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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>MSCI EMGMKT JUN20</issuerName>
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                <identifiers>
                  <other otherDesc="CG Symbol" value="MESM0 INDEX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-06-19</expDate>
            <notionalAmt>-17000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-272610.8</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NIKKEI 225 (OSE) JUN20</name>
        <lei>N/A</lei>
        <title>NIKKEI 225 (OSE) JUN20</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="NKM0"/>
          <other otherDesc="CG Symbol" value="NKM0 INDEX"/>
        </identifiers>
        <balance>40</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.525"/>
        <valUSD>-6982868.49</valUSD>
        <pctVal>-0.3326111884</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>NIKKEI 225 (OSE) JUN20</issuerName>
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                <identifiers>
                  <other otherDesc="CG Symbol" value="NKM0 INDEX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-06-11</expDate>
            <notionalAmt>-40000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-223020.98</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>E-MINI RUSS 2000 JUN20</name>
        <lei>N/A</lei>
        <title>E-MINI RUSS 2000 JUN20</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="RTYM0"/>
          <other otherDesc="CG Symbol" value="RTYM0 INDEX"/>
        </identifiers>
        <balance>260</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-14918800</valUSD>
        <pctVal>-0.7106191109</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>E-MINI RUSS 2000 JUN20</issuerName>
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                <identifiers>
                  <other otherDesc="CG Symbol" value="RTYM0 INDEX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-06-19</expDate>
            <notionalAmt>-13000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-246806.12</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EURO STOXX 50 JUN20</name>
        <lei>N/A</lei>
        <title>EURO STOXX 50 JUN20</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="VGM0"/>
          <other otherDesc="CG Symbol" value="VGM0 INDEX"/>
        </identifiers>
        <balance>1617</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.906701"/>
        <valUSD>-48178694.22</valUSD>
        <pctVal>-2.2948696177</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>EURO STOXX 50 JUN20</issuerName>
                <issueTitle>EURO STOXX 50 JUN20_VGM0 INDEX</issueTitle>
                <identifiers>
                  <other otherDesc="CG Symbol" value="VGM0 INDEX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-06-19</expDate>
            <notionalAmt>-16170</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-6448740.22</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FTSE 100 IDX FUT JUN20</name>
        <lei>N/A</lei>
        <title>FTSE 100 IDX FUT JUN20</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="Z M0"/>
          <other otherDesc="CG Symbol" value="Z M0 INDEX"/>
        </identifiers>
        <balance>982</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.805088"/>
        <valUSD>-68034063.19</valUSD>
        <pctVal>-3.2406296416</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>FTSE 100 IDX FUT JUN20</issuerName>
                <issueTitle>FTSE 100 IDX FUT JUN20_Z M0 INDEX</issueTitle>
                <identifiers>
                  <other otherDesc="CG Symbol" value="Z M0 INDEX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-06-19</expDate>
            <notionalAmt>-9820</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-7033647.1</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 06/19/20 P2225</name>
        <lei>N/A</lei>
        <title>SPX US 06/19/20 P2225</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 6 P2225"/>
          <other otherDesc="CG Symbol" value="SPX US 06/19/20 P2225"/>
        </identifiers>
        <balance>95</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>780425</valUSD>
        <pctVal>0.0371735609</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>95</shareNo>
            <exercisePrice>2225.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>630981</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 06/19/20 P2250</name>
        <lei>N/A</lei>
        <title>SPX US 06/19/20 P2250</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 6 P2250"/>
          <other otherDesc="CG Symbol" value="SPX US 06/19/20 P2250"/>
        </identifiers>
        <balance>250</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2501750</valUSD>
        <pctVal>0.1191645012</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>250</shareNo>
            <exercisePrice>2250.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2129875.99</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 06/19/20 P2275</name>
        <lei>N/A</lei>
        <title>SPX US 06/19/20 P2275</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 6 P2275"/>
          <other otherDesc="CG Symbol" value="SPX US 06/19/20 P2275"/>
        </identifiers>
        <balance>130</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1352000</valUSD>
        <pctVal>0.0643990829</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
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            </descRefInstrmnt>
            <shareNo>130</shareNo>
            <exercisePrice>2275.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1159397.81</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 06/19/20 P2325</name>
        <lei>N/A</lei>
        <title>SPX US 06/19/20 P2325</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 6 P2325"/>
          <other otherDesc="CG Symbol" value="SPX US 06/19/20 P2325"/>
        </identifiers>
        <balance>3520</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>36534080</valUSD>
        <pctVal>1.7402080226</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
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            </descRefInstrmnt>
            <shareNo>3520</shareNo>
            <exercisePrice>2325.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>31036926.23</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 06/19/20 P2350</name>
        <lei>N/A</lei>
        <title>SPX US 06/19/20 P2350</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 6 P2350"/>
          <other otherDesc="CG Symbol" value="SPX US 06/19/20 P2350"/>
        </identifiers>
        <balance>160</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1908800</valUSD>
        <pctVal>0.0909208354</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
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            <shareNo>160</shareNo>
            <exercisePrice>2350.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1678504.99</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 06/19/20 P2375</name>
