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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912828X398"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRTV36TE3"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <securityLending>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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                  <expDate>N/A</expDate>
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            <delta>XXXX</delta>
            <unrealizedAppr>-26151.84000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912810FS25"/>
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        <curCd>USD</curCd>
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        <issuerCat>UST</issuerCat>
        <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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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTXS3661"/>
          <other otherDesc="Internal Identifier" value="BRTXS3661"/>
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        <balance>25700000.00000000</balance>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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                        <ticker value="5YCMS"/>
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        <name>Long Beach Mortgage Loan Trust 2004-2</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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          <other otherDesc="Internal Identifier" value="BRTGP1TS2"/>
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        <derivativeInfo>
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        <name>N/A</name>
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      <invstOrSec>
        <name>Fannie Mae REMIC Trust 2004-W5</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
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          <other otherDesc="Internal Identifier" value="BRTYYTVA8"/>
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        <balance>7045000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
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      </invstOrSec>
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        <lei>N/A</lei>
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        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>LCH</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTTHPBP5"/>
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        <derivativeInfo>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <name>N/A</name>
        <lei>N/A</lei>
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              <counterpartyName>CME</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW03P1D7"/>
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        <derivativeInfo>
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                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <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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              <nestedDerivInfo>
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                  <derivAddlInfo>
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                      <issuerName>N/A</issuerName>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRW01YT81"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>LCH</counterpartyName>
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                <issueTitle>Consumer Price All Urban Non-Seasonally Adjusted Index</issueTitle>
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                  <ticker value="CPI"/>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>Colombia Government International Bond</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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      <invstOrSec>
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        <securityLending>
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      <invstOrSec>
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            <delta>XXXX</delta>
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          <other otherDesc="Internal Identifier" value="AUD#-1444747-GSC-"/>
          <other otherDesc="Internal Identifier" value="AUD#-1444747-GSC-"/>
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        <fairValLevel>2</fairValLevel>
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        <name>WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust</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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          <other otherDesc="Internal Identifier" value="BRTW7T1M9"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH</counterpartyName>
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          <other otherDesc="Internal Identifier" value="BRTBAAUU2"/>
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      <invstOrSec>
        <name>N/A</name>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CME</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912828XL95"/>
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        <curCd>USD</curCd>
        <valUSD>65686145.05000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <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>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="CAD#-1444775-GSC-"/>
          <other otherDesc="Internal Identifier" value="CAD#-1444775-GSC-"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs &amp; Co</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912828H45</cusip>
        <identifiers>
          <isin value="US912828H458"/>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRW1BCS53"/>
          <other otherDesc="Internal Identifier" value="BRW1BCS53"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>LCH</counterpartyName>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <ticker value="CPI"/>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <balance>4870000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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            <delta>XXXX</delta>
            <unrealizedAppr>37121.61000000</unrealizedAppr>
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        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="UXYH0C"/>
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        <balance>965.00000000</balance>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            </descRefInstrmnt>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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        <name>N/A</name>
        <lei>N/A</lei>
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            <swapFlag>Y</swapFlag>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
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      <invstOrSec>
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      </invstOrSec>
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        <derivativeInfo>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="CAD#-1444774-BOA-"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>Impac CMB Trust Series 2005-5</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <derivativeInfo>
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        <name>N/A</name>
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            <swapFlag>Y</swapFlag>
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              </rtResetTenors>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1880000.00000000</notionalAmt>
            <curCd>EUR</curCd>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTVXLV20"/>
          <other otherDesc="Internal Identifier" value="BRTVXLV20"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>JPMorgan Chase</counterpartyName>
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              <nestedDerivInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
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                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <ticker value="US0003M"/>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>75070000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.75000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>81226.88000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTJ4H6M2"/>
