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                <lei>N/A</lei>
                <title>COMMERCIAL MORT BACKED SEC IO</title>
                <cusip>55312VBD9</cusip>
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                    <isin value="US55312VBD91"/>
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                <balance>470.45</balance>
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                <curCd>USD</curCd>
                <valUSD>1.59</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2049-12-12</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9</name>
                <lei>N/A</lei>
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                <cusip>46629PAQ1</cusip>
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                    <isin value="US46629PAQ19"/>
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                <balance>9461.28</balance>
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                <curCd>USD</curCd>
                <valUSD>8929.31</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>90269CAV2</cusip>
                <identifiers>
                    <isin value="US90269CAV28"/>
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                <balance>17000</balance>
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                <curCd>USD</curCd>
                <valUSD>365.5</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2063-05-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>WFRBS COMMERCIAL MORTGAGE TRUST 2011-C3</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>92935VAU2</cusip>
                <identifiers>
                    <isin value="US92935VAU26"/>
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                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3447</valUSD>
                <pctVal>0.014813253656</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-03-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>92936TAL6</cusip>
                <identifiers>
                    <isin value="US92936TAL61"/>
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                <balance>100000</balance>
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                <curCd>USD</curCd>
                <valUSD>13350</valUSD>
                <pctVal>0.057370738702</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-06-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46640LAQ5</cusip>
                <identifiers>
                    <isin value="US46640LAQ59"/>
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                <balance>16000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>11151.44</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.548</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GS MORTGAGE SECURITIES TRUST 2014-GC24</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>36253GAS1</cusip>
                <identifiers>
                    <isin value="US36253GAS12"/>
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                <balance>27000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>18701.84</valUSD>
                <pctVal>0.080369915797</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-09-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.533</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>SOUTHERN COPPER CORP</name>
                <lei>2549007U6NAP46Q9TU15</lei>
                <title>COMMON STOCK</title>
                <cusip>84265V105</cusip>
                <identifiers>
                    <isin value="US84265V1052"/>
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                <balance>797</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>49182.87</valUSD>
                <pctVal>0.211360118606</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>PE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>YUM CHINA HOLDINGS INC</name>
                <lei>529900DO9BYZ7VA3K502</lei>
                <title>COMMON STOCK</title>
                <cusip>98850P109</cusip>
                <identifiers>
                    <isin value="US98850P1093"/>
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                <balance>945</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>47098.8</valUSD>
                <pctVal>0.202403966141</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SBERBANK OF RUSSIA PJSC</name>
                <lei>549300WE6TAF5EEWQS81</lei>
                <title>COMMON STOCK - ADR</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US80585Y3080"/>
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                <balance>788</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>12647.4</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>RU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD</name>
                <lei>549300KB6NK5SBD14S87</lei>
                <title>COMMON STOCK - ADR</title>
                <cusip>874039100</cusip>
                <identifiers>
                    <isin value="US8740391003"/>
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                <balance>1957</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>235446.67</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JD.COM INC</name>
                <lei>549300HVTWB0GJZ16V92</lei>
                <title>COMMON STOCK - ADR</title>
                <cusip>47215P106</cusip>
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                    <isin value="US47215P1066"/>
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                <balance>882</balance>
                <units>NS</units>
                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>VALE SA</name>
                <lei>254900SMTWBX7RU2SR20</lei>
                <title>COMMON STOCK - ADR</title>
                <cusip>91912E105</cusip>
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                    <isin value="US91912E1055"/>
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                <balance>155</balance>
                <units>NS</units>
                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MMC NORILSK NICKEL PJSC</name>
                <lei>253400JPTEEW143W3E47</lei>
                <title>COMMON STOCK - ADR</title>
                <cusip>N/A</cusip>
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                    <isin value="US55315J1025"/>
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                <assetCat>EC</assetCat>
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                <invCountry>RU</invCountry>
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                <fairValLevel>1</fairValLevel>
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                <name>LUKOIL PJSC</name>
                <lei>549300LCJ1UJXHYBWI24</lei>
                <title>COMMON STOCK - ADR</title>
                <cusip>N/A</cusip>
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                    <isin value="US69343P1057"/>
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                <assetCat>EC</assetCat>
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                <invCountry>RU</invCountry>
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                <fairValLevel>1</fairValLevel>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XCH5</cusip>
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                    <isin value="US30711XCH52"/>
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                <balance>59574.04</balance>
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                <fairValLevel>2</fairValLevel>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XBF0</cusip>
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                    <isin value="US30711XBF06"/>
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                <balance>10917.25</balance>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-25</maturityDt>
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            <invstOrSec>
                <name>STATION PLACE SECURITIZATION TRUST SERIES 2021-10</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>857707AA1</cusip>
                <identifiers>
                    <isin value="US857707AA15"/>
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                <balance>25000</balance>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-08-08</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>.852</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR12 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>92922FZV3</cusip>
                <identifiers>
                    <isin value="US92922FZV39"/>
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                <balance>11014.55</balance>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP MORTGAGE LOAN TRUST 2007-AR5</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>17311LAA9</cusip>
                <identifiers>
                    <isin value="US17311LAA98"/>
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                <balance>21048.04</balance>
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                <curCd>USD</curCd>
                <valUSD>21050.37</valUSD>
                <pctVal>0.090462567554</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-04-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.894</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XAZ7</cusip>
                <identifiers>
                    <isin value="US30711XAZ78"/>
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                <balance>131.64</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>131.96</valUSD>
                <pctVal>0.000567089339</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.103</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATION PLACE SECURITIZATION TRUST SERIES 2021-6</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>85777PAA4</cusip>
                <identifiers>
                    <isin value="US85777PAA49"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25000</valUSD>
                <pctVal>0.107435840266</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>.902</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>MELLO WAREHOUSE SECURITIZATION TRUST 2020-2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>58551VAA0</cusip>
                <identifiers>
                    <isin value="US58551VAA08"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25000</valUSD>
                <pctVal>0.107435840266</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2053-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>.902</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MELLO WAREHOUSE SECURITIZATION TRUST 2020-1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>585505AA8</cusip>
                <identifiers>
                    <isin value="US585505AA81"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25000</valUSD>
                <pctVal>0.107435840266</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2053-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.002</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>1SHARPE MORTGAGE TRUST 2020-1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>68257LAA8</cusip>
                <identifiers>
                    <isin value="US68257LAA89"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25015</valUSD>
                <pctVal>0.10750030177</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>3</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.025</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XGQ1</cusip>
                <identifiers>
                    <isin value="US30711XGQ16"/>
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                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10962.55</valUSD>
                <pctVal>0.047110830828</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.603</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>CHL MORTGAGE PASS-THROUGH TRUST 2005-3</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>12669GTP6</cusip>
                <identifiers>
                    <isin value="US12669GTP62"/>
                </identifiers>
                <balance>5403.62</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4915.48</valUSD>
                <pctVal>0.021123948964</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>.722</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 CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XJX3</cusip>
                <identifiers>
                    <isin value="US30711XJX30"/>
                </identifiers>
                <balance>13269.22</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>13579.36</valUSD>
                <pctVal>0.058356398075</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.103</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>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XSX3</cusip>
                <identifiers>
                    <isin value="US30711XSX39"/>
                </identifiers>
                <balance>6011.01</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6135.22</valUSD>
                <pctVal>0.026365700637</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.903</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CONNECTICUT AVENUE SECURITIES TRUST 2020-R01</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20754CAF6</cusip>
                <identifiers>
                    <isin value="US20754CAF68"/>
                </identifiers>
                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10054.87</valUSD>
                <pctVal>0.043210136289</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.353</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>FREDDIE MAC STACR REMIC TRUST 2020-HQA2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35565LAH9</cusip>
                <identifiers>
                    <isin value="US35565LAH96"/>
                </identifiers>
                <balance>10878.14</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>11005.49</valUSD>
                <pctVal>0.047295362628</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.203</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>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAY5</cusip>
                <identifiers>
                    <isin value="US71647NAY58"/>
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                <balance>15000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>16312.5</valUSD>
                <pctVal>0.070101885774</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.999</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAM1</cusip>
                <identifiers>
                    <isin value="US71647NAM11"/>
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                <balance>21000</balance>
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                <curCd>USD</curCd>
                <valUSD>22653.75</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
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            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAQ2</cusip>
                <identifiers>
                    <isin value="US71647NAQ25"/>
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                <balance>10000</balance>
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                <curCd>USD</curCd>
                <valUSD>12150</valUSD>
                <pctVal>0.052213818369</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71643VAA3</cusip>
                <identifiers>
                    <isin value="US71643VAA35"/>
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                <balance>12000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>12120</valUSD>
                <pctVal>0.052084895361</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-02-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENBRIDGE INC</name>
                <lei>98TPTUM4IVMFCZBCUR27</lei>
                <title>CORPORATE BONDS</title>
                <cusip>29250NAL9</cusip>
                <identifiers>
                    <isin value="US29250NAL91"/>
                </identifiers>
                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>21936.22</valUSD>
                <pctVal>0.094269449118</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</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>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2566309"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>89307.15</valUSD>
                <pctVal>0.38379154808</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL (FX)</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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                        <amtCurSold>87872.27</amtCurSold>
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                        <amtCurPur>89307.15</amtCurPur>
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                        <settlementDt>2022-03-16</settlementDt>
                        <unrealizedAppr>-1434.88</unrealizedAppr>
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            <invstOrSec>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
                <name>UBS AG</name>
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                    <other otherDesc="Internal ID" value="2566194"/>
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                <units>NC</units>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2566196"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>187244.35</valUSD>
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                <assetCat>DFE</assetCat>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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                    <other otherDesc="Internal ID" value="2566200"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                        <amtCurSold>21440.19</amtCurSold>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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                <identifiers>
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                <fairValLevel>2</fairValLevel>
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                        <unrealizedAppr>-160</unrealizedAppr>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <identifiers>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2566204"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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                        <amtCurSold>129520.76</amtCurSold>
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                        <amtCurPur>127975.55</amtCurPur>
                        <curPur>CHF</curPur>
                        <settlementDt>2022-03-16</settlementDt>
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            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
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                <identifiers>
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                <curCd>N/A</curCd>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2566206"/>
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                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>HSBC BANK USA</counterpartyName>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
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                <identifiers>
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                <assetCat>DFE</assetCat>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2566208"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <curPur>CHF</curPur>
                        <settlementDt>2022-03-16</settlementDt>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                <cusip>N/A</cusip>
                <identifiers>
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                <isRestrictedSec>N</isRestrictedSec>

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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2566234"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>22209.84</valUSD>
                <pctVal>0.095445312903</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
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                <name>NATWEST MARKETS PLC</name>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL (FX)</counterpartyName>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
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                <derivativeInfo>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
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                <identifiers>
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                <assetCat>DFE</assetCat>
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                <invCountry>US</invCountry>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2566290"/>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <identifiers>
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                <assetCat>DFE</assetCat>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <name>NATWEST MARKETS PLC</name>
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                <name>NATWEST MARKETS PLC</name>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                    <other otherDesc="Internal ID" value="2550981"/>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2550983"/>
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                <assetCat>DFE</assetCat>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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                <lei>PT3QB789TSUIDF371261</lei>
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                <invCountry>CA</invCountry>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2550985"/>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2550987"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>129436.37</valUSD>
                <pctVal>0.556244206877</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
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                        <amtCurSold>129436.37</amtCurSold>
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                        <unrealizedAppr>1955.91</unrealizedAppr>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
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                <identifiers>
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                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
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                <fairValLevel>2</fairValLevel>
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                <name>CITIBANK N.A.</name>
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                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
