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derivCat="FWD"><counterparties><counterpartyName>HSBC Securities (USA), Inc.</counterpartyName><counterpartyLei>CYYGQCGNHMHPSMRL3R97</counterpartyLei></counterparties><amtCurSold>3931000</amtCurSold><curSold>CHF</curSold><amtCurPur>4009923</amtCurPur><curPur>USD</curPur><settlementDt>2020-01-10</settlementDt><unrealizedAppr>-54178</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>Sell USD / Buy CAD</title><cusip>N/A</cusip><identifiers><other otherDesc="FXF110072040" value="Internal ID"/></identifiers><balance>1</balance><units>NC</units><curCd>USD</curCd><valUSD>18477</valUSD><pctVal>0.0251</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DFE</assetCat><issuerConditional desc="N/A" 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ID"/></identifiers><balance>1</balance><units>NC</units><curCd>USD</curCd><valUSD>63294</valUSD><pctVal>0.0859</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DFE</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><derivativeInfo><fwdDeriv derivCat="FWD"><counterparties><counterpartyName>HSBC Securities (USA), Inc.</counterpartyName><counterpartyLei>CYYGQCGNHMHPSMRL3R97</counterpartyLei></counterparties><amtCurSold>3107951</amtCurSold><curSold>USD</curSold><amtCurPur>27830000</amtCurPur><curPur>NOK</curPur><settlementDt>2020-01-10</settlementDt><unrealizedAppr>63294</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>Sell EUR / Buy USD</title><cusip>N/A</cusip><identifiers><other 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NZD</title><cusip>N/A</cusip><identifiers><other otherDesc="FXF110072045" value="Internal ID"/></identifiers><balance>1</balance><units>NC</units><curCd>USD</curCd><valUSD>55025</valUSD><pctVal>0.0746</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DFE</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><derivativeInfo><fwdDeriv derivCat="FWD"><counterparties><counterpartyName>HSBC Securities (USA), 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derivCat="FWD"><counterparties><counterpartyName>HSBC Securities (USA), Inc.</counterpartyName><counterpartyLei>CYYGQCGNHMHPSMRL3R97</counterpartyLei></counterparties><amtCurSold>1850000</amtCurSold><curSold>AUD</curSold><amtCurPur>1280955</amtCurPur><curPur>USD</curPur><settlementDt>2020-01-10</settlementDt><unrealizedAppr>-17252</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>CORN FUTURE       May20</title><cusip>N/A</cusip><identifiers><ticker value="C K0"/><other otherDesc="C K0 COMDTY" value="Internal ID"/></identifiers><balance>-85</balance><units>NC</units><curCd>USD</curCd><valUSD>-54036</valUSD><pctVal>-0.0733</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DCO</assetCat><issuerConditional desc="N/A" 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LLC</counterpartyName><counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei></counterparties><descRefInstrmnt><otherRefInst><issuerName>MSCI Daily TR Gross World USD</issuerName><issueTitle>MSCI Daily TR Gross World USD</issueTitle><identifiers><ticker value="GDDUWI"/></identifiers></otherRefInst></descRefInstrmnt><swapFlag>Y</swapFlag><floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 Month USD Libor" floatingRtSpread="0.11" pmntAmt="0"><rtResetTenors><rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/></rtResetTenors></floatingRecDesc><otherPmntDesc fixedOrFloating="Other">Total Return of MSCI Daily TR Gross World USD</otherPmntDesc><terminationDt>2020-02-05</terminationDt><upfrontPmnt>0</upfrontPmnt><pmntCurCd>USD</pmntCurCd><upfrontRcpt>0</upfrontRcpt><rcptCurCd>USD</rcptCurCd><notionalAmt>-17552518</notionalAmt><curCd>USD</curCd><unrealizedAppr>-170279</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>BNP Small-Cap Basket Swap</title><cusip>N/A</cusip><identifiers><other otherDesc="EQSW01524" value="Internal ID"/></identifiers><balance>13100000</balance><units>OU</units><descOthUnits>Notional</descOthUnits><curCd>USD</curCd><valUSD>-615</valUSD><pctVal>-0.0008</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DE</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><derivativeInfo><swapDeriv derivCat="SWP"><counterparties><counterpartyName>BNP Paribas</counterpartyName><counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei></counterparties><descRefInstrmnt><otherRefInst><issuerName>BNP Paribas / BNP Paribas US Medium-Term Note Program LLC</issuerName><issueTitle>BNP Small-Cap Basket</issueTitle><identifiers><ticker value="BCKTR2V1"/></identifiers></otherRefInst></descRefInstrmnt><swapFlag>Y</swapFlag><otherRecDesc fixedOrFloating="Other">Total Return of BNP Small-Cap Basket Swap - BNP -BULLET</otherRecDesc><fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="-0.05"/><terminationDt>2020-01-03</terminationDt><upfrontPmnt>0</upfrontPmnt><pmntCurCd>USD</pmntCurCd><upfrontRcpt>0</upfrontRcpt><rcptCurCd>USD</rcptCurCd><notionalAmt>13100000</notionalAmt><curCd>USD</curCd><unrealizedAppr>-615</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>BNP Value Basket Swap</title><cusip>N/A</cusip><identifiers><other otherDesc="EQSW01525" value="Internal ID"/></identifiers><balance>10400000</balance><units>OU</units><descOthUnits>Notional</descOthUnits><curCd>USD</curCd><valUSD>19682</valUSD><pctVal>0.0267</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DE</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><derivativeInfo><swapDeriv derivCat="SWP"><counterparties><counterpartyName>BNP Paribas</counterpartyName><counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei></counterparties><descRefInstrmnt><otherRefInst><issuerName>BNP Paribas SA</issuerName><issueTitle>BNP Value Basket</issueTitle><identifiers><ticker value="BNPTRXPVG1"/></identifiers></otherRefInst></descRefInstrmnt><swapFlag>Y</swapFlag><otherRecDesc fixedOrFloating="Other">Total Return of BNP Value Basket Swap - BNP -BULLET</otherRecDesc><fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.2"/><terminationDt>2020-01-03</terminationDt><upfrontPmnt>0</upfrontPmnt><pmntCurCd>USD</pmntCurCd><upfrontRcpt>0</upfrontRcpt><rcptCurCd>USD</rcptCurCd><notionalAmt>10400000</notionalAmt><curCd>USD</curCd><unrealizedAppr>19682</unrealizedAppr></swapDeriv></derivativeInfo><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec></invstOrSecs><explntrNotes><explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/></explntrNotes><signature><ncom:dateSigned>2020-02-14</ncom:dateSigned><ncom:nameOfApplicant>JESPER NERGAARD</ncom:nameOfApplicant><ncom:signature>JESPER NERGAARD</ncom:signature><ncom:signerName>JESPER NERGAARD</ncom:signerName><ncom:title>VP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER</ncom:title></signature></nport:formData></nport:edgarSubmission>
