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        <name>N/A</name>
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        <name>N/A</name>
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        <name>United Kingdom of Great Britain and Northern Ireland</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="GB00J92SMB14"/>
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          <other otherDesc="Future Ticker" value="G U1 Comdty"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>ICE Clear Europe</counterpartyName>
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            <expDate>2021-09-28</expDate>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="23156"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <name>United States of America</name>
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        <title>U.S. Treasury Inflation Linked Bonds</title>
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        <name>N/A</name>
        <lei>N/A</lei>
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                <indexName>iTraxx Europe Crossover35-V1</indexName>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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              <counterpartyName>Deutsche Bank</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <amtCurSold>219938.82000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>6111000.00000000</amtCurPur>
            <curPur>TWD</curPur>
            <settlementDt>2021-09-15</settlementDt>
            <unrealizedAppr>-943.60000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>9128285W6</cusip>
        <identifiers>
          <isin value="US9128285W63"/>
          <other otherDesc="Inhouse Asset ID" value="9128285W6"/>
        </identifiers>
        <balance>302775.24000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>359691.47000000</valUSD>
        <pctVal>0.166537349624</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.87500000</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>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="23177"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-38826.42000000</valUSD>
        <pctVal>-0.01797665394</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. International</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>20859000.00000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>1002807.13000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-09-15</settlementDt>
            <unrealizedAppr>-38826.42000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="384036"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>13573.94000000</valUSD>
        <pctVal>0.006284741730</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>815350.00000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>611918.54000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-08-03</settlementDt>
            <unrealizedAppr>13573.94000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United Kingdom of Great Britain and Northern Ireland</name>
        <lei>ECTRVYYCEF89VWYS6K36</lei>
        <title>U.K. Treasury Inflation Linked Bonds</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="GB00B3Y1JG82"/>
          <other otherDesc="Inhouse Asset ID" value="BRSDBR505"/>
        </identifiers>
        <balance>48324.72000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.71942446"/>
        <valUSD>85450.83000000</valUSD>
        <pctVal>0.039563781569</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-22</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>N/A</name>
        <lei>N/A</lei>
        <title>ETRSI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="BRWPVJQR7"/>
        </identifiers>
        <balance>417124741.92000000</balance>
        <units>PA</units>
        <currencyConditional curCd="TWD" exchangeRt="27.96500000"/>
        <valUSD>-422611.90000000</valUSD>
        <pctVal>-0.19566954352</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Merrill Lynch International &amp; Co.</counterpartyName>
              <counterpartyLei>AHYI0DDQ2LCHPGHJC422</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>TAIEX Index Futures</indexName>
                <indexIdentifier>TAIEX Index Futures</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="417124741.92000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