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                <identifiers>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
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                <derivativeInfo>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
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                <identifiers>
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                <assetCat>DFE</assetCat>
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                <derivativeInfo>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
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                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
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                        <amtCurSold>130833.07</amtCurSold>
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                        <unrealizedAppr>159.82</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                    <other otherDesc="Internal ID" value="2550997"/>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <unrealizedAppr>-401.16</unrealizedAppr>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2551176"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>360167.59</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <unrealizedAppr>-7093.52</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2551176"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2551597"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>305699.75</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <amtCurSold>305699.75</amtCurSold>
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                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>3078.24</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551597"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>305699.76</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <amtCurSold>310168.41</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>305699.76</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551599"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>347677.15</valUSD>
                <pctVal>1.49411947006</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <amtCurSold>347677.15</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>353271.63</amtCurPur>
                        <curPur>CAD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>-5594.48</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551599"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>347677.15</valUSD>
                <pctVal>1.49411947006</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <amtCurSold>344236.41</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>347677.15</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>-3440.74</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551601"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>87195.97</valUSD>
                <pctVal>0.37471889219</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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                        <amtCurSold>87195.97</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>87703.26</amtCurPur>
                        <curPur>CAD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>-507.29</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551601"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>87195.97</valUSD>
                <pctVal>0.37471889219</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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                        <amtCurSold>86134.93</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>87195.97</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>-1061.04</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551605"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>356293.97</valUSD>
                <pctVal>1.531149681945</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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                        <amtCurSold>356293.97</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>353225.97</amtCurPur>
                        <curPur>CAD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>3068</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551605"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>356293.98</valUSD>
                <pctVal>1.53114972492</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
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                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551607"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>8853.99</valUSD>
                <pctVal>0.038049434214</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
                            <counterpartyLei>EN5TNI6CI43VEPAMHL14</counterpartyLei>
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                        <amtCurSold>8853.99</amtCurSold>
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                        <settlementDt>2022-01-19</settlementDt>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551607"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>8853.99</valUSD>
                <pctVal>0.038049434214</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
                            <counterpartyLei>EN5TNI6CI43VEPAMHL14</counterpartyLei>
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                        <amtCurSold>8904.58</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>8853.99</amtCurPur>
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                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>50.59</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
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                    <other otherDesc="Internal ID" value="2551609"/>
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                <units>NC</units>
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                <valUSD>346807.56</valUSD>
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                <assetCat>DFE</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>UBS AG</counterpartyName>
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                        <unrealizedAppr>-950.92</unrealizedAppr>
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            <invstOrSec>
                <name>UBS AG</name>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>UBS AG</counterpartyName>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551611"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                        <unrealizedAppr>345.29</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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                <cusip>N/A</cusip>
                <identifiers>
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                <balance>1</balance>
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                <assetCat>DFE</assetCat>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                        <amtCurSold>50413.34</amtCurSold>
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                        <curPur>USD</curPur>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551613"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>59843.47</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL (FX)</counterpartyName>
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                        <amtCurSold>59843.47</amtCurSold>
                        <curSold>USD</curSold>
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                        <unrealizedAppr>-940.75</unrealizedAppr>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
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                <units>NC</units>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL (FX)</counterpartyName>
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                        <amtCurSold>60159.15</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>59843.47</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>315.68</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551615"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>895991.99</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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                        <amtCurSold>10913.08</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>.01</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>10913.07</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551619"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>76444.7</valUSD>
                <pctVal>0.328516023135</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
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                        <amtCurSold>76444.7</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>76886.07</amtCurPur>
                        <curPur>CAD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>-441.37</unrealizedAppr>
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                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2551619"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>76444.7</valUSD>
                <pctVal>0.328516023135</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
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                        <amtCurSold>75515.43</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>76444.7</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>-929.27</unrealizedAppr>
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                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557069"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>196637.57</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <amtCurSold>196637.57</amtCurSold>
                        <curSold>USD</curSold>
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                        <settlementDt>2022-02-16</settlementDt>
                        <unrealizedAppr>-2637.85</unrealizedAppr>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557069"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>196637.57</valUSD>
                <pctVal>0.845036902432</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <amtCurSold>198968.74</amtCurSold>
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                        <amtCurPur>196637.57</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-02-16</settlementDt>
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                <securityLending>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557071"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1128290.69</valUSD>
                <pctVal>4.848754333775</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
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                        <amtCurSold>1128290.69</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>1142828.71</amtCurPur>
                        <curPur>JPY</curPur>
                        <settlementDt>2022-02-16</settlementDt>
                        <unrealizedAppr>-14538.02</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557071"/>
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                <balance>1</balance>
                <units>NC</units>
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                <valUSD>1128290.69</valUSD>
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                <assetCat>DFE</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
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                        <amtCurSold>1141769.26</amtCurSold>
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                        <amtCurPur>1128290.69</amtCurPur>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557833"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>186871</valUSD>
                <pctVal>0.803065716253</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <amtCurSold>186871</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>189412.32</amtCurPur>
                        <curPur>JPY</curPur>
                        <settlementDt>2022-02-16</settlementDt>
                        <unrealizedAppr>-2541.32</unrealizedAppr>
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                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557833"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>186871</valUSD>
                <pctVal>0.803065716253</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <invstOrSec>
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                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
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                    <other otherDesc="Internal ID" value="2557843"/>
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                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
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                <invCountry>GB</invCountry>
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                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
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                    <other otherDesc="Internal ID" value="2557845"/>
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                <units>NC</units>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
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                        <settlementDt>2022-02-16</settlementDt>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
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                    <other otherDesc="Internal ID" value="2557849"/>
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                <assetCat>DFE</assetCat>
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                <name>WESTPAC BANKING CORPORATION</name>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
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                <curCd>N/A</curCd>
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                <lei>1IE8VN30JCEQV1H4R804</lei>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>CURRENCY FORWARDS</title>
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                <name>JP MORGANCHASE BANK</name>
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                <name>JP MORGANCHASE BANK</name>
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            <invstOrSec>
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                <derivativeInfo>
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                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
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                <name>NATWEST MARKETS PLC</name>
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                <name>STATE STREET B AND T CO</name>
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                <lei>PT3QB789TSUIDF371261</lei>
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                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>140451.82</valUSD>
                <pctVal>0.603582371943</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
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                    <other otherDesc="Internal ID" value="2550940"/>
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                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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                        <amtCurSold>142776.67</amtCurSold>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2550955"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>346096.29</valUSD>
                <pctVal>1.487325829163</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <amtCurSold>346096.29</amtCurSold>
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                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>-8482.77</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2550955"/>
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                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <amtCurSold>351859.48</amtCurSold>
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                        <amtCurPur>346096.29</amtCurPur>
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                <securityLending>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2550957"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>106075.02</valUSD>
                <pctVal>0.455850356197</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
                            <counterpartyLei>EN5TNI6CI43VEPAMHL14</counterpartyLei>
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                        <amtCurSold>106075.02</amtCurSold>
                        <curSold>USD</curSold>
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                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>-3848.84</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2550957"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <pctVal>0.455850356197</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
                            <counterpartyLei>EN5TNI6CI43VEPAMHL14</counterpartyLei>
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                        <amtCurSold>107163.68</amtCurSold>
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                        <amtCurPur>106075.02</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>1088.66</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2550975"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>99241.82</valUSD>
                <pctVal>0.426485132849</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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                        <amtCurSold>99241.82</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>97078.06</amtCurPur>
                        <curPur>AUD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
                        <unrealizedAppr>2163.76</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2550975"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>99241.82</valUSD>
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                <assetCat>DFE</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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                        <amtCurSold>99359.35</amtCurSold>
                        <curSold>AUD</curSold>
                        <amtCurPur>99241.82</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-01-19</settlementDt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>INTERCONTINENTAL EXCHANGE INC</name>
                <lei>5493004R83R1LVX2IL36</lei>
                <title>Credit Default Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2547971"/>
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                <balance>1324000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>120815</valUSD>
                <pctVal>0.519194441669</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>INTERCONTINENTAL EXCHANGE INC</counterpartyName>
                            <counterpartyLei>5493004R83R1LVX2IL36</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="NA HY Series 37 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>124984.28</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1324000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1962.61</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MITSUBISHI UFJ TRUST  AND  BANKING CORP/SINGAPORE</name>
                <lei>JBONEPAGQXF4QP29B387</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2554945"/>
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                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249956.44</valUSD>
                <pctVal>1.074171206451</pctVal>
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                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>SG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-02-18</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MANHATTAN ASSET FUNDING CO LLC</name>
                <lei>549300S0NSJYSOB32S63</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557010"/>
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                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249946.14</valUSD>
                <pctVal>1.074126942884</pctVal>
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                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-02-16</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LIBERTY STREET FUNDING LLC</name>
                <lei>549300F33VRHM10B9391</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557717"/>
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                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249916.68</valUSD>
                <pctVal>1.074000340491</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>NATIONWIDE BUILDING SOCIETY</name>
                <lei>549300XFX12G42QIKN82</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2558640"/>
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                <balance>250000</balance>
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                <curCd>USD</curCd>
                <valUSD>249982.16</valUSD>
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                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-24</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FMS WERTMANAGEMENT</name>
                <lei>HZFDOR6TCRSIQLKQTX32</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2559243"/>
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                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249944.01</valUSD>
                <pctVal>1.074117789352</pctVal>
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                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-02-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CANADIAN IMPERIAL BANK OF COMMERCE</name>
                <lei>2IGI19DL77OX0HC3ZE78</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570501"/>
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                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249977.57</valUSD>
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                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-02-07</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FAIRWAY FINANCE CO LLC</name>
                <lei>549300GKD6SUOVFV4H89</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2559551"/>
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                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249951.03</valUSD>
                <pctVal>1.074147957335</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2022-02-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>NRW BANK</name>
                <lei>52990002O5KK6XOGJ020</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2560904"/>
