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          <other otherDesc="Internal Identifier" value="JPY#20288-DBS-"/>
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              <counterpartyName>Deutsche Bank AG</counterpartyName>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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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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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Indonesia Government International Bond</name>
        <lei>529900FWX0GRR7WG5W79</lei>
        <title>Indonesia Government International Bond</title>
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          <isin value="US455780CQ75"/>
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        <balance>2065000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2000730.63000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-14</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <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="BRW16G753"/>
          <other otherDesc="Internal Identifier" value="BRW16G753"/>
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        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CME</counterpartyName>
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              <otherRefInst>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae REMIC Trust 2004-W5</name>
        <lei>N/A</lei>
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          <isin value="US31393YKN49"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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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="BRTUUPQT3"/>
          <other otherDesc="Internal Identifier" value="BRTUUPQT3"/>
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        <balance>7060000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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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>
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                    <name>N/A</name>
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                        <ticker value="EUR006M"/>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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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="BRW1ZGPU6"/>
          <other otherDesc="Internal Identifier" value="BRW1ZGPU6"/>
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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>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  <derivAddlInfo>
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                      <other otherDesc="Internal Identifier" value="BRW1ZGPU6"/>
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            <delta>XXXX</delta>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <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="US912828VM96"/>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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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="BRW3WNBM3"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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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>
        <title>Interest Rate Swaps</title>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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        <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">
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                    <counterpartyName>Deutsche Bank AG</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="BRW10SMH0"/>
                    </identifiers>
                    <balance>16250000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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                    <pctVal>-0.00112600</pctVal>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
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                        <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>16250000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>16250000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0.18000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-07-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>203439.29000000</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="BRW19WFL1"/>
          <other otherDesc="Internal Identifier" value="BRW19WFL1"/>
        </identifiers>
        <balance>5500000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <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">
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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="BRW19WFL1"/>
                    </identifiers>
                    <balance>5500000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-25029.84000000</valUSD>
                    <pctVal>-0.00154300</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                      <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>
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              </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>103532.66000000</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 Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW3RG4S9"/>
          <other otherDesc="Internal Identifier" value="BRW3RG4S9"/>
        </identifiers>
        <balance>1600000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>1892.41000000</valUSD>
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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>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>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-05-05</terminationDt>
            <upfrontPmnt>32.99000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1600000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1859.42000000</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="BRTU788B6"/>
          <other otherDesc="Internal Identifier" value="BRTU788B6"/>
        </identifiers>
        <balance>13390000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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        <pctVal>-0.00018126723</pctVal>
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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>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</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="BRTU788B6"/>
                    </identifiers>
                    <balance>13390000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
                    <valUSD>-2941.00000000</valUSD>
                    <pctVal>-0.00018100</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>13390000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>13390000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0.05000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-06-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>30778.37000000</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="BRTUNXK37"/>
          <other otherDesc="Internal Identifier" value="BRTUNXK37"/>
        </identifiers>
        <balance>26890000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>10263.76000000</valUSD>
        <pctVal>0.000632602293</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>JPMorgan Chase</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>JPMorgan Chase</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>
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                      <other otherDesc="Internal Identifier" value="BRTUNXK37"/>
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                    <balance>26890000.00000000</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>Max (0, 5Y CMS-0.40%)</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"/>
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                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
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                  <rcptCurCd>N/A</rcptCurCd>
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                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>26890000.00000000</principalAmt>
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            <exercisePrice>0.40000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-06-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-11024.79000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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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>912810PS1</cusip>
        <identifiers>
          <isin value="US912810PS15"/>
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        <curCd>USD</curCd>
        <valUSD>37703202.64000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>New Zealand Government Inflation Linked Bond</name>
        <lei>549300237GPHG2AI7C34</lei>
        <title>New Zealand Government Inflation Linked Bond</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="NZIIBDT004C8"/>
        </identifiers>
        <balance>7698057.50000000</balance>
        <units>PA</units>
        <currencyConditional curCd="NZD" exchangeRt="1.63012000"/>
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        <pctVal>0.379509443344</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        </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>
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          <other otherDesc="Internal Identifier" value="BRTU8TZ60"/>
          <other otherDesc="Internal Identifier" value="BRTU8TZ60"/>