          <other otherDesc="Internal Identifier" value="BRTJ4H6M2"/>
        </identifiers>
        <balance>5130000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>7251.32000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTJ4H6M2"/>
                    </identifiers>
                    <balance>5130000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>5130000.00000000</principalAmt>
            <curCd>USD</curCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-06-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-192878.95000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTSGJAS7"/>
          <other otherDesc="Internal Identifier" value="BRTSGJAS7"/>
        </identifiers>
        <balance>38710000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
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        <pctVal>-0.00030821220</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTSGJAS7"/>
                    </identifiers>
                    <balance>38710000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
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                    <pctVal>-0.00030800</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
                      <identifiers>
                        <ticker value="EUR006M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
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                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>38710000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>38710000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0.12000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-04-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>141771.24000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTZ3B6F5"/>
          <other otherDesc="Internal Identifier" value="BRTZ3B6F5"/>
        </identifiers>
        <balance>36220000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-14564.23000000</valUSD>
        <pctVal>-0.00083188906</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTZ3B6F5"/>
                    </identifiers>
                    <balance>36220000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <pctVal>-0.00083200</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
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                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>36220000.00000000</notionalAmt>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>36220000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-11-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>34513.87000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="GBP#-1444765-CIT-"/>
          <other otherDesc="Internal Identifier" value="GBP#-1444765-CIT-"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-55613.33000000</valUSD>
        <pctVal>-0.00317655799</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citigroup Inc</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>2253629.00000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>2920353.20000000</amtCurPur>
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            <settlementDt>2020-02-05</settlementDt>
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          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW16M1X5"/>
          <other otherDesc="Internal Identifier" value="BRW16M1X5"/>
        </identifiers>
        <balance>54600000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>34043.43000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</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>
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            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
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                      <other otherDesc="Internal Identifier" value="BRW16M1X5"/>
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                    <balance>54600000.00000000</balance>
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                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>Max (0, 5Y CMS-0.35%)</issueTitle>
                      <identifiers>
                        <ticker value="5YCMS"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>54600000.00000000</notionalAmt>
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                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>54600000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.35000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-04-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>10565.43000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTU896Y5"/>
          <other otherDesc="Internal Identifier" value="BRTU896Y5"/>
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        <balance>7170000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-8000.01000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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        <lei>N/A</lei>
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        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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                  <derivAddlInfo>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>LCH</counterpartyName>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTR0BH31"/>
          <other otherDesc="Internal Identifier" value="BRTR0BH31"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
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        <identifiers>
          <other otherDesc="Internal Identifier" value="JPY#-1444776-BOA-"/>
          <other otherDesc="Internal Identifier" value="JPY#-1444776-BOA-"/>
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        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>Bank of America NA</counterpartyName>
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        </derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTW3ZT15"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
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        <lei>N/A</lei>
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        <derivativeInfo>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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          <other otherDesc="Internal Identifier" value="EUR#-1444766-BOA-"/>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
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          <other otherDesc="Internal Identifier" value="BRW0PR5L7"/>
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        <derivativeInfo>
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                        <ticker value="5YCMS"/>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae REMIC Trust 2003-W16</name>
        <lei>N/A</lei>
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          <isin value="US31393T4M52"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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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>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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          <other otherDesc="Internal Identifier" value="BRTUBDAF8"/>
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        <derivativeInfo>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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            <delta>XXXX</delta>
            <unrealizedAppr>119883.80000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      </invstOrSec>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  </derivAddlInfo>
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            </descRefInstrmnt>
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            <delta>XXXX</delta>
            <unrealizedAppr>43677.43000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTYFVDB2"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
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                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTYFVDB2"/>
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                    <units>OU</units>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
