        <identifiers>
          <isin value="NZIIBDT002C2"/>
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        <balance>2859444.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="NZD" exchangeRt="1.448500"/>
        <valUSD>2149992.360000</valUSD>
        <pctVal>0.4596599</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</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>OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A</name>
        <lei>N/A</lei>
        <title>OAK HILL EUROPEAN CREDIT PARTN OHECP 2018 7A AR 144A</title>
        <cusip>ACI1WXMN1</cusip>
        <identifiers>
          <isin value="XS2330054953"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>346570.260000</valUSD>
        <pctVal>0.0740954</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.74</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>OCP CLO 2015-9</name>
        <lei>N/A</lei>
        <title>OCP CLO LTD OCP 2015 9A A1R 144A</title>
        <cusip>67091YAJ3</cusip>
        <identifiers>
          <isin value="US67091YAJ38"/>
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        <balance>27241.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27251.610000</valUSD>
        <pctVal>0.0058263</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>0.92613</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>OCP CLO LTD 2015-10A</name>
        <lei>N/A</lei>
        <title>OCP CLO LTD OCP 2015 10A A1R 144A</title>
        <cusip>67092DAL3</cusip>
        <identifiers>
          <isin value="US67092DAL38"/>
        </identifiers>
        <balance>261791.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>261957.860000</valUSD>
        <pctVal>0.0560056</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.94525</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>PALMER SQUARE EUROPEAN LOAN FUNDING 2020-2 DAC 20-2A</name>
        <lei>N/A</lei>
        <title>PALMER SQUARE EUROPEAN LOAN FU PSTET 2020 2A A 144A</title>
        <cusip>ACI1SDQ48</cusip>
        <identifiers>
          <isin value="XS2249895124"/>
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        <balance>511785.360000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.863300"/>
        <valUSD>593619.650000</valUSD>
        <pctVal>0.1269135</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.87</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
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      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE BV</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE BV</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>PROVINCE OF BUENOS AIRES ARGENTINA</name>
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      <invstOrSec>
        <name>PROVINCE OF BUENOS AIRES ARGENTINA</name>
        <lei>549300L6AYROPOTQ4L07</lei>
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          <isin value="ARPBUE3205N8"/>
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        <name>QATAR GOVT</name>
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          <isin value="XS1806502453"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>RENAISSANCE HOME EQUITY LOAN TR 2007-3</name>
        <lei>N/A</lei>
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        <cusip>75971FAD5</cusip>
        <identifiers>
          <isin value="US75971FAD50"/>
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        <balance>974671.160000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.186</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2007-QH8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A</title>
        <cusip>74924EAA5</cusip>
        <identifiers>
          <isin value="US74924EAA55"/>
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        <balance>27670.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27177.510000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
          <annualizedRt>1.0145</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS INC 2005-QO2</name>
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        <cusip>761118HU5</cusip>
        <identifiers>
          <isin value="US761118HU52"/>
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        <balance>68134.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67282.650000</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>2045-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.44738</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC CORP 2006-EMX4</name>
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        <title>RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX4 A4</title>
        <cusip>75406DAD5</cusip>
        <identifiers>
          <isin value="US75406DAD57"/>
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        <balance>241316.790000</balance>
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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>
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          <couponKind>Floating</couponKind>
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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>60312.110000</balance>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SECURITIES 2006-KS3</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2006 KS3 M1</title>
        <cusip>76113ABL4</cusip>
        <identifiers>
          <isin value="US76113ABL44"/>
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        <balance>150095.110000</balance>
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        <curCd>USD</curCd>
        <valUSD>150245.210000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>ALLIANCE BANCORP TRUST 2007-OA1</name>
        <lei>N/A</lei>
        <title>ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1</title>
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          <isin value="US01852TAA16"/>
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        <balance>152187.800000</balance>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>SAUDI ARABIA GOVT</name>
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        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/25 4</title>
        <cusip>M6320UAH2</cusip>
        <identifiers>
          <isin value="XS1791937441"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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        <name>SAXON ASSET SECURITIES TRUST 2007-3</name>
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          <isin value="US80557BAA26"/>
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        <curCd>USD</curCd>
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        <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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        <securityLending>
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      <invstOrSec>
        <name>SEC ASSET BACKED REC LLC 2006-FR3</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3</title>
