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            <expDt>2029-01-31</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-3781.85000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTPST7N3"/>
        </identifiers>
        <balance>220000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4184.80000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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                      <other otherDesc="Internal" value="BRTPST7N3SO"/>
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                    <balance>0.00000000</balance>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
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                  <curCd>USD</curCd>
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            </descRefInstrmnt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2029-01-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-8338.70000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Federal Home Loan Mortgage Corp</title>
        <cusip>3137EADB2</cusip>
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          <isin value="US3137EADB22"/>
          <other otherDesc="SEDOL" value="B78Q8B5"/>
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        <balance>805000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>831874.02000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.37500000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD CMS CAP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2G67Z6"/>
        </identifiers>
        <balance>-8775000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-19987.64000000</valUSD>
        <pctVal>-0.00711433869</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>CITIBANK, NATIONAL ASSOCIATION</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>CITIBANK, NATIONAL ASSOCIATION</name>
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                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW2G67Z6SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CONSTANT MATURITY SWAP" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.55000000"/>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.55000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-02-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-10949.39000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="JRW5H5418"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1311.39000000</valUSD>
        <pctVal>0.000466772095</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.66500000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-400000.00000000">
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            </floatingPmntDesc>
            <terminationDt>2030-06-03</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>400000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1311.39000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTUB6HB5"/>
        </identifiers>
        <balance>-1040000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-342.30000000</valUSD>
        <pctVal>-0.00012183720</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTUB6HB5SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                  <terminationDt>2023-06-16</terminationDt>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
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            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.00000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-06-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2530.43000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED</name>
        <lei>JHE42UYNWWTJB8YTTU19</lei>
        <title>CURRENCY CONTRACT - USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00466312"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>57417.44000000</valUSD>
        <pctVal>0.020436985801</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>AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED</counterpartyName>
              <counterpartyLei>JHE42UYNWWTJB8YTTU19</counterpartyLei>
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            <amtCurSold>-1001112000.00000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>9333263.72000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-05</settlementDt>
            <unrealizedAppr>57417.44000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2EGH85"/>
        </identifiers>
        <balance>-600000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5821.96000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>IRS USD</title>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <exercisePrice>1.60000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-03-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4858.04000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>VERIZON COMMUNICATIONS</name>
        <lei>2S72QS2UO2OESLG6Y829</lei>
        <title>Verizon Communications Inc</title>
        <cusip>92343VDD3</cusip>
        <identifiers>
          <isin value="US92343VDD38"/>
          <other otherDesc="SEDOL" value="BY7RR33"/>
        </identifiers>
        <balance>55000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59893.71000000</valUSD>
        <pctVal>0.021318381677</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AID-ISRAEL</name>
        <lei>213800T8ZHTFZIBYPE21</lei>
        <title>Israel Government AID Bond</title>
        <cusip>46513EJX1</cusip>
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          <isin value="US46513EJX13"/>
          <other otherDesc="SEDOL" value="B010C46"/>
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        <balance>2500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2971270.45000000</valUSD>
        <pctVal>1.057584803490</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>IL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>REPUBLIC OF COLOMBIA</name>
        <lei>549300MHDRBVRF6B9117</lei>
        <title>Colombia Government International Bond</title>
        <cusip>195325DR3</cusip>
        <identifiers>
          <isin value="US195325DR36"/>
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        <balance>665000.00000000</balance>
        <units>PA</units>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.55400000"/>
            <terminationDt>2021-03-12</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5530000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-18386.22000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW434PQ1"/>
        </identifiers>
        <balance>-300000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5918.42000000</valUSD>
        <pctVal>-0.00210658408</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Citibank, National Association</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>Citibank, National Association</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW434PQ1SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.79000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-04-19</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.79000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2198.08000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SUMITOMO MITSUI FINL GRP</name>
        <lei>35380028MYWPB6AUO129</lei>
        <title>Sumitomo Mitsui Financial Group Inc</title>
        <cusip>86562MAM2</cusip>
        <identifiers>
          <isin value="US86562MAM29"/>
          <other otherDesc="SEDOL" value="BZ6T4W5"/>
        </identifiers>
        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>827020.11000000</valUSD>
        <pctVal>0.294366977101</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.84600000</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>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW19WFL1"/>
        </identifiers>
        <balance>-880000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4500.76000000</valUSD>
        <pctVal>-0.00160198657</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW19WFL1SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.95000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2032-02-01</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.95000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-01-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>16069.24000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTPST638"/>
        </identifiers>
        <balance>220000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>42943.14000000</valUSD>
        <pctVal>0.015285048278</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal" value="BRTPST638SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.03660000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2039-01-16</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.03660000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2029-01-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>30419.64000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW5V3YB2"/>
        </identifiers>
        <balance>-540000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7148.48000000</valUSD>
        <pctVal>-0.00254440783</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW5V3YB2SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.05000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-06-15</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.05000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-06-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>546.52000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW19ERW4"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.80704000"/>
        <valUSD>51535.08000000</valUSD>
        <pctVal>0.018343236797</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.23875000"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="-600000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2045-01-15</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>600000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>51535.08000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MIZUHO SECURITIES USA LLC</name>
        <lei>7TK5RJIZDFROZCA6XF66</lei>
        <title>US TREASURY LONG BOND</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USU0P175"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RN66FQ3"/>
        </identifiers>
        <balance>8.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8875.00000000</valUSD>
        <pctVal>0.003158940018</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>MIZUHO SECURITIES USA LLC</counterpartyName>
              <counterpartyLei>7TK5RJIZDFROZCA6XF66</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
                    <title>US TREASURY LONG BOND</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <ticker value="USU0"/>
                      <other otherDesc="ID_BB_GLOBAL" value="BBG00R2NN573"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>Short</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>US TREASURY N/B</issuerName>
                      <issueTitle>United States Treasury Note/Bond</issueTitle>
                      <identifiers>
                        <cusip value="912810FT0"/>
                        <isin value="US912810FT08"/>
                        <other otherDesc="SEDOL" value="B0YBFV4"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-09-21</expDate>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>1000.00000000</shareNo>
            <exercisePrice>175.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-16110.87000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTTA0SB0"/>
        </identifiers>
        <balance>1170000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>9305.84000000</valUSD>
        <pctVal>0.003312291874</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
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                  <rcptCurCd>USD</rcptCurCd>
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            <principalAmt>1.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-05-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-58628.65000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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          <isin value="US912828XL95"/>
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        <balance>45000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SABINE PASS LIQUEFACTION</name>
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        <balance>135000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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        <balance>-53.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>J.P. MORGAN CHASE BANK NA</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>CHICAGO MERCANTILE EXCHANGE</name>
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                      <ticker value="EDZ1"/>
                      <other otherDesc="ID_BB_GLOBAL" value="BBG002CBN1H1"/>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
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                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>90 DAY EURO DOLLAR TIME DEPOSIT</issuerName>
                      <issueTitle>90 DAY EURO DOLLAR TIME DEPOSIT</issueTitle>
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                        <cusip value="000000000"/>
                        <other otherDesc="INTERNAL" value="90DEURTD_RATE_EU"/>
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                    </otherRefInst>
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                  <expDate>2021-12-13</expDate>
                  <notionalAmt>0.00000000</notionalAmt>
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            <shareNo>2500.00000000</shareNo>
            <exercisePrice>99.37500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-12-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-39836.39000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3PVCK6"/>
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        <balance>-530000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-12556.56000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
            <unrealizedAppr>2283.44000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DNB BANK ASA</name>
        <lei>549300GKFG0RYRRQ1414</lei>
        <title>DNB Bank ASA</title>
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        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1018368.66000000</valUSD>
        <pctVal>0.362474987481</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA CORP</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp</title>
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          <isin value="US06051GGL77"/>
          <other otherDesc="SEDOL" value="BYWC0Y5"/>
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        <balance>130000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>147011.29000000</valUSD>
        <pctVal>0.052326743344</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS USD</title>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>88113.46000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.28500000"/>
            <terminationDt>2030-05-05</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>88113.46000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW434NP5"/>
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        <balance>-300000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-8418.08000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <lei>E57ODZWZ7FF32TWEFA76</lei>
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            <delta>XXXX</delta>
            <unrealizedAppr>-301.58000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS USD</title>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS USD</title>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.68500000"/>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>1247.39000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>Chase Issuance Trust</name>
        <lei>5493008SHVCX2Y068L12</lei>
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          <isin value="US161571HE71"/>
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        <balance>625000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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          <other otherDesc="INTERNAL" value="BRW65W2T1"/>
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        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <invOthCountry>US</invOthCountry>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-97.03000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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          <other otherDesc="INTERNAL" value="BRW4GWQJ0"/>
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        <balance>1.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>470000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1150.52000000</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</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                    <assetCat>DIR</assetCat>
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                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.78750000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <delta>XXXX</delta>
            <unrealizedAppr>38796.98000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC BANK PLC</name>
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          <other otherDesc="INTERNAL" value="CCTCAD__00433743"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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      <invstOrSec>
        <name>FIFTH THIRD BANK</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTVUH9M3SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.25000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2032-08-10</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.25000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-08-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4510.80000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>CURRENCY CONTRACT - USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00440700"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4532.49000000</valUSD>
        <pctVal>-0.00161328045</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 &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>-284456.28000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>205000.00000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>-4532.49000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW4JRGB6"/>
        </identifiers>
        <balance>360000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>22446.99000000</valUSD>
        <pctVal>0.007989712113</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW4JRGB6SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.89000000"/>
                  <terminationDt>2035-05-02</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.89000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-04-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3024.99000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTYFVDB2"/>
        </identifiers>
        <balance>5250000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6981.06000000</valUSD>
        <pctVal>0.002484816879</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>J.P. MORGAN CHASE BANK NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>J.P. MORGAN CHASE BANK NA</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>J.P. MORGAN CHASE BANK NA</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTYFVDB2SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.77200000"/>
                  <terminationDt>2025-11-07</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.77200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-11-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-21421.44000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="JRW5GQAV0"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>88302.52000000</valUSD>
        <pctVal>0.031430125541</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.50000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-3495000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2022-06-03</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3495000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>88302.52000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTXYZ7B1"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-26233.30000000</valUSD>
        <pctVal>-0.00933739957</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="300000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.92100000"/>
            <terminationDt>2034-10-22</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-26233.30000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2566K2"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-112755.02000000</valUSD>
        <pctVal>-0.04013367267</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="2510000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.46000000"/>
            <terminationDt>2022-02-28</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2510000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-112755.02000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="JRW5TKQN0"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1684.69000000</valUSD>
        <pctVal>0.000599643341</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.30563000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-925000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </floatingPmntDesc>
            <terminationDt>2023-06-14</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>925000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1684.69000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW1LZ0T9"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-60830.31000000</valUSD>
        <pctVal>-0.02165175218</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="EUROZONE INFLATION INDEX" floatingRtSpread="0.00000000" pmntAmt="1325000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.14700000"/>
            <terminationDt>2030-02-15</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>1325000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-60830.31000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTWNG9F6"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-129118.90000000</valUSD>
        <pctVal>-0.04595818145</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>UBS LIMITED</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912810SG40"/>
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        <securityLending>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912810RW09"/>
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      <invstOrSec>
        <name>KEY BANK NA</name>
        <lei>HUX2X73FUCYHUVH1BK78</lei>
        <title>KeyBank NA/Cleveland OH</title>
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      <invstOrSec>
        <name>REPUBLICA ORIENT URUGUAY</name>
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          <isin value="US917288BK78"/>
          <other otherDesc="SEDOL" value="BHXJX58"/>
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        <balance>145000.00000000</balance>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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            <delta>XXXX</delta>
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        <name>IBM CORP</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                  <derivAddlInfo>
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            <delta>XXXX</delta>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3ZE1W9"/>
        </identifiers>
        <balance>-540000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-8817.53000000</valUSD>
        <pctVal>-0.00313848432</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW3ZE1W9SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.87000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-04-13</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.87000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5816.47000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>CURRENCY CONTRACT - GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTGBP__00422202"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5490.28000000</valUSD>
        <pctVal>-0.00195419326</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>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>-835000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>753087.75000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-08-05</settlementDt>
            <unrealizedAppr>-5490.28000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTV36TE3"/>
        </identifiers>
        <balance>-670000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.000000</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTV36TE3SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.35000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2030-07-14</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.35000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-10</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7102.00000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTPRWSW4"/>
        </identifiers>
        <balance>220000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4137.15000000</valUSD>