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        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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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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              <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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            <unrealizedAppr>-415745.28000000</unrealizedAppr>
          </swapDeriv>
        </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>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW1BCJQ7"/>
          <other otherDesc="Internal Identifier" value="BRW1BCJQ7"/>
        </identifiers>
        <balance>14120000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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        <pctVal>0.053102259069</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <name>Fannie Mae REMIC Trust 2003-W16</name>
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        <lei>N/A</lei>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  </derivAddlInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW1AGFE0"/>
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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>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="CAD#20269-GSC-"/>
          <other otherDesc="Internal Identifier" value="CAD#20269-GSC-"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs &amp; Co</counterpartyName>
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            <amtCurPur>5097183.32000000</amtCurPur>
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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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          <other otherDesc="Internal Identifier" value="BRTWXCDV4"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
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        <lei>N/A</lei>
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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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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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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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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
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        <derivativeInfo>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <title>Interest Rate Swaptions</title>
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              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
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                  </derivAddlInfo>
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                      <issuerName>N/A</issuerName>
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                  <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>4920000.00000000</principalAmt>
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            <exercisePrice>0.74250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2556.46000000</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>
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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRW2C93X3"/>
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        <curCd>USD</curCd>
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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>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
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              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                  </counterparties>
                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                      <other otherDesc="Internal Identifier" value="BRW2C93X3"/>
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                    <balance>16180000.00000000</balance>
                    <units>OU</units>
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                    <pctVal>-0.00000400</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
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                        <ticker value="US0003M"/>
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                  </descRefInstrmnt>
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                  <floatingPmntDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  <terminationDt>N/A</terminationDt>
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                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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            </descRefInstrmnt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>28406.41000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Merrill Lynch Alternative Note Asset Trust Series 2007-A3</name>
        <lei>N/A</lei>
        <title>Merrill Lynch Alternative Note Asset Trust Series 2007-A3</title>
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          <isin value="US59024HAC43"/>
        </identifiers>
        <balance>1737344.13000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>754061.73000000</valUSD>
        <pctVal>0.046476260134</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.70000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW3W9XQ1"/>
          <other otherDesc="Internal Identifier" value="BRW3W9XQ1"/>
        </identifiers>
        <balance>8140000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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        <pctVal>-0.00975337823</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>
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                <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>
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                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRW3W9XQ1"/>
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                    <balance>8140000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
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                        <ticker value="EUR006M"/>
                      </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>8140000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>8140000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0.02000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2022-04-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-53948.90000000</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>
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          <other otherDesc="Internal Identifier" value="BRTTWL3H4"/>
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        <balance>8670000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
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                <swapDeriv derivCat="SWP">
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <balance>8670000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
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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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                  <upfrontPmnt>N/A</upfrontPmnt>
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            </descRefInstrmnt>
            <principalAmt>8670000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>23731.81000000</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>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
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        <derivativeInfo>
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            <counterparties>
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            <descRefInstrmnt>
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                  <derivAddlInfo>
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        </derivativeInfo>
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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="BRTTHPBP5"/>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <derivativeInfo>
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                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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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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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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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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          </optionSwaptionWarrantDeriv>
        </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="BRW35YF60"/>
        </identifiers>
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        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <ticker value="CPI"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
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        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW319438"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH</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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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRW4AX5E8"/>
          <other otherDesc="Internal Identifier" value="BRW4AX5E8"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <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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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRW44REV0"/>