        <cusip>813765AC8</cusip>
        <identifiers>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>SECURITIZED ASSET BACKED REC 2006-HE1</name>
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        <title>SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C</title>
        <cusip>81376YAD3</cusip>
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          <isin value="US81376YAD31"/>
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        <balance>146352.920000</balance>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2</name>
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          <isin value="US81377AAD46"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2007-3</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1</title>
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          <isin value="US81744MAA09"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SLM STUDENT LOAN TRUST 2004-3A</name>
        <lei>N/A</lei>
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          <isin value="US78442GLL85"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>SLM STUDENT LOAN TRUST 2008-9</name>
        <lei>N/A</lei>
        <title>SLM STUDENT LOAN TRUST SLMA 2008 9 A</title>
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          <isin value="US78445JAA51"/>
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        <balance>617835.660000</balance>
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        <curCd>USD</curCd>
        <valUSD>623134.470000</valUSD>
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        <assetCat>ABS-O</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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      </invstOrSec>
      <invstOrSec>
        <name>SMALL BUSINESS ADMIN PART CERTS 2007-20K</name>
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          <isin value="US83162CRK17"/>
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        <curCd>USD</curCd>
        <valUSD>79356.220000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XIV LTD 2016-3A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2016 3A AR2 144A</title>
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          <isin value="US83609NAN03"/>
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        <balance>825995.730000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XV LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A</title>
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          <isin value="US83609RAL50"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XVI LTD 2017-2A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2017 2A AR 144A</title>
        <cusip>83610KAJ2</cusip>
        <identifiers>
          <isin value="US83610KAJ25"/>
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        <balance>300000.000000</balance>
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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>2030-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.10525</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1</title>
        <cusip>83612TAA0</cusip>
        <identifiers>
          <isin value="US83612TAA07"/>
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        <balance>676720.750000</balance>
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        <curCd>USD</curCd>
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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>Floating</couponKind>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STEELE CREEK CLO LTD 2015-1A</name>
        <lei>N/A</lei>
        <title>STEELE CREEK CLO LTD STCR 2015 1A AR2 144A</title>
        <cusip>85816BDC1</cusip>
        <identifiers>
          <isin value="US85816BDC19"/>
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        <balance>278842.780000</balance>
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        <curCd>USD</curCd>
        <valUSD>278928.890000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJ RATE MTG LN 2004-19</name>
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        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1</title>
        <cusip>863579JG4</cusip>
        <identifiers>
          <isin value="US863579JG47"/>
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        <balance>6814.860000</balance>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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        <name>STRUCTURED ADJUSTABLE RATE MTG LN 2004-1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2</title>
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        <identifiers>
          <isin value="US86359BGG05"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>STRUCTURED ASSET MTG INV INC 2004-AR5</name>
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        <identifiers>
          <isin value="US86359LDX47"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2006-AR3</name>
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        <identifiers>
          <isin value="US86360KAA60"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>STRUCTURED ASSET SEC CORP 2005-7XS</name>
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        <title>STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>SYMPHONY CLO XIV LTD 2014-14A</name>
        <lei>N/A</lei>
        <title>SYMPHONY CLO LTD SYMP 2014 14A AR 144A</title>
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          <isin value="US87159QBV95"/>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.08288</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <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>
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          <isin value="XS1968576568"/>
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        <balance>845659.960000</balance>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
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        <debtSec>
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        <name>UNITED KINGDOM GOVT</name>
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      <invstOrSec>
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        <name>AMMC CLO 16 LTD 2015-16A</name>
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      <invstOrSec>
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        <name>AMMC CLO XII LTD 2013-12A</name>
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        <name>VOLKSWAGEN GROUP OF AMERICA FINANCE LLC</name>
        <lei>5493002SQ1AVQBY41K40</lei>
        <title>VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/21 4</title>
        <cusip>928668AP7</cusip>
        <identifiers>
          <isin value="US928668AP71"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200789.590000</valUSD>
        <pctVal>0.0429280</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-12</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>APIDOS CLO 2017-27A</name>