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                <balance>250000</balance>
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                <curCd>USD</curCd>
                <valUSD>249966.66</valUSD>
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                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2022-03-01</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ATLANTIC ASSET SECURITIZATION LLC</name>
                <lei>549300BUNY5BIX4CVW20</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2561150"/>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2022-02-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>SKANDINAVISKA ENSKILDA BANKEN AB</name>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2569219"/>
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                <balance>250000</balance>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2022-03-24</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CORPORATE ASSET FUNDING CO INC</name>
                <lei>N/A</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570380"/>
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                <balance>250000</balance>
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                <curCd>USD</curCd>
                <valUSD>249793.88</valUSD>
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                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>COLLATERALIZED COMMERCIAL PAPER V CO LLC</name>
                <lei>549300ZLXI3T111CH173</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2559322"/>
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                <balance>250000</balance>
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                <curCd>USD</curCd>
                <valUSD>249989</valUSD>
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                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-18</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CHICAGO MERCANTILE EXCHANGE</name>
                <lei>SNZ2OJLFK8MNNCLQOF39</lei>
                <title>EQUITY INDEX FUTURE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="ESH2INDEX"/>
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                <balance>18</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4282650</valUSD>
                <pctVal>18.404404052595</pctVal>
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                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
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                    <futrDeriv derivCat="FUT">
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                            <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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                        <payOffProf>Long</payOffProf>
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                            <indexBasketInfo>
<indexName>S&amp;P 500 INDEX</indexName>
<indexIdentifier>SPX</indexIdentifier>
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                        <expDate>2022-01-18</expDate>
                        <notionalAmt>4193890.27</notionalAmt>
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                        <unrealizedAppr>88759.73</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HEALTH CARE SELECT SECTOR SPDR FUND</name>
                <lei>549300EJNY3KKJHPOY44</lei>
                <title>EXCHANGE TRADED FUND</title>
                <cusip>81369Y209</cusip>
                <identifiers>
                    <isin value="US81369Y2090"/>
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                <balance>2766</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>389701.74</valUSD>
                <pctVal>1.6747173556</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>RF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FINANCIAL SELECT SECTOR SPDR FUND</name>
                <lei>549300Y12KQ6ZG08NY28</lei>
                <title>EXCHANGE TRADED FUND</title>
                <cusip>81369Y605</cusip>
                <identifiers>
                    <isin value="US81369Y6059"/>
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                <balance>16564</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>646824.2</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>RF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>REAL ESTATE SELECT SECTOR SPDR FUND</name>
                <lei>549300SPMSTD3BRHL041</lei>
                <title>EXCHANGE TRADED FUND</title>
                <cusip>81369Y860</cusip>
                <identifiers>
                    <isin value="US81369Y8600"/>
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                <balance>7269</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>376606.89</valUSD>
                <pctVal>1.618443107083</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>RF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ENERGY SELECT SECTOR SPDR FUND</name>
                <lei>54930064FLK0RD4TRU75</lei>
                <title>EXCHANGE TRADED FUND</title>
                <cusip>81369Y506</cusip>
                <identifiers>
                    <isin value="US81369Y5069"/>
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                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>705072</valUSD>
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                <assetCat>EC</assetCat>
                <issuerCat>RF</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>1</fairValLevel>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
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                    <isin value="US3137F7W680"/>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
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                    <isin value="US3137B1HN54"/>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
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                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
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                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FHLMC CMO IO</title>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
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                    <isin value="US3137FCPP37"/>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137B2FV7</cusip>
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                    <isin value="US3137B2FV71"/>
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                <balance>21075.64</balance>
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                <curCd>USD</curCd>
                <valUSD>1262.96</valUSD>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ARGB8</cusip>
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                    <isin value="US3136ARGB82"/>
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                <balance>115823.67</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20197.33</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-02-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AX4V4</cusip>
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                    <isin value="US3136AX4V48"/>
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                <balance>194541.24</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30093</valUSD>
                <pctVal>0.129322669645</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.648</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ATSW5</cusip>
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                    <isin value="US3136ATSW57"/>
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                <balance>45809.6</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8144.25</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.998</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136B0RS7</cusip>
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                    <isin value="US3136B0RS76"/>
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                <balance>53373.45</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10490.07</valUSD>
                <pctVal>0.045080379396</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.048</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AWLG0</cusip>
                <identifiers>
                    <isin value="US3136AWLG00"/>
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                <balance>50235.75</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8079.4</valUSD>
                <pctVal>0.034720685114</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-05-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AUTB7</cusip>
                <identifiers>
                    <isin value="US3136AUTB74"/>
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                <balance>69344.12</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>12693.44</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.898</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BAR55</cusip>
                <identifiers>
                    <isin value="US3136BAR550"/>
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                <balance>108187.64</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14313.97</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-07-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136B84H9</cusip>
                <identifiers>
                    <isin value="US3136B84H91"/>
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                <balance>55752.2</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9215.77</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.948</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BCS43</cusip>
                <identifiers>
                    <isin value="US3136BCS430"/>
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                <balance>231491.23</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>26632.12</valUSD>
                <pctVal>0.114449767611</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-12-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136B2KT8</cusip>
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                    <isin value="US3136B2KT88"/>
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                <balance>96721.59</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>16175.7</valUSD>
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                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-07-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AU4G3</cusip>
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                    <isin value="US3136AU4G35"/>
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                <balance>73373.43</balance>
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                <curCd>USD</curCd>
                <valUSD>13692.95</valUSD>
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                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.998</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ARFT0</cusip>
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                    <isin value="US3136ARFT00"/>
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                <balance>29786.61</balance>
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                <curCd>USD</curCd>
                <valUSD>6101.73</valUSD>
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                <debtSec>
                    <maturityDt>2046-02-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ADQT9</cusip>
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                    <isin value="US3136ADQT94"/>
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                <balance>38622.27</balance>
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                <curCd>USD</curCd>
                <valUSD>1311.23</valUSD>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2042-02-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AA5E1</cusip>
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                    <isin value="US3136AA5E12"/>
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                <valUSD>2419.81</valUSD>
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                <debtSec>
                    <maturityDt>2043-01-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136A97A0</cusip>
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                    <isin value="US3136A97A03"/>
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                <balance>9022.22</balance>
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                <curCd>USD</curCd>
                <valUSD>467</valUSD>
                <pctVal>0.002006901496</pctVal>
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                <issuerCat>USGSE</issuerCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-11-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ADFW4</cusip>
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                    <isin value="US3136ADFW43"/>
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                <balance>8034.01</balance>
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                <curCd>USD</curCd>
                <valUSD>127.99</valUSD>
                <pctVal>0.000550028528</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-06-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AHZJ2</cusip>
                <identifiers>
                    <isin value="US3136AHZJ26"/>
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                <balance>33215.27</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7285.41</valUSD>
                <pctVal>0.031308565801</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.498</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
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                    <isin value="US01F0226187"/>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
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                    <isin value="US01F0326177"/>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
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                <cusip>01F040610</cusip>
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                    <isin value="US01F0406102"/>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F020612</cusip>
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                    <isin value="US01F0206122"/>
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                <curCd>USD</curCd>
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                <issuerCat>USGSE</issuerCat>
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                <fairValLevel>2</fairValLevel>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F030611</cusip>
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                    <isin value="US01F0306112"/>
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                <curCd>USD</curCd>
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                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2052-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38377XUL45"/>
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                <curCd>USD</curCd>
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                <issuerCat>USGA</issuerCat>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2040-10-20</maturityDt>
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                    <annualizedRt>5</annualizedRt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382LNV9</cusip>
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                    <isin value="US38382LNV98"/>
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                <curCd>USD</curCd>
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                <issuerCat>USGA</issuerCat>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2050-11-20</maturityDt>
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                    <annualizedRt>2.5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378GPL6</cusip>
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                    <isin value="US38378GPL67"/>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2041-11-20</maturityDt>
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                    <annualizedRt>3.5</annualizedRt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378FR44</cusip>
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                    <isin value="US38378FR447"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2042-11-20</maturityDt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38378VWX99"/>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38375AX251"/>
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            <invstOrSec>
                <name>GNMA</name>
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                    <isin value="US38378WY497"/>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38376VHX82"/>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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                    <isin value="US38375AXQ20"/>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38377TWW79"/>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2050-03-20</maturityDt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-02-20</maturityDt>
                    <couponKind>Fixed</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38379GRX78"/>
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                <balance>3760.16</balance>
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                <curCd>USD</curCd>
                <valUSD>8.83</valUSD>
                <pctVal>0.000037946339</pctVal>
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                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2036-10-20</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379JVV0</cusip>
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                    <isin value="US38379JVV06"/>
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                <balance>21627.76</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2264.43</valUSD>
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                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-02-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379LL46</cusip>
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                    <isin value="US38379LL461"/>
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                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6781.64</valUSD>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2045-04-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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                    <isin value="US38378U3A34"/>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <couponKind>Fixed</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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                    <isin value="US38378F5A41"/>
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                <curCd>USD</curCd>
                <valUSD>3881.07</valUSD>
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                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-12-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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                    <isin value="US38379HDV42"/>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2044-02-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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                    <isin value="US38378TJA97"/>
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                <curCd>USD</curCd>
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                <assetCat>ABS-MBS</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2039-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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                    <isin value="US38375UVZ01"/>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-03-20</maturityDt>
                    <couponKind>Variable</couponKind>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RAF3</cusip>
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                    <isin value="US38376RAF38"/>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38376RAJ59"/>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2065-04-20</maturityDt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38376REB87"/>
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            <invstOrSec>
                <name>GNMA</name>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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            <invstOrSec>
                <name>GNMA</name>
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            <invstOrSec>
                <name>GNMA</name>
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            <invstOrSec>
                <name>GNMA</name>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-09-20</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RJF4</cusip>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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            <invstOrSec>
                <name>GNMA</name>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380BUS2</cusip>
                <identifiers>
                    <isin value="US38380BUS23"/>
                </identifiers>
                <balance>54588.84</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9845.1</valUSD>
                <pctVal>0.04230866364</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-11-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38377JYM9</cusip>
                <identifiers>
                    <isin value="US38377JYM97"/>
                </identifiers>
                <balance>112799.52</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>15306.03</valUSD>
                <pctVal>0.065776647767</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-01-16</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.573</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380XYB7</cusip>
                <identifiers>
                    <isin value="US38380XYB71"/>
                </identifiers>
                <balance>61035.92</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9261.2</valUSD>
                <pctVal>0.039799392155</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-07-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.146</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379HFK6</cusip>
                <identifiers>
                    <isin value="US38379HFK68"/>
                </identifiers>