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                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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            <delta>XXXX</delta>
            <unrealizedAppr>-42461.72000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="EUR#-1444786-BOA-"/>
          <other otherDesc="Internal Identifier" value="EUR#-1444786-BOA-"/>
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        <units>NC</units>
        <curCd>N/A</curCd>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America NA</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>1500000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>1682730.00000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-18</settlementDt>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTGP1UG6"/>
          <other otherDesc="Internal Identifier" value="BRTGP1UG6"/>
        </identifiers>
        <balance>24070000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Deutsche Bank AG</counterpartyName>
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            <putOrCall>Call</putOrCall>
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              <nestedDerivInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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            <delta>XXXX</delta>
            <unrealizedAppr>-565970.33000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Futures</title>
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        <identifiers>
          <ticker value="WNH0C"/>
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        <balance>31.00000000</balance>
        <units>NC</units>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>CBT</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW0PN4J2"/>
          <other otherDesc="Internal Identifier" value="BRW0PN4J2"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTPCUAF0"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
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            </counterparties>
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            <writtenOrPur>Written</writtenOrPur>
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              <nestedDerivInfo>
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                  </counterparties>
                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <identifiers>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
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                      </identifiers>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>20240000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.25000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-12-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>74913.97000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTPST7N3"/>
          <other otherDesc="Internal Identifier" value="BRTPST7N3"/>
        </identifiers>
        <balance>1410000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
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                      <other otherDesc="Internal Identifier" value="BRTPST7N3"/>
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                    <balance>1410000.00000000</balance>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
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                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
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                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
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            <exercisePrice>3.03660000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2029-01-12</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-44806.74000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTTD9P70"/>
          <other otherDesc="Internal Identifier" value="BRTTD9P70"/>
        </identifiers>
        <balance>57582000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>JPMorgan Chase</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JPMorgan Chase</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTTD9P70"/>
                    </identifiers>
                    <balance>57582000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
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                      <issueTitle>3 Month USD LIBOR</issueTitle>
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                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>57582000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.10000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-05-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-139551.17000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="CAD#-1444753-GSC-"/>
          <other otherDesc="Internal Identifier" value="CAD#-1444753-GSC-"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-8297.78000000</valUSD>
        <pctVal>-0.00047395794</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs &amp; Co</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>1779083.51000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2343166.84000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-8297.78000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW16M1Q0"/>
          <other otherDesc="Internal Identifier" value="BRW16M1Q0"/>
        </identifiers>
        <balance>54600000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-11495.46000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
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            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
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                    <descOthUnits>Notional Amount</descOthUnits>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <ticker value="5YCMS"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-5762.46000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTUHTUL2"/>
          <other otherDesc="Internal Identifier" value="BRTUHTUL2"/>
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        <balance>590000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
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        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CME</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <ticker value="US0003M"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTGTUML6"/>
          <other otherDesc="Internal Identifier" value="BRTGTUML6"/>
        </identifiers>
        <balance>151300000.00000100</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.35500000"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
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                    <units>OU</units>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
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                      <issuerName>N/A</issuerName>
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                        <ticker value="JY0006M"/>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>151300000.00000100</notionalAmt>
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                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>151300000.00000100</principalAmt>
            <curCd>JPY</curCd>
            <exercisePrice>0.78000000</exercisePrice>
            <exercisePriceCurCd>JPY</exercisePriceCurCd>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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            <counterparties>
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            <putOrCall>Call</putOrCall>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <rcptCurCd>N/A</rcptCurCd>
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            <principalAmt>16250000.00000000</principalAmt>
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            <delta>XXXX</delta>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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        </derivativeInfo>
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      </invstOrSec>
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        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTS1MTA5"/>