          <other otherDesc="Internal Identifier" value="BRW44REV0"/>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="JPY#20287-GSC-"/>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Goldman Sachs &amp; Co</counterpartyName>
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      <invstOrSec>
        <name>CD 2007-CD4 Commercial Mortgage Trust</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <cusip>N/A</cusip>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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        <name>ML-CFC Commercial Mortgage Trust 2006-3</name>
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              <counterpartyName>LCH</counterpartyName>
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      <invstOrSec>
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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="BRW2LPN15"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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            <terminationDt>2030-03-11</terminationDt>
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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="BRTWXCDU6"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>Uruguay Government International Bond</name>
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        <fairValLevel>2</fairValLevel>
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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="BRTXM22M8"/>
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        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH</counterpartyName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <curCd>EUR</curCd>
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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>
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          <other otherDesc="Internal Identifier" value="BRTW3ZT31"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
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                  </descRefInstrmnt>
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                  <rcptCurCd>N/A</rcptCurCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
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            <delta>XXXX</delta>
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          </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="BRW2EH5S2"/>
          <other otherDesc="Internal Identifier" value="BRW2EH5S2"/>
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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>Deutsche Bank AG</counterpartyName>
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              <nestedDerivInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  </derivAddlInfo>
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                    </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>
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                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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            </descRefInstrmnt>
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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>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRW01YT81"/>
          <other otherDesc="Internal Identifier" value="BRW01YT81"/>
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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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Consumer Price All Urban Non-Seasonally Adjusted Index</issueTitle>
                <identifiers>
                  <ticker value="CPI"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Consumer Price All Urban Non-Seasonally Adjusted Index" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="1"/>
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            </floatingRecDesc>
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        </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="BRW39X791"/>
          <other otherDesc="Internal Identifier" value="BRW39X791"/>
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        <balance>15448000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  <derivAddlInfo>
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            <delta>XXXX</delta>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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          <isin value="US912810QV35"/>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <title>Interest Rate Swaps</title>
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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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                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>36220000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </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>49073.22000000</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>Options</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW063VW8"/>
          <other otherDesc="Internal Identifier" value="BRW063VW8"/>
        </identifiers>
        <balance>1.00000000</balance>
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        <curCd>N/A</curCd>
        <valUSD>0.00000000</valUSD>
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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>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Citigroup Inc</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
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                    <counterpartyName>Citigroup Inc</counterpartyName>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FX FORWARD</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRW063VW8"/>
                    </identifiers>
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                    <units>NC</units>
                    <curCd>N/A</curCd>
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                    <assetCat>DFE</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <amtCurSold>18258750.00000000</amtCurSold>
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                  <amtCurPur>13525000.00000000</amtCurPur>
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                  <settlementDt>N/A</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>13525000.00000000</principalAmt>
            <curCd>GBP</curCd>
            <exercisePrice>1.35000000</exercisePrice>
            <exercisePriceCurCd>GBP</exercisePriceCurCd>
            <expDt>2020-05-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-299027.63000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTJ4H6M2"/>
          <other otherDesc="Internal Identifier" value="BRTJ4H6M2"/>
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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">
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              <counterpartyName>Barclays Bank PLC</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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                    <cusip>N/A</cusip>
                    <identifiers>
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                    <balance>5130000.00000000</balance>
                    <units>OU</units>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
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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>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-198555.19000000</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="BRW4AX5H1"/>
          <other otherDesc="Internal Identifier" value="BRW4AX5H1"/>
        </identifiers>
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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>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Barclays Bank PLC</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
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                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRW4AX5H1"/>
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                    <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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                        <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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                  </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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            </descRefInstrmnt>
            <principalAmt>2250000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.85000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>8265.31000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <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="BRW2NH1L1"/>
          <other otherDesc="Internal Identifier" value="BRW2NH1L1"/>
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        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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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>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month USD LIBOR</issueTitle>
                <identifiers>
                  <ticker value="US0003M"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.69000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2050-03-11</terminationDt>
            <upfrontPmnt>9.51000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>340000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-12178.03000000</unrealizedAppr>
          </swapDeriv>
        </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="BRTTVBSH0"/>
          <other otherDesc="Internal Identifier" value="BRTTVBSH0"/>
        </identifiers>