        <pctVal>0.001472564360</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal" value="BRTPRWSW4SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.05200000"/>
                  <terminationDt>2039-01-12</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.05200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2029-01-10</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-8292.85000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTKYS6A8"/>
        </identifiers>
        <balance>-3560000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.000000</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTKYS6A8SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.50000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2022-08-26</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>12015.00000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTW7M4F6"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>16566.17000000</valUSD>
        <pctVal>0.005896511252</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.52800000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-2760000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2020-11-22</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2760000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>16566.17000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTX7HPN5"/>
        </identifiers>
        <balance>9490000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>189143.39000000</valUSD>
        <pctVal>0.067323112557</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTX7HPN5SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.20000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2022-09-25</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.20000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-23</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>159249.89000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTLR0VM1"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-260142.54000000</valUSD>
        <pctVal>-0.09259433016</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS" floatingRtSpread="0.00000000" pmntAmt="7100000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.29875000"/>
            <terminationDt>2021-09-28</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>7100000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-260142.54000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRW2QF7G7"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>48496.77000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS" floatingRtSpread="0.00000000" pmntAmt="2575000.00000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.26750000"/>
            <terminationDt>2030-03-12</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2575000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>48496.77000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRTVUH8L6"/>
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        <balance>960000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4859.88000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.25000000"/>
                  <terminationDt>2032-08-10</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
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            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.25000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-08-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-17868.12000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTWW46N9"/>
        </identifiers>
        <balance>-600000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
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            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="BRTWW46N9SO"/>
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                    <balance>0.00000000</balance>
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                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <fixedPmntDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.13800000"/>
                  <terminationDt>2027-09-14</terminationDt>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
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            <exercisePrice>-0.13800000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2022-09-12</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1344.60000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRW41W047"/>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
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                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.87700000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <terminationDt>2031-04-16</terminationDt>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            <principalAmt>1.00000000</principalAmt>
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            <exercisePrice>0.87700000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2920.97000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                    <invOthCountry>US</invOthCountry>
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                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <delta>XXXX</delta>
            <unrealizedAppr>135154.76000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>RAYTHEON TECH CORP</name>
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        <title>Raytheon Technologies Corp</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="TUU0"/>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <unrealizedAppr>-15585.26000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.52100000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-2390000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2025-02-28</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2390000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>266367.57000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3XXWQ8"/>
        </identifiers>
        <balance>-3050000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5447.83000000</valUSD>
        <pctVal>-0.00193908374</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW3XXWQ8SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.68500000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2024-04-13</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.68500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2023-04-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6256.55000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWBRTVYJ6Q9"/>
        </identifiers>
        <balance>-1570000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-1247.75000000</valUSD>
        <pctVal>-0.00044412027</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTVYJ6Q9SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.15000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-08-11</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>-0.15000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-08-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>880.57000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>CURRENCY CONTRACT - USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00452522"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>24552.90000000</valUSD>
        <pctVal>0.008739283198</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>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>-1004226000.00000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>9325587.66000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>24552.90000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF MONTREAL</name>
        <lei>NQQ6HPCNCCU6TUTQYE16</lei>
        <title>CURRENCY CONTRACT - USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00461502"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>885.82000000</valUSD>
        <pctVal>0.000315296027</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>BANK OF MONTREAL</counterpartyName>
              <counterpartyLei>NQQ6HPCNCCU6TUTQYE16</counterpartyLei>
            </counterparties>
            <amtCurSold>-124742.00000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>155457.47000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>885.82000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>5493006UCJFJVDKIY756</lei>
        <title>GS Mortgage Securities Corp Trust 2016-RENT</title>
        <cusip>36251GAA2</cusip>
        <identifiers>
          <isin value="US36251GAA22"/>
        </identifiers>
        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>698224.94000000</valUSD>
        <pctVal>0.248524023103</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20300000</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>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW0Q3ET2"/>
        </identifiers>
        <balance>-900000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3404.64000000</valUSD>
        <pctVal>-0.00121183701</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW0Q3ET2SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.10000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2032-01-10</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.10000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-01-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>17239.11000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3V3495"/>
        </identifiers>
        <balance>-1830000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-8479.11000000</valUSD>
        <pctVal>-0.00301802815</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW3V3495SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.61000000"/>
                  <terminationDt>2024-04-12</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.61000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2023-04-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1662.36000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTY2Z6W9"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.80704000"/>
        <valUSD>-119191.97000000</valUSD>
        <pctVal>-0.04242482072</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="2025000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.42000000"/>
            <terminationDt>2034-10-15</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>2025000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-119191.97000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTRHZ335"/>
        </identifiers>
        <balance>870000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5283.94000000</valUSD>
        <pctVal>0.001880749241</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTRHZ335SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.95000000"/>
                  <terminationDt>2034-03-14</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>100.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.95000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-12</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-33931.31000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>Wells Fargo &amp; Co</title>
        <cusip>95000U2A0</cusip>
        <identifiers>
          <isin value="US95000U2A01"/>
          <other otherDesc="SEDOL" value="BF3R2P1"/>
        </identifiers>
        <balance>199000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>220990.92000000</valUSD>
        <pctVal>0.078658823770</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.58400000</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>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CURRENCY CONTRACT - USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00444867"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2676.87000000</valUSD>
        <pctVal>-0.00095279681</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>-142106.81000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>102000.00000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>-2676.87000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTW4ZVL7"/>
        </identifiers>
        <balance>-1230000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-32.05000000</valUSD>
        <pctVal>-0.00001140777</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>J.P. MORGAN CHASE BANK NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>J.P. MORGAN CHASE BANK NA</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>J.P. MORGAN CHASE BANK NA</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTW4ZVL7SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.60000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2030-08-19</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.60000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>22845.95000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTGZTTP6"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>39670.18000000</valUSD>
        <pctVal>0.014120081031</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>J.P. MORGAN CHASE BANK NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JP MORGAN CHASE BANK NA</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>JP MORGAN CHASE BANK NA</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTGZTTP6SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.98500000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2048-04-29</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.98500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2038-04-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>30270.18000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3PVSQ6"/>
        </identifiers>
        <balance>-530000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-12025.44000000</valUSD>
        <pctVal>-0.00428029787</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW3PVSQ6SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.71250000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-04-08</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.71250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2814.56000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN EXPRESS CO</name>
        <lei>R4PP93JZOLY261QX3811</lei>
        <title>American Express Co</title>
        <cusip>025816BY4</cusip>
        <identifiers>
          <isin value="US025816BY42"/>
          <other otherDesc="SEDOL" value="BG362R7"/>
        </identifiers>
        <balance>1750000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1820294.88000000</valUSD>
        <pctVal>0.647910123078</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.70000000</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>CVS HEALTH CORP</name>
        <lei>549300EJG376EN5NQE29</lei>
        <title>CVS Health Corp</title>
        <cusip>126650CW8</cusip>
        <identifiers>
          <isin value="US126650CW89"/>
          <other otherDesc="SEDOL" value="BF4JKP2"/>
        </identifiers>
        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>565567.31000000</valUSD>
        <pctVal>0.201306277053</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.10000000</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>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTRHZ5G4"/>
        </identifiers>
        <balance>-700000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-13463.74000000</valUSD>
        <pctVal>-0.00479224192</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTRHZ5G4SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.05000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2039-03-14</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>100.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.05000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2029-03-12</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>23671.26000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal" value="BRTYQH6Q6"/>
        </identifiers>
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        <assetCat>DIR</assetCat>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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                    <invOthCountry>US</invOthCountry>
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      </invstOrSec>
      <invstOrSec>
        <name>SCHLUMBERGER FIN CA</name>
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        <cusip>80685XAB7</cusip>
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          <isin value="US80685XAB73"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF NY MELLON CORP</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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        <title>SWOP IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRTYFVDE6"/>
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        <balance>5250000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
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      <invstOrSec>
        <name>VERIZON COMMUNICATIONS</name>
        <lei>2S72QS2UO2OESLG6Y829</lei>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>TSY INFL IX N/B</name>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <balance>360000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>AIA GROUP LTD</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>TSY INFL IX N/B</name>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>BALTIMORE GAS &amp; ELECTRIC</name>
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        <name>Ford Credit Floorplan Master O</name>
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      <invstOrSec>
        <name>MIZUHO FINANCIAL GROUP</name>
        <lei>353800CI5L6DDAN5XZ33</lei>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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          <other otherDesc="Internal" value="BRTT2KUX4"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP PARIBAS (SUISSE) SA</name>
        <lei>QHSFEYI7HUOXXZ413E03</lei>
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          <ticker value="N/A"/>
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        <curCd>USD</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>BNP PARIBAS (SUISSE) SA</counterpartyName>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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        <balance>1.00000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <title>IRS USD</title>
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      <invstOrSec>
        <name>GENERAL MOTORS FINL CO</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co Inc</title>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
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        <name>VISA INC</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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            <delta>XXXX</delta>
            <unrealizedAppr>5844.08000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <title>IRS USD</title>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.74600000"/>
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            <delta>XXXX</delta>
            <unrealizedAppr>-1746.83000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00454343"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</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>BNP PARIBAS</counterpartyName>
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            <amtCurSold>-560838.47000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>415000.00000000</amtCurPur>
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            <unrealizedAppr>1882.45000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>NVIDIA CORP</name>
        <lei>549300S4KLFTLO7GSQ80</lei>
        <title>NVIDIA Corp</title>
        <cusip>67066GAF1</cusip>
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          <isin value="US67066GAF19"/>
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        <balance>146000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>162712.60000000</valUSD>
        <pctVal>0.057915419007</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTYFVDD8"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>J.P. MORGAN CHASE BANK NA</name>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.58200000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <exercisePrice>1.58200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>12415.00000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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          <other otherDesc="Internal" value="BRTQJATJ7"/>
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        <balance>1.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
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        <title>Hellenic Republic Government Bond</title>
        <cusip>000000000</cusip>
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          <isin value="GRR000000010"/>
          <other otherDesc="SEDOL" value="B78DT02"/>
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        <balance>605900.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED</name>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTJPY__00466313"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <pmntCurCd>GBP</pmntCurCd>
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            <curCd>GBP</curCd>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BlackRock Liquidity FedFund</name>
        <lei>549300T8K043VZEOVK74</lei>
        <title>BlackRock Liquidity FedFund</title>
        <cusip>09248U700</cusip>
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          <isin value="US09248U7000"/>
          <ticker value="TFDXX"/>
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        <balance>2621394.12000000</balance>
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        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTUFCCB3"/>
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        <balance>-1040000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <invOthCountry>US</invOthCountry>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-06-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2060.90000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRW23H5X3"/>
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        <balance>1.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE BANK</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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          <other otherDesc="INTERNAL" value="BRTQDVVS4"/>
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        <balance>-3300000.00000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>JP MORGAN CHASE BANK</name>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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          <other otherDesc="Internal" value="BRTQJDDT6"/>
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        <balance>1.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <balance>-3130000.00000000</balance>
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        <assetCat>DIR</assetCat>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.25000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2022-12-31</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.25000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-12-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>11424.41000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3N8HD0"/>
        </identifiers>
        <balance>-530000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-12325.29000000</valUSD>
        <pctVal>-0.00438702555</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW3N8HD0SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.70750000"/>
                  <terminationDt>2031-04-07</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.70750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2647.21000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTW40VV2"/>
        </identifiers>
        <balance>980000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>7020.53000000</valUSD>
        <pctVal>0.002498865709</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>CITIBANK NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>CITIBANK NA</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>CITIBANK NA</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTW40VV2SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.46000000"/>
                  <terminationDt>2031-08-18</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.46000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-28051.22000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTUUPQT3"/>
        </identifiers>
        <balance>-1210000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-432.28000000</valUSD>
        <pctVal>-0.00015386440</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTUUPQT3SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-07-05</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.00000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-07-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2066.99000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATIONWIDE BLDG SOCIETY</name>
        <lei>549300XFX12G42QIKN82</lei>
        <title>Nationwide Building Society</title>
        <cusip>63859UBE2</cusip>
        <identifiers>
          <isin value="US63859UBE29"/>
        </identifiers>