                <balance>90609.57</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>18327.6</valUSD>
                <pctVal>0.078761644242</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-12-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380X5F0</cusip>
                <identifiers>
                    <isin value="US38380X5F03"/>
                </identifiers>
                <balance>38889.52</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5913.54</valUSD>
                <pctVal>0.025413045554</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-08-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.096</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379YFD5</cusip>
                <identifiers>
                    <isin value="US38379YFD58"/>
                </identifiers>
                <balance>16020.12</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1209.25</valUSD>
                <pctVal>0.005196671594</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-08-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380YYB5</cusip>
                <identifiers>
                    <isin value="US38380YYB54"/>
                </identifiers>
                <balance>23032.56</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2986.63</valUSD>
                <pctVal>0.012834844145</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-07-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380LAB9</cusip>
                <identifiers>
                    <isin value="US38380LAB99"/>
                </identifiers>
                <balance>90570.92</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7698.53</valUSD>
                <pctVal>0.033083921574</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2068-02-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.371</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38381AY26</cusip>
                <identifiers>
                    <isin value="US38381AY265"/>
                </identifiers>
                <balance>132139.95</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20941.54</valUSD>
                <pctVal>0.089994877855</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-09-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382AAK1</cusip>
                <identifiers>
                    <isin value="US38382AAK16"/>
                </identifiers>
                <balance>40805.9</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5979.82</valUSD>
                <pctVal>0.025697879454</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-08-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.996</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379WUZ3</cusip>
                <identifiers>
                    <isin value="US38379WUZ30"/>
                </identifiers>
                <balance>48761.64</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9236.12</valUSD>
                <pctVal>0.03969161252</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-04-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.946</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RAY2</cusip>
                <identifiers>
                    <isin value="US38376RAY27"/>
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                <balance>247737.16</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14593.27</valUSD>
                <pctVal>0.062713608987</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-05-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.885</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>ORIENTAL REPUBLIC OF URUGUAY</name>
                <lei>549300RDR012H2V82H43</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>760942BB7</cusip>
                <identifiers>
                    <isin value="US760942BB71"/>
                </identifiers>
                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78575</valUSD>
                <pctVal>0.337670845956</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>UY</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</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>UNITED MEXICAN STATES</name>
                <lei>254900EGTWEU67VP6075</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>91086QBE7</cusip>
                <identifiers>
                    <isin value="US91086QBE70"/>
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                <balance>44000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52635.44</valUSD>
                <pctVal>0.226197308967</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-01-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.55</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>CHICAGO BOARD OF TRADE</name>
                <lei>549300EX04Q2QBFQTQ27</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="TUH2COMDTY"/>
                </identifiers>
                <balance>18</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3927093.77</valUSD>
                <pctVal>16.876424759321</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <derivativeInfo>
                    <futrDeriv derivCat="FUT">
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                            <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
                            <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
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                        <payOffProf>Short</payOffProf>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>UNITED STATES OF AMERICA</issuerName>
<issueTitle>US TREASURY N/B               02.6250 12/31/2023</issueTitle>
<identifiers>
    <cusip value="9128285U0"/>
</identifiers>
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                        <expDate>2022-01-05</expDate>
                        <notionalAmt>3930584.48</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3490.71</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CHICAGO BOARD OF TRADE</name>
                <lei>549300EX04Q2QBFQTQ27</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="FVH2COMDTY"/>
                </identifiers>
                <balance>34</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4113203.14</valUSD>
                <pctVal>17.676217421214</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>CHICAGO BOARD OF TRADE</counterpartyName>
                            <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
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                        <payOffProf>Short</payOffProf>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>UNITED STATES OF AMERICA</issuerName>
<issueTitle>US TREASURY N/B               00.7500 05/31/2026</issueTitle>
<identifiers>
    <cusip value="91282CCF6"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2022-01-05</expDate>
                        <notionalAmt>4095329.75</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-17873.39</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CHICAGO BOARD OF TRADE</name>
                <lei>549300EX04Q2QBFQTQ27</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="TYH2COMDTY"/>
                </identifiers>
                <balance>84</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10959375</valUSD>
                <pctVal>47.097186476575</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>CHICAGO BOARD OF TRADE</counterpartyName>
                            <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                        </counterparties>
                        <payOffProf>Long</payOffProf>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>UNITED STATES OF AMERICA</issuerName>
<issueTitle>US TREASURY N/B               03.1250 11/15/2028</issueTitle>
<identifiers>
    <cusip value="9128285M8"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2022-01-31</expDate>
                        <notionalAmt>10831642.14</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>127732.86</unrealizedAppr>
                    </futrDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Inflation Swap Leg</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2542098"/>
                </identifiers>
                <balance>3191000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>83157.46</valUSD>
                <pctVal>0.357363663579</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7375"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USA Non Revised Consumer Price Index- Urban (CPI-U)" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2026-09-13</terminationDt>
                        <upfrontPmnt>32.23</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3191000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-83189.69</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Inflation Swap Leg</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2542159"/>
                </identifiers>
                <balance>1018000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>39600.2</valUSD>
                <pctVal>0.170179230468</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.78"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USA Non Revised Consumer Price Index- Urban (CPI-U)" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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                        </floatingPmntDesc>
                        <terminationDt>2032-01-15</terminationDt>
                        <upfrontPmnt>18.53</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1018000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-39618.73</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567626"/>
                </identifiers>
                <balance>26000</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".72755"/>
                <valUSD>10.21</valUSD>
                <pctVal>0.000043876797</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="2.04"/>
                        <floatingPmntDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>48.47</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>26000</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>58.68</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567659"/>
                </identifiers>
                <balance>229000</balance>
                <units>NC</units>
                <currencyConditional curCd="CAD" exchangeRt=".790545081"/>
                <valUSD>1221.99</valUSD>
                <pctVal>0.005251420898</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="CAD" fixedOrFloating="Fixed" fixedRt="2.08"/>
                        <floatingPmntDesc curCd="CAD" fixedOrFloating="Floating" floatingRtIndex="3 month CAD-BA-CDOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>621.08</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>229000</notionalAmt>
                        <curCd>CAD</curCd>
                        <unrealizedAppr>1843.07</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567681"/>
                </identifiers>
                <balance>483000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1748.46</valUSD>
                <pctVal>0.007513890771</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.385"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>826.6</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>483000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>921.86</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567687"/>
                </identifiers>
                <balance>2768000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1688.48</valUSD>
                <pctVal>0.007256130703</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".9"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2024-03-16</terminationDt>
                        <upfrontPmnt>1482.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2768000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>205.98</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567691"/>
                </identifiers>
                <balance>994000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3916.36</valUSD>
                <pctVal>0.016830297095</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.25"/>
                        <terminationDt>2027-03-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>4468.59</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>994000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>552.23</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2571236"/>
                </identifiers>
                <balance>1129000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1298.35</valUSD>
                <pctVal>0.005579572928</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.3265"/>
                        <terminationDt>2032-01-03</terminationDt>
                        <upfrontPmnt>14.97</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1129000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1313.32</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567697"/>
                </identifiers>
                <balance>48000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1611.36</valUSD>
                <pctVal>0.006924712623</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.6"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
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                        <terminationDt>2052-03-16</terminationDt>
                        <upfrontPmnt>1758.96</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>48000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-147.6</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567854"/>
                </identifiers>
                <balance>304000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1385"/>
                <valUSD>6347.55</valUSD>
                <pctVal>0.027278174715</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".15"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        </floatingPmntDesc>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>1514.53</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>304000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-4833.02</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567876"/>
                </identifiers>
                <balance>2056000</balance>
                <units>NC</units>
                <currencyConditional curCd="NOK" exchangeRt=".113551845"/>
                <valUSD>4790.65</valUSD>
                <pctVal>0.020587500327</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="NOK" fixedOrFloating="Floating" floatingRtIndex="6 month NOK-NIBOR-NIBR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="NOK" fixedOrFloating="Fixed" fixedRt="1.695"/>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>598.84</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2056000</notionalAmt>
                        <curCd>NOK</curCd>
                        <unrealizedAppr>4191.81</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567900"/>
                </identifiers>
                <balance>754000</balance>
                <units>NC</units>
                <currencyConditional curCd="SEK" exchangeRt=".110665988"/>
                <valUSD>1204.07</valUSD>
                <pctVal>0.005174410888</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="SEK" fixedOrFloating="Floating" floatingRtIndex="3 month SEK-STIBOR-SIDE" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="SEK" fixedOrFloating="Fixed" fixedRt=".85"/>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>26.81</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>754000</notionalAmt>
                        <curCd>SEK</curCd>
                        <unrealizedAppr>1177.26</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2568274"/>
                </identifiers>
                <balance>271000</balance>
                <units>NC</units>
                <currencyConditional curCd="CHF" exchangeRt="1.097453907"/>
                <valUSD>5549.67</valUSD>
                <pctVal>0.023849338386</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="CHF" fixedOrFloating="Fixed" fixedRt="0"/>
                        <floatingPmntDesc curCd="CHF" fixedOrFloating="Floating" floatingRtIndex="Swiss Average Rate Overnight" floatingRtSpread=".07" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>473.86</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>271000</notionalAmt>
                        <curCd>CHF</curCd>
                        <unrealizedAppr>-5075.81</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570370"/>
                </identifiers>
                <balance>31000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>79.98</valUSD>
                <pctVal>0.00034370874</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0.34">
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<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-9.96" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.285"/>
                        <terminationDt>2031-12-23</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>3.74</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>31000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>73.8</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570486"/>
                </identifiers>
                <balance>5000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3.85</valUSD>
                <pctVal>0.000016545119</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="1.22" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.096"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-0.06">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2026-12-24</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0.32</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>5000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2.32</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570490"/>
                </identifiers>
                <balance>4000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10.36</valUSD>
                <pctVal>0.000044521412</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0.04">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1.14" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.285"/>
                        <terminationDt>2031-12-24</terminationDt>
                        <upfrontPmnt>1.78</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>7.44</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570496"/>
                </identifiers>
                <balance>6000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25.68</valUSD>
                <pctVal>0.000110358095</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="1.91" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.435"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-0.07">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2051-12-24</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>1.2</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>6000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-22.58</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567613"/>
                </identifiers>
                <balance>322000</balance>
                <units>NC</units>
                <currencyConditional curCd="NZD" exchangeRt=".6849"/>
                <valUSD>1779.74</valUSD>
                <pctVal>0.007648314494</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="NZD" fixedOrFloating="Floating" floatingRtIndex="3 month NZD-BBR-FRA" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="NZD" fixedOrFloating="Fixed" fixedRt="2.59"/>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>830.82</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>322000</notionalAmt>
                        <curCd>NZD</curCd>
                        <unrealizedAppr>948.92</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567590"/>
                </identifiers>
                <balance>89000</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.35355"/>
                <valUSD>1282.96</valUSD>
                <pctVal>0.005513435425</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="Sterling Overnight Index Average" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".85"/>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>752.59</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>89000</notionalAmt>
                        <curCd>GBP</curCd>
                        <unrealizedAppr>2035.55</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567695"/>
                </identifiers>
                <balance>1145000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5770.8</valUSD>
                <pctVal>0.02479962988</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.4"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2032-03-16</terminationDt>
                        <upfrontPmnt>7573.02</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1145000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1802.22</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>LEVERAGED COMMODITY LINKED NOTES</title>
                <cusip>17328YGS7</cusip>
                <identifiers>
                    <ticker value="SPGCLEP.3X.CITI.WT"/>
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                <balance>80000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>137857.92</valUSD>
                <pctVal>0.592435258901</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>COMM</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS HOLDINGS INC/UNITED STATES</name>
                <lei>82VOJDD5PTRDMVVMGV31</lei>
                <title>LEVERAGED COMMODITY LINKED NOTES</title>
                <cusip>173074JQ9</cusip>
                <identifiers>
                    <ticker value="CIMACT10.3X.CITI.144A.WT4"/>
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                <balance>366000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>372000.65</valUSD>
                <pctVal>1.598648096489</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>COMM</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>LEVERAGED COMMODITY LINKED NOTES</title>
                <cusip>17328YQ80</cusip>
                <identifiers>
                    <ticker value="CVIC4X30.3X.CGMHI.WT5"/>
                </identifiers>
                <balance>386000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>563395.56</valUSD>
                <pctVal>2.421155015628</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>COMM</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA</name>
                <lei>N/A</lei>
                <title>LEVERAGED COMMODITY LINKED NOTES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="MLBX4SX6.3X.BOFA.144A.WT9"/>
                </identifiers>
                <balance>340000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>397419.4</valUSD>
                <pctVal>1.707883487079</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>COMM</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1452723"/>
                </identifiers>