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        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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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>Morgan Stanley &amp; Co</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <balance>106820000.00000100</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                  </descRefInstrmnt>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <ticker value="US0003M"/>
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            </descRefInstrmnt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
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            <curCd>USD</curCd>
            <unrealizedAppr>-6966839.39000000</unrealizedAppr>
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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>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTY0AH04"/>
          <other otherDesc="Internal Identifier" value="BRTY0AH04"/>
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        <balance>850000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-87894.57000000</valUSD>
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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">
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              <counterpartyName>CME</counterpartyName>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month USD LIBOR</issueTitle>
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                  <ticker value="US0003M"/>
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            <pmntCurCd>USD</pmntCurCd>
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            <notionalAmt>850000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-87911.47000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Mexico Government International Bond</name>
        <lei>254900EGTWEU67VP6075</lei>
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          <isin value="US91087BAL45"/>
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        <balance>460000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>440450.00000000</valUSD>
        <pctVal>0.027146940312</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-27</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW46ERD3"/>
          <other otherDesc="Internal Identifier" value="BRW46ERD3"/>
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        <balance>4920000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-108313.51000000</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>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
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                  <derivAddlInfo>
                    <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="BRW46ERD3"/>
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                    <balance>4920000.00000000</balance>
                    <units>OU</units>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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                        <ticker value="US0003M"/>
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                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="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>
                  <notionalAmt>4920000.00000000</notionalAmt>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>4920000.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>28339.49000000</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="BRW2GG4P9"/>
          <other otherDesc="Internal Identifier" value="BRW2GG4P9"/>
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        <balance>1445000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
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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>Deutsche Bank AG</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Deutsche Bank AG</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <other otherDesc="Internal Identifier" value="BRW2GG4P9"/>
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                    <balance>1445000.00000000</balance>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>3 Month USD LIBOR</issueTitle>
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                        <ticker value="US0003M"/>
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                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
                  <terminationDt>N/A</terminationDt>
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                  <pmntCurCd>N/A</pmntCurCd>
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                  <rcptCurCd>N/A</rcptCurCd>
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            </descRefInstrmnt>
            <principalAmt>1445000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.35000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-44188.01000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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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>912828V49</cusip>
        <identifiers>
          <isin value="US912828V491"/>
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        <balance>43307696.19200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45478580.21000000</valUSD>
        <pctVal>2.803052111388</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="NZD#20294-MSC-"/>
          <other otherDesc="Internal Identifier" value="NZD#20294-MSC-"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-89980.37000000</valUSD>
        <pctVal>-0.00554590017</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>Morgan Stanley &amp; Co</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>6668000.00000000</amtCurSold>
            <curSold>NZD</curSold>
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            <settlementDt>2020-05-05</settlementDt>
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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="BRW1PD2D7"/>
          <other otherDesc="Internal Identifier" value="BRW1PD2D7"/>
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        <balance>2440000.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>LCH</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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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="BRW4AJ6G3"/>
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        <balance>1610000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Deutsche Bank AG</counterpartyName>
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                  </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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            <principalAmt>1610000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.82800000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-11-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-14139.71000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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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="BRTUHWUZ4"/>
          <other otherDesc="Internal Identifier" value="BRTUHWUZ4"/>
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        <balance>420000.00000000</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">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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      </invstOrSec>
      <invstOrSec>
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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="BRW2KMV63"/>
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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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                  <ticker value="CPI"/>
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            <swapFlag>Y</swapFlag>
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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>
        <derivativeInfo>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
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      <invstOrSec>
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          <other otherDesc="Internal Identifier" value="EUR#20279-DBS-"/>
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      <invstOrSec>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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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#20290-GSC-"/>
          <other otherDesc="Internal Identifier" value="EUR#20290-GSC-"/>
        </identifiers>
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        <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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            <amtCurSold>3200000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>3433685.54000000</amtCurPur>
            <curPur>USD</curPur>
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        </derivativeInfo>
        <securityLending>
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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="BRTR0BG57"/>
          <other otherDesc="Internal Identifier" value="BRTR0BG57"/>
        </identifiers>
        <balance>1295000.00000000</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>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <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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                  </floatingRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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            </descRefInstrmnt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-22354.06000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates</title>