        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1030434.19000000</valUSD>
        <pctVal>0.366769554868</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</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>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2FYAD1"/>
        </identifiers>
        <balance>-930000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-9039.28000000</valUSD>
        <pctVal>-0.00321741333</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW2FYAD1SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.60000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  </floatingPmntDesc>
                  <terminationDt>2032-05-08</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.60000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-03-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6584.72000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED MEXICAN STATES</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>Mexico Government International Bond</title>
        <cusip>91087BAF7</cusip>
        <identifiers>
          <isin value="US91087BAF76"/>
          <other otherDesc="SEDOL" value="BH4KQ39"/>
        </identifiers>
        <balance>135000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>147065.63000000</valUSD>
        <pctVal>0.052346084956</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW0R5ZQ9"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-32140.92000000</valUSD>
        <pctVal>-0.01144013954</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="290000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.76000000"/>
            <terminationDt>2030-07-09</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>290000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-32140.92000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UBS AG</name>
        <lei>BFM8T61CT2L1QCEMIK50</lei>
        <title>CURRENCY CONTRACT - USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00458455"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8625.74000000</valUSD>
        <pctVal>0.003070219186</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>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>-655000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>744583.04000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>8625.74000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW44REV0"/>
        </identifiers>
        <balance>-255000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6154.90000000</valUSD>
        <pctVal>-0.00219075604</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="BRW44REV0SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.71700000"/>
                  <terminationDt>2031-04-20</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.71700000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>883.10000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTY2Z8X5"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.80704000"/>
        <valUSD>163203.55000000</valUSD>
        <pctVal>0.058090166230</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.36000000"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="-2025000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2039-10-15</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>2025000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>163203.55000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC BANK PLC</name>
        <lei>MP6I5ZYZBEU3UXPYFY54</lei>
        <title>CURRENCY CONTRACT - GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTGBP__00461548"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-602.98000000</valUSD>
        <pctVal>-0.00021462283</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 PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>-252642.18000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>203400.00000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>-602.98000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW23UVQ0"/>
        </identifiers>
        <balance>550000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>19897.59000000</valUSD>
        <pctVal>0.007082286572</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>CITIBANK NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>CITIBANK NA</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>CITIBANK NA</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW23UVQ0SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.49200000"/>
                  <terminationDt>2035-02-27</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.49200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-02-25</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-8991.16000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal" value="BRTTGD1G4"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>35879.82000000</valUSD>
        <pctVal>0.012770952029</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.44650000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-210000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2031-05-18</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>210000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>35879.82000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T INC</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T Inc</title>
        <cusip>00206RCN0</cusip>
        <identifiers>
          <isin value="US00206RCN08"/>
          <other otherDesc="SEDOL" value="BX2KBD8"/>
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        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>275066.72000000</valUSD>
        <pctVal>0.097906396577</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.40000000</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>Bank</name>
        <lei>N/A</lei>
        <title>BANK 2019-BNK23</title>
        <cusip>06541RBB8</cusip>
        <identifiers>
          <isin value="US06541RBB87"/>
        </identifiers>
        <balance>366000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>406160.05000000</valUSD>
        <pctVal>0.144567350530</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.92000000</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>BANQUE FED CRED MUTUEL</name>
        <lei>VBHFXSYT7OG62HNT8T76</lei>
        <title>Banque Federative du Credit Mutuel SA</title>
        <cusip>06675FAS6</cusip>
        <identifiers>
          <isin value="US06675FAS65"/>
        </identifiers>
        <balance>760000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>784277.88000000</valUSD>
        <pctVal>0.279153440105</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.12500000</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>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW5JKCS5"/>
        </identifiers>
        <balance>-1090000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-25981.47000000</valUSD>
        <pctVal>-0.00924776398</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW5JKCS5SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.74600000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-06-04</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.74600000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-06-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1350.28000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MONTREAL EXCHANGE</name>
        <lei>N/A</lei>
        <title>CANADIAN 10 YEAR BOND</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CNU0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00QB4NCJ9"/>
        </identifiers>
        <balance>31.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.35760000"/>
        <valUSD>2988.83000000</valUSD>
        <pctVal>0.001063834895</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>MONTREAL EXCHANGE</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>CANADA-GOV'T WI</issuerName>
                <issueTitle>Canadian When Issued Government Bond</issueTitle>
                <identifiers>
                  <cusip value="135087J39"/>
                  <isin value="CA135087J397"/>
                  <other otherDesc="SEDOL" value="BYQLD27"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>3509400.68000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>2988.83000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2C93M7"/>
        </identifiers>
        <balance>-2530000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2.46000000</valUSD>
        <pctVal>-0.00000087560</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
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                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <invOthCountry>US</invOthCountry>
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            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
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            <exercisePrice>1.05000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-10-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4450.34000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW ZEALAND GVT ILB</name>
        <lei>549300237GPHG2AI7C34</lei>
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          <isin value="NZIIBDT004C8"/>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SUMITOMO MITSUI FINL GRP</name>
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          <isin value="US86562MAB63"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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          <other otherDesc="INTERNAL" value="BRW19ES11"/>
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        <units>NC</units>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="800000.00000000">
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            <fixedPmntDesc amount="N/A" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.39000000"/>
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            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
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            <curCd>GBP</curCd>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
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          <other otherDesc="INTERNAL" value="BRW3FF0L3"/>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>FEDERAL HOME LOAN BANK</name>
        <lei>2549001DPIFGXC1TOL40</lei>
        <title>Federal Home Loan Banks</title>
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          <isin value="US3130AFFX04"/>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-16</maturityDt>
          <couponKind>Fixed</couponKind>
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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>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW20VWC1"/>
        </identifiers>
        <balance>-1150000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-152648.87000000</valUSD>
        <pctVal>-0.05433336611</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AG</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
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                    <issuerCat>CORP</issuerCat>
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            <exercisePrice>1.39000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-115848.87000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <title>SWOP IRS JPY</title>
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        <balance>1670000.00000000</balance>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>Broadcom Inc</title>
        <cusip>11135FAE1</cusip>
        <identifiers>
          <isin value="US11135FAE16"/>
          <other otherDesc="SEDOL" value="BJ8CLK7"/>
        </identifiers>
        <balance>157000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>174950.22000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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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>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW01YT81"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-86197.08000000</valUSD>
        <pctVal>-0.03068072174</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS" floatingRtSpread="0.00000000" pmntAmt="775000.00000000">
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            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.96000000"/>
            <terminationDt>2049-12-12</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>775000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-86197.08000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTWLPL98"/>
        </identifiers>
        <balance>-5030000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-6323.54000000</valUSD>
        <pctVal>-0.00225078124</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTWLPL98SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.25000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-09-07</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>-0.25000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-09-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1952.21000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTTHPBP5"/>
        </identifiers>
        <balance>-2262400.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-421.02000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTTHPBP5SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.11000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <terminationDt>2023-05-19</terminationDt>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-05-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7063.58000000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD CMS CAP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2E6DN8"/>
        </identifiers>
        <balance>-8775000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-19987.64000000</valUSD>
        <pctVal>-0.00711433869</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>CITIBANK, NATIONAL ASSOCIATION</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>CITIBANK, NATIONAL ASSOCIATION</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
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                      <other otherDesc="INTERNAL" value="BRW2E6DN8SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
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            <delta>XXXX</delta>
            <unrealizedAppr>-12528.89000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <balance>120000.00000000</balance>
        <units>NC</units>
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        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>E57ODZWZ7FF32TWEFA76</lei>
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            <expDt>2039-01-31</expDt>
            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Trust 2017-GS7</title>
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          <isin value="US36254CAV28"/>
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        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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        <identifiers>
          <other otherDesc="INTERNAL" value="JRW602HM1"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4233.93000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.65200000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-870000.00000000">
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            <unrealizedAppr>4233.93000000</unrealizedAppr>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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          <isin value="US912810SM18"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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            <curCd>EUR</curCd>
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        <securityLending>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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          <other otherDesc="INTERNAL" value="BRW228WM8"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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        <name>WISCONSIN PUBLIC SERVICE</name>
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      <invstOrSec>
        <name>WALT DISNEY COMPANY/THE</name>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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        <name>TSY INFL IX N/B</name>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.60000000</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>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTSL3MY0"/>
        </identifiers>
        <balance>-3490000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-521.86000000</valUSD>
        <pctVal>-0.00018574923</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>CITIBANK NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>CITIBANK N.A.</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>CITIBANK N.A.</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTSL3MY0SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.10000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-04-14</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.10000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-04-12</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>11119.47000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN EXPRESS CO</name>
        <lei>R4PP93JZOLY261QX3811</lei>
        <title>American Express Co</title>
        <cusip>025816BM0</cusip>
        <identifiers>
          <isin value="US025816BM04"/>
          <other otherDesc="SEDOL" value="BD9MLW6"/>
        </identifiers>
        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1038049.45000000</valUSD>
        <pctVal>0.369480106932</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</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>MITSUBISHI UFJ FIN GRP</name>
        <lei>353800V2V8PUY9TK3E06</lei>
        <title>Mitsubishi UFJ Financial Group Inc</title>
        <cusip>606822AW4</cusip>
        <identifiers>
          <isin value="US606822AW44"/>
          <other otherDesc="Sedol" value="BFLTC59"/>
        </identifiers>
        <balance>215000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>221938.74000000</valUSD>
        <pctVal>0.078996187886</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.53500000</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>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTV397Q4"/>
        </identifiers>
        <balance>-670000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.000000</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTV397Q4SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.35000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2030-07-14</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.35000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-10</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6767.00000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW10SMH0"/>
        </identifiers>
        <balance>-2620000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-1.51000000</valUSD>
        <pctVal>-0.00000053746</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AG</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW10SMH0SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.18000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2030-07-20</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.18000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-07-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>35744.20000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2ZJ076"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>449.80000000</valUSD>
        <pctVal>0.000160100419</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="1510000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.37850000"/>
            <terminationDt>2022-06-19</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>1510000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>449.80000000</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>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTWW46P4"/>
        </identifiers>
        <balance>-600000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-6928.73000000</valUSD>
        <pctVal>-0.00246619070</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTWW46P4SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.13800000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                  </floatingPmntDesc>
                  <terminationDt>2027-09-14</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>-0.13800000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2022-09-12</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2100.32000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMORGAN CHASE &amp; CO</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMorgan Chase &amp; Co</title>
        <cusip>46625HJH4</cusip>
        <identifiers>
          <isin value="US46625HJH49"/>
          <other otherDesc="SEDOL" value="B9288H7"/>
        </identifiers>
        <balance>3500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3722686.70000000</valUSD>
        <pctVal>1.325041576769</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</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>MASSMUTUAL GLOBAL FUNDIN</name>
        <lei>549300K1IE3K7YU6VG29</lei>
        <title>MassMutual Global Funding II</title>
        <cusip>57629WCU2</cusip>
        <identifiers>
          <isin value="US57629WCU27"/>
        </identifiers>
        <balance>1614000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1620858.18000000</valUSD>
        <pctVal>0.576923241632</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.85000000</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>ORACLE CORP</name>
        <lei>1Z4GXXU7ZHVWFCD8TV52</lei>
        <title>Oracle Corp</title>
        <cusip>68389XBX2</cusip>
        <identifiers>
          <isin value="US68389XBX21"/>
        </identifiers>
        <balance>55000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62276.92000000</valUSD>
        <pctVal>0.022166654065</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BENCHMARK Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Benchmark 2019-B15 Mortgage Trust</title>
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          <isin value="US08160KAE47"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912828H458"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-01-15</maturityDt>
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      <invstOrSec>
        <name>JPMORGAN CHASE &amp; CO</name>
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        <title>JPMorgan Chase &amp; Co</title>
        <cusip>46625HJD3</cusip>
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          <isin value="US46625HJD35"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>ALIBABA GROUP HOLDING</name>
        <lei>5493001NTNQJDH60PM02</lei>
        <title>Alibaba Group Holding Ltd</title>
        <cusip>01609WAP7</cusip>
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          <isin value="US01609WAP77"/>
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        <curCd>USD</curCd>
        <valUSD>1029077.09000000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>CREDIT SUISSE NEW YORK</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

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            <unrealizedAppr>1637.26000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTUNM7M4"/>
        </identifiers>
        <balance>-1140000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-395.55000000</valUSD>
        <pctVal>-0.00014079084</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTUNM7M4SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-06-29</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.00000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-06-25</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2208.96000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTZ4F9K1"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.80704000"/>
        <valUSD>-15309.84000000</valUSD>
        <pctVal>-0.00544933704</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="415000.00000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.45600000"/>
            <terminationDt>2029-11-15</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>415000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-15309.84000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW0XSR57"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>4056.03000000</valUSD>
        <pctVal>0.001443690758</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.29750000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-2480000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            </floatingPmntDesc>
            <terminationDt>2022-01-16</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>2480000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>4056.03000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTVXV2F1"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-36914.83000000</valUSD>
        <pctVal>-0.01313935028</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS NAS" floatingRtSpread="0.00000000" pmntAmt="1300000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.70600000"/>