                <balance>3996.39</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1118.19</valUSD>
                <pctVal>0.004805347289</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>246.94</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-868.92</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1452729"/>
                </identifiers>
                <balance>1998.2</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>559.1</valUSD>
                <pctVal>0.002402695132</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>120.53</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1998.2</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-437.4</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1453320"/>
                </identifiers>
                <balance>999.1</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>279.55</valUSD>
                <pctVal>0.001201347566</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>68.35</upfrontRcpt>
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                        <notionalAmt>999.1</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-210.62</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1458394"/>
                </identifiers>
                <balance>3996.39</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1118.19</valUSD>
                <pctVal>0.004805347289</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="2.33" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>228</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3996.39</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-887.86</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1519720"/>
                </identifiers>
                <balance>7992.78</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2236.38</valUSD>
                <pctVal>0.009610694578</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="4.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>886.88</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>7992.78</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1344.83</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1729264"/>
                </identifiers>
                <balance>25000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5020</valUSD>
                <pctVal>0.021573116725</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="14.58" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>140.53</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>25000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4864.89</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1774778"/>
                </identifiers>
                <balance>16320</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7192.22</valUSD>
                <pctVal>0.030908087963</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <fixedPmntDesc amount="-15.9" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>300.06</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>16320</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>6876.26</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1866782"/>
                </identifiers>
                <balance>8991.88</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2515.93</valUSD>
                <pctVal>0.010812042144</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>435.43</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>8991.88</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2075.25</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1868210"/>
                </identifiers>
                <balance>107000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>21485.6</valUSD>
                <pctVal>0.092332939585</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>7908.9</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>107000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-13514.28</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1868357"/>
                </identifiers>
                <balance>20000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4016</valUSD>
                <pctVal>0.01725849338</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>1478.3</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>20000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2526.03</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1870035"/>
                </identifiers>
                <balance>17983.76</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5031.86</valUSD>
                <pctVal>0.021624084288</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                    <other otherDesc="Internal ID" value="1870540"/>
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                <balance>6993.69</balance>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="1885755"/>
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                <balance>35967.53</balance>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="1888115"/>
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                <balance>17000</balance>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <unrealizedAppr>-1955.55</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="1888135"/>
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                <balance>8000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
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                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>

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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>8000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-906.66</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1890108"/>
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                <balance>54000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.078227902988</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <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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                        <swapFlag>Y</swapFlag>
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                        <fixedPmntDesc amount="-52.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>9021.09</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1909276"/>
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                <balance>50000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10040</valUSD>
                <pctVal>0.043146233451</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2047-01-17</terminationDt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-6058.62</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1909278"/>
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                <balance>57947.68</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.069677557179</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1926796"/>
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                <balance>15985.57</balance>
                <units>NC</units>
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                <pctVal>0.019221389156</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <derivativeInfo>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1926810"/>
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                <balance>7992.78</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-1598.69</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1927336"/>
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                <balance>2997.29</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.003603999723</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-577.84</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="1930355"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                    <other otherDesc="Internal ID" value="1930815"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="1932875"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="1934555"/>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="1938075"/>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="1964975"/>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2001677"/>
                </identifiers>
                <balance>5994.59</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1677.29</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <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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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>5994.59</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1012.35</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2026657"/>
                </identifiers>
                <balance>62000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.02608456253</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-2068.97</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2031937"/>
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                <balance>15000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.021729973052</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>15000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2303.57</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2048902"/>
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                <balance>6000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>587.4</valUSD>
                <pctVal>0.002524312503</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="2.33" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>309.07</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>6000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-276</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2060168"/>
                </identifiers>
                <balance>38000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7630.4</valUSD>
                <pctVal>0.032791137423</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-22.17" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>3871.83</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>38000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3736.4</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2194334"/>
                </identifiers>
                <balance>6000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1653</valUSD>
                <pctVal>0.007103657758</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-5.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>800.54</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>6000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>846.63</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2200314"/>
                </identifiers>
                <balance>966.31</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>365.75</valUSD>
                <pctVal>0.001571786343</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <fixedPmntDesc amount="-0.94" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
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                        <upfrontRcpt>0</upfrontRcpt>
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                        <notionalAmt>966.31</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>189.59</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2200335"/>
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                <balance>966.31</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>365.75</valUSD>
                <pctVal>0.001571786343</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <fixedPmntDesc amount="-0.94" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
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                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>966.31</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>189.21</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2206575"/>
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                <balance>6000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1653</valUSD>
                <pctVal>0.007103657758</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <fixedPmntDesc amount="-5.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>713.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>6000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>933.67</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2225623"/>
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                <balance>9000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>823.5</valUSD>
                <pctVal>0.003538936578</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <fixedPmntDesc amount="-8.75" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2054-11-18</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>9000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-351.29</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2229474"/>
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                <balance>3000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>826.5</valUSD>
                <pctVal>0.003551828879</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2230839"/>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                    <other otherDesc="Internal ID" value="2256534"/>
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                <balance>6000</balance>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2256536"/>
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                <balance>3000</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>328.73</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2256554"/>
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                <balance>3000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                    <other otherDesc="Internal ID" value="2256618"/>
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                <balance>3000</balance>
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                <payoffProfile>N/A</payoffProfile>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <unrealizedAppr>332.78</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                    <other otherDesc="Internal ID" value="2276894"/>
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                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <unrealizedAppr>-2859.84</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                    <other otherDesc="Internal ID" value="2276899"/>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                    <other otherDesc="Internal ID" value="2276936"/>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                    <other otherDesc="Internal ID" value="2278794"/>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2293634"/>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2348185"/>
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                <balance>9000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.008930496786</pctVal>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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                <securityLending>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2348236"/>
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                <balance>6000</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2361761"/>
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                <balance>16320</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-4737.65</unrealizedAppr>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2361879"/>
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                <balance>396641.89</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>110980.4</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>25280.53</upfrontRcpt>
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                        <notionalAmt>396641.89</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-85468.29</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2361906"/>
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                <balance>9000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3033.9</valUSD>
                <pctVal>0.013037983831</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="8.75" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>459.3</upfrontRcpt>
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                        <notionalAmt>9000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2565.85</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2363855"/>
                </identifiers>
                <balance>64941.37</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>18170.6</valUSD>
                <pctVal>0.078086947165</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="37.92" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>4306.24</upfrontRcpt>
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                        <notionalAmt>64941.37</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-13826.44</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2379458"/>
                </identifiers>
                <balance>7000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>640.5</valUSD>
                <pctVal>0.002752506228</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <fixedPmntDesc amount="-6.81" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2054-11-18</terminationDt>
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                        <notionalAmt>7000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2825.96</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2382558"/>
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                <balance>189000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>37951.2</valUSD>
                <pctVal>0.163092762444</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>189000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-6529.23</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2382573"/>
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                <balance>755318.06</balance>
                <units>NC</units>
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                <valUSD>211337.99</valUSD>
                <pctVal>0.90821098143</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2471053"/>
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                <balance>190827.71</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.229455408259</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <unrealizedAppr>-1817.61</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>COSCO SHIPPING HOLDINGS CO LTD</name>
                <lei>3003009XI0QGYYA29S17</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CNE1000002J7"/>
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                <balance>25850</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>50191.94</valUSD>
                <pctVal>0.215696529939</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EMAMI LTD</name>
                <lei>335800CCQHJCDEUS7G90</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="INE548C01032"/>
                </identifiers>
                <balance>1870</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>13046.94</valUSD>
                <pctVal>0.056068358472</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HANA FINANCIAL GROUP INC</name>
                <lei>N/A</lei>
                <title>ORDINARY SHARES</title>
                <cusip>Y29975102</cusip>
                <identifiers>
                    <isin value="KR7086790003"/>
                </identifiers>
                <balance>1350</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>47540.53</valUSD>
                <pctVal>0.204302271489</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COCA-COLA ICECEK AS</name>
                <lei>789000WT80VVLUWJDK41</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TRECOLA00011"/>
                </identifiers>
                <balance>771</balance>
                <units>NS</units>
                <currencyConditional curCd="TRY" exchangeRt=".075591504"/>
                <valUSD>5160.79</valUSD>
                <pctVal>0.022178152403</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHINA MERCHANTS BANK CO LTD</name>
                <lei>549300MKO5B60FFIHF58</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CNE1000002M1"/>
                </identifiers>
                <balance>500</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>3885.84</valUSD>
                <pctVal>0.016699139422</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TECH MAHINDRA LTD</name>
                <lei>3358005FZUZ1I25XQH69</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="INE669C01036"/>
                </identifiers>
                <balance>2347</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>56423.83</valUSD>
                <pctVal>0.242477663483</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHINA COAL ENERGY CO LTD</name>
                <lei>529900KRC89344UI3Z10</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CNE100000528"/>
                </identifiers>
                <balance>7000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>4040.19</valUSD>
                <pctVal>0.017362448299</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HAITIAN INTERNATIONAL HOLDINGS LTD</name>
                <lei>30030093DDRS825TVP62</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG4232C1087"/>
                </identifiers>
                <balance>8000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>22216.79</valUSD>
                <pctVal>0.095475180066</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MARFRIG GLOBAL FOODS SA</name>
                <lei>391200219USWMOBN3F92</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="BRMRFGACNOR0"/>
                </identifiers>
                <balance>3400</balance>
                <units>NS</units>
                <currencyConditional curCd="BRL" exchangeRt=".179533214"/>
                <valUSD>13471.81</valUSD>
                <pctVal>0.05789420909</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MINDTREE LTD</name>
                <lei>335800IGQJMVUTVR2N49</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="INE018I01017"/>
                </identifiers>
                <balance>777</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>49849.01</valUSD>
                <pctVal>0.214222811031</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BOSIDENG INTERNATIONAL HOLDINGS LTD</name>
                <lei>254900G7F1RDM4B3S169</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG126521064"/>
                </identifiers>
                <balance>20000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>12594.98</valUSD>
                <pctVal>0.054126090377</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>HK</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WANT WANT CHINA HOLDINGS LTD</name>