        <cusip>126671SL1</cusip>
        <identifiers>
          <isin value="US126671SL14"/>
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        <balance>14526.33000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14167.31000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW32GSD3"/>
          <other otherDesc="Internal Identifier" value="BRW32GSD3"/>
        </identifiers>
        <balance>1235000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>96009.13000000</valUSD>
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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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month USD LIBOR</issueTitle>
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                  <ticker value="US0003M"/>
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              </otherRefInst>
            </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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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2050-08-21</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>95968.53000000</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="BRW43MRJ5"/>
          <other otherDesc="Internal Identifier" value="BRW43MRJ5"/>
        </identifiers>
        <balance>1535000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-43597.42000000</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>Deutsche Bank AG</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <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="BRW43MRJ5"/>
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                    <balance>1535000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <ticker value="US0003M"/>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc 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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                  </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>1535000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-1500.04000000</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>
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          <other otherDesc="Internal Identifier" value="BRTTWHF80"/>
          <other otherDesc="Internal Identifier" value="BRTTWHF80"/>
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        <balance>20317500.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
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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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            <putOrCall>Call</putOrCall>
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            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                      <other otherDesc="Internal Identifier" value="BRTTWHF80"/>
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                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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                        <ticker value="US0003M"/>
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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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            <delta>XXXX</delta>
            <unrealizedAppr>430447.98000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW3RM2X7"/>
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        <derivativeInfo>
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                  <derivAddlInfo>
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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>
        <title>Interest Rate Swaptions</title>
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          <other otherDesc="Internal Identifier" value="BRTUBFDR4"/>
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        <balance>5390000.00000000</balance>
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        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <descOthUnits>Notional Amount</descOthUnits>
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      <invstOrSec>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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          <isin value="US912810QP66"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <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="BRW23UYQ7"/>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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      </invstOrSec>
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        <name>N/A</name>
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        <derivativeInfo>
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      <invstOrSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW44JJD3"/>
          <other otherDesc="Internal Identifier" value="BRW44JJD3"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH</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="BRTRHZ5G4"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <otherRefInst>
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                        <ticker value="US0003M"/>
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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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          <other otherDesc="Internal Identifier" value="BRW03P1D7"/>
          <other otherDesc="Internal Identifier" value="BRW03P1D7"/>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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          <isin value="US9128283R96"/>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <title>Interest Rate Swaps</title>
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        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>Futures</title>
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        <balance>13.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.31500000"/>
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        <fairValLevel>1</fairValLevel>
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                <issuerName>N/A</issuerName>
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            <expDate>2020-06-16</expDate>
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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="BRTWLPL98"/>
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        <balance>29530000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <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">
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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>
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                    <cusip>N/A</cusip>
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                      <other otherDesc="Internal Identifier" value="BRTWLPL98"/>
                    </identifiers>
                    <balance>29530000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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                    <pctVal>-0.00250000</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>
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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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                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>29530000.00000000</notionalAmt>
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                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>29530000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0.25000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8018.35000000</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>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="CAD#20271-MSC-"/>
          <other otherDesc="Internal Identifier" value="CAD#20271-MSC-"/>
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        <balance>1.00000000</balance>
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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>Morgan Stanley &amp; Co</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>3643000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>5104840.45000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>25728.80000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Ginnie Mae</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae</title>
        <cusip>38373MYV6</cusip>
        <identifiers>
          <isin value="US38373MYV61"/>
        </identifiers>
        <balance>152642.97000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5314.74000000</valUSD>
        <pctVal>0.000327571641</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-16</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.46000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTYCA8P6"/>
          <other otherDesc="Internal Identifier" value="BRTYCA8P6"/>
        </identifiers>
        <balance>3740000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-3415.86000000</valUSD>
        <pctVal>-0.00021053501</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="BRTYCA8P6"/>
                    </identifiers>
                    <balance>3740000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-3415.86000000</valUSD>
                    <pctVal>-0.00021100</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>3740000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>3740000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.62400000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-11-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>87840.14000000</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="EDK0C 99.5 Comdty"/>