        <lei>N/A</lei>
        <title>APIDOS CLO APID 2017 27A A1R 144A</title>
        <cusip>03767JAF2</cusip>
        <identifiers>
          <isin value="US03767JAF21"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>600045.110000</valUSD>
        <pctVal>0.1282873</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.06388</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-AR10</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 3A1</title>
        <cusip>92922FW87</cusip>
        <identifiers>
          <isin value="US92922FW874"/>
        </identifiers>
        <balance>2475.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2460.410000</valUSD>
        <pctVal>0.0005260</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.0209</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>APIDOS CLO XXVI LLC 2017-26A</name>
        <lei>N/A</lei>
        <title>APIDOS CLO APID 2017 26A A1AR 144A</title>
        <cusip>03766GAL6</cusip>
        <identifiers>
          <isin value="US03766GAL68"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>600150.000000</valUSD>
        <pctVal>0.1283097</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.08975</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-AR14</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1</title>
        <cusip>92922F4F2</cusip>
        <identifiers>
          <isin value="US92922F4F29"/>
        </identifiers>
        <balance>64798.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67079.850000</valUSD>
        <pctVal>0.0143414</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.06517</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 2007-OA4</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A</title>
        <cusip>93364CAA6</cusip>
        <identifiers>
          <isin value="US93364CAA62"/>
        </identifiers>
        <balance>119941.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>117413.440000</valUSD>
        <pctVal>0.0251025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.86211</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 2015-2A</name>
        <lei>N/A</lei>
        <title>WIND RIVER CLO LTD WINDR 2015 2A A1R 144A</title>
        <cusip>88432GAL1</cusip>
        <identifiers>
          <isin value="US88432GAL14"/>
        </identifiers>
        <balance>58183.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58239.540000</valUSD>
        <pctVal>0.0124514</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>0.99613</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>WMALT MTGE PASS-THRU CERT 2005-7</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 3CB</title>
        <cusip>93934FBT8</cusip>
        <identifiers>
          <isin value="US93934FBT84"/>
        </identifiers>
        <balance>11646.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11196.740000</valUSD>
        <pctVal>0.0023938</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARCH STREET CLO LTD 2016-2A</name>
        <lei>N/A</lei>
        <title>ARCH STREET CLO, LTD. ARCHS 2016 2A AR2 144A</title>
        <cusip>03940AAU8</cusip>
        <identifiers>
          <isin value="US03940AAU88"/>
        </identifiers>
        <balance>243758.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>243819.070000</valUSD>
        <pctVal>0.0521276</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.13425</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>Z CAPITAL CREDIT PARTNERS CLO LTD 2015-1</name>
        <lei>N/A</lei>
        <title>Z CAPITAL CREDIT PARTNERS CLO ZCCP 2015 1A A1R 144A</title>
        <cusip>98877EAG8</cusip>
        <identifiers>
          <isin value="US98877EAG89"/>
        </identifiers>
        <balance>134555.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>134723.110000</valUSD>
        <pctVal>0.0288033</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07638</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>FIXED INC CLEARING CORP.REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="85748R009"/>
        </identifiers>
        <balance>241000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>241000.000000</valUSD>
        <pctVal>0.0515248</pctVal>
        <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>
          <clearedCentCparty centralCounterparty="Fixed Income Clearing Corp" isCleared="Y"/>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.0000001</repurchaseRt>
          <maturityDt>2021-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>246100.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>245879.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARES L CLO LTD 2018-50A</name>
        <lei>N/A</lei>
        <title>ARES CLO LTD ARES 2018 50A AR 144A</title>
        <cusip>04018LAJ4</cusip>
        <identifiers>
          <isin value="US04018LAJ44"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>299813.550000</valUSD>
        <pctVal>0.0640990</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.17613</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>STATE STREET REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="85799F003"/>
        </identifiers>
        <balance>584000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>584000.000000</valUSD>
        <pctVal>0.1248569</pctVal>
        <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="571474TGEMMWANRLN572" name="State Street Bank and Trust Company"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.0000001</repurchaseRt>
          <maturityDt>2021-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>568900.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>595767.160000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2005-W1</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2005 W1 A1</title>
        <cusip>040104MX6</cusip>
        <identifiers>
          <isin value="US040104MX65"/>
        </identifiers>
        <balance>71254.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67703.890000</valUSD>
        <pctVal>0.0144748</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>0.566</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>PARIBAS REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="69999A006"/>
        </identifiers>
        <balance>62700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62700000.000000</valUSD>
        <pctVal>13.4050120</pctVal>
        <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="N/A" name="BNP Paribas S.A."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.0300000</repurchaseRt>
          <maturityDt>2021-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>61886126.610000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>64265226.120000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>AMBS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </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"/>
        </identifiers>
        <balance>12500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12500000.000000</valUSD>