                <lei>5299005HZCEKX4O1J230</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG9431R1039"/>
                </identifiers>
                <balance>51000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>46830.09</valUSD>
                <pctVal>0.201249202755</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GLOW ENERGY PCL</name>
                <lei>N/A</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TH0834010017"/>
                </identifiers>
                <balance>700</balance>
                <units>NS</units>
                <currencyConditional curCd="THB" exchangeRt=".029935638"/>
                <valUSD>0.21</valUSD>
                <pctVal>0.000000902461</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>3</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>KB FINANCIAL GROUP INC</name>
                <lei>529900TKE4MXG3Q6GW86</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KR7105560007"/>
                </identifiers>
                <balance>1092</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>50336.17</valUSD>
                <pctVal>0.216316348789</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>POWERLONG REAL ESTATE HOLDINGS LTD</name>
                <lei>549300R3K12EPXCGDP22</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG720051047"/>
                </identifiers>
                <balance>14000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>7331.14</valUSD>
                <pctVal>0.03150508744</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHINA MINSHENG BANKING CORP LTD</name>
                <lei>549300HBUGSQD1VCXG94</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CNE100000HF9"/>
                </identifiers>
                <balance>43500</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>16626.56</valUSD>
                <pctVal>0.071451537773</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZHONGSHENG GROUP HOLDINGS LTD</name>
                <lei>3003005VYMEBAJNJ2Y26</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG9894K1085"/>
                </identifiers>
                <balance>6000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>46825.05</valUSD>
                <pctVal>0.20122754369</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHINA MEDICAL SYSTEM HOLDINGS LTD</name>
                <lei>529900Z57DVJXUBLHX66</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG211081248"/>
                </identifiers>
                <balance>13000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>21721.56</valUSD>
                <pctVal>0.093346962019</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PARADE TECHNOLOGIES LTD</name>
                <lei>529900D9FDQHQKAQLY02</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG6892A1085"/>
                </identifiers>
                <balance>1000</balance>
                <units>NS</units>
                <currencyConditional curCd="TWD" exchangeRt=".036144143"/>
                <valUSD>76117.91</valUSD>
                <pctVal>0.327111664805</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHAILEASE HOLDING CO LTD</name>
                <lei>529900L76E6T0JCM3J27</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG202881093"/>
                </identifiers>
                <balance>4956</balance>
                <units>NS</units>
                <currencyConditional curCd="TWD" exchangeRt=".036144143"/>
                <valUSD>47053.63</valUSD>
                <pctVal>0.202209851064</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TISCO FINANCIAL GROUP PCL</name>
                <lei>529900OOUQI3OWX2WU06</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TH0999010Z11"/>
                </identifiers>
                <balance>3400</balance>
                <units>NS</units>
                <currencyConditional curCd="THB" exchangeRt=".029935638"/>
                <valUSD>9770.99</valUSD>
                <pctVal>0.041990180835</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHINA YONGDA AUTOMOBILES SERVICES HOLDINGS LTD</name>
                <lei>529900G4APWIO18G0C95</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG2162W1024"/>
                </identifiers>
                <balance>21000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>28117.68</valUSD>
                <pctVal>0.120833863085</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JD.COM INC</name>
                <lei>549300HVTWB0GJZ16V92</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG8208B1014"/>
                </identifiers>
                <balance>50</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>1763.57</valUSD>
                <pctVal>0.007578824993</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALIBABA GROUP HOLDING LTD</name>
                <lei>5493001NTNQJDH60PM02</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG017191142"/>
                </identifiers>
                <balance>6728</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>100731.32</valUSD>
                <pctVal>0.432886160212</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHINA INTERNATIONAL CAPITAL CORP LTD</name>
                <lei>529900OS3SVVTT56QN67</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CNE100002359"/>
                </identifiers>
                <balance>16800</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>46327.75</valUSD>
                <pctVal>0.199090429955</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MEITUAN</name>
                <lei>21380033K525E5JLIA77</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG596691041"/>
                </identifiers>
                <balance>200</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>5781.98</valUSD>
                <pctVal>0.024847675188</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHINA FEIHE LTD</name>
                <lei>N/A</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG2121Q1055"/>
                </identifiers>
                <balance>16000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>21479.74</valUSD>
                <pctVal>0.092307756624</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SRI TRANG GLOVES THAILAND PCL</name>
                <lei>N/A</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TH9829010Z11"/>
                </identifiers>
                <balance>47400</balance>
                <units>NS</units>
                <currencyConditional curCd="THB" exchangeRt=".029935638"/>
                <valUSD>42923.22</valUSD>
                <pctVal>0.184459688305</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED MICROELECTRONICS CORP</name>
                <lei>391200YJCAGH9LF96P73</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TW0002303005"/>
                </identifiers>
                <balance>11000</balance>
                <units>NS</units>
                <currencyConditional curCd="TWD" exchangeRt=".036144143"/>
                <valUSD>25699.5</valUSD>
                <pctVal>0.110441895077</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>POSCO</name>
                <lei>988400E5HRVX81AYLM04</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KR7005490008"/>
                </identifiers>
                <balance>61</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>14003.08</valUSD>
                <pctVal>0.060177306644</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AMBEV SA</name>
                <lei>549300TH5Q6VRP8OT012</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="BRABEVACNOR1"/>
                </identifiers>
                <balance>16300</balance>
                <units>NS</units>
                <currencyConditional curCd="BRL" exchangeRt=".179533214"/>
                <valUSD>45124.96</valUSD>
                <pctVal>0.193921519783</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ASTRA INTERNATIONAL TBK PT</name>
                <lei>529900L49TRJOMG4DK47</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="ID1000122807"/>
                </identifiers>
                <balance>9600</balance>
                <units>NS</units>
                <currencyConditional curCd="IDR" exchangeRt=".000070163"/>
                <valUSD>3835.21</valUSD>
                <pctVal>0.016481560358</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TURKIYE GARANTI BANKASI AS</name>
                <lei>5493002XSS7K7RHN1V37</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TRAGARAN91N1"/>
                </identifiers>
                <balance>5973</balance>
                <units>NS</units>
                <currencyConditional curCd="TRY" exchangeRt=".075591504"/>
                <valUSD>5088.5</valUSD>
                <pctVal>0.021867490928</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ANGLO AMERICAN PLATINUM LTD</name>
                <lei>529900RORCZ0E5S5FX81</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="ZAE000013181"/>
                </identifiers>
                <balance>283</balance>
                <units>NS</units>
                <currencyConditional curCd="ZAR" exchangeRt=".062754942"/>
                <valUSD>32265.2</valUSD>
                <pctVal>0.138657554934</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>ZA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANCO BRADESCO S.A.</name>
                <lei>549300CTUU1RFXHQJE44</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="BRBBDCACNPR8"/>
                </identifiers>
                <balance>8470</balance>
                <units>NS</units>
                <currencyConditional curCd="BRL" exchangeRt=".179533214"/>
                <valUSD>29211.62</valUSD>
                <pctVal>0.125534997609</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WIPRO LTD</name>
                <lei>335800IFS1IJHESG8362</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="INE075A01022"/>
                </identifiers>
                <balance>5835</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>56159.65</valUSD>
                <pctVal>0.241342367472</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CIPLA LTD/INDIA</name>
                <lei>335800KMJJYEDDK82Q34</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="INE059A01026"/>
                </identifiers>
                <balance>656</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>8325.9</valUSD>
                <pctVal>0.035780002499</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SAMSUNG ELECTRONICS CO LTD</name>
                <lei>9884007ER46L6N7EI764</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KR7005930003"/>
                </identifiers>
                <balance>2850</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>187102.91</valUSD>
                <pctVal>0.804062334082</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INFOSYS LTD</name>
                <lei>335800TYLGG93MM7PR89</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="INE009A01021"/>
                </identifiers>
                <balance>3299</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>83727.42</valUSD>
                <pctVal>0.35981302884</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>QUANTA COMPUTER INC</name>
                <lei>529900DE8BIV3XOXIK04</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TW0002382009"/>
                </identifiers>
                <balance>8000</balance>
                <units>NS</units>
                <currencyConditional curCd="TWD" exchangeRt=".036144143"/>
                <valUSD>27337.65</valUSD>
                <pctVal>0.117481735946</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INDOFOOD SUKSES MAKMUR TBK PT</name>
                <lei>529900E61EV2GTYWZ485</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="ID1000057003"/>
                </identifiers>
                <balance>13000</balance>
                <units>NS</units>
                <currencyConditional curCd="IDR" exchangeRt=".000070163"/>
                <valUSD>5768.5</valUSD>
                <pctVal>0.024789745783</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANCO SANTANDER</name>
                <lei>3YJP8HORPAEXJ80D6368</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CLP1506A1070"/>
                </identifiers>
                <balance>306048</balance>
                <units>NS</units>
                <currencyConditional curCd="CLP" exchangeRt=".001173709"/>
                <valUSD>12302.99</valUSD>
                <pctVal>0.052871282737</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GRUPO BIMBO SAB DE CV</name>
                <lei>5493000RIXURZEBFEV60</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="MXP495211262"/>
                </identifiers>
                <balance>1966</balance>
                <units>NS</units>
                <currencyConditional curCd="MXN" exchangeRt=".048838856"/>
                <valUSD>6057.72</valUSD>
                <pctVal>0.026032649532</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HELLENIC TELECOMMUNICATIONS ORGANIZATION SA</name>
                <lei>ELPUFM0XZRZO4LFXW404</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="GRS260333000"/>
                </identifiers>
                <balance>907</balance>
                <units>NS</units>
                <currencyConditional curCd="EUR" exchangeRt="1.138499617"/>
                <valUSD>16785.23</valUSD>
                <pctVal>0.072133411564</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REALTEK SEMICONDUCTOR CORP</name>
                <lei>5299002E7F36O00MYY75</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TW0002379005"/>
                </identifiers>
                <balance>1000</balance>
                <units>NS</units>
                <currencyConditional curCd="TWD" exchangeRt=".036144143"/>
                <valUSD>20968.42</valUSD>
                <pctVal>0.09011039287</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SUN PHARMACEUTICAL INDUSTRIES LTD</name>
                <lei>335800KJ7GE29LB4SS73</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="INE044A01036"/>
                </identifiers>
                <balance>2942</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>33474.26</valUSD>
                <pctVal>0.143853410015</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TATA STEEL LTD</name>
                <lei>335800E6C75YGSGD5T66</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="INE081A01012"/>
                </identifiers>
                <balance>1631</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>24393.78</valUSD>
                <pctVal>0.104830650062</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HOPSON DEVELOPMENT HOLDINGS LTD</name>
                <lei>549300HYMKPTC1DTZS42</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="BMG4600H1198"/>
                </identifiers>
                <balance>880</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>1834.45</valUSD>
                <pctVal>0.007883427087</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>HK</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VEDANTA LTD</name>
                <lei>335800XDKX9KB5EMCO07</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="INE205A01025"/>
                </identifiers>
                <balance>9680</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>44439.6</valUSD>
                <pctVal>0.190976230683</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CATHAY FINANCIAL HOLDING CO LT</name>
                <lei>5299009XR1QLFAMQ3X77</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TW0002882008"/>
                </identifiers>
                <balance>15000</balance>
                <units>NS</units>
                <currencyConditional curCd="TWD" exchangeRt=".036144143"/>
                <valUSD>33800.18</valUSD>
                <pctVal>0.145254029578</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CSPC PHARMACEUTICAL GROUP LTD</name>
                <lei>529900M3XQCW234H8O91</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="HK1093012172"/>
                </identifiers>
                <balance>42000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>45636.62</valUSD>
                <pctVal>0.196120344664</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>THAI UNION GROUP PCL</name>
                <lei>25490047VDGNFMEYZW95</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TH0450010Y16"/>
                </identifiers>
                <balance>32900</balance>
                <units>NS</units>
                <currencyConditional curCd="THB" exchangeRt=".029935638"/>
                <valUSD>19205.21</valUSD>
                <pctVal>0.082533114953</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EVERGREEN MARINE CORP TAIWAN LTD</name>
                <lei>254900EIJA0A39C5SO15</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TW0002603008"/>
                </identifiers>
                <balance>10000</balance>
                <units>NS</units>
                <currencyConditional curCd="TWD" exchangeRt=".036144143"/>
                <valUSD>51240</valUSD>
                <pctVal>0.220200498209</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HONG LEONG BANK BHD</name>
                <lei>549300BUPYUQGB5BFX94</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="MYL5819OO007"/>
                </identifiers>
                <balance>1100</balance>
                <units>NS</units>
                <currencyConditional curCd="MYR" exchangeRt=".240038406"/>
                <valUSD>4915.72</valUSD>
                <pctVal>0.021124980348</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MY</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INTERNATIONAL CONTAINER TERMINAL SERVICES INC</name>
                <lei>254900FU1MWK0I0Q4J61</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="PHY411571011"/>
                </identifiers>
                <balance>2350</balance>
                <units>NS</units>
                <currencyConditional curCd="PHP" exchangeRt=".019610727"/>
                <valUSD>9216.01</valUSD>
                <pctVal>0.03960519113</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>PH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>KIA CORP</name>
                <lei>988400V8MJK9N7OI5X76</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KR7000270009"/>
                </identifiers>
                <balance>730</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>50116.96</valUSD>
                <pctVal>0.215374308367</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>KUMHO PETROCHEMICAL CO LTD</name>
                <lei>N/A</lei>
                <title>ORDINARY SHARES</title>
                <cusip>Y49212106</cusip>
                <identifiers>
                    <isin value="KR7011780004"/>
                </identifiers>
                <balance>188</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>26169.51</valUSD>
                <pctVal>0.112461731848</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>KT CORP</name>
                <lei>9884005ACF8449EANY26</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KR7030200000"/>
                </identifiers>
                <balance>236</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>6066.85</valUSD>
                <pctVal>0.026071885101</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SAMSUNG ELECTRO-MECHANICS CO LTD</name>
                <lei>N/A</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KR7009150004"/>
                </identifiers>
                <balance>265</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>43984.81</valUSD>
                <pctVal>0.189021800851</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SHINHAN FINANCIAL GROUP CO LTD</name>
                <lei>988400EB8A6G49E5KO54</lei>
                <title>ORDINARY SHARES</title>
                <cusip>Y7749X101</cusip>
                <identifiers>
                    <isin value="KR7055550008"/>
                </identifiers>
                <balance>195</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>6012.81</valUSD>
                <pctVal>0.025839651788</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EMBOTELLADORAS ARCA SA DE CV</name>
                <lei>254900U2BSJCQHJCXN24</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="MX01AC100006"/>
                </identifiers>
                <balance>1496</balance>
                <units>NS</units>
                <currencyConditional curCd="MXN" exchangeRt=".048838856"/>
                <valUSD>9499.64</valUSD>
                <pctVal>0.040824072225</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OPAP SA</name>
                <lei>213800M4NRGFJCI34834</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="GRS419003009"/>
                </identifiers>
                <balance>1106</balance>
                <units>NS</units>
                <currencyConditional curCd="EUR" exchangeRt="1.138499617"/>
                <valUSD>15701.98</valUSD>
                <pctVal>0.067478216606</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LG ELECTRONICS INC</name>
                <lei>988400RMQFTGZIOG0609</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KR7066570003"/>
                </identifiers>
                <balance>140</balance>
                <units>NS</units>
                <currencyConditional curCd="KRW" exchangeRt=".00084122"/>
                <valUSD>16189.66</valUSD>
                <pctVal>0.069573989029</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CTBC FINANCIAL HOLDING CO LTD</name>
                <lei>549300IWDYIFW6JXM387</lei>
                <title>ORDINARY SHARES</title>
                <cusip>Y15093100</cusip>
                <identifiers>
                    <isin value="TW0002891009"/>
                </identifiers>
                <balance>16000</balance>
                <units>NS</units>
                <currencyConditional curCd="TWD" exchangeRt=".036144143"/>
                <valUSD>14985.57</valUSD>
                <pctVal>0.064399492193</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NOVATEK MICROELECTRONICS CORP</name>
                <lei>N/A</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="TW0003034005"/>
                </identifiers>
                <balance>3000</balance>
                <units>NS</units>
                <currencyConditional curCd="TWD" exchangeRt=".036144143"/>
                <valUSD>58198.85</valUSD>
                <pctVal>0.25010569409</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>TW</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TENCENT HOLDINGS LTD</name>
                <lei>254900N4SLUMW4XUYY11</lei>
                <title>ORDINARY SHARES</title>
                <cusip>G87572163</cusip>
                <identifiers>
                    <isin value="KYG875721634"/>
                </identifiers>
                <balance>1500</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>87994.85</valUSD>