            <terminationDt>2024-08-12</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1300000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-36914.83000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW43MRK2"/>
        </identifiers>
        <balance>-255000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5302.85000000</valUSD>
        <pctVal>-0.00188748000</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW43MRK2SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.76500000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  </floatingPmntDesc>
                  <terminationDt>2031-04-19</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.76500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1690.53000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>REPUBLIC OF INDONESIA</name>
        <lei>529900FWX0GRR7WG5W79</lei>
        <title>Indonesia Government International Bond</title>
        <cusip>455780CQ7</cusip>
        <identifiers>
          <isin value="US455780CQ75"/>
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        <balance>160000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>163739.45000000</valUSD>
        <pctVal>0.058280912816</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.85000000</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>CHEVRON CORP</name>
        <lei>N/A</lei>
        <title>Chevron Corp</title>
        <cusip>166764BV1</cusip>
        <identifiers>
          <isin value="US166764BV15"/>
        </identifiers>
        <balance>425000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>432502.55000000</valUSD>
        <pctVal>0.153943618411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-11</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMORGAN CHASE &amp; CO</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMorgan Chase &amp; Co</title>
        <cusip>46625HMN7</cusip>
        <identifiers>
          <isin value="US46625HMN79"/>
          <other otherDesc="SEDOL" value="BYP3G69"/>
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        <balance>241000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>273497.04000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.90000000</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>JAPAN GOVT CPI LINKED</name>
        <lei>353800WZS8AXZXFUC241</lei>
        <title>Japanese Government CPI Linked Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="JP1120231J51"/>
          <other otherDesc="SEDOL" value="BG5NBY6"/>
        </identifiers>
        <balance>351455640.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="JPY" exchangeRt="107.97500000"/>
        <valUSD>3244556.44000000</valUSD>
        <pctVal>1.154857372546</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.10000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED MEXICAN STATES</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>Mexico Government International Bond</title>
        <cusip>91087BAH3</cusip>
        <identifiers>
          <isin value="US91087BAH33"/>
        </identifiers>
        <balance>480000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>476136.00000000</valUSD>
        <pctVal>0.169474373493</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25000000</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>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTWXCDV4"/>
        </identifiers>
        <balance>-600000.00000000</balance>
        <units>NC</units>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTWXCDV4SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
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                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
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            <unrealizedAppr>-3298.87000000</unrealizedAppr>
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        </derivativeInfo>
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        <name>UBS AG</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>UBS AG</counterpartyName>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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          <ticker value="N/A"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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          <other otherDesc="INTERNAL" value="BRW33ZRC3"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>ORACLE CORP</name>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <units>NC</units>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.39950000"/>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UBS AG</name>
        <lei>BFM8T61CT2L1QCEMIK50</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00449503"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-10593.45000000</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>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>-577775.45000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>415000.00000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>-10593.45000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRW1D21C7"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.80704000"/>
        <valUSD>-71847.52000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="700000.00000000">
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            <pmntCurCd>GBP</pmntCurCd>
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            <unrealizedAppr>-71847.52000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRSYL98N5"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-30674.16000000</valUSD>
        <pctVal>-0.01091806552</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>CITIBANK NA</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS NAS" floatingRtSpread="0.00000000" pmntAmt="10250000.00000000">
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
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            <notionalAmt>10250000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-30674.16000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW18Q0D9"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>28834.26000000</valUSD>
        <pctVal>0.010263177219</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.58000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-300000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2030-01-29</terminationDt>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>28834.26000000</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 GROUP INC</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>Goldman Sachs Group Inc/The</title>
        <cusip>38148YAC2</cusip>
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          <isin value="US38148YAC21"/>
          <other otherDesc="SEDOL" value="BYZKWW8"/>
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        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1025512.64000000</valUSD>
        <pctVal>0.365017793601</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.87600000</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>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS USD CMS CAP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTV0RDC1"/>
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        <balance>4670000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.000000</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS CMS USD</title>
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                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTV0RDC1SO"/>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.35000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CONSTANT MATURITY SWAP" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.35000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-3852.75000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW03P063"/>
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        <balance>-2815000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-4.06000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US9128287D64"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED</name>
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        <title>CURRENCY CONTRACT - EUR</title>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTEUR__00461550"/>
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        <balance>1.00000000</balance>
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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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            <amtCurSold>-151377.26000000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>QUALCOMM INC</name>
        <lei>H1J8DDZKZP6H7RWC0H53</lei>
        <title>QUALCOMM Inc</title>
        <cusip>747525AE3</cusip>
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          <other otherDesc="SEDOL" value="BWX4DC5"/>
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        <balance>2200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2299584.03000000</valUSD>
        <pctVal>0.818506819020</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
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        <identifiers>
          <other otherDesc="INTERNAL" value="BRW4JRGC4"/>
        </identifiers>
        <balance>-550000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-17446.09000000</valUSD>
        <pctVal>-0.00620970725</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW4JRGC4SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
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                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.74000000"/>
                  <terminationDt>2032-05-04</terminationDt>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.74000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-05-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1583.91000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JAPAN GOVT CPI LINKED</name>
        <lei>353800WZS8AXZXFUC241</lei>
        <title>Japanese Government CPI Linked Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="JP1120241K56"/>
          <other otherDesc="SEDOL" value="BKBDKZ2"/>
        </identifiers>
        <balance>644903280.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="JPY" exchangeRt="107.97500000"/>
        <valUSD>5974501.05000000</valUSD>
        <pctVal>2.126545403808</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.10000000</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>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>CURRENCY CONTRACT - EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTEUR__00424526"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-40977.18000000</valUSD>
        <pctVal>-0.01458529056</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>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <amtCurSold>-872228.75000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>925000.00000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-08-05</settlementDt>
            <unrealizedAppr>-40977.18000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRW3FF0S8"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4818.99000000</valUSD>
        <pctVal>0.001715256378</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.34450000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-1870000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2022-09-29</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1870000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>4818.99000000</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>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTV9LGP3"/>
        </identifiers>
        <balance>-1240000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-493.63000000</valUSD>
        <pctVal>-0.00017570113</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTV9LGP3SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-07-21</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.00000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-07-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1775.16000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW69P4D5"/>
        </identifiers>
        <balance>-555000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-13913.47000000</valUSD>
        <pctVal>-0.00495231742</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
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                    <identifiers>
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                    <balance>0.00000000</balance>
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                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.74200000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>USD</curCd>
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            <curCd>USD</curCd>
            <exercisePrice>0.74200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-06-25</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>696.91000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRW1GJTK9"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
        <title>CURRENCY CONTRACT - NZD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTNZD__00466309"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6748.46000000</valUSD>
        <pctVal>0.002402025955</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>BANK OF AMERICA, NATIONAL ASSOCIATION</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>-1927231.64000000</amtCurSold>
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            <amtCurPur>2997000.00000000</amtCurPur>
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            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>6748.46000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <balance>220000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>43204.34000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.05200000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <terminationDt>2039-01-12</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
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                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.05200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2029-01-10</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>30774.34000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WESTPAC BANKING CORPORATION</name>
        <lei>EN5TNI6CI43VEPAMHL14</lei>
        <title>CURRENCY CONTRACT - GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTGBP__00463117"/>
        </identifiers>
        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-259.17000000</valUSD>
        <pctVal>-0.00009224816</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
              <counterpartyLei>EN5TNI6CI43VEPAMHL14</counterpartyLei>
            </counterparties>
            <amtCurSold>-495000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>449581.77000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-11-02</settlementDt>
            <unrealizedAppr>-259.17000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IBM CORP</name>
        <lei>VGRQXHF3J8VDLUA7XE92</lei>
        <title>International Business Machines Corp</title>
        <cusip>459200HG9</cusip>
        <identifiers>
          <isin value="US459200HG92"/>
          <other otherDesc="SEDOL" value="B8F5C09"/>
        </identifiers>
        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1029410.33000000</valUSD>
        <pctVal>0.366405125310</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.87500000</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>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRW31A625"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-786.63000000</valUSD>
        <pctVal>-0.00027999064</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="1160000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.35800000"/>
            <terminationDt>2022-03-20</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>1160000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-786.63000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW33UVU9"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>42084.71000000</valUSD>
        <pctVal>0.014979501362</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS" floatingRtSpread="0.00000000" pmntAmt="655000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.83500000"/>
            <terminationDt>2030-03-23</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>655000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>42084.71000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW4PTXW0"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-920.30000000</valUSD>
        <pctVal>-0.00032756873</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.79000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-620000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </floatingPmntDesc>
            <terminationDt>2032-05-09</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>620000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-920.30000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="JRW5GQAP3"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-106729.58000000</valUSD>
        <pctVal>-0.03798899621</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="6990000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <terminationDt>2022-06-03</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>6990000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-106729.58000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTWZ2XG5"/>
        </identifiers>
        <balance>-1180000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-124.37000000</valUSD>
        <pctVal>-0.00004426787</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTWZ2XG5SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.76250000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <terminationDt>2030-09-18</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.76250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>29552.63000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2HM0N4"/>
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        <balance>-2325000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-3.49000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
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                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <curCd>USD</curCd>
            <exercisePrice>1.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-10-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2437.76000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS NZD</title>
        <cusip>000000000</cusip>
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        <balance>1.00000000</balance>
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        <valUSD>-83672.21000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="NZD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH NEW ZEALAND BANK BILL RATE" floatingRtSpread="0.00000000" pmntAmt="4100000.00000000">
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            <fixedPmntDesc amount="N/A" curCd="NZD" fixedOrFloating="Fixed" fixedRt="1.08000000"/>
            <terminationDt>2030-09-16</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>NZD</rcptCurCd>
            <notionalAmt>4100000.00000000</notionalAmt>
            <curCd>NZD</curCd>
            <unrealizedAppr>-83672.21000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS EUR</title>
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        </identifiers>
        <balance>1.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
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        <pctVal>-0.00042682529</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.47700000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-730000.00000000">
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <fairValLevel>2</fairValLevel>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <balance>1.00000000</balance>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-8419.47000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>CATERPILLAR FINL SERVICE</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <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>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <issuerName>BUNDESREPUB. DEUTSCHLAND</issuerName>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <balance>270000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.69600000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-180000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-06-16</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>180000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1099.96000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS JPY</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal" value="BRTQJJC15"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.97500000"/>
        <valUSD>-239.21000000</valUSD>
        <pctVal>-0.00008514366</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 MONTH JAPANESE YEN LIBOR RATE BBA" floatingRtSpread="0.00000000" pmntAmt="860000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.33600000"/>
            <terminationDt>2034-02-08</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>860000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-239.21000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW32GWP1"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>9594.63000000</valUSD>
        <pctVal>0.003415082892</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.10500000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-190000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2050-08-21</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>190000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>9594.63000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US ULTRA BOND</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="WNU0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00R2NN7K4"/>
        </identifiers>
        <balance>11.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>25585.79000000</valUSD>
        <pctVal>0.009106926866</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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>US TREASURY N/B</issuerName>
                <issueTitle>United States Treasury Note/Bond</issueTitle>
                <identifiers>
                  <cusip value="912810RP5"/>
                  <isin value="US912810RP57"/>
                  <other otherDesc="SEDOL" value="BYQP1M5"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>2374132.96000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>25585.79000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS JPY</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTH7JAF9"/>
        </identifiers>
        <balance>1670000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.97500000"/>
        <valUSD>17.00000000</valUSD>
        <pctVal>0.000006050927</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</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>
                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS JPY</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTH7JAF9SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="JPY" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6MONTH JAPANESE YEN LIBOR - BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.78000000"/>
                  <terminationDt>2021-04-20</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>JPY</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.78000000</exercisePrice>
            <exercisePriceCurCd>JPY</exercisePriceCurCd>
            <expDt>2021-04-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-483.05000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTYCJKK4"/>
        </identifiers>
        <balance>-590000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-56921.46000000</valUSD>
        <pctVal>-0.02026044821</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTYCJKK4SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.63700000"/>
                  <terminationDt>2030-11-04</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.63700000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-11-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-42702.46000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW4HGU67"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3113.24000000</valUSD>
        <pctVal>0.001108117005</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="820000.00000000">
              <rtResetTenors>
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              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.76500000"/>
            <terminationDt>2032-05-04</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>820000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3113.24000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3PVXH0"/>
        </identifiers>
        <balance>-270000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6124.36000000</valUSD>
        <pctVal>-0.00217988573</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW3PVXH0SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.69250000"/>
                  <terminationDt>2031-04-08</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.69250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1435.64000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VISA INC</name>