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        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW0SEEG4"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTY0MEQ4"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CME</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTTWHFC1"/>
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        <derivativeInfo>
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        <securityLending>
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      <invstOrSec>
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        <lei>N/A</lei>
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            <delta>XXXX</delta>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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        <fairValLevel>2</fairValLevel>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRW143N15"/>
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        <units>OU</units>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="JPY#-1444779-MSC-"/>
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        <curCd>N/A</curCd>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTGTULX1"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>JPMorgan Chase</counterpartyName>
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            <putOrCall>Put</putOrCall>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>Chase Mortgage Finance Trust Series 2007-A2</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
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          <other otherDesc="Internal Identifier" value="BRTQ9EAR2"/>
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        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>LCH</counterpartyName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRTVRS8N2"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Option One Mortgage Loan Trust 2005-1</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
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          <other otherDesc="Internal Identifier" value="BRTUNXK37"/>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CME</counterpartyName>
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            <descRefInstrmnt>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>Argent Securities Trust 2006-W3</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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      </invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
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        <name>Commercial Mortgage Trust 2007-GG9</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="EUR#-1444757-CIT-"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citigroup Inc</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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      <invstOrSec>
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        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
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        <securityLending>
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        <securityLending>
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      <invstOrSec>
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        </derivativeInfo>
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      </invstOrSec>
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        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="JPY#-1444778-HSB-"/>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Securities Inc</counterpartyName>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="JPY#-1444762-MSC-"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
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            <amtCurSold>189429885.00000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTUUPQT3"/>
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        <balance>7060000.00000000</balance>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
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            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <nestedDerivInfo>
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  <derivAddlInfo>
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                      <other otherDesc="Internal Identifier" value="BRTUUPQT3"/>
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                  </derivAddlInfo>
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                    </otherRefInst>
                  </descRefInstrmnt>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>7060000.00000000</principalAmt>
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            <exercisePrice>0.00010000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-07-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>11065.96000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW0Q3EU9"/>
          <other otherDesc="Internal Identifier" value="BRW0Q3EU9"/>
        </identifiers>
        <balance>5590000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRW0Q3EU9"/>
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                    <balance>5590000.00000000</balance>
                    <units>OU</units>
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                    <pctVal>-0.01148600</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>5590000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>5590000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.60000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-01-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-72871.46000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTWXCDU6"/>
          <other otherDesc="Internal Identifier" value="BRTWXCDU6"/>
        </identifiers>
        <balance>3540000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
        <valUSD>-46337.83000000</valUSD>
        <pctVal>-0.00264675401</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTWXCDU6"/>
                    </identifiers>
                    <balance>3540000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
                    <valUSD>-46337.83000000</valUSD>
                    <pctVal>-0.00264700</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
                      <identifiers>
                        <ticker value="EUR006M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>3540000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0.03500000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2022-09-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8753.50000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW0PR7T8"/>
          <other otherDesc="Internal Identifier" value="BRW0PR7T8"/>
        </identifiers>
        <balance>54600000.00000000</balance>
        <units>OU</units>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
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                      <other otherDesc="Internal Identifier" value="BRW0PR7T8"/>
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                    <balance>54600000.00000000</balance>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>Max (0, 5Y CMS-0.35%)</issueTitle>
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                        <ticker value="5YCMS"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  <pmntCurCd>N/A</pmntCurCd>
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                  <rcptCurCd>N/A</rcptCurCd>
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            <expDt>2020-04-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>9473.43000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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          <other otherDesc="Internal Identifier" value="BRTJ4H4M4"/>
          <other otherDesc="Internal Identifier" value="BRTJ4H4M4"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
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        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
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                  <descRefInstrmnt>