                <pctVal>0.378152025953</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PING AN INSURANCE GROUP CO OF CHINA LTD</name>
                <lei>529900M9MC28JLN35U89</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CNE1000003X6"/>
                </identifiers>
                <balance>8000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>57663.03</valUSD>
                <pctVal>0.247803043213</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TATA CONSULTANCY SERVICES LTD</name>
                <lei>335800ZJKU9GPQRE2U66</lei>
                <title>ORDINARY SHARES</title>
                <cusip>Y85279100</cusip>
                <identifiers>
                    <isin value="INE467B01029"/>
                </identifiers>
                <balance>523</balance>
                <units>NS</units>
                <currencyConditional curCd="INR" exchangeRt=".013452496"/>
                <valUSD>26305.48</valUSD>
                <pctVal>0.113046053896</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CPFL ENERGIA SA</name>
                <lei>529900GBWSBDXN8GGM28</lei>
                <title>ORDINARY SHARES</title>
                <cusip>P3435F108</cusip>
                <identifiers>
                    <isin value="BRCPFEACNOR0"/>
                </identifiers>
                <balance>9600</balance>
                <units>NS</units>
                <currencyConditional curCd="BRL" exchangeRt=".179533214"/>
                <valUSD>46242.01</valUSD>
                <pctVal>0.198721967997</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>XINYI GLASS HOLDINGS LTD</name>
                <lei>52990082YXVVZFK1QJ17</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="KYG9828G1082"/>
                </identifiers>
                <balance>12000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>30047.72</valUSD>
                <pctVal>0.129128081851</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>HK</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHINA SHENHUA ENERGY CO LTD</name>
                <lei>529900N9JOX4C108MA40</lei>
                <title>ORDINARY SHARES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CNE1000002R0"/>
                </identifiers>
                <balance>21000</balance>
                <units>NS</units>
                <currencyConditional curCd="HKD" exchangeRt=".12824541"/>
                <valUSD>49235.52</valUSD>
                <pctVal>0.211586378485</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PUTNAM SHORT TERM INVESTMENT FUND</name>
                <lei>5493003MK0Q7JP8CPP42</lei>
                <title>SHORT TERM INV FUND</title>
                <cusip>74676P664</cusip>
                <identifiers>
                    <isin value="US74676P6640"/>
                </identifiers>
                <balance>9968560.09</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>9968560.09</valUSD>
                <pctVal>42.839225180421</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>PF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PUTNAM CASH COLLATERAL POOL LLC</name>
                <lei>5493005HRIV7IFMKD774</lei>
                <title>SHORT TERM INV FUND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1181681"/>
                </identifiers>
                <balance>942055</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>942055</valUSD>
                <pctVal>4.048418820069</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>PF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <cashCollateralCondition cashCollateralVal="942055" isCashCollateral="Y"/>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANCO SANTANDER BRASIL SA</name>
                <lei>549300D1H731B30TSI43</lei>
                <title>STOCK UNIT</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="BRSANBCDAM13"/>
                </identifiers>
                <balance>8387</balance>
                <units>OU</units>
                <currencyConditional curCd="BRL" exchangeRt=".179533214"/>
                <valUSD>45142.24</valUSD>
                <pctVal>0.193995779435</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1947556"/>
                </identifiers>
                <balance>1700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>129.49</valUSD>
                <pctVal>0.000556474678</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8175"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2047-03-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8175</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>129.49</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2369483"/>
                </identifiers>
                <balance>4900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-255.63</valUSD>
                <pctVal>-0.001098552954</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.275"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2050-03-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.275</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-255.63</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2369485"/>
                </identifiers>
                <balance>4900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>172.63</valUSD>
                <pctVal>0.000741865964</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.275"/>
    <terminationDt>2050-03-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.275</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>172.63</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2374094"/>
                </identifiers>
                <balance>3700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1199.54</valUSD>
                <pctVal>-0.005154943513</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.3075"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2052-06-22</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.3075</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-06-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1199.54</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2374097"/>
                </identifiers>
                <balance>3700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-44.44</valUSD>
                <pctVal>-0.00019097795</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.3075"/>
    <terminationDt>2052-06-22</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.3075</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-06-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-44.44</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1931705"/>
                </identifiers>
                <balance>8600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1097.53</valUSD>
                <pctVal>0.004716562311</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8325"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2052-02-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8325</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-02-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1097.53</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1931699"/>
                </identifiers>
                <balance>8600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1200.47</valUSD>
                <pctVal>-0.005158940127</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8325"/>
    <terminationDt>2052-02-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8325</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-02-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1200.47</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1947545"/>
                </identifiers>
                <balance>1700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-131.8</valUSD>
                <pctVal>-0.00056640175</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <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>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
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                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
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                        <delta>XXXX</delta>
                        <unrealizedAppr>-131.8</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
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                <cusip>99GL229F1</cusip>
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                    <other otherDesc="Internal ID" value="1999133"/>
                </identifiers>
                <balance>475</balance>
                <units>NC</units>
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                <valUSD>16482.5</valUSD>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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                            <otherRefInst>
<issuerName>ACI WORLDWIDE INC</issuerName>
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    <ticker value="ACIW.OQ"/>
</identifiers>
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                        </descRefInstrmnt>
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                </derivativeInfo>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2571180"/>
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                <balance>461</balance>
                <units>NC</units>
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                <assetCat>DE</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>SILLAJEN INC</issuerName>
<issueTitle>ORDINARY SHARES</issueTitle>
<identifiers>
    <ticker value="215600.KQ"/>
</identifiers>
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                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="-18" pmntAmt="-0.32">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="SILLAJEN INC" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2025-12-15</terminationDt>
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                        <notionalAmt>4701.69</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>8.96</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99GL239T9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1999250"/>
                </identifiers>
                <balance>3161</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <assetCat>DE</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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                            <otherRefInst>
<issuerName>BAUSCH HEALTH COS INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="BHC.N"/>
</identifiers>
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                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-12.67">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="BAUSCH HEALTH COS INC" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-02-09</terminationDt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-10349.14</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99GL249A8</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1999268"/>
                </identifiers>
                <balance>354</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>33191.04</valUSD>
                <pctVal>0.142636290868</pctVal>
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                <assetCat>DE</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>DYCOM INDUSTRIES INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="DY.N"/>
</identifiers>
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                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-5.46">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="DYCOM INDUSTRIES INC" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
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                        <notionalAmt>33173.34</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-23.16</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99GL249T7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2009017"/>
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                <balance>930</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>37293</valUSD>
                <pctVal>0.160264191641</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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<issuerName>ENERGIZER HOLDINGS INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="ENR.N"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-6.02">
                            <rtResetTenors>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ENERGIZER HOLDINGS INC" floatingRtSpread="0" pmntAmt="-279">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
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                        <notionalAmt>36549</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1029.02</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99GP279W4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2021153"/>
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                <balance>108</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3283.2</valUSD>
                <pctVal>0.01410933403</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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<issuerName>EBIX INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="EBIX.OQ"/>
</identifiers>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-0.57">
                            <rtResetTenors>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="EBIX INC" floatingRtSpread="0" pmntAmt="-8.1">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-02-09</terminationDt>
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                        <notionalAmt>3433.32</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>141.45</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99GP279X2</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2021154"/>
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                <balance>321</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9864.33</valUSD>
                <pctVal>0.042391303288</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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<issuerName>B&amp;G FOODS INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="BGS.N"/>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-4.5" pmntAmt="-28.39">
                            <rtResetTenors>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="B&amp;G FOODS INC" floatingRtSpread="0" pmntAmt="-139.18">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-02-09</terminationDt>
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                        <unrealizedAppr>-347.33</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99HG159G3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2080242"/>
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                <balance>1404</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.107337686882</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>HEALTHCARE SERVICES GROUP</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="HCSG.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-3.91">
                            <rtResetTenors>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="HEALTHCARE SERVICES GROUP INC" floatingRtSpread="0" pmntAmt="-294.84">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-02-09</terminationDt>
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                        <notionalAmt>23727.6</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1548.31</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99IH479W8</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2176992"/>
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                <balance>719</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>85460.34</valUSD>
                <pctVal>0.367260137492</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>RALPH LAUREN CORP</issuerName>
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    <ticker value="RL.N"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-14.51">
                            <rtResetTenors>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="RALPH LAUREN CORP" floatingRtSpread="0" pmntAmt="-494.31">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
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                        <terminationDt>2022-02-09</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>88120.64</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2151.48</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99IM139K5</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2204136"/>
                </identifiers>
                <balance>701</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>27360.03</valUSD>
                <pctVal>0.11757791251</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>AAR CORP</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="AIR.N"/>
</identifiers>
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                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-3.96">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-02-09</terminationDt>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>24086.36</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3277.63</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99JQ409V4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347202"/>
                </identifiers>
                <balance>1969</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>55880.22</valUSD>
                <pctVal>0.240141535598</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>ELANCO ANIMAL HEALTH INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="ELAN.N"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-9.33">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ELANCO ANIMAL HEALTH INC" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>56687.51</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>797.96</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99KH729E3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2413036"/>
                </identifiers>
                <balance>394</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3928.18</valUSD>
                <pctVal>0.016881092761</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>ZYNEX INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="ZYXI.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-0.79">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ZYNEX MEDICAL HOLDINGS INC" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4834.38</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>905.41</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99KH729F0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2413037"/>
                </identifiers>
                <balance>177</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>42458.76</valUSD>
                <pctVal>0.18246370229</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>ADVANCE AUTO PARTS INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="AAP.N"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-6.7">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ADVANCE AUTO PARTS INC" floatingRtSpread="0" pmntAmt="-177">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>40713.54</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1928.92</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99KN849B1</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2441819"/>
                </identifiers>
                <balance>40</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9785.6</valUSD>
                <pctVal>0.04205296634</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>WD-40 CO</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="WDFC.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-1.56">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="WD-40 CO" floatingRtSpread="0" pmntAmt="26.8">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>9487.2</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-273.16</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99KP699N1</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2449384"/>
                </identifiers>
                <balance>336</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9485.28</valUSD>
                <pctVal>0.040762361078</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>PLUG POWER INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="PLUG.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-1.88">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="PLUG POWER INC" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>11440.8</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1953.64</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99KP699P6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2449386"/>
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                <balance>2058</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25827.9</valUSD>
                <pctVal>0.110993685552</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>LUMEN TECHNOLOGIES INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="LUMN.N"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-4.12">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="LUMEN TECHNOLOGIES INC" floatingRtSpread="0" pmntAmt="-447">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>25004.7</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1274.32</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2465171"/>
                </identifiers>
                <balance>1784</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>240493.73</valUSD>
                <pctVal>1.033505838449</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Goldman Sachs Volatility Carry US Enhanced 3x Excess Return Strategy" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <fixedPmntDesc amount="-44.67" curCd="USD" fixedOrFloating="Fixed" fixedRt=".45"/>
                        <terminationDt>2025-12-15</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>238225.19</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2223.87</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2465380"/>
                </identifiers>
                <balance>865</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>190563.82</valUSD>
                <pctVal>0.818935365039</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>181397.51</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>9143.64</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2465382"/>
                </identifiers>
                <balance>2510</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>458452.25</valUSD>
                <pctVal>1.970168108022</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <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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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>457171.4</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1223.7</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2465388"/>