        <lei>549300JZ4OKEHW3DPJ59</lei>
        <title>Visa Inc</title>
        <cusip>92826CAD4</cusip>
        <identifiers>
          <isin value="US92826CAD48"/>
          <other otherDesc="SEDOL" value="BYPHGN8"/>
        </identifiers>
        <balance>475000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>530312.11000000</valUSD>
        <pctVal>0.188757650332</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.15000000</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>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWBRTU788B6"/>
        </identifiers>
        <balance>-2310000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-614.71000000</valUSD>
        <pctVal>-0.00021879797</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTU788B6SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.05000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-06-14</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.05000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-06-10</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5202.45000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTWV7H84"/>
        </identifiers>
        <balance>1935000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.000000</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>CITIBANK NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>CITIBANK NA</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>CITIBANK NA</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTWV7H84SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.35000000"/>
                  <terminationDt>2030-07-15</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.35000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-7243.73000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW272WT1"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>18227.32000000</valUSD>
        <pctVal>0.006487775840</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.23900000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-290000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-03-02</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>290000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>18227.32000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE BANK</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS JPY</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTQENS89"/>
        </identifiers>
        <balance>3300000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.97500000"/>
        <valUSD>24.29000000</valUSD>
        <pctVal>0.000008645707</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 MORGAN CHASE BANK</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JP MORGAN CHASE BANK</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>JP MORGAN CHASE BANK</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
                    <title>IRS JPY</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTQENS89SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="JPY" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.78000000"/>
                  <terminationDt>2041-04-20</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>JPY</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.78000000</exercisePrice>
            <exercisePriceCurCd>JPY</exercisePriceCurCd>
            <expDt>2021-04-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-497.03000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTW40G98"/>
        </identifiers>
        <balance>-980000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-68.78000000</valUSD>
        <pctVal>-0.00002448134</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>CITIBANK NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>CITIBANK NA</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>CITIBANK NA</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTW40G98SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.42000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2030-08-19</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.42000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>25411.22000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW33MGP5"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-4413.88000000</valUSD>
        <pctVal>-0.00157106277</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="2680000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.31150000"/>
            <terminationDt>2022-03-23</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>2680000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-4413.88000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW46ERD3"/>
        </identifiers>
        <balance>-820000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-17995.18000000</valUSD>
        <pctVal>-0.00640514864</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                    <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW46ERD3SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.74250000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2021-04-19</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.74250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4780.32000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>10 YEAR US TREASURY NOTE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYU0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00R2NN6F2"/>
        </identifiers>
        <balance>-46.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-14944.43000000</valUSD>
        <pctVal>-0.00531927413</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>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>US TREASURY N/B</issuerName>
                <issueTitle>United States Treasury Note/Bond</issueTitle>
                <identifiers>
                  <cusip value="912828X88"/>
                  <isin value="US912828X885"/>
                  <other otherDesc="Sedol" value="BF0T9Y8"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>-6386961.82000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-14944.43000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal" value="BRTQJEXH8"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-464718.21000000</valUSD>
        <pctVal>-0.16541036067</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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            <curCd>EUR</curCd>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
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        <securityLending>
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      <invstOrSec>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      </invstOrSec>
      <invstOrSec>
        <name>CROWN CASTLE INTL CORP</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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            <exercisePrice>1.62400000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>Social Professional Loan Progr</name>
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          <isin value="US834017AA35"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>HSBC BANK PLC</name>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTCAD__00433742"/>
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        <curCd>USD</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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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <assetCat>DIR</assetCat>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                      <other otherDesc="INTERNAL" value="BRTRHZ2Z5SO"/>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
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                  <terminationDt>2034-03-14</terminationDt>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
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                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>100.00000000</principalAmt>
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            <exercisePrice>2.95000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-12</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>132962.57000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912810RL44"/>
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        <balance>4780000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6376750.45000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2045-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
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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>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRW3N8W01"/>
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        <balance>-530000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-12043.39000000</valUSD>
        <pctVal>-0.00428668694</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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                      <other otherDesc="INTERNAL" value="SWBRW3N8W01SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.70750000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <terminationDt>2031-04-07</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.70750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2929.11000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW37MPC0"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>423.97000000</valUSD>
        <pctVal>0.000150906568</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.29000000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-210000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            </floatingPmntDesc>
            <terminationDt>2022-06-25</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>210000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>423.97000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW4GWR34"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>1301.98000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.33700000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-810000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            </floatingPmntDesc>
            <terminationDt>2023-05-03</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>810000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>1301.98000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTGZTNG2"/>
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        <balance>200000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6515.08000000</valUSD>
        <pctVal>0.002318957401</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>J.P. MORGAN CHASE BANK NA</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>JP MORGAN CHASE BANK NA</counterpartyName>
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                  <derivAddlInfo>
                    <name>JP MORGAN CHASE BANK NA</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
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            <exercisePrice>2.98500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2038-04-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2884.92000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912810SB52"/>
          <other otherDesc="SEDOL" value="BFZBGW6"/>
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        <curCd>USD</curCd>
        <valUSD>4483017.39000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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          <other otherDesc="INTERNAL" value="BRTW4ZVC7"/>
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        <balance>-1230000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-67412.60000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>J.P. MORGAN CHASE BANK NA</name>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-44534.60000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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          <other otherDesc="INTERNAL" value="BRW3RNPV4"/>
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        <balance>-1160000.00000000</balance>
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        <assetCat>DIR</assetCat>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW3RNPV4SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.11500000"/>
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                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
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            <exercisePrice>-0.11500000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2022-04-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4977.37000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
            <unrealizedAppr>11390.71000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="UXYU0"/>
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        <valUSD>-51169.00000000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>US TREASURY N/B</issuerName>
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                  <isin value="US912828Z948"/>
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            </descRefInstrmnt>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <title>IRS USD</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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            <unrealizedAppr>-47050.10000000</unrealizedAppr>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS USD</title>
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        <balance>232500.00000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>J.P. MORGAN CHASE BANK NA</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
                    <name>JP MORGAN CHASE BANK NA</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
                    <title>IRS USD</title>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.86000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <upfrontPmnt>0.00000000</upfrontPmnt>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
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            </descRefInstrmnt>
            <principalAmt>100.00000000</principalAmt>
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            <exercisePrice>2.86000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2039-02-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>32743.15000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTYCA8P6"/>
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        <balance>-600000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-389.54000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.62400000"/>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>14250.46000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
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            <terminationDt>2030-04-07</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>610000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-372.67000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS JPY</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW1AGFE0"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.97500000"/>
        <valUSD>-95.21000000</valUSD>
        <pctVal>-0.00003388875</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 MONTH JAPANESE YEN LIBOR RATE BBA" floatingRtSpread="0.00000000" pmntAmt="2810000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.37140000"/>
            <terminationDt>2045-01-30</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>2810000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-95.21000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTZ3B6F5"/>
        </identifiers>
        <balance>-5720000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1.58000000</valUSD>
        <pctVal>-0.00000056238</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTZ3B6F5SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.00000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2022-12-01</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-11-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7749.02000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal" value="BRW07HMC0"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-664.85000000</valUSD>
        <pctVal>-0.00023664465</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="60000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.17500000"/>
            <terminationDt>2025-03-18</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>60000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-664.85000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>Citibank NA</title>
        <cusip>17325FAQ1</cusip>
        <identifiers>
          <isin value="US17325FAQ19"/>
          <other otherDesc="SEDOL" value="BFMYW20"/>
        </identifiers>
        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>257616.39000000</valUSD>
        <pctVal>0.091695180152</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.40000000</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>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW5MTR56"/>
        </identifiers>
        <balance>255000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>11634.62000000</valUSD>
        <pctVal>0.004141190616</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</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>
                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW5MTR56SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.28250000"/>
                  <terminationDt>2035-06-06</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.28250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-06-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2160.88000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2GG4P9"/>
        </identifiers>
        <balance>225000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1467.00000000</valUSD>
        <pctVal>0.000522159437</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW2GG4P9SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.35000000"/>
                  <terminationDt>2050-09-09</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.35000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-7645.50000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTR0BG57"/>
        </identifiers>
        <balance>232500.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8126.04000000</valUSD>
        <pctVal>0.002892357515</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>J.P. MORGAN CHASE BANK NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                  <counterparties>
                    <counterpartyName>JP MORGAN CHASE BANK NA</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>JP MORGAN CHASE BANK NA</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTR0BG57SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
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                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.86000000"/>
                  <terminationDt>2049-02-24</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>100.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.86000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2039-02-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-3376.90000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTSGJAS7"/>
        </identifiers>
        <balance>-6960000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-915.92000000</valUSD>
        <pctVal>-0.00032600972</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTSGJAS7SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.12000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-04-12</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>100.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.12000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-04-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>25544.53000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3XWY39"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>10413.45000000</valUSD>
        <pctVal>0.003706531147</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.81850000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-610000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-04-14</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>610000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>10413.45000000</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>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTUXBTY7"/>
        </identifiers>
        <balance>-1180000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-517.08000000</valUSD>
        <pctVal>-0.00018404785</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTUXBTY7SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.05000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-07-05</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>-0.05000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-07-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1972.17000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTU9S7Q8"/>
        </identifiers>
        <balance>-1010000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-317.70000000</valUSD>
        <pctVal>-0.00011308115</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTU9S7Q8SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2023-06-16</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.00000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-06-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2429.78000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTVGWND0"/>
        </identifiers>
        <balance>-1740000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-1.69000000</valUSD>
        <pctVal>-0.00000060153</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTVGWND0SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2025-07-29</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.00000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-07-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4894.67000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW0SEEF6"/>
        </identifiers>
        <balance>-890000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3142.38000000</valUSD>
        <pctVal>-0.00111848900</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW0SEEF6SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.15000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2032-01-12</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.15000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-01-10</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>17550.12000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW19ERX2"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.80704000"/>
        <valUSD>46912.06000000</valUSD>
        <pctVal>0.016697733374</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.34080000"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="-800000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2040-01-15</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>800000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>46912.06000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BONOS Y OBLIG DEL ESTADO</name>
        <lei>9598007A56S18711AH60</lei>
        <title>Spain Government Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="ES0000012F76"/>
          <other otherDesc="SEDOL" value="BKV24R9"/>
        </identifiers>
        <balance>2620000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>2972476.07000000</valUSD>
        <pctVal>1.058013928140</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.50000000</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>CD Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CD 2017-CD6 Mortgage Trust</title>
        <cusip>125039AF4</cusip>
        <identifiers>
          <isin value="US125039AF45"/>
        </identifiers>
        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>560006.15000000</valUSD>
        <pctVal>0.199326854982</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-11-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.45600000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal" value="BRTYKCFA8"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-34742.86000000</valUSD>
        <pctVal>-0.01236626600</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>
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            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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          <isin value="US912810PV44"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <balance>692890000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>JPY</curCd>
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            <principalAmt>0.00000000</principalAmt>
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            <exercisePrice>1.10000000</exercisePrice>
            <exercisePriceCurCd>JPY</exercisePriceCurCd>
            <expDt>2022-06-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-93120.63000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
                    <name>CITIBANK NA</name>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-02-25</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>15341.92000000</unrealizedAppr>