            <terminationDt>2021-08-18</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>417124741.92000000</notionalAmt>
            <curCd>TWD</curCd>
            <unrealizedAppr>-422611.90000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="22525"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>47059.74000000</valUSD>
        <pctVal>0.021788685657</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co. International</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>1427000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>1741315.44000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-09-15</settlementDt>
            <unrealizedAppr>47059.74000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="22492"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>1351262.33000000</valUSD>
        <pctVal>0.625635206432</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
            </counterparties>
            <amtCurSold>39906369000.00000000</amtCurSold>
            <curSold>KRW</curSold>
            <amtCurPur>35937114.68000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-09-15</settlementDt>
            <unrealizedAppr>1351262.33000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Silver</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="SIU120210"/>
          <other otherDesc="Future Ticker" value="SIU1 Comdty"/>
        </identifiers>
        <balance>4.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-11726.28000000</valUSD>
        <pctVal>-0.00542927412</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerConditional desc="Future" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CME Clearing House</counterpartyName>
              <counterpartyLei>LCZ7XYGSLJUHFXXNXD88</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Silver</issueTitle>
                <identifiers>
                  <cusip value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-09-28</expDate>
            <notionalAmt>510940.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-11726.28000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="384041"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>5741.11000000</valUSD>
        <pctVal>0.002658137106</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>943080.00000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>761656.47000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-08-03</settlementDt>
            <unrealizedAppr>5741.11000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828H45</cusip>
        <identifiers>
          <isin value="US912828H458"/>
          <other otherDesc="Inhouse Asset ID" value="912828H45"/>
        </identifiers>
        <balance>263677.28000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>287681.18000000</valUSD>
        <pctVal>0.133196545511</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.25000000</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="SRATFF-JMC (JPMorgan Chase Bank NA): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 18-35 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:  Bank of Canada Overnight Rate Target (CABROVER) CAD - Overnight Interbank Rate Overnight USD - 1D Overnight Bank Funding Rate (OBFR01) USD - 1M US Dollar LIBOR BBA" noteItem="C.11.f.i.1"/>
      <explntrNote note="SRATFF-BCC (Barclays Bank PLC): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 15-210 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:  AUD - 1M Australian Bank Bill Rate (BBSW) CHF - 1M Swiss Franc LIBOR Rate BBA (SF0001M) DKK - 1M Copenhagen Interbank Offer Rate (CIBOR) EUR - 1M Euro Interbank Offer Rate (EURIBOR) GBP - 1D Sterling Overnight Index Average (SONIA) HKD - 1M Hong Kong Interbank Offer rate (HIBOR) JPY - 1M Japanese Yen LIBOR Rate BBA (JY0001M) NOK - 1M Norway Interbank Offer Rate (NIBOR) SEK - 1M Stockholm Interbank Offer Rate (STIBOR) SGD - 1M Singapore Assoc of Banks Swap Offer rate (SOR) USD - 1D Overnight Bank Funding Rate (OBFR01) USD - 1M US Dollar LIBOR BBA" noteItem="C.11.f.i.1"/>
      <explntrNote note="IBORs are undergoing a change as regulators and industry groups have recommended that firms consider adoption of alternative, overnight risk-free rates (RFRs). Floating rate swap terms reflected as Libors may be using the RFR to calculate the actual rate." noteItem="C.11.f.i.2"/>
      <explntrNote note="Monthly returns presented in B.5.a have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