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                        <ticker value="US0003M"/>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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            <exercisePrice>3.87000000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>207307.42000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
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              <counterpartyName>CME</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Options</title>
        <cusip>N/A</cusip>
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          <ticker value="EDH0C 97.75 Comdty"/>
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        <balance>450.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CME</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                    <counterpartyName>CME</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FUTURE</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <ticker value="EDH0C"/>
                    </identifiers>
                    <balance>450.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>686250.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
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                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <ticker value="EDH0C"/>
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                  </descRefInstrmnt>
                  <expDate>N/A</expDate>
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            <shareNo>450.00000000</shareNo>
            <exercisePrice>97.75000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-03-17</expDt>
            <delta>XXXX</delta>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTRE9DX9"/>
          <other otherDesc="Internal Identifier" value="BRTRE9DX9"/>
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        <balance>4871500.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                      <other otherDesc="Internal Identifier" value="BRTRE9DX9"/>
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        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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            <descRefInstrmnt>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <name>N/A</name>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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        <valUSD>-15254.30000000</valUSD>
        <pctVal>-0.00087130493</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTRE9MW1"/>
                    </identifiers>
                    <balance>7307000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-15254.30000000</valUSD>
                    <pctVal>-0.00087100</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>7307000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>7307000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.78750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-03-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>202585.64000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTSMGKX4"/>
          <other otherDesc="Internal Identifier" value="BRTSMGKX4"/>
        </identifiers>
        <balance>19480000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
        <valUSD>-2273.78000000</valUSD>
        <pctVal>-0.00012987523</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTSMGKX4"/>
                    </identifiers>
                    <balance>19480000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
                    <valUSD>-2273.78000000</valUSD>
                    <pctVal>-0.00013000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
                      <identifiers>
                        <ticker value="EUR006M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
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                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>19480000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>19480000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0.16000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-04-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>64302.13000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTV9LGP3"/>
          <other otherDesc="Internal Identifier" value="BRTV9LGP3"/>
        </identifiers>
        <balance>7190000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
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        <pctVal>-0.00022827637</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTV9LGP3"/>
                    </identifiers>
                    <balance>7190000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
                    <valUSD>-3996.53000000</valUSD>
                    <pctVal>-0.00022800</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
                      <identifiers>
                        <ticker value="EUR006M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>7190000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>7190000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0.00010000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-07-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>9158.81000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTRE9MY7"/>
          <other otherDesc="Internal Identifier" value="BRTRE9MY7"/>
        </identifiers>
        <balance>7307000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-887724.77000000</valUSD>
        <pctVal>-0.05070563508</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTRE9MY7"/>
                    </identifiers>
                    <balance>7307000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-887724.77000000</valUSD>
                    <pctVal>-0.05070600</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>7307000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>7307000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.78750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-03-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-669884.83000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTW3QD46"/>
          <other otherDesc="Internal Identifier" value="BRTW3QD46"/>
        </identifiers>
        <balance>600000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>4954.75000000</valUSD>
        <pctVal>0.000283008601</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month USD LIBOR</issueTitle>
                <identifiers>
                  <ticker value="US0003M"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.67000000"/>
            <terminationDt>2049-08-17</terminationDt>
            <upfrontPmnt>12.12000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>600000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>4942.63000000</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>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW19WFL1"/>
          <other otherDesc="Internal Identifier" value="BRW19WFL1"/>
        </identifiers>
        <balance>5500000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-104782.39000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRW19WFL1"/>
                    </identifiers>
                    <balance>5500000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-104782.39000000</valUSD>
                    <pctVal>-0.00598500</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
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                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>5500000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.95000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-01-31</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>23780.11000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTWV59H7"/>
          <other otherDesc="Internal Identifier" value="BRTWV59H7"/>
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        <balance>17020000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>16299.65000000</valUSD>
        <pctVal>0.000931013905</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTWV59H7"/>
                    </identifiers>
                    <balance>17020000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>16299.65000000</valUSD>
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      <invstOrSec>
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        <derivativeInfo>
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      </invstOrSec>