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      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <balance>-1220000.00000000</balance>
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        <valUSD>-396.95000000</valUSD>
        <pctVal>-0.00014128915</pctVal>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                    <name>CITIBANK NA</name>
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                    <valUSD>0.00000000</valUSD>
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                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
            <unrealizedAppr>2575.95000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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            <unrealizedAppr>512.22000000</unrealizedAppr>
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      <invstOrSec>
        <name>WESTPAC BANKING CORPORATION</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <identifiers>
          <other otherDesc="INTERNAL" value="BRW04H3P5"/>
        </identifiers>
        <balance>-2815000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4.34000000</valUSD>
        <pctVal>-0.00000154476</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>CITIBANK NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>CITIBANK NA</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>CITIBANK NA</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW04H3P5SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.53000000"/>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
                  <terminationDt>2022-12-16</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.53000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-12-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>13507.66000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTVRS8P7"/>
        </identifiers>
        <balance>-950000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1163.75000000</valUSD>
        <pctVal>-0.00041422157</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>J.P. MORGAN CHASE BANK NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>J.P. MORGAN CHASE BANK NA</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>J.P. MORGAN CHASE BANK NA</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTVRS8P7SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.25000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2032-08-04</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.25000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-08-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5058.75000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THERMO FISHER SCIENTIFIC</name>
        <lei>HCHV7422L5HDJZCRFL38</lei>
        <title>Thermo Fisher Scientific Inc</title>
        <cusip>883556CF7</cusip>
        <identifiers>
          <isin value="US883556CF73"/>
        </identifiers>
        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>285726.15000000</valUSD>
        <pctVal>0.101700481085</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.13300000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW4677L2"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-730.10000000</valUSD>
        <pctVal>-0.00025986953</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="120000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.65200000"/>
            <terminationDt>2027-04-20</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>120000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-730.10000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTUHYNU9"/>
        </identifiers>
        <balance>930000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>10239.42000000</valUSD>
        <pctVal>0.003644587448</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTUHYNU9SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.50000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2034-06-24</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-06-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-27360.77000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTW7T1M9"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>43523.00000000</valUSD>
        <pctVal>0.015491441851</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.75000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS" floatingRtSpread="0.00000000" pmntAmt="-1350000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2029-08-22</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1350000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>43523.00000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>Morgan Stanley</title>
        <cusip>6174468C6</cusip>
        <identifiers>
          <isin value="US6174468C63"/>
          <other otherDesc="SEDOL" value="BYTCKF9"/>
        </identifiers>
        <balance>167000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>189474.31000000</valUSD>
        <pctVal>0.067440899197</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW190PU0"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>30458.56000000</valUSD>
        <pctVal>0.010841325532</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.57000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-330000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-04-29</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>330000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>30458.56000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>CURRENCY CONTRACT - USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00453133"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2129.09000000</valUSD>
        <pctVal>-0.00075782170</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>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>-202926.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>225878.35000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>-2129.09000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW5GWQA6"/>
        </identifiers>
        <balance>-2320000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-33123.44000000</valUSD>
        <pctVal>-0.01178985466</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW5GWQA6SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-06-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1850.57000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW5MTR64"/>
        </identifiers>
        <balance>255000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>17413.04000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="SWBRW5MTR64SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
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                    <assetCat>DIR</assetCat>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  <curCd>USD</curCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>3617.54000000</unrealizedAppr>
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        </derivativeInfo>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BALTIMORE GAS &amp; ELECTRIC</name>
        <lei>88V8C2WYSOD1SPSSLH72</lei>
        <title>Baltimore Gas and Electric Co</title>
        <cusip>059165EL0</cusip>
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          <isin value="US059165EL08"/>
          <other otherDesc="SEDOL" value="BK70MM8"/>
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        <balance>144000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153328.36000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</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>MASTERCARD INC</name>
        <lei>AR5L2ODV9HN37376R084</lei>
        <title>Mastercard Inc</title>
        <cusip>57636QAG9</cusip>
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          <isin value="US57636QAG91"/>
          <other otherDesc="Sedol" value="BD6KVY5"/>
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        <balance>125000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>140719.35000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.95000000</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>FANNIE MAE</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Federal National Mortgage Association</title>
        <cusip>3135G0ZR7</cusip>
        <identifiers>
          <isin value="US3135G0ZR78"/>
          <other otherDesc="Sedol" value="BQR7XN9"/>
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        <balance>7120000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7798506.74000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.62500000</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>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3RM2X7"/>
        </identifiers>
        <balance>-260000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6206.49000000</valUSD>
        <pctVal>-0.00220911883</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <title>IRS USD</title>
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                      <other otherDesc="INTERNAL" value="SWBRW3RM2X7SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.68800000"/>
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                  <notionalAmt>0.00000000</notionalAmt>
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            <principalAmt>1.00000000</principalAmt>
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            <exercisePrice>0.68800000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>859.01000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TRUIST FIN CORP</name>
        <lei>549300DRQQI75D2JP341</lei>
        <title>Truist Financial Corp</title>
        <cusip>05531FAX1</cusip>
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          <isin value="US05531FAX15"/>
          <other otherDesc="SEDOL" value="BDZW9N7"/>
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        <balance>2000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2073995.06000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75000000</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>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS USD CMS CAP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTV0RDT4"/>
        </identifiers>
        <balance>-9330000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS CMS USD</title>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.25000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CONSTANT MATURITY SWAP" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <terminationDt>2024-06-27</terminationDt>
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            <exercisePrice>0.25000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4665.00000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD CMS CAP</title>
        <cusip>000000000</cusip>
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        <balance>17550000.00000000</balance>
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                  <derivAddlInfo>
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                    <title>IRS USD CMS CAP</title>
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            <delta>XXXX</delta>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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        <balance>1.00000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>JPMORGAN CHASE &amp; CO</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMorgan Chase &amp; Co</title>
        <cusip>46625HJE1</cusip>
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          <isin value="US46625HJE18"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-09-23</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>IBM CORP</name>
        <lei>VGRQXHF3J8VDLUA7XE92</lei>
        <title>International Business Machines Corp</title>
        <cusip>459200JX0</cusip>
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          <isin value="US459200JX08"/>
          <other otherDesc="SEDOL" value="BFY97F1"/>
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        <balance>2275000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2380182.53000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-13</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912810PS15"/>
          <other otherDesc="SEDOL" value="B1P8M10"/>
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        <balance>2837000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.37500000</annualizedRt>
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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>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTTVBSH0"/>
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        <balance>-18400000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-27.93000000</valUSD>
        <pctVal>-0.00000994131</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="BRTTVBSH0SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>33276.07000000</unrealizedAppr>
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      <invstOrSec>
        <name>BRISTOL-MYERS SQUIBB CO</name>
        <lei>HLYYNH7UQUORYSJQCN42</lei>
        <title>Bristol-Myers Squibb Co</title>
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          <isin value="US110122BY33"/>
          <other otherDesc="SEDOL" value="BK62V51"/>
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        <balance>1500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1559994.71000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.60000000</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>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTU8TZ60"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-86596.15000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="5780000.00000000">
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            <rcptCurCd>USD</rcptCurCd>
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            <unrealizedAppr>-86596.15000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>BANK OF MONTREAL</name>
        <lei>NQQ6HPCNCCU6TUTQYE16</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTCAD__00466413"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3148.51000000</valUSD>
        <pctVal>0.001120670900</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>BANK OF MONTREAL</counterpartyName>
              <counterpartyLei>NQQ6HPCNCCU6TUTQYE16</counterpartyLei>
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            <amtCurSold>-420000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>574456.26000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>3148.51000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRW1D21A1"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="-700000.00000000">
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            <rcptCurCd>GBP</rcptCurCd>
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
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          <other otherDesc="INTERNAL" value="CRTVDPMW7 00001"/>
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        <balance>1.00000000</balance>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRTVWH164"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>APPLE INC</name>
        <lei>HWUPKR0MPOU8FGXBT394</lei>
        <title>Apple Inc</title>
        <cusip>037833DM9</cusip>
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          <isin value="US037833DM97"/>
          <other otherDesc="SEDOL" value="BJDSXM6"/>
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        <balance>250000.00000000</balance>
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        <valUSD>261955.34000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
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        <balance>1.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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          <ticker value="N/A"/>
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        <valUSD>-670.88000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>CITIBANK, NATIONAL ASSOCIATION</counterpartyName>
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            <amtCurSold>-420000.00000000</amtCurSold>
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            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>-670.88000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTY2ZBH6"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.80704000"/>
        <valUSD>-245456.25000000</valUSD>
        <pctVal>-0.08736693757</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="1560000.00000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>1560000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-245456.25000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FEDERAL FARM CREDIT BANK</name>
        <lei>N/A</lei>
        <title>Federal Farm Credit Banks Funding Corp</title>
        <cusip>3133EJ3Q0</cusip>
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          <isin value="US3133EJ3Q02"/>
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        <balance>2190000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2382474.08000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-21</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>CURRENCY CONTRACT - EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTEUR__00423398"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1208.31000000</valUSD>
        <pctVal>-0.00043008211</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>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <amtCurSold>-146128.00000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>160000.00000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-08-05</settlementDt>
            <unrealizedAppr>-1208.31000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HUNGARY</name>
        <lei>5299008DH62LEB10JK83</lei>
        <title>Hungary Government International Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS2161992511"/>
          <other otherDesc="SEDOL" value="BL55FK1"/>
        </identifiers>
        <balance>120000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>135608.98000000</valUSD>
        <pctVal>0.048268240430</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>HU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-28</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.62500000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW0N5J57"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>36168.43000000</valUSD>
        <pctVal>0.012873678979</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.79700000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-310000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </floatingPmntDesc>
            <terminationDt>2030-01-07</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>310000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>36168.43000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTVRSR92"/>
        </identifiers>
        <balance>-510000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-0.14000000</valUSD>
        <pctVal>-0.00000004983</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTVRSR92SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.00000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  </floatingPmntDesc>
                  <terminationDt>2030-08-05</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7598.86000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTVGX9C6"/>
        </identifiers>
        <balance>-940000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTVGX9C6SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.30000000"/>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
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            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.30000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>11515.00000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="JRW661LV2"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-59.53000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <curCd>EUR</curCd>
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      </invstOrSec>
      <invstOrSec>
        <name>UBS LIMITED</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="CCTUSD__00451950"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5983.92000000</valUSD>
        <pctVal>-0.00212989795</pctVal>
        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <amtCurSold>-571517.67000000</amtCurSold>
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            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>-5983.92000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS USD</title>
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        <identifiers>
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        <balance>950000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4737.06000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>J.P. MORGAN CHASE BANK NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>J.P. MORGAN CHASE BANK NA</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>J.P. MORGAN CHASE BANK NA</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTVRS8N2SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.25000000"/>
                  <terminationDt>2032-08-04</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.25000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-08-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-20912.94000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW4QR1R9"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1458.89000000</valUSD>
        <pctVal>0.000519272789</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.29150000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-1090000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2022-08-10</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1090000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1458.89000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2J4QX2"/>
        </identifiers>
        <balance>-583000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5666.56000000</valUSD>
        <pctVal>-0.00201693782</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW2J4QX2SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.60000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2032-03-08</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.60000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-03-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3952.94000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2EH2E6"/>
        </identifiers>
        <balance>-2530000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2.46000000</valUSD>
        <pctVal>-0.00000087560</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW2EH2E6SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.05000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2022-10-06</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.05000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-10-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2970.29000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTUBDA50"/>
        </identifiers>
        <balance>930000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>10165.24000000</valUSD>
        <pctVal>0.003618184049</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTUBDA50SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.50000000"/>
                  <terminationDt>2034-06-17</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-06-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-31646.01000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW54WUP1"/>
        </identifiers>
        <balance>3050000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>10279.76000000</valUSD>
        <pctVal>0.003658945943</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW54WUP1SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.39000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2024-05-24</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.39000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2023-05-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>977.26000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTH6VV86"/>
        </identifiers>
        <balance>10000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>325.75000000</valUSD>
        <pctVal>0.000115946446</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>CITIBANK NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>CITIBANK NA</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>CITIBANK NA</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTH6VV86SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3M US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.98500000"/>
                  <terminationDt>2048-04-29</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.98500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2038-04-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-135.25000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTLR53H2"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-525475.53000000</valUSD>
        <pctVal>-0.18703613302</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>HUNTINGTON NATIONAL BANK</name>
        <lei>2WHM8VNJH63UN14OL754</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <title>IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRW4NBTU0"/>