      <explntrNote note="SRATFF-CTC (Citibank NA): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 18-90 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:  AUD - 1M Australian Bank Bill Rate (BBSW) CAD - 1D Overnight Bank of Canada Repo Rate (CORRA) CHF - 1W Swiss Franc LIBOR Rate BBA (SF0001W) DKK - 1W Copenhagen Interbank Swap Rate (CIBOR) EUR - 1W Euro Interbank Offer Rate (EURIBOR) GBP - 1D Sterling Overnight Index Average (SONIA) HKD - 1W Hong Kong Interbank Offer rate (HIBOR) ILS - 1M Tel Aviv Interbank Offer Rate (TELBOR) JPY - 1M Japanese Yen LIBOR Rate BBA (JY0001M) NOK - 1W Norway Interbank Offer Rate (NIBOR) SEK - 1W Stockholm Interbank Offer Rate (STIBOR) SGD - 1M Singapore Assoc of Banks Swap Offer rate (SOR) USD - 1M US Dollar LIBOR BBA" noteItem="C.11.f.i.1"/>
      <explntrNote note="SRATFF-DBC (Deutsche Bank AG): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread of 20 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:  AUD - 1M Australian Bank Bill Rate (BBSW) Bank of Canada Overnight Rate Target (CABROVER) CHF - 1W Swiss Franc LIBOR Rate BBA (SF0001W) DKK - Annualized Overnight Deposit MID Rate EUR - 1W Euro Interbank Offer Rate (EURIBOR) GBP - 1W Sterling LIBOR Rate BBA (GBP1WLIB) GBP - SONIA 1M Compounded Rate HKD - 1M Hong Kong Interbank Offer rate (HIBOR) JPY - 1M Japanese Yen LIBOR Rate BBA (JY0001M) NOK - Norwegian Overnight Weighted Average (NOWA) NZD - 1D New Zealand Official Overnight Deposit Rate (NZOCO) SEK - 1W Stockholm Interbank Offer Rate (STIBOR) SGD - 1M Association of Bank in Singapore Swap Offer Rate USD - 1D Overnight Bank Funding Rate (OBFR01)" noteItem="C.11.f.i.1"/>


      <explntrNote note="SRATFF-MLC (Merrill Lynch International): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 0-86 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:  AUD - 1M Australian Bank Bill Rate (BBSW) Bank of Canada Overnight Rate Target (CABROVER) CHF - 1W Swiss Franc LIBOR Rate BBA (SF0001W) DKK - 1W Copenhagen Interbank Swap Rate (CIBOR) EUR - 1W Euro Interbank Offer Rate (EURIBOR) GBP - 1D Sterling Overnight Index Average (SONIA) ILS - 1M Tel Aviv Interbank Offer Rate (TELBOR) JPY - 1W Japanese Yen LIBOR Rate BBA (JY0001W) NOK - 1W Norway Interbank Offer Rate (NIBOR) NZD - 1M New Zealand Bank Bill Rate (BBR) SEK - 1W Stockholm Interbank Offer Rate (STIBOR) USD - 1D Overnight Bank Funding Rate (OBFR01)" noteItem="C.11.f.i.1"/>
      <explntrNote note="SRATFF-GSC (Goldman Sachs Bank USA): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 15-133 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:  CAD - 1D Overnight Bank of Canada Repo Rate (CORRA) CHF - 1D Overnight Swiss Franc LIBOR Rate BBA (CHFONLIB) DKK - Danish Tom/Next Reference Rate (DETNT/N) EUR - 1D Effective Overnight Index Average (EONIA) GBP - 1D Sterling Overnight Index Average (SONIA) HKD - 1D Overnight Index Swap Rate (HKDONOIS) ILS - 1D Overnight Tel Aviv Interbank Offer Rate (TELBOR) JPY - Provisional 1D Overnight Tokyo Average Rate (TONA) NOK - Norwegian Overnight Weighted Average (NOWA) NZD - 1D New Zealand Official Overnight Deposit Rate (NZOCO) RBA Interbank Overnight Cash Rate SEK - 1D Overnight Stockholm Interbank Offer Rate (STIBOR) SGD - 1D Singapore Assoc of Banks Swap Offer Rate (SOR) USD - 1D Overnight Fed Funds Effective Rate (FEDL01)" noteItem="C.11.f.i.1"/>
      <explntrNote note="SRATFF-CSC (Credit Suisse International): The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 20-80 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:  AUD - 1M Australian Bank Bill Rate (BBSW) CAD - 1M Canadian Bankers Acceptances (BA) CHF - 1M Swiss Franc LIBOR Rate BBA (SF0001M) DKK - 1M Copenhagen Interbank Offer Rate (CIBOR) EUR - 1M Euro Denom LIBOR Rate BBA GBP - 1M Sterling LIBOR Rate BBA (GBP1MLIB) HKD - 1M Hong Kong Interbank Offer rate (HIBOR) JPY - 1M Japanese Yen LIBOR Rate BBA (JY0001M) NOK - 1M Norway Interbank Offer Rate (NIBOR) SEK - 1M Stockholm Interbank Offer Rate (STIBOR) SGD - 1M Singapore Assoc of Banks Rate (SIBOR) USD - 1D Overnight Bank Funding Rate (OBFR01)" noteItem="C.11.f.i.1"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2021-07-31</ncom:dateSigned>
      <ncom:nameOfApplicant>BlackRock Funds</ncom:nameOfApplicant>
      <ncom:signature>Ann Frechette</ncom:signature>
      <ncom:signerName>Ann Frechette</ncom:signerName>
      <ncom:title>Assistant Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