        <lei>N/A</lei>
        <title>SPX US 06/19/20 P2375</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 6 P2375"/>
          <other otherDesc="CG Symbol" value="SPX US 06/19/20 P2375"/>
        </identifiers>
        <balance>180</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2305620</valUSD>
        <pctVal>0.1098223473</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
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            </descRefInstrmnt>
            <shareNo>180</shareNo>
            <exercisePrice>2375.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2040463.12</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 06/19/20 P2400</name>
        <lei>N/A</lei>
        <title>SPX US 06/19/20 P2400</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 6 P2400"/>
          <other otherDesc="CG Symbol" value="SPX US 06/19/20 P2400"/>
        </identifiers>
        <balance>70</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>955220</valUSD>
        <pctVal>0.0454994763</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>70</shareNo>
            <exercisePrice>2400.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>855603.43</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 06/19/20 P2450</name>
        <lei>N/A</lei>
        <title>SPX US 06/19/20 P2450</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 6 P2450"/>
          <other otherDesc="CG Symbol" value="SPX US 06/19/20 P2450"/>
        </identifiers>
        <balance>65</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>992485</valUSD>
        <pctVal>0.0472744998</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>65</shareNo>
            <exercisePrice>2450.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>901283.9</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 09/18/20 P2325</name>
        <lei>N/A</lei>
        <title>SPX US 09/18/20 P2325</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 9 P2325"/>
          <other otherDesc="CG Symbol" value="SPX US 09/18/20 P2325"/>
        </identifiers>
        <balance>15</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>235950</valUSD>
        <pctVal>0.0112388784</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>15</shareNo>
            <exercisePrice>2325.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>211453.59</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 09/18/20 P2375</name>
        <lei>N/A</lei>
        <title>SPX US 09/18/20 P2375</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 9 P2375"/>
          <other otherDesc="CG Symbol" value="SPX US 09/18/20 P2375"/>
        </identifiers>
        <balance>205</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3696150</valUSD>
        <pctVal>0.1760567088</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>205</shareNo>
            <exercisePrice>2375.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3350564.96</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 09/18/20 P2400</name>
        <lei>N/A</lei>
        <title>SPX US 09/18/20 P2400</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 9 P2400"/>
          <other otherDesc="CG Symbol" value="SPX US 09/18/20 P2400"/>
        </identifiers>
        <balance>130</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2385500</valUSD>
        <pctVal>0.1136272280</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>130</shareNo>
            <exercisePrice>2400.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2177097.81</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 09/18/20 P2425</name>
        <lei>N/A</lei>
        <title>SPX US 09/18/20 P2425</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 9 P2425"/>
          <other otherDesc="CG Symbol" value="SPX US 09/18/20 P2425"/>
        </identifiers>
        <balance>140</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2640400</valUSD>
        <pctVal>0.1257687415</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>140</shareNo>
            <exercisePrice>2425.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2418366.97</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 09/18/20 P2450</name>
        <lei>N/A</lei>
        <title>SPX US 09/18/20 P2450</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 9 P2450"/>
          <other otherDesc="CG Symbol" value="SPX US 09/18/20 P2450"/>
        </identifiers>
        <balance>390</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>7620600</valUSD>
        <pctVal>0.3629879077</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>390</shareNo>
            <exercisePrice>2450.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7005593.42</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 09/18/20 P2475</name>
        <lei>N/A</lei>
        <title>SPX US 09/18/20 P2475</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 9 P2475"/>
          <other otherDesc="CG Symbol" value="SPX US 09/18/20 P2475"/>
        </identifiers>
        <balance>150</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3078000</valUSD>
        <pctVal>0.1466127050</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>150</shareNo>
            <exercisePrice>2475.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2845035.93</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 09/18/20 P2500</name>
        <lei>N/A</lei>
        <title>SPX US 09/18/20 P2500</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 9 P2500"/>
          <other otherDesc="CG Symbol" value="SPX US 09/18/20 P2500"/>
        </identifiers>
        <balance>85</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1892100</valUSD>
        <pctVal>0.0901253733</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>85</shareNo>
            <exercisePrice>2500.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1760937.02</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPX US 09/18/20 P2525</name>
        <lei>N/A</lei>
        <title>SPX US 09/18/20 P2525</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SPX 9 P2525"/>
          <other otherDesc="CG Symbol" value="SPX US 09/18/20 P2525"/>
        </identifiers>
        <balance>2845</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>62828980</valUSD>
        <pctVal>2.9926987363</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>N/A</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SP 500 Index</indexName>
                <indexIdentifier>SPX</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>2845</shareNo>
            <exercisePrice>2525.000000000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>58497310.64</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <signature>
      <ncom:dateSigned>2020-05-27</ncom:dateSigned>
      <ncom:nameOfApplicant>AMERICAN FUNDS INSURANCE SERIES</ncom:nameOfApplicant>
      <ncom:signature>Scott Lewis</ncom:signature>
      <ncom:signerName>Scott Lewis</ncom:signerName>
      <ncom:title>Analyst</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