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        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="CAD#-1444754-HSB-"/>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTNU11W2"/>
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        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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                  <derivAddlInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
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        <derivativeInfo>
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                        <ticker value="5YCMS"/>
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      </invstOrSec>
      <invstOrSec>
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        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRTQDE8S8"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH</counterpartyName>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
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          <isin value="US126671SL14"/>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRTW80VP1"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRTWW46P4"/>
          <other otherDesc="Internal Identifier" value="BRTWW46P4"/>
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        <derivativeInfo>
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        <name>N/A</name>
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          <ticker value="RXH0C"/>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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      <invstOrSec>
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      </invstOrSec>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>Impac CMB Trust Series 2005-1</name>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTYVCF57"/>
          <other otherDesc="Internal Identifier" value="BRTYVCF57"/>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <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>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  <rcptCurCd>N/A</rcptCurCd>
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      </invstOrSec>
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        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRTYQH6Q6"/>
          <other otherDesc="Internal Identifier" value="BRTYQH6Q6"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTW7T271"/>
          <other otherDesc="Internal Identifier" value="BRTW7T271"/>
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        <balance>2515000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>LCH</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Consumer Price All Urban Non-Seasonally Adjusted Index</issueTitle>
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                  <ticker value="CPI"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Options</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="TYJ0P 128 Comdty"/>
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        <balance>25.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CBT</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
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                    <counterpartyName>CBT</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <ticker value="TYM0C"/>
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                    <curCd>USD</curCd>
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                    <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
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                  <payOffProf>Short</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>US 10 Year Note Future; June 2020</issueTitle>
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                        <ticker value="TYM0C"/>
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                  <expDate>N/A</expDate>
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            <shareNo>25.00000000</shareNo>
            <exercisePrice>128.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-03-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-6288.00000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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        <identifiers>
          <isin value="US912828B253"/>
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        <balance>76061872.33000000</balance>
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        <curCd>USD</curCd>
        <valUSD>78466287.76000000</valUSD>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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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>New Zealand Government Inflation Linked Bond</name>
        <lei>549300237GPHG2AI7C34</lei>
        <title>New Zealand Government Inflation Linked Bond</title>
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        <identifiers>
          <isin value="NZIIBDT004C8"/>
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        <balance>7653572.50000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>NZ</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRTU9S7Q8"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <principalAmt>5880000.00000000</principalAmt>
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      </invstOrSec>
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        <name>N/A</name>
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        <title>Interest Rate Swaptions</title>
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        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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            <exercisePrice>2.25000000</exercisePrice>
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            <expDt>2024-08-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3800.66000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTUNM7M4"/>
          <other otherDesc="Internal Identifier" value="BRTUNM7M4"/>
        </identifiers>
        <balance>6630000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
        <valUSD>-3187.43000000</valUSD>
        <pctVal>-0.00018206167</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTUNM7M4"/>
                    </identifiers>
                    <balance>6630000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
                    <valUSD>-3187.43000000</valUSD>
                    <pctVal>-0.00018200</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
                      <identifiers>
                        <ticker value="EUR006M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>6630000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>6630000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-06-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>11959.88000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW0AQVQ5"/>
          <other otherDesc="Internal Identifier" value="BRW0AQVQ5"/>
        </identifiers>
        <balance>4225000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-34259.76000000</valUSD>
        <pctVal>-0.00195687103</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month USD LIBOR</issueTitle>
                <identifiers>
                  <ticker value="US0003M"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.66000000"/>
            <terminationDt>2022-12-22</terminationDt>
            <upfrontPmnt>67.94000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4225000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-34327.70000000</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>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTZ4XKQ6"/>
          <other otherDesc="Internal Identifier" value="BRTZ4XKQ6"/>
        </identifiers>
        <balance>1240000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-188280.28000000</valUSD>
        <pctVal>-0.01075431428</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTZ4XKQ6"/>
                    </identifiers>
                    <balance>1240000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-188280.28000000</valUSD>