        <pctVal>2.6724506</pctVal>
        <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="6SHGI4ZSSLCXXQSBB395" name="CITIGROUP INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.0300000</repurchaseRt>
          <maturityDt>2021-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>12441000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>12750081.090000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>GOLDMAN SACHS REPO REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="318991007"/>
        </identifiers>
        <balance>20900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20900000.000000</valUSD>
        <pctVal>4.4683373</pctVal>
        <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="FOR8UP27PHTHYVLBNG30" name="GOLDMAN SACHS &amp; CO. LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.0300000</repurchaseRt>
          <maturityDt>2021-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>21486625.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>21567299.540000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>AMBS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REPO BANK AMERICA REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="060990009"/>
        </identifiers>
        <balance>20900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20900000.000000</valUSD>
        <pctVal>4.4683373</pctVal>
        <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="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.0300000</repurchaseRt>
          <maturityDt>2021-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>21345000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>21329574.820000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REPO SOCIETE GENERALE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FSF000"/>
        </identifiers>
        <balance>20900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20900000.000000</valUSD>
        <pctVal>4.4683373</pctVal>
        <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="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES, LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.0300000</repurchaseRt>
          <maturityDt>2021-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>21497000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>21349208.130000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </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"/>
        </identifiers>
        <balance>20900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20900000.000000</valUSD>
        <pctVal>4.4683373</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="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
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          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.0300000</repurchaseRt>
          <maturityDt>2021-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>25290000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>21348316.280000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <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>
        <cusip>04012MAM1</cusip>
        <identifiers>
          <isin value="US04012MAM10"/>
        </identifiers>
        <balance>294312.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>279889.810000</valUSD>
        <pctVal>0.0598393</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>0.386</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>ARGENT SECURITIES INC 2006-W4</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 W4 A2C</title>
        <cusip>040104TG6</cusip>
        <identifiers>
          <isin value="US040104TG69"/>
        </identifiers>
        <balance>606654.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>219428.260000</valUSD>
        <pctVal>0.0469129</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>0.406</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>AUST 10Y BOND FUT DEC21 XSFE 20211215</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="XMZ1"/>
        </identifiers>
        <balance>-8.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.383200"/>
        <valUSD>13985.550000</valUSD>
        <pctVal>0.0029901</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</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>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>AUSTRALIA GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1YQ048-AUSTRALIA GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-12-15</expDate>
            <notionalAmt>-818220.470000</notionalAmt>
            <curCd>AUD</curCd>
            <unrealizedAppr>13985.550000</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>AUST 3YR BOND FUT DEC21 XSFE 20211215</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="YMZ1"/>
        </identifiers>
        <balance>-22.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.383200"/>
        <valUSD>2192.330000</valUSD>
        <pctVal>0.0004687</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</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>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>AUSTRALIA GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1YQ139-AUSTRALIA GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-12-15</expDate>
            <notionalAmt>-1851935.220000</notionalAmt>
            <curCd>AUD</curCd>
            <unrealizedAppr>2192.330000</unrealizedAppr>
          </futrDeriv>
        </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 04/22 VAR</title>
        <cusip>ACI0TFSY6</cusip>
        <identifiers>
          <isin value="ARARGE3203R1"/>
        </identifiers>
        <balance>3393000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="178.050000"/>
        <valUSD>18767.170000</valUSD>
        <pctVal>0.0040123</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>36.1445</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>BOUGHT CNH/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IEKBB7M0P"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="6.455600"/>
        <valUSD>357.970000</valUSD>
        <pctVal>0.0000765</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>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>100965.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>654097.010000</amtCurPur>
            <curPur>CNY</curPur>
            <settlementDt>2021-10-22</settlementDt>
            <unrealizedAppr>357.970000</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 CNH/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IFKBB0GFC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="6.455600"/>
        <valUSD>598.840000</valUSD>
        <pctVal>0.0001280</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>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>206920.230000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1339652.890000</amtCurPur>
            <curPur>CNY</curPur>
            <settlementDt>2021-10-22</settlementDt>