                </identifiers>
                <balance>6938</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>779986.61</valUSD>
                <pctVal>3.351940673661</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Goldman Sachs Volatility Carry US Series 85 Excess Return Strategy" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
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                        <terminationDt>2025-12-15</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>772060.64</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>7781.21</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99MB659G3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2498972"/>
                </identifiers>
                <balance>295</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>84759.4</valUSD>
                <pctVal>0.364247894377</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>PENUMBRA INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="PEN.N"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-12.09">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="PENUMBRA INC" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>73452.05</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-11319.44</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2506873"/>
                </identifiers>
                <balance>7800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1775904</valUSD>
                <pctVal>7.631829538865</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Buraschi Barclays Adaptive Trend Strategy EX-Commodities ER" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-14.86" curCd="USD" fixedOrFloating="Fixed" fixedRt=".1"/>
                        <terminationDt>2022-05-26</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1783680.6</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7791.46</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99ME289K6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2508733"/>
                </identifiers>
                <balance>361</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>76979.64</valUSD>
                <pctVal>0.330814892271</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>L3HARRIS TECHNOLOGIES INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="LHX.N"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-12.79">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="L3HARRIS TECHNOLOGIES INC" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>77723.3</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>730.87</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99MH159W0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2518592"/>
                </identifiers>
                <balance>41</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34023.44</valUSD>
                <pctVal>0.146213474605</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FIRST CITIZENS BCSHS  -CL A</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="FCNCA.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-5.42">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="FIRST CITIZENS BANCSHARES INC/NC" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>32954.57</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1074.29</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99MM059E0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2527219"/>
                </identifiers>
                <balance>266</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17332.56</valUSD>
                <pctVal>0.074485525902</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>BEYOND MEAT INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="BYND.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-2.4" pmntAmt="-16.96">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="BEYOND MEAT INC" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-01-02</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
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                        <upfrontRcpt>0</upfrontRcpt>
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                        <notionalAmt>17766.14</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>416.62</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99MM059G5</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2527225"/>
                </identifiers>
                <balance>666</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>14605.38</valUSD>
                <pctVal>0.062765650908</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>BLOOM ENERGY CORP- A</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="BE.N"/>
</identifiers>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-1.47">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="BLOOM ENERGY CORP" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2022-01-02</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>14665.32</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>58.47</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99MM059H3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2527228"/>
                </identifiers>
                <balance>400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43984</valUSD>
                <pctVal>0.18901831993</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>NEW RELIC INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="NEWR.N"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-4.13">
                            <rtResetTenors>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="NEW RELIC INC" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-01-02</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>41040</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2948.13</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99MM059J9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2527234"/>
                </identifiers>
                <balance>433</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>21801.55</valUSD>
                <pctVal>0.093690713734</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>PROGYNY INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="PGNY.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-2.15">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="PROGYNY INC" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-01-02</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>21351.23</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-452.47</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99MN779C1</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2531145"/>
                </identifiers>
                <balance>335</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>29198.6</valUSD>
                <pctVal>0.125479045024</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FIRST SOLAR INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="FSLR.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-3.21">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="FIRST SOLAR INC" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-01-02</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>31885.3</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2683.49</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99MQ959L6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2546455"/>
                </identifiers>
                <balance>351</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12537.72</valUSD>
                <pctVal>0.053880019329</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>LIVEPERSON INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="LPSN.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-2.01">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="LIVEPERSON INC" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>12200.76</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-338.97</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99MQ959M4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2546458"/>
                </identifiers>
                <balance>1474</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>36054.04</valUSD>
                <pctVal>0.154939843295</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>ADAPTHEALTH CORP</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="AHCO.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-5">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ADAPTHEALTH CORP" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>30408.62</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5650.42</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99MT529U1</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2552880"/>
                </identifiers>
                <balance>213</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>35151.39</valUSD>
                <pctVal>0.151060764847</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>UNIVERSAL DISPLAY CORP</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="OLED.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-5.27">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="UNIVERSAL DISPLAY CORP" floatingRtSpread="0" pmntAmt="-42.6">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>32043.72</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3155.54</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99MT529V9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2552883"/>
                </identifiers>
                <balance>1418</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34003.64</valUSD>
                <pctVal>0.14612838542</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>PRIMORIS SERVICES CORP</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="PRIM.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-5.48">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="PRIMORIS SERVICES CORP" floatingRtSpread="0" pmntAmt="-85.08">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>33280.46</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-813.74</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99MT529W7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2552890"/>
                </identifiers>
                <balance>355</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6716.6</valUSD>
                <pctVal>0.028864142589</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>STITCH FIX INC-CLASS A</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="SFIX.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-1.39">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="STITCH FIX INC" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>8473.85</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1755.86</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>Total Return Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2558014"/>
                </identifiers>
                <balance>2528</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1534114.27</valUSD>
                <pctVal>6.592754226456</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="-.07" pmntAmt="-22.33">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="MSCI Daily TR Net Emerging Markets USD" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-11-02</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1539946.37</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5831.24</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2558019"/>
                </identifiers>
                <balance>2557</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1551712.89</valUSD>
                <pctVal>6.668383127545</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="-.05" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="MSCI Daily TR Net Emerging Markets USD" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-11-02</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1557611.89</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5899</unrealizedAppr>
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                </derivativeInfo>
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                <fairValLevel>2</fairValLevel>
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                            <indexBasketInfo>
<indexName>GSGLPWDS</indexName>
<indexIdentifier>GSGLPWDS</indexIdentifier>
<narrativeDesc>A BASKET -GSGLPWDS OF ORDINARY SHARES</narrativeDesc>
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                        <unrealizedAppr>598.57</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99GL239D4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1999202"/>
                </identifiers>
                <balance>90</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>95110.2</valUSD>
                <pctVal>0.408729770194</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>TESLA INC</issuerName>
<issueTitle>COMMON STOCK</issueTitle>
<identifiers>
    <ticker value="TSLA.OQ"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="-.35" pmntAmt="-14.95">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="TESLA INC" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2022-02-09</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>90810.9</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4314.25</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796G45</cusip>
                <identifiers>
                    <isin value="US912796G459"/>
                </identifiers>
                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249944.68</valUSD>
                <pctVal>1.074120668632</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796H44</cusip>
                <identifiers>
                    <isin value="US912796H440"/>
                </identifiers>
                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249907.67</valUSD>
                <pctVal>1.073961620615</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-05-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796P45</cusip>
                <identifiers>
                    <isin value="US912796P450"/>
                </identifiers>
                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249933.3</valUSD>
                <pctVal>1.074071763838</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-05-05</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796N21</cusip>
                <identifiers>
                    <isin value="US912796N216"/>
                </identifiers>
                <balance>325000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>324963.6</valUSD>
                <pctVal>1.396509496873</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-03-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796M97</cusip>
                <identifiers>
                    <isin value="US912796M978"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>399968.83</valUSD>
                <pctVal>1.718839493249</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-03-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SANY HEAVY INDUSTRY CO LTD</name>
                <lei>3003001FS86S7NYOHV89</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CH0585768093"/>
                </identifiers>
                <balance>11500</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>41251.93</valUSD>
                <pctVal>0.177277430486</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="WAR">
                        <counterparties>
                            <counterpartyName>SANY HEAVY INDUSTRY CO LTD</counterpartyName>
                            <counterpartyLei>3003001FS86S7NYOHV89</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>SANY HEAVY INDUSTRY CO LTD</issuerName>
<issueTitle>ORDINARY SHARES</issueTitle>
<identifiers>
    <isin value="CNE000001F70"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-01-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-13991.73</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>YOUNGOR GROUP CO LTD</name>
                <lei>300300PRWK21S8R8F317</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CH1119080773"/>
                </identifiers>
                <balance>43700</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>47370.93</valUSD>
                <pctVal>0.203573426749</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="WAR">
                        <counterparties>
                            <counterpartyName>YOUNGOR GROUP CO LTD</counterpartyName>
                            <counterpartyLei>300300PRWK21S8R8F317</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>YOUNGOR GROUP CO LTD</issuerName>
<issueTitle>ORDINARY SHARES</issueTitle>
<identifiers>
    <isin value="CNE000000XR2"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-07-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2304.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZHUZHOU KIBING GROUP CO LTD</name>
                <lei>300300RWM4DKUZFOIT68</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CH1119080740"/>
                </identifiers>
                <balance>3127</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>8412.7</valUSD>
                <pctVal>0.036153019736</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="WAR">
                        <counterparties>
                            <counterpartyName>ZHUZHOU KIBING GROUP CO LTD</counterpartyName>
                            <counterpartyLei>300300RWM4DKUZFOIT68</counterpartyLei>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>ZHUZHOU KIBING GROUP CO LTD</issuerName>
<issueTitle>ORDINARY SHARES</issueTitle>
<identifiers>
    <isin value="CNE100001666"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-07-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-525.52</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SHENZHEN MINDRAY BIO-MEDICAL ELECTRONICS CO LTD</name>
                <lei>N/A</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CH1150897549"/>
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                <balance>700</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>41937.88</valUSD>
                <pctVal>0.180225255071</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="WAR">
                        <counterparties>
                            <counterpartyName>SHENZHEN MINDRAY BIO-MEDICAL ELECTRONICS CO LTD</counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>SHENZHEN MINDRAY BIO-MEDICAL ELECTRONICS CO LTD</issuerName>
<issueTitle>ORDINARY SHARES</issueTitle>
<identifiers>
    <isin value="CNE100003G67"/>
</identifiers>
                            </otherRefInst>
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                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-01-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2837.84</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENN NATURAL GAS CO LTD</name>
                <lei>300300KVDMGNQNP52Z98</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CH1133396106"/>
                </identifiers>
                <balance>2000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>5777.16</valUSD>
                <pctVal>0.024826961558</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="WAR">
                        <counterparties>
                            <counterpartyName>ENN NATURAL GAS CO LTD</counterpartyName>
                            <counterpartyLei>300300KVDMGNQNP52Z98</counterpartyLei>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>ENN NATURAL GAS CO LTD</issuerName>
<issueTitle>ORDINARY SHARES</issueTitle>
<identifiers>
    <isin value="CNE000000DG7"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-09-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1029.04</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>G-BITS NETWORK TECHNOLOGY XIAMEN CO LTD</name>
                <lei>N/A</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CH1133396098"/>
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                <balance>100</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>6636.97</valUSD>
                <pctVal>0.028521937951</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="WAR">
                        <counterparties>
                            <counterpartyName>G-BITS NETWORK TECHNOLOGY XIAMEN CO LTD</counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>G-BITS NETWORK TECHNOLOGY XIAMEN CO LTD</issuerName>
<issueTitle>ORDINARY SHARES</issueTitle>
<identifiers>
    <isin value="CNE100002GK7"/>
</identifiers>
                            </otherRefInst>
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                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-10-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>351.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF JIANGSU CO LTD</name>
                <lei>300300C1086832000046</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CH1135088222"/>
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                <balance>48700</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>44669.25</valUSD>
                <pctVal>0.191963136312</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="WAR">
                        <counterparties>
                            <counterpartyName>BANK OF JIANGSU CO LTD</counterpartyName>
                            <counterpartyLei>300300C1086832000046</counterpartyLei>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>BANK OF JIANGSU CO LTD</issuerName>
<issueTitle>ORDINARY SHARES</issueTitle>
<identifiers>
    <isin value="CNE100002G76"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-09-28</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>221.6</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SHAANXI COAL INDUSTRY CO LTD</name>
                <lei>N/A</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="CH1119080757"/>
                </identifiers>
                <balance>14100</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>27063.91</valUSD>
                <pctVal>0.116305356469</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="WAR">
                        <counterparties>
                            <counterpartyName>SHAANXI COAL INDUSTRY CO LTD</counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>SHAANXI COAL INDUSTRY CO LTD</issuerName>
<issueTitle>ORDINARY SHARES</issueTitle>
<identifiers>
    <isin value="CNE100001T64"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-07-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-133.34</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
        </invstOrSecs>
        <signature>
            <ncom:dateSigned>2022-02-24</ncom:dateSigned>
            <ncom:nameOfApplicant>Putnam Investments Inc</ncom:nameOfApplicant>
            <ncom:signature>Janet C. Smith</ncom:signature>
            <ncom:signerName>NPORT</ncom:signerName>
            <ncom:title>Principal Financial Officer</ncom:title>
        </signature>
    </formData>
    <documents>XXXX</documents>
</edgarSubmission>