                    <pctVal>-0.01075400</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>1240000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1240000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.91000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2026-11-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-27390.28000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="JPY#-1444780-HSB-"/>
          <other otherDesc="Internal Identifier" value="JPY#-1444780-HSB-"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>15794.64000000</valUSD>
        <pctVal>0.000902168418</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Securities Inc</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>1701543.99000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>185620584.00000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>15794.64000000</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>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTTVBSH0"/>
          <other otherDesc="Internal Identifier" value="BRTTVBSH0"/>
        </identifiers>
        <balance>106820000.00000100</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-14823.44000000</valUSD>
        <pctVal>-0.00084669479</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTTVBSH0"/>
                    </identifiers>
                    <balance>106820000.00000100</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-14823.44000000</valUSD>
                    <pctVal>-0.00084700</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>106820000.00000100</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>106820000.00000100</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.40000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-06-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>178520.76000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTUGE567"/>
          <other otherDesc="Internal Identifier" value="BRTUGE567"/>
        </identifiers>
        <balance>7080000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
        <valUSD>-3312.75000000</valUSD>
        <pctVal>-0.00018921978</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTUGE567"/>
                    </identifiers>
                    <balance>7080000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
                    <valUSD>-3312.75000000</valUSD>
                    <pctVal>-0.00018900</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
                      <identifiers>
                        <ticker value="EUR006M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>7080000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>7080000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-06-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>13939.84000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTGUHQT2"/>
          <other otherDesc="Internal Identifier" value="BRTGUHQT2"/>
        </identifiers>
        <balance>23780000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-0.10000000</valUSD>
        <pctVal>-0.00000000571</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Deutsche Bank AG</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Deutsche Bank AG</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTGUHQT2"/>
                    </identifiers>
                    <balance>23780000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-0.10000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>23780000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>23780000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.93750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>165270.90000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTUHYNU9"/>
          <other otherDesc="Internal Identifier" value="BRTUHYNU9"/>
        </identifiers>
        <balance>5390000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <pctVal>0.006572937093</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTUHYNU9"/>
                    </identifiers>
                    <balance>5390000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <pctVal>0.00657300</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>5390000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-06-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-102844.20000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW0XSR73"/>
          <other otherDesc="Internal Identifier" value="BRW0XSR73"/>
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        <balance>3190000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <ticker value="EUR006M"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 Month Euro Interbank Offered Rate" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.19000000"/>
            <terminationDt>2030-01-16</terminationDt>
            <upfrontPmnt>515.97000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3190000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-90538.63000000</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>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTVRSR92"/>
          <other otherDesc="Internal Identifier" value="BRTVRSR92"/>
        </identifiers>
        <balance>2990000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-10920.72000000</valUSD>
        <pctVal>-0.00062377671</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTVRSR92"/>
                    </identifiers>
                    <balance>2990000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-10920.72000000</valUSD>
                    <pctVal>-0.00062400</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>2990000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>2990000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>33630.28000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Options</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="EDZ1C 99.375 Comdty"/>
        </identifiers>
        <balance>319.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-103675.00000000</valUSD>
        <pctVal>-0.00592177541</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>CME</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FUTURE</title>
                    <cusip>N/A</cusip>
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                      <ticker value="EDZ1C"/>
                    </identifiers>
                    <balance>319.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>-103675.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>90 Day Eurodollar Future; December 2021</issueTitle>
                      <identifiers>
                        <ticker value="EDZ1C"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>N/A</expDate>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>319.00000000</shareNo>
            <exercisePrice>99.37500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-12-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>35367.53000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810FR4</cusip>
        <identifiers>
          <isin value="US912810FR42"/>
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        <balance>3768531.33600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4249117.59000000</valUSD>
        <pctVal>0.242703834815</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>2.38000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW1D2194"/>
          <other otherDesc="Internal Identifier" value="BRW1D2194"/>
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        <balance>5400000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75729000"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>United Kingdom Retail Prices Index</issueTitle>
                <identifiers>
                  <ticker value="UKRPI"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="United Kingdom Retail Prices Index" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <fixedPmntDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.36000000"/>
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            <unrealizedAppr>-64235.86000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW08PWM8"/>
          <other otherDesc="Internal Identifier" value="BRW08PWM8"/>
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        <balance>5125000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75729000"/>
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        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH</counterpartyName>