            <unrealizedAppr>598.840000</unrealizedAppr>
          </fwdDeriv>
        </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 07/30 VAR</title>
        <cusip>ACI1QL1T4</cusip>
        <identifiers>
          <isin value="ARARGE3209S6"/>
        </identifiers>
        <balance>218000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73727.600000</valUSD>
        <pctVal>0.0157627</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-09</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.5</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>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IQKBBRP4Z"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.862600"/>
        <valUSD>-6011.610000</valUSD>
        <pctVal>-0.0012853</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, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>463939.230000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>395000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2021-11-17</settlementDt>
            <unrealizedAppr>-6011.610000</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 GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21ITKBBX7QS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>-54932.250000</valUSD>
        <pctVal>-0.0117443</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>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>15659173.870000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>11581000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2021-10-04</settlementDt>
            <unrealizedAppr>-54932.250000</unrealizedAppr>
          </fwdDeriv>
        </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 07/35 VAR</title>
        <cusip>ACI1QL1M9</cusip>
        <identifiers>
          <isin value="ARARGE3209T4"/>
        </identifiers>
        <balance>150000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47625.000000</valUSD>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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        <name>ARGENTINA GOVT</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CNH/SOLD USD</title>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>91116.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>590322.130000</amtCurPur>
            <curPur>CNY</curPur>
            <settlementDt>2021-10-22</settlementDt>
            <unrealizedAppr>327.910000</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="21CJKBB9X0F"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.858300"/>
        <valUSD>-5479.130000</valUSD>
        <pctVal>-0.0011714</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>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>153324.120000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>126900.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2022-07-01</settlementDt>
            <unrealizedAppr>-5479.130000</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="21IMKBCF0MW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="20.645000"/>
        <valUSD>-8463.720000</valUSD>
        <pctVal>-0.0018095</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>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>388555.750000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>7847000.000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2021-10-05</settlementDt>
            <unrealizedAppr>-8463.720000</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="21IAKBBVPWT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.383200"/>
        <valUSD>34457.200000</valUSD>
        <pctVal>0.0073668</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>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>3133000.000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>2299458.770000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-10-05</settlementDt>
            <unrealizedAppr>34457.200000</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="21HRKBBN27X"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.862600"/>
        <valUSD>578.930000</valUSD>
        <pctVal>0.0001238</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>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>33000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>38836.170000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-11-17</settlementDt>
            <unrealizedAppr>578.930000</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 GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21HUKBB2KJP"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>47600.850000</valUSD>
        <pctVal>0.0101769</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>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>1615000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>2223652.160000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-10-04</settlementDt>
            <unrealizedAppr>47600.850000</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 GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IFKBBP2BX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>15604.440000</valUSD>
        <pctVal>0.0033362</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>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>460000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>635408.530000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-10-04</settlementDt>
            <unrealizedAppr>15604.440000</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>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IKKBBRJP5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.742200"/>
        <valUSD>6955.040000</valUSD>
        <pctVal>0.0014870</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>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>201000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>277782.480000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-10-04</settlementDt>
            <unrealizedAppr>6955.040000</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="21HNKBB9ZMT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="20.645000"/>
        <valUSD>6429.990000</valUSD>
        <pctVal>0.0013747</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>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>7847000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>386522.020000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-10-05</settlementDt>
            <unrealizedAppr>6429.990000</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="21IMKBCF0P6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="20.936800"/>
        <valUSD>8401.460000</valUSD>
        <pctVal>0.0017962</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>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>7847000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>383195.460000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-01-12</settlementDt>
            <unrealizedAppr>8401.460000</unrealizedAppr>
          </fwdDeriv>