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        <balance>1.00000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="750000.00000000">
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            </floatingRecDesc>
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            <curCd>USD</curCd>
            <unrealizedAppr>2516.06000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
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        <identifiers>
          <other otherDesc="INTERNAL" value="BRW44RFL1"/>
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        <balance>-255000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="BRW44RFL1SO"/>
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                    <units>NC</units>
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                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.71700000"/>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1169.98000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <balance>-1830000.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.61000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2023-04-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3168.66000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTSME0B9"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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      <invstOrSec>
        <name>Navient Student Loan Trust</name>
        <lei>N/A</lei>
        <title>Navient Student Loan Trust 2019-B</title>
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        <balance>260000.00000000</balance>
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      <invstOrSec>
        <name>BP CAPITAL MARKETS PLC</name>
        <lei>549300CRVT18MXX0AG93</lei>
        <title>BP Capital Markets PLC</title>
        <cusip>05565QBU1</cusip>
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          <isin value="US05565QBU13"/>
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        <balance>1550000.00000000</balance>
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        <assetCat>DBT</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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        <balance>1.00000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="265000.00000000">
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
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        <balance>1.00000000</balance>
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              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTUBDA68SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
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                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  <terminationDt>2034-06-17</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-06-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>19512.38000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MITSUBISHI UFJ FIN GRP</name>
        <lei>353800V2V8PUY9TK3E06</lei>
        <title>Mitsubishi UFJ Financial Group Inc</title>
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          <isin value="US606822BG84"/>
          <other otherDesc="SEDOL" value="BJLSNH3"/>
        </identifiers>
        <balance>2000000.00000000</balance>
        <units>PA</units>
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        <valUSD>2085157.96000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.21800000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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        <title>SWOP IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRW5YKEH0"/>
        </identifiers>
        <balance>-1540000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-21535.41000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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                      <other otherDesc="INTERNAL" value="SWBRW5YKEH0SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.60500000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  <terminationDt>2027-06-17</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
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            <exercisePrice>0.60500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-06-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1564.59000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS (SUISSE) SA</name>
        <lei>QHSFEYI7HUOXXZ413E03</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00461500"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-698.23000000</valUSD>
        <pctVal>-0.00024852582</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>BNP PARIBAS (SUISSE) SA</counterpartyName>
              <counterpartyLei>QHSFEYI7HUOXXZ413E03</counterpartyLei>
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            <amtCurSold>-192240.00000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>131969.59000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>-698.23000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTW2E4T9"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7587.39000000</valUSD>
        <pctVal>-0.00270063210</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="130000.00000000">
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            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.70900000"/>
            <terminationDt>2049-08-16</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>130000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-7587.39000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALTRIA GROUP INC</name>
        <lei>XSGZFLO9YTNO9VCQV219</lei>
        <title>Altria Group Inc</title>
        <cusip>02209SBB8</cusip>
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          <isin value="US02209SBB88"/>
          <other otherDesc="SEDOL" value="BJ2WB14"/>
        </identifiers>
        <balance>125000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>136763.51000000</valUSD>
        <pctVal>0.048679180263</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.80000000</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>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810FQ6</cusip>
        <identifiers>
          <isin value="US912810FQ68"/>
          <other otherDesc="SEDOL" value="2805872"/>
        </identifiers>
        <balance>1270000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2732947.02000000</valUSD>
        <pctVal>0.972756699780</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.37500000</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>MORGAN STANLEY</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>Morgan Stanley</title>
        <cusip>61744YAH1</cusip>
        <identifiers>
          <isin value="US61744YAH18"/>
          <other otherDesc="SEDOL" value="BZ08VN8"/>
        </identifiers>
        <balance>4000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4159881.00000000</valUSD>
        <pctVal>1.480655162148</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75000000</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>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3PVXR8"/>
        </identifiers>
        <balance>-270000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6385.68000000</valUSD>
        <pctVal>-0.00227289916</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW3PVXR8SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.69250000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <terminationDt>2031-04-08</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
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                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.69250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1174.32000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>PACCAR FINANCIAL CORP</name>
        <lei>PH3S12DWZBHHQKVYZ297</lei>
        <title>PACCAR Financial Corp</title>
        <cusip>69371RQ82</cusip>
        <identifiers>
          <isin value="US69371RQ821"/>
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        <balance>356000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>357518.50000000</valUSD>
        <pctVal>0.127254027840</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.80000000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal" value="BRTLZ37W1"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>31661.51000000</valUSD>
        <pctVal>0.011269499830</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.28850000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-2590000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2020-10-08</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2590000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>31661.51000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>T-MOBILE USA INC</name>
        <lei>549300V2JRLO5DIFGE82</lei>
        <title>T-Mobile USA Inc</title>
        <cusip>87264ABA2</cusip>
        <identifiers>
          <isin value="US87264ABA25"/>
          <other otherDesc="Sedol" value="BMBLZK0"/>
        </identifiers>
        <balance>73000.00000000</balance>
        <units>PA</units>
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        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SKANDINAVISKA ENSKILDA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CREDIT SUISSE NEW YORK</name>
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        <name>TSY INFL IX N/B</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS" floatingRtSpread="0.00000000" pmntAmt="2520000.00000000">
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              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.23500000"/>
            <terminationDt>2030-03-13</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2520000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>56206.15000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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          <other otherDesc="INTERNAL" value="JRW5TYA56"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1466.21000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.29382000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-925000.00000000">
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            </floatingPmntDesc>
            <terminationDt>2023-06-14</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>925000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1466.21000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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        <identifiers>
          <other otherDesc="INTERNAL" value="JRW5GTQ05"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3573.63000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="798000.00000000">
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            </floatingRecDesc>
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            <curCd>USD</curCd>
            <unrealizedAppr>-3573.63000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTXBGCZ9"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-18017.87000000</valUSD>
        <pctVal>-0.00641322485</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="1340000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.56000000"/>
            <terminationDt>2021-03-30</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1340000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-18017.87000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTUHYNT2"/>
        </identifiers>
        <balance>-930000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3634.04000000</valUSD>
        <pctVal>-0.00129348894</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRTUHYNT2SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.50000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  <terminationDt>2034-06-24</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-06-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>9996.22000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW4Y2NG5"/>
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        <balance>-540000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-13976.65000000</valUSD>
        <pctVal>-0.00497480552</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
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                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW4Y2NG5SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.68500000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.68500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-05-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-226.90000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTTTMW35"/>
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        <balance>-14860000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-33.27000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                      <other otherDesc="INTERNAL" value="BRTTTMW35SO"/>
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                    <units>NC</units>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.15000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <delta>XXXX</delta>
            <unrealizedAppr>41649.03000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF MONTREAL</name>
        <lei>NQQ6HPCNCCU6TUTQYE16</lei>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__00461503"/>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>-79.71000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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        <balance>-950000.00000000</balance>
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        <valUSD>-2316.60000000</valUSD>
        <pctVal>-0.00082456343</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>MCDONALD'S CORP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>EUREX Clearing Aktiengesellschaft</name>
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        <isRestrictedSec>N</isRestrictedSec>

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                <issuerName>BUONI POLIENNALI DEL TES</issuerName>
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      <invstOrSec>
        <name>MORGAN STANLEY</name>
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        <securityLending>
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      <invstOrSec>
        <name>UBS AG</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-11-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>12852.32000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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          <other otherDesc="INTERNAL" value="BRW4JF1B8"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.37000000"/>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>760000.00000000</notionalAmt>
            <curCd>EUR</curCd>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRW5PE3Z6"/>
        </identifiers>
        <balance>255000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <writtenOrPur>Purchased</writtenOrPur>
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                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                  <derivAddlInfo>
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                    <invOthCountry>US</invOthCountry>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTW40GL1"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <lei>E57ODZWZ7FF32TWEFA76</lei>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.42000000"/>
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            </descRefInstrmnt>
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            <curCd>USD</curCd>
            <exercisePrice>1.42000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-49338.40000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW1D2194"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.80704000"/>
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        <assetCat>DIR</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RETAIL PRICE INDEX ALL ITEMS MONTHLY" floatingRtSpread="0.00000000" pmntAmt="900000.00000000">
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            <rcptCurCd>GBP</rcptCurCd>
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            <curCd>GBP</curCd>
            <unrealizedAppr>-26637.17000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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        <identifiers>
          <isin value="US912828ZJ22"/>
          <other otherDesc="Sedol" value="BMF0417"/>
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        <balance>2630000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2737991.46000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC Multifamily Structured P</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137FCLD4</cusip>
        <identifiers>
          <isin value="US3137FCLD43"/>
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        <balance>375000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>434107.43000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTEUR__00423399"/>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS EUR</title>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS EUR</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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            <delta>XXXX</delta>
            <unrealizedAppr>4025.23000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                      <other otherDesc="INTERNAL" value="BRTJ4H4M4SO"/>
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                    <assetCat>DIR</assetCat>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.87000000"/>
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            <delta>XXXX</delta>
            <unrealizedAppr>34529.51000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      <invstOrSec>
        <name>BUONI POLIENNALI DEL TES</name>
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        <title>Italy Buoni Poliennali Del Tesoro</title>
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        <invCountry>IT</invCountry>
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        <fairValLevel>2</fairValLevel>
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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>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRTUHYNS4"/>
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        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.00000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-06-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>16638.28000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>OSAKA EXCHANGE,INC</name>
        <lei>3538001249AILNPRUX57</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="JBU0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00R3QG1H1"/>
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        <balance>-5.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.97500000"/>
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        <pctVal>0.001453112408</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>OSAKA EXCHANGE,INC</counterpartyName>
              <counterpartyLei>3538001249AILNPRUX57</counterpartyLei>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>JAPAN (10 YEAR ISSUE)</issuerName>
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                  <cusip value="000000000"/>
                  <isin value="JP1103471H66"/>
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            <expDate>2020-09-14</expDate>
            <notionalAmt>-7040433.51000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>4082.50000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTVELK15 00001"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>3100000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-7858.06000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal" value="BRTTNSL63"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-181445.51000000</valUSD>
        <pctVal>-0.06458315298</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS" floatingRtSpread="0.00000000" pmntAmt="4500000.00000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.90800000"/>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4500000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-181445.51000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>Wells Fargo &amp; Co</title>
        <cusip>94974BFC9</cusip>
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          <isin value="US94974BFC90"/>
          <other otherDesc="SEDOL" value="B754254"/>
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        <balance>2100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2200175.06000000</valUSD>
        <pctVal>0.783123498056</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>BONOS Y OBLIG DEL ESTADO</name>
        <lei>9598007A56S18711AH60</lei>
        <title>Spain Government Bond</title>
        <cusip>000000000</cusip>
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          <isin value="ES0000012G00"/>
          <other otherDesc="SEDOL" value="BLH9192"/>
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        <balance>590000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.00000000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2TMRH5"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>53698.49000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.49150000"/>
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTNCBEC0"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-95284.04000000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FEDERAL HOME LOAN BANK</name>
        <lei>2549001DPIFGXC1TOL40</lei>
        <title>Federal Home Loan Banks</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810QP6</cusip>
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        <balance>2115000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3704184.38000000</valUSD>
        <pctVal>1.318455918281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
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        <balance>-590000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-369.02000000</valUSD>
        <pctVal>-0.00013134783</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTYCJKL2SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.63700000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2030-11-04</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.63700000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-11-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>13849.98000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MET LIFE GLOB FUNDING I</name>
        <lei>635400MMSOCXNNNZDZ82</lei>
        <title>Metropolitan Life Global Funding I</title>
        <cusip>59217GCS6</cusip>
        <identifiers>
          <isin value="US59217GCS66"/>
          <other otherDesc="SEDOL" value="BJ75KX3"/>
        </identifiers>
        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1043718.38000000</valUSD>
        <pctVal>0.371497888323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.37500000</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>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTUBDAF8"/>
        </identifiers>
        <balance>-930000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3601.31000000</valUSD>
        <pctVal>-0.00128183913</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTUBDAF8SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.50000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2034-06-17</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-06-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>11963.61000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>9128284H0</cusip>
        <identifiers>
          <isin value="US9128284H06"/>
          <other otherDesc="SEDOL" value="BFWS4X7"/>
        </identifiers>
        <balance>21200.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22778.44000000</valUSD>
        <pctVal>0.008107687400</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62500000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW4GWRA8"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-647.58000000</valUSD>
        <pctVal>-0.00023049761</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.61000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-270000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-05-01</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>270000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-647.58000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW29NTD2"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>19023.16000000</valUSD>
        <pctVal>0.006771044665</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.88150000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-1410000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2023-03-02</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1410000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>19023.16000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SHIRE ACQ INV IRELAND DA</name>
        <lei>549300XK5HGW68R8K327</lei>
        <title>Shire Acquisitions Investments Ireland DAC</title>
        <cusip>82481LAD1</cusip>
        <identifiers>
          <isin value="US82481LAD10"/>
          <other otherDesc="SEDOL" value="BYVWGK4"/>