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                <issuerName>N/A</issuerName>
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                  <ticker value="UKRPI"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="United Kingdom Retail Prices Index" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <fixedPmntDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.46000000"/>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>GBP</curCd>
            <unrealizedAppr>-65262.46000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ML-CFC Commercial Mortgage Trust 2006-3</name>
        <lei>N/A</lei>
        <title>ML-CFC Commercial Mortgage Trust 2006-3</title>
        <cusip>60687VBC8</cusip>
        <identifiers>
          <isin value="US60687VBC81"/>
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        <balance>64928.32550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>0.65000000</valUSD>
        <pctVal>0.000000037127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-12</maturityDt>
          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTUB6HB5"/>
          <other otherDesc="Internal Identifier" value="BRTUB6HB5"/>
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        <balance>6030000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
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        <pctVal>-0.00015400728</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</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>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTUB6HB5"/>
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                    <balance>6030000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.90167000"/>
                    <valUSD>-2696.27000000</valUSD>
                    <pctVal>-0.00015400</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
                      <identifiers>
                        <ticker value="EUR006M"/>
                      </identifiers>
                    </otherRefInst>
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        <name>N/A</name>
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      <invstOrSec>
        <name>Italy Buoni Poliennali Del Tesoro</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Impac CMB Trust Series 2004-6</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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                  <derivAddlInfo>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Futures</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="TYH0C"/>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            </descRefInstrmnt>
            <expDate>2020-03-23</expDate>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>15340.67000000</valUSD>
        <pctVal>0.000876238268</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month USD LIBOR</issueTitle>
                <identifiers>
                  <ticker value="US0003M"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.57000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-01-29</terminationDt>
            <upfrontPmnt>36.92000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1760000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>15303.75000000</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>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW1D21A1"/>
          <other otherDesc="Internal Identifier" value="BRW1D21A1"/>
        </identifiers>
        <balance>4100000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75729000"/>
        <valUSD>89945.49000000</valUSD>
        <pctVal>0.005137564420</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>United Kingdom Retail Prices Index</issueTitle>
                <identifiers>
                  <ticker value="UKRPI"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.22000000"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="United Kingdom Retail Prices Index" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2045-01-15</terminationDt>
            <upfrontPmnt>293.95000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4100000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>89651.54000000</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>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW18T3A6"/>
          <other otherDesc="Internal Identifier" value="BRW18T3A6"/>
        </identifiers>
        <balance>940000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>8281.63000000</valUSD>
        <pctVal>0.000473035475</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month USD LIBOR</issueTitle>
                <identifiers>
                  <ticker value="US0003M"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.57000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-01-29</terminationDt>
            <upfrontPmnt>19.72000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>940000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>8261.91000000</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>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTRE9E67"/>
          <other otherDesc="Internal Identifier" value="BRTRE9E67"/>
        </identifiers>
        <balance>4871500.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>613604.08000000</valUSD>
        <pctVal>0.035048232984</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTRE9E67"/>
                    </identifiers>
                    <balance>4871500.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>613604.08000000</valUSD>
                    <pctVal>0.03504800</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
                      <identifiers>
                        <ticker value="US0003M"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="N/A" resetDt="Month" resetDtUnit="N/A"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>4871500.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>4871500.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.97750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>389636.87000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW1AGFE0"/>
          <other otherDesc="Internal Identifier" value="BRW1AGFE0"/>
        </identifiers>
        <balance>18410000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.35500000"/>
        <valUSD>-896.09000000</valUSD>
        <pctVal>-0.00005118344</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>6 Month JPY LIBOR</issueTitle>
                <identifiers>
                  <ticker value="JY0006M"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 Month JPY LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.37000000"/>
            <terminationDt>2045-01-30</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>4.96000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>18410000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-891.13000000</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>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW18WAV5"/>
          <other otherDesc="Internal Identifier" value="BRW18WAV5"/>
        </identifiers>
        <balance>940000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>8679.05000000</valUSD>
        <pctVal>0.000495735566</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month USD LIBOR</issueTitle>
                <identifiers>
                  <ticker value="US0003M"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.58000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-01-29</terminationDt>
            <upfrontPmnt>19.72000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>940000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>8659.33000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Returns shown in Item B.5.a have been calculated without deducting any applicable sales loads or redemption fees" noteItem="B.5.a"/>
      <explntrNote note="Not applicable for derivative asset types" noteItem="C.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-03-04</ncom:dateSigned>
      <ncom:nameOfApplicant>Principal Funds, Inc</ncom:nameOfApplicant>
      <ncom:signature>Sara Reece</ncom:signature>
      <ncom:signerName>/s/ Sara Reece</ncom:signerName>
      <ncom:title>Vice President and Controller</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