        </identifiers>
        <balance>50.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>19687.50000000</valUSD>
        <pctVal>0.001213430326</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>Purchased</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>
                    <identifiers>
                      <ticker value="EDM0C"/>
                    </identifiers>
                    <balance>50.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>19687.50000000</valUSD>
                    <pctVal>0.00121300</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>90 Day Eurodollar Future; June 2020</issueTitle>
                      <identifiers>
                        <ticker value="EDM0C"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>N/A</expDate>
                  <notionalAmt>125000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>50.00000000</shareNo>
            <exercisePrice>99.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-05-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>16210.15000000</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="BRW2HM0N4"/>
          <other otherDesc="Internal Identifier" value="BRW2HM0N4"/>
        </identifiers>
        <balance>15025000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-96.20000000</valUSD>
        <pctVal>-0.00000592924</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>
                  </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="BRW2HM0N4"/>
                    </identifiers>
                    <balance>15025000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-96.20000000</valUSD>
                    <pctVal>-0.00000600</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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                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>15025000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>15025000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-10-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>15680.05000000</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="BRTVWH164"/>
          <other otherDesc="Internal Identifier" value="BRTVWH164"/>
        </identifiers>
        <balance>2660000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-424.15000000</valUSD>
        <pctVal>-0.00002614229</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>
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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="BRTVWH164"/>
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                    <balance>2660000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <pctVal>-0.00002600</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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                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>2660000.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>2660000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1.75000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-10</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>43931.35000000</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 Swaptions</title>
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        <identifiers>
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          <other otherDesc="Internal Identifier" value="BRTVYJ6Q9"/>
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        <balance>9180000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
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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>Written</writtenOrPur>
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              <nestedDerivInfo>
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                  <counterparties>
                    <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>
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                      <other otherDesc="Internal Identifier" value="BRTVYJ6Q9"/>
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                    <balance>9180000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
                    <valUSD>-7250.56000000</valUSD>
                    <pctVal>-0.00044700</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <ticker value="EUR006M"/>
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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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                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>9180000.00000000</notionalAmt>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Long Beach Mortgage Loan Trust 2004-2</name>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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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>Indonesia Government International Bond</name>
        <lei>529900FWX0GRR7WG5W79</lei>
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          <isin value="US455780CS32"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <invCountry>ID</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>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW23H5X3"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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            <descRefInstrmnt>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <derivativeInfo>
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        <name>N/A</name>
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      <invstOrSec>
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        <derivativeInfo>
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              <counterpartyName>CME</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRW2ZJM98"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
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        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="EUR#20265-BCI-"/>
          <other otherDesc="Internal Identifier" value="EUR#20265-BCI-"/>
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        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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      <invstOrSec>
        <name>Abu Dhabi Government International Bond</name>
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          <isin value="US29135LAH33"/>
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        <invCountry>AE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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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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            <unrealizedAppr>119806.76000000</unrealizedAppr>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912828H45</cusip>
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          <isin value="US912828H458"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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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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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="CNM0C"/>
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        <units>NC</units>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>MSE</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            </descRefInstrmnt>
            <expDate>2020-06-22</expDate>
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        <securityLending>
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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="NZIIBDT005C5"/>
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        <currencyConditional curCd="NZD" exchangeRt="1.63012000"/>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </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="BRTVXLV20"/>
          <other otherDesc="Internal Identifier" value="BRTVXLV20"/>
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        <balance>75070000.00000000</balance>
        <units>OU</units>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
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                        <ticker value="US0003M"/>
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                  <floatingRecDesc curCd="N/A" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="N/A" pmntAmt="N/A">
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            <principalAmt>75070000.00000000</principalAmt>
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            <expDt>2020-08-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-581101.33000000</unrealizedAppr>
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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="BRW3RNPV4"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
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            <putOrCall>Put</putOrCall>
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        <name>N/A</name>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
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          <other otherDesc="Internal Identifier" value="GBP#20300-BCI-"/>
          <other otherDesc="Internal Identifier" value="GBP#20300-BCI-"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
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        <securityLending>
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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="BRW1D21A1"/>