        </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 UNSECURED 10/22 VAR</title>
        <cusip>P0761DAQ6</cusip>
        <identifiers>
          <isin value="ARARGE03G621"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="178.050000"/>
        <valUSD>375.160000</valUSD>
        <pctVal>0.0000802</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-04</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>34.1187</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>BRENT CRUDE FUTR  DEC21 IFEU 20211029</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWQ873"/>
        </identifiers>
        <balance>-13.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-51482.350000</valUSD>
        <pctVal>-0.0110067</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="ADI0THK51-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-10-29</expDate>
            <notionalAmt>-1018030.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-51482.350000</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  DEC22 IFEU 20221031</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWRW81"/>
        </identifiers>
        <balance>8.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>30451.440000</valUSD>
        <pctVal>0.0065104</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="ADI0XW2B0-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-10-31</expDate>
            <notionalAmt>570480.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>30451.440000</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  DEC23 IFEU 20231031</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWRX98"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5095.440000</valUSD>
        <pctVal>0.0010894</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="ADI1BQ233-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2023-10-31</expDate>
            <notionalAmt>66780.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>5095.440000</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  DEC24 IFEU 20241031</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1TWHG24"/>
        </identifiers>
        <balance>6.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>48981.780000</valUSD>
        <pctVal>0.0104721</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="ADI1DPRC6-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2024-10-31</expDate>
            <notionalAmt>380100.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>48981.780000</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  JAN22 IFEU 20211130</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWQX24"/>
        </identifiers>
        <balance>7.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2311.730000</valUSD>
        <pctVal>-0.0004942</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="ADI1SK8T5-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-11-30</expDate>
            <notionalAmt>542710.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2311.730000</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  JUN22 IFEU 20220429</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWQ329"/>
        </identifiers>
        <balance>42.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>294042.730000</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">
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              <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="ADI19MTX0-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-04-29</expDate>
            <notionalAmt>3120180.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>294042.730000</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  JUN23 IFEU 20230428</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWPR98"/>
        </identifiers>
        <balance>-65.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-412786.380000</valUSD>
        <pctVal>-0.0882521</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="ADI1LJWL5-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2023-04-28</expDate>
            <notionalAmt>-4477200.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-412786.380000</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  MAR22 IFEU 20220131</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWR624"/>
        </identifiers>
        <balance>19.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>265911.000000</valUSD>
        <pctVal>0.0568507</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="ADI0XWMX0-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-01-31</expDate>
            <notionalAmt>1445140.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>265911.000000</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>BRENT CRUDE FUTR  SEP22 IFEU 20220729</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1JWQ659"/>
        </identifiers>
        <balance>-2.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7507.330000</valUSD>
        <pctVal>-0.0016050</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="ADI1YT6B0-Brent Oil"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-07-29</expDate>
            <notionalAmt>-145460.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-7507.330000</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 OPTN DEC21 50 PUT FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1HY2B06"/>
        </identifiers>
        <balance>-3.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4075.230000</valUSD>
        <pctVal>0.0008713</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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Intercontinental Exchange</counterpartyName>
                    <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FIN FUT BRENT CRUDE ICE 10/29/21</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="GB00H1JWQ873"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCO</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>GB</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT BRENT CRUDE ICE 10/29/21</issueTitle>
                      <identifiers>
                        <isin value="GB00H1JWQ873"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2021-10-30</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>50.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-10-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4075.230000</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>BRENT CRUDE FUTR OPTN DEC21 74 CALL FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1HZ6C24"/>
        </identifiers>
        <balance>-12.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-50092.480000</valUSD>
        <pctVal>-0.0107096</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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Intercontinental Exchange</counterpartyName>
                    <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FIN FUT BRENT CRUDE ICE 10/29/21</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="GB00H1JWQ873"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCO</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>GB</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT BRENT CRUDE ICE 10/29/21</issueTitle>
