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exchangeRt="1.42531"/><valUSD>5154835</valUSD><pctVal>4.9932</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>CORP</issuerCat><invCountry>AU</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2050-07-10</maturityDt><couponKind>Floating</couponKind><annualizedRt>2.285</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>Liberty Funding Pty Limited</name><lei>N/A</lei><title>Liberty Series 2018-1 SME</title><cusip>BCC2HAE00</cusip><identifiers><isin value="AU3FN0043501"/><ticker value="LBRTY"/><other otherDesc="BJ0ZN53" value="Sedol"/></identifiers><balance>3500000</balance><units>PA</units><currencyConditional curCd="AUD" 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issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><derivativeInfo><fwdDeriv derivCat="FWD"><counterparties><counterpartyName>Morgan Stanley &amp; Co</counterpartyName><counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei></counterparties><amtCurSold>106000000</amtCurSold><curSold>AUD</curSold><amtCurPur>72113390</amtCurPur><curPur>USD</curPur><settlementDt>2020-02-28</settlementDt><unrealizedAppr>-2360443</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 otherDesc="FXF110071628" value="Internal 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AUD</title><cusip>N/A</cusip><identifiers><other otherDesc="FXF110071890" value="Internal ID"/></identifiers><balance>1</balance><units>NC</units><curCd>USD</curCd><valUSD>10292</valUSD><pctVal>0.01</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>Bank of America, National 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Mar20</title><cusip>N/A</cusip><identifiers><ticker value="FVH0"/><other otherDesc="FVH0 COMDTY" value="Internal ID"/></identifiers><balance>65</balance><units>NC</units><curCd>USD</curCd><valUSD>-28945</valUSD><pctVal>-0.028</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DIR</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>1</fairValLevel><derivativeInfo><futrDeriv derivCat="FUT"><counterparties><counterpartyName>Credit Suisse International</counterpartyName><counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei></counterparties><payOffProf>Long</payOffProf><descRefInstrmnt><otherRefInst><issuerName>N/A</issuerName><issueTitle>N/A</issueTitle><identifiers><ticker value="FVH0"/></identifiers></otherRefInst></descRefInstrmnt><expDate>2020-03-31</expDate><notionalAmt>7738555</notionalAmt><curCd>USD</curCd><unrealizedAppr>-28945</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 Mar20</title><cusip>N/A</cusip><identifiers><ticker value="YMH0"/><other otherDesc="YMH0 COMDTY" value="Internal ID"/></identifiers><balance>64</balance><units>NC</units><currencyConditional curCd="AUD" exchangeRt="1.42531"/><valUSD>-34311</valUSD><pctVal>-0.0332</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DIR</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>1</fairValLevel><derivativeInfo><futrDeriv derivCat="FUT"><counterparties><counterpartyName>Credit Suisse International</counterpartyName><counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei></counterparties><payOffProf>Long</payOffProf><descRefInstrmnt><otherRefInst><issuerName>N/A</issuerName><issueTitle>N/A</issueTitle><identifiers><ticker value="YHM0"/></identifiers></otherRefInst></descRefInstrmnt><expDate>2020-03-16</expDate><notionalAmt>5068070</notionalAmt><curCd>AUD</curCd><unrealizedAppr>-34311</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>Call EUR / Put USD 1.1745</title><cusip>N/A</cusip><identifiers><other otherDesc="EUR02117D" value="Internal ID"/></identifiers><balance>9235000</balance><units>NC</units><curCd>USD</curCd><valUSD>4627</valUSD><pctVal>0.0045</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DFE</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><derivativeInfo><optionSwaptionWarrantDeriv derivCat="OPT"><counterparties><counterpartyName>Citibank, National Association</counterpartyName><counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei></counterparties><putOrCall>Call</putOrCall><writtenOrPur>Purchased</writtenOrPur><descRefInstrmnt><nestedDerivInfo><fwdDeriv derivCat="FWD"><counterparties><counterpartyName>N/A</counterpartyName><counterpartyLei>N/A</counterpartyLei></counterparties><amtCurSold>10358016.11</amtCurSold><curSold>USD</curSold><amtCurPur>9235000</amtCurPur><curPur>EUR</curPur><settlementDt>2020-02-26</settlementDt></fwdDeriv></nestedDerivInfo></descRefInstrmnt><shareNo>1</shareNo><exercisePrice>1.1745</exercisePrice><exercisePriceCurCd>USD</exercisePriceCurCd><expDt>2020-02-26</expDt><delta>XXXX</delta><unrealizedAppr>-245319</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>Put EUR / Call USD 1.1745</title><cusip>N/A</cusip><identifiers><other otherDesc="EUR2P117B" value="Internal ID"/></identifiers><balance>9235000</balance><units>NC</units><curCd>USD</curCd><valUSD>454482</valUSD><pctVal>0.4402</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DFE</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><derivativeInfo><optionSwaptionWarrantDeriv derivCat="OPT"><counterparties><counterpartyName>Citibank, National Association</counterpartyName><counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei></counterparties><putOrCall>Put</putOrCall><writtenOrPur>Purchased</writtenOrPur><descRefInstrmnt><nestedDerivInfo><fwdDeriv derivCat="FWD"><counterparties><counterpartyName>N/A</counterpartyName><counterpartyLei>N/A</counterpartyLei></counterparties><amtCurSold>9235000</amtCurSold><curSold>EUR</curSold><amtCurPur>10358016.11</amtCurPur><curPur>USD</curPur><settlementDt>2020-02-26</settlementDt></fwdDeriv></nestedDerivInfo></descRefInstrmnt><shareNo>1</shareNo><exercisePrice>1.1745</exercisePrice><exercisePriceCurCd>USD</exercisePriceCurCd><expDt>2020-02-26</expDt><delta>XXXX</delta><unrealizedAppr>206014</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>P FVH0 118 1/24/2020</title><cusip>N/A</cusip><identifiers><other otherDesc="FVG0P118Z" value="Internal ID"/></identifiers><balance>218</balance><units>NC</units><curCd>USD</curCd><valUSD>17031</valUSD><pctVal>0.0165</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DIR</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>1</fairValLevel><derivativeInfo><optionSwaptionWarrantDeriv derivCat="OPT"><counterparties><counterpartyName>Credit Suisse International</counterpartyName><counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei></counterparties><putOrCall>Put</putOrCall><writtenOrPur>Purchased</writtenOrPur><descRefInstrmnt><nestedDerivInfo><futrDeriv derivCat="FUT"><counterparties><counterpartyName>N/A</counterpartyName><counterpartyLei>N/A</counterpartyLei></counterparties><payOffProf>Short</payOffProf><descRefInstrmnt><otherRefInst><issuerName>N/A</issuerName><issueTitle>US 5YR NOTE (CBT) Mar20</issueTitle><identifiers><ticker value="FVH0"/><other otherDesc="FVH0 COMDTY" value="Internal ID"/></identifiers></otherRefInst></descRefInstrmnt><expDate>2020-03-31</expDate><notionalAmt>218</notionalAmt><curCd>USD</curCd></futrDeriv></nestedDerivInfo></descRefInstrmnt><shareNo>1000</shareNo><exercisePrice>118</exercisePrice><exercisePriceCurCd>USD</exercisePriceCurCd><expDt>2020-01-24</expDt><delta>XXXX</delta><unrealizedAppr>-15705</unrealizedAppr></optionSwaptionWarrantDeriv></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>