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        <fairValLevel>2</fairValLevel>
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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>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW3UXTY8"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
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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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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTVUH8L6"/>
          <other otherDesc="Internal Identifier" value="BRTVUH8L6"/>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <assetCat>DIR</assetCat>
        <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>
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            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTVUH8L6"/>
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                    <balance>5610000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
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                  <descRefInstrmnt>
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                        <ticker value="US0003M"/>
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                  <fixedPmntDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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                  <pmntCurCd>N/A</pmntCurCd>
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                  <rcptCurCd>N/A</rcptCurCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>5610000.00000000</principalAmt>
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            <exercisePrice>2.25000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-08-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-108322.24000000</unrealizedAppr>
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        </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 Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW37QLS0"/>
          <other otherDesc="Internal Identifier" value="BRW37QLS0"/>
        </identifiers>
        <balance>15448000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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        <pctVal>0.000005399187</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>Purchased</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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                      <other otherDesc="Internal Identifier" value="BRW37QLS0"/>
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                    <balance>15448000.00000000</balance>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
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                        <ticker value="EUR006M"/>
                      </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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              </nestedDerivInfo>
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            <principalAmt>15448000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-8197.55000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <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="BRW25N1G9"/>
          <other otherDesc="Internal Identifier" value="BRW25N1G9"/>
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        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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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>CME</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <ticker value="US0003M"/>
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            <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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        </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="EUR#20267-DBS-"/>
          <other otherDesc="Internal Identifier" value="EUR#20267-DBS-"/>
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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>Deutsche Bank AG</counterpartyName>
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            <amtCurSold>15000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>16474.79000000</amtCurPur>
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            <settlementDt>2020-05-05</settlementDt>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTV36TE3"/>
          <other otherDesc="Internal Identifier" value="BRTV36TE3"/>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                        <ticker value="US0003M"/>
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            <delta>XXXX</delta>
            <unrealizedAppr>41002.71000000</unrealizedAppr>
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        </derivativeInfo>
        <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="BRW228WM8"/>
          <other otherDesc="Internal Identifier" value="BRW228WM8"/>
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        <invCountry>N/A</invCountry>
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                  <derivAddlInfo>
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                    <otherRefInst>
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                        <ticker value="US0003M"/>
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                  </descRefInstrmnt>
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        <name>N/A</name>
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        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="NZD#20293-BOA-"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Bank of America NA</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW2ZJV23"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              </nestedDerivInfo>
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            <unrealizedAppr>-8091.59000000</unrealizedAppr>
          </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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              <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  <derivAddlInfo>
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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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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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            <delta>XXXX</delta>
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        </derivativeInfo>
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        <lei>N/A</lei>
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        </derivativeInfo>
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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>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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          <other otherDesc="Internal Identifier" value="BRTSGJAS7"/>
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        <derivativeInfo>
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            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <cusip>N/A</cusip>
                    <identifiers>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <ticker value="EUR006M"/>
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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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            <principalAmt>38710000.00000000</principalAmt>
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            <unrealizedAppr>143148.34000000</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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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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        </derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
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              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <nestedDerivInfo>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <other otherDesc="Internal Identifier" value="BRW2FYAD1"/>
                    </identifiers>
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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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            </descRefInstrmnt>
            <principalAmt>6010000.00000000</principalAmt>
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            <exercisePrice>1.60000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-03-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>47131.65000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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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="BRW277DF1"/>
          <other otherDesc="Internal Identifier" value="BRW277DF1"/>
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        <balance>4530000.00000000</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 - 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>
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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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            <terminationDt>2023-03-02</terminationDt>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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            <notionalAmt>4530000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>62420.52000000</unrealizedAppr>
          </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>
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        <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>-175.75000000</valUSD>