                      <identifiers>
                        <isin value="GB00H1JWQ873"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2021-10-30</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>74.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-10-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-50092.480000</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>BRENT CRUDE FUTR OPTN DEC21 76 CALL FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1HZ6F54"/>
        </identifiers>
        <balance>-12.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-34819.080000</valUSD>
        <pctVal>-0.0074442</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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Intercontinental Exchange</counterpartyName>
                    <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FIN FUT BRENT CRUDE ICE 10/29/21</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="GB00H1JWQ873"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCO</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>GB</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT BRENT CRUDE ICE 10/29/21</issueTitle>
                      <identifiers>
                        <isin value="GB00H1JWQ873"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2021-10-30</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>76.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-10-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-34819.080000</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>BRENT CRUDE FUTR OPTN JAN22 83 CALL FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1KDKN22"/>
        </identifiers>
        <balance>-12.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-500.280000</valUSD>
        <pctVal>-0.0001070</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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Intercontinental Exchange</counterpartyName>
                    <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FIN FUT BRENT CRUDE ICE 11/30/21</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="GB00H1JWQX24"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCO</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>GB</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT BRENT CRUDE ICE 11/30/21</issueTitle>
                      <identifiers>
                        <isin value="GB00H1JWQX24"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2021-12-01</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>83.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-11-25</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-500.280000</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>BRENT CRUDE FUTR OPTN JAN22 84 CALL FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00H1KDKP46"/>
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        <balance>-12.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1340.280000</valUSD>
        <pctVal>-0.0002865</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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
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        <name>N/A</name>
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        <name>N/A</name>
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        <fairValLevel>1</fairValLevel>
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        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <invCountry>GB</invCountry>
        <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>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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            <payOffProf>Short</payOffProf>
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                <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="AFYJ23"/>
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        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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                  <derivAddlInfo>
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                      <issuerName>N/A</issuerName>
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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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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="CDX"/>
        </identifiers>
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        <units>NC</units>
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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>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                  <derivAddlInfo>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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            <delta>XXXX</delta>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="CDX"/>
        </identifiers>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                      <identifiers>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>693.970000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ER888 PIMCO CDSOPT PUT USD 103.0 20211117</title>
        <cusip>OP0013HY0</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
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        <units>NC</units>
        <curCd>USD</curCd>
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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>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Bank of America, National Association</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <identifiers>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                      <identifiers>
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                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <rcptCurCd>USD</rcptCurCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>103.000000</exercisePrice>
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            <expDt>2021-11-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>743.240000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ER946 PIMCO CDSOPT PUT USD 101.0 20211117</title>
        <cusip>OP0013KG5</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <pctVal>-0.0000698</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>
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            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
            <exercisePrice>101.000000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>888.380000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>OP0015130</cusip>
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        <units>NC</units>
        <curCd>USD</curCd>