        </identifiers>
        <balance>69000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76598.20000000</valUSD>
        <pctVal>0.027264126123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</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>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTNMG603"/>
        </identifiers>
        <balance>570000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>17843.30000000</valUSD>
        <pctVal>0.006351088950</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
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                      <other otherDesc="Internal" value="BRTNMG603SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.08800000"/>
                  <terminationDt>2048-12-08</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.08800000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2038-12-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-8661.70000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS JPY</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTGTULX1"/>
        </identifiers>
        <balance>18900000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.97500000"/>
        <valUSD>193.63000000</valUSD>
        <pctVal>0.000068920062</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>J.P. MORGAN CHASE BANK NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>JP MORGNA CHASE BANK NA</name>
                    <lei>7H6GLXDRUGQFU57RNE97</lei>
                    <title>IRS JPY</title>
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                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTGTULX1SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="JPY" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6M JAPANESE YEN LIBOR RATE BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.78000000"/>
                  <terminationDt>2041-04-20</terminationDt>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>JPY</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.78000000</exercisePrice>
            <exercisePriceCurCd>JPY</exercisePriceCurCd>
            <expDt>2021-04-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-5722.83000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTRE9DX9"/>
        </identifiers>
        <balance>874500.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5128.36000000</valUSD>
        <pctVal>0.001825372578</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <principalAmt>100.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-35076.78000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <balance>1.00000000</balance>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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        <balance>1.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2030-01-30</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>29619.76000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRTZ8C668"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>530056.45000000</valUSD>
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        <assetCat>DIR</assetCat>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <notionalAmt>4210000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>530056.45000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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          <other otherDesc="INTERNAL" value="BRTUQ5D09"/>
        </identifiers>
        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-18896.97000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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            <terminationDt>2026-06-28</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
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            <curCd>USD</curCd>
            <unrealizedAppr>-18896.97000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA CORP</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp</title>
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        <identifiers>
          <isin value="US06051GEU94"/>
          <other otherDesc="SEDOL" value="B799RR2"/>
        </identifiers>
        <balance>1500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1597904.27000000</valUSD>
        <pctVal>0.568753097983</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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          <other otherDesc="INTERNAL" value="BRTVKR7Z5"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-95571.63000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-95571.63000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
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        <identifiers>
          <other otherDesc="INTERNAL" value="BRW5YKEG2"/>
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        <balance>-1540000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-25119.67000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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            <delta>XXXX</delta>
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          </optionSwaptionWarrantDeriv>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                    <curCd>USD</curCd>
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                    <invOthCountry>US</invOthCountry>
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                  <pmntCurCd>USD</pmntCurCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2023-04-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-4120.24000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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>
        <title>CURRENCY CONTRACT - GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTGBP__00423949"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>11284.20000000</valUSD>
        <pctVal>0.004016463206</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>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <amtCurSold>-495000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>458172.00000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-08-05</settlementDt>
            <unrealizedAppr>11284.20000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW1D2186"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.80704000"/>
        <valUSD>40433.00000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.31000000"/>
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            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>900000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>40433.00000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>Citibank NA</title>
        <cusip>17325FAY4</cusip>
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          <isin value="US17325FAY43"/>
          <other otherDesc="SEDOL" value="BK5JH66"/>
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        <balance>2500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2549998.88000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.84400000</annualizedRt>
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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>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912828S50</cusip>
        <identifiers>
          <isin value="US912828S505"/>
          <other otherDesc="SEDOL" value="BD211D1"/>
        </identifiers>
        <balance>5865000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6670874.97000000</valUSD>
        <pctVal>2.374410580585</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.12500000</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>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal" value="BRTTVBRP3"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-95941.03000000</valUSD>
        <pctVal>-0.03414895313</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="5710000.00000000">
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            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.87000000"/>
            <terminationDt>2022-06-03</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5710000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-95941.03000000</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>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTS36E89"/>
        </identifiers>
        <balance>-4470000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-613.33000000</valUSD>
        <pctVal>-0.00021830678</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTS36E89SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.10000000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  </floatingPmntDesc>
                  <terminationDt>2023-03-31</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>100.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.10000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-03-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>14936.24000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMORGAN CHASE &amp; CO</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMorgan Chase &amp; Co</title>
        <cusip>46647PBJ4</cusip>
        <identifiers>
          <isin value="US46647PBJ49"/>
          <other otherDesc="SEDOL" value="BLC8C68"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>244824.77000000</valUSD>
        <pctVal>0.087142170538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.49300000</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>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW2ZJM98"/>
        </identifiers>
        <balance>-5250000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1153.16000000</valUSD>
        <pctVal>-0.00041045219</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW2ZJM98SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.41000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2022-03-19</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.41000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-03-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7771.84000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTJ4H6M2"/>
        </identifiers>
        <balance>830000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>504.98000000</valUSD>
        <pctVal>0.000179741017</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTJ4H6M2SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.80000000"/>
                  <terminationDt>2051-09-06</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.80000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-06-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-31874.77000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTB83N05"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-147914.44000000</valUSD>
        <pctVal>-0.05264820775</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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          <other otherDesc="INTERNAL" value="BRTW80VP1"/>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
            <unrealizedAppr>1810.54000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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      <invstOrSec>
        <name>T-MOBILE USA INC</name>
        <lei>549300V2JRLO5DIFGE82</lei>
        <title>T-Mobile USA Inc</title>
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          <isin value="US87264ABC80"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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        <balance>1.00000000</balance>
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        <valUSD>-0.53000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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            <rcptCurCd>EUR</rcptCurCd>
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      <invstOrSec>
        <name>ORACLE CORP</name>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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      <invstOrSec>
        <name>BP CAPITAL MARKETS PLC</name>
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        <title>BP Capital Markets PLC</title>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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      <invstOrSec>
        <name>CROWN CASTLE INTL CORP</name>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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          <other otherDesc="INTERNAL" value="BRTWD5SZ6"/>
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        <balance>1.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DAIMLER FINANCE NA LLC</name>
        <lei>549300423Z16BB673J12</lei>
        <title>Daimler Finance North America LLC</title>
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          <isin value="US233851DZ45"/>
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        <balance>150000.00000000</balance>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <title>SWOP IRS USD</title>
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        <balance>-5025000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
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                    <invOthCountry>US</invOthCountry>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <delta>XXXX</delta>
            <unrealizedAppr>2040.72000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <title>US TREASURY LONG BOND</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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                <issuerName>US TREASURY N/B</issuerName>
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            <expDate>2020-09-21</expDate>
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      </invstOrSec>
      <invstOrSec>
        <name>Wells Fargo Commercial Mortgag</name>
        <lei>N/A</lei>
        <title>Wells Fargo Commercial Mortgage Trust 2017-C39</title>
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          <isin value="US95000XAF42"/>
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        <balance>700000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>SWOP IRS JPY</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTQENS97"/>
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        <balance>3300000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
            <unrealizedAppr>-497.03000000</unrealizedAppr>
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      <invstOrSec>
        <name>MEDTRONIC INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DUKE ENERGY FLORIDA LLC</name>
        <lei>7MOHLM3DKE63RX2ZCN83</lei>
        <title>Duke Energy Florida LLC</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="JRW647MC2"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>452.29000000</valUSD>
        <pctVal>0.000160986702</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.71150000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-60000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-06-23</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>60000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>452.29000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTRE9MY7"/>
        </identifiers>
        <balance>-1312000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-270814.97000000</valUSD>
        <pctVal>-0.09639304184</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRTRE9MY7SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.78750000"/>
                  <terminationDt>2031-03-10</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>100.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.78750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-03-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-231700.97000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW0JF6U9"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89008000"/>
        <valUSD>-4860.14000000</valUSD>
        <pctVal>-0.00172990318</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="615000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.04950000"/>
            <terminationDt>2024-01-03</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>615000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-4860.14000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRTNMG5Z7"/>
        </identifiers>
        <balance>570000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>117385.81000000</valUSD>
        <pctVal>0.041781941728</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                    <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>BARCLAYS BANK PLC</name>
                    <lei>G5GSEF7VJP5I7OUK5573</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal" value="BRTNMG5Z7SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.55000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  </floatingPmntDesc>
                  <terminationDt>2022-12-23</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.08800000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2038-12-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>90880.81000000</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>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW03P055"/>
        </identifiers>
        <balance>-2815000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-75020.72000000</valUSD>
        <pctVal>-0.02670264277</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</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>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS USD</title>
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                    <identifiers>
                      <other otherDesc="INTERNAL" value="BRW03P055SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.53500000"/>
                  <terminationDt>2022-12-15</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.53500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-12-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-61579.09000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BENCHMARK Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Benchmark 2018-B3 Mortgage Trust</title>
        <cusip>08161BAY9</cusip>
        <identifiers>
          <isin value="US08161BAY92"/>
        </identifiers>
        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1166305.60000000</valUSD>
        <pctVal>0.415131203821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.02500000</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>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BRTTGFLP7"/>
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        <balance>-10930000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-15.66000000</valUSD>
        <pctVal>-0.00000557397</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>CITIBANK NA</counterpartyName>
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                  <derivAddlInfo>
                    <name>CITIBANK NA</name>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.35000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-05-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>21653.07000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <balance>-600000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-5777.80000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <title>IRS USD</title>
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                    <identifiers>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.60000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <terminationDt>2032-03-02</terminationDt>
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            <delta>XXXX</delta>
            <unrealizedAppr>5172.20000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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        <name>TRUIST BANK</name>
        <lei>JJKC32MCHWDI71265Z06</lei>
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          <isin value="US07330NAQ88"/>
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        <curCd>USD</curCd>
        <valUSD>515834.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
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          <other otherDesc="INTERNAL" value="BRW3ZE1Y5"/>
        </identifiers>
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        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <curCd>USD</curCd>
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                    <invOthCountry>US</invOthCountry>
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                  <pmntCurCd>USD</pmntCurCd>
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            <curCd>USD</curCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-3028.74000000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COMCAST CORP</name>
        <lei>51M0QTTNCGUN7KFCFZ59</lei>
        <title>Comcast Corp</title>
        <cusip>20030NCS8</cusip>
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          <isin value="US20030NCS80"/>
          <other otherDesc="SEDOL" value="BGGFFK5"/>
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        <balance>201000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>230497.81000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912828Z37</cusip>
        <identifiers>
          <isin value="US912828Z377"/>
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        <balance>4040000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4354867.37000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.12500000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP INC</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>Citigroup Inc</title>
        <cusip>172967ML2</cusip>
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          <isin value="US172967ML25"/>
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        <balance>125000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129884.24000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.66600000</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>BNP PARIBAS (SUISSE) SA</name>
        <lei>QHSFEYI7HUOXXZ413E03</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW6BSYR2"/>
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        <balance>-555000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-14701.85000000</valUSD>
        <pctVal>-0.00523293096</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BNP PARIBAS (SUISSE) SA</counterpartyName>
              <counterpartyLei>QHSFEYI7HUOXXZ413E03</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyLei>QHSFEYI7HUOXXZ413E03</counterpartyLei>
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                  <derivAddlInfo>
                    <name>BNP PARIBAS (SUISSE) SA</name>
                    <lei>QHSFEYI7HUOXXZ413E03</lei>
                    <title>IRS USD</title>
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                      <other otherDesc="INTERNAL" value="SWBRW6BSYR2SO"/>
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                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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          <isin value="US912810RR14"/>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>0.01000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.76500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>193.99000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW480LM7"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3332.19000000</valUSD>
        <pctVal>-0.00118604939</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="580000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.70000000"/>
            <terminationDt>2030-07-22</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>580000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-3332.19000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>Wells Fargo &amp; Co</title>
        <cusip>949746SH5</cusip>
        <identifiers>
          <isin value="US949746SH57"/>
          <other otherDesc="SEDOL" value="BYQ74R7"/>
        </identifiers>
        <balance>104000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>113525.69000000</valUSD>
        <pctVal>0.040407982568</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="BRW3WB850"/>
        </identifiers>
        <balance>-210000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3557.52000000</valUSD>
        <pctVal>-0.00126625265</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SWBRW3WB850SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.85000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-04-09</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.85000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1923.48000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC Holdings PLC</title>
        <cusip>404280AY5</cusip>
        <identifiers>
          <isin value="US404280AY54"/>
          <other otherDesc="SEDOL" value="BD0QRN0"/>
        </identifiers>
        <balance>370000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>377847.59000000</valUSD>
        <pctVal>0.134489901186</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.95000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-08-20</ncom:dateSigned>
      <ncom:nameOfApplicant>Voya Investors Trust</ncom:nameOfApplicant>
      <ncom:signature>Tin Bui</ncom:signature>
      <ncom:signerName>Tin Bui</ncom:signerName>
      <ncom:title>Vice President</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