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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>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>104.000000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>17.040000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ES290 PIMCO CDSOPT PUT USD 102.0 20220119</title>
        <cusip>OP0015122</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-466.520000</valUSD>
        <pctVal>-0.0000997</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>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX HY36 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU0HY369"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY36 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWU0HY369"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-06-20</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>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-01-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-36.520000</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>3175ES381 PIMCO CDSOPT PUT USD 104.0 20211215</title>
        <cusip>OP0015RS7</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-765.930000</valUSD>
        <pctVal>-0.0001638</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>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
              <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                    <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX HY36 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU0HY369"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY36 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWU0HY369"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-06-20</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>
            <shareNo>N/A</shareNo>
            <exercisePrice>104.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-12-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4.070000</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>3175ZH416 PIMCO CDSOPT PUT USD 101.0 20211215</title>
        <cusip>OP0014V55</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-456.880000</valUSD>
        <pctVal>-0.0000977</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>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX HY36 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU0HY369"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY36 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWU0HY369"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-06-20</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>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-12-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>263.120000</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>COMM SWAP JMABNIC5 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0SR974"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-21247.440000</valUSD>
        <pctVal>-0.0045426</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>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>COMM SWAP JMABNIC5 JPM</indexName>
                <indexIdentifier>JMABNIC5</indexIdentifier>
                <narrativeDesc>Internal ID</narrativeDesc>
                <components>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="HOG200017"/>
                    </identifiers>
                    <othIndNotAmt>628837.088393</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-1507.594627</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="COH200011"/>
                    </identifiers>
                    <othIndNotAmt>2138134.334975</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-5126.033268</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="CTZ100012"/>
                    </identifiers>
                    <othIndNotAmt>163224.965997</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-391.320878</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="GCZ100031"/>
                    </identifiers>
                    <othIndNotAmt>1095044.673443</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-2625.295957</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="B_ZERO_US"/>
                    </identifiers>
                    <othIndNotAmt>-342.387175</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>0.820850</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="LCZ100019"/>
                    </identifiers>
                    <othIndNotAmt>505664.603004</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-1212.296877</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="LNX100017"/>
                    </identifiers>
                    <othIndNotAmt>307709.769938</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-737.713478</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="QSG200018"/>
                    </identifiers>
                    <othIndNotAmt>328060.103305</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-786.502034</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="XBG200025"/>
                    </identifiers>
                    <othIndNotAmt>630520.252784</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-1511.629900</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SBH200012"/>
                    </identifiers>
                    <othIndNotAmt>317152.055513</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-760.350723</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SIZ100019"/>
                    </identifiers>
                    <othIndNotAmt>286735.354977</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-687.428729</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SMZ100010"/>
                    </identifiers>
                    <othIndNotAmt>832151.449400</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-1995.027134</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="S X10001"/>
                    </identifiers>
                    <othIndNotAmt>1053832.064193</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-2526.491498</othIndValue>
                    <othIndIssCurCd>USD</othIndIssCurCd>
                  </component>
                  <component>
                    <othIndName>COMM SWAP JMABNIC5 JPM</othIndName>
                    <identifiers>
                      <other otherDesc="Internal ID" value="LPX210001"/>
                    </identifiers>
                    <othIndNotAmt>575855.881253</othIndNotAmt>
                    <othIndCurCd>USD</othIndCurCd>
                    <othIndValue>-1380.575746</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>2022-02-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>8862580.210000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-21247.440000</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="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"/>
      <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"/>

    </explntrNotes>
    <signature>
      <ncom:dateSigned>2021-11-05</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>
  <documents>XXXX</documents>
</edgarSubmission>