        <pctVal>-0.00001083227</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>
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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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="BRTVRSR92"/>
                    </identifiers>
                    <balance>2990000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <pctVal>-0.00001100</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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                  </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>
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              </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>44375.25000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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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>912828Y38</cusip>
        <identifiers>
          <isin value="US912828Y388"/>
        </identifiers>
        <balance>46433170.16000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50973253.24000000</valUSD>
        <pctVal>3.141713845484</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW3WA0N1"/>
          <other otherDesc="Internal Identifier" value="BRW3WA0N1"/>
        </identifiers>
        <balance>8140000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
        <valUSD>-58233.50000000</valUSD>
        <pctVal>-0.00358919593</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>
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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="BRW3WA0N1"/>
                    </identifiers>
                    <balance>8140000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
                    <valUSD>-58233.50000000</valUSD>
                    <pctVal>-0.00358900</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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                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>8140000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>8140000.00000000</principalAmt>
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            <exercisePrice>0.02000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2022-04-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>46062.89000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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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>912810RW0</cusip>
        <identifiers>
          <isin value="US912810RW09"/>
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        <balance>6944032.80000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8852400.50000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW273V52"/>
          <other otherDesc="Internal Identifier" value="BRW273V52"/>
        </identifiers>
        <balance>7490000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
        <valUSD>-2389.52000000</valUSD>
        <pctVal>-0.00014727700</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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
                <identifiers>
                  <ticker value="EUR006M"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 Month Euro Interbank Offered Rate" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <unrealizedAppr>-2248.68000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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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="BRTVDPMW7"/>
          <other otherDesc="Internal Identifier" value="BRTVDPMW7"/>
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        <balance>19820000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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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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              <counterpartyName>LCH</counterpartyName>
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                <issuerName>N/A</issuerName>
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                  <ticker value="EUR006M"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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        <securityLending>
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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="BRW41W4D3"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CME</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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                  <ticker value="US0003M"/>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <curCd>USD</curCd>
            <unrealizedAppr>-1170716.92000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
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              <counterpartyName>CME</counterpartyName>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
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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="BRTWW46P4"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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        <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="BRTYFVDE6"/>
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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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            <descRefInstrmnt>
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                  </descRefInstrmnt>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
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          <other otherDesc="Internal Identifier" value="JPY#20297-GSC-"/>
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        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                        <ticker value="5YCMS"/>
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      </invstOrSec>
      <invstOrSec>
        <name>Impac CMB Trust Series 2004-6</name>
        <lei>N/A</lei>
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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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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <units>NC</units>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CBT</counterpartyName>
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            <payOffProf>Long</payOffProf>
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      <invstOrSec>
        <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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      <invstOrSec>
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          <other otherDesc="Internal Identifier" value="BRTKQCCL1"/>
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        <fairValLevel>2</fairValLevel>
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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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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <securityLending>
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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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        <securityLending>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH</counterpartyName>
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            <swapFlag>Y</swapFlag>
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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="BRTUGE567"/>
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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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              <nestedDerivInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <balance>7080000.00000000</balance>
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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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            <principalAmt>7080000.00000000</principalAmt>
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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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          <other otherDesc="Internal Identifier" value="BRTX7HPN5"/>
          <other otherDesc="Internal Identifier" value="BRTX7HPN5"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
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                  <derivAddlInfo>
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        </derivativeInfo>
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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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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>Impac CMB Trust Series 2004-5</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      </invstOrSec>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
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        <derivativeInfo>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
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        <identifiers>
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          <other otherDesc="Internal Identifier" value="EUR#20262-JPM-"/>
        </identifiers>
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        <curCd>N/A</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        </derivativeInfo>
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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="BRW3N8HD0"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <lei>N/A</lei>
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        <name>N/A</name>
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          <ticker value="TUM0C"/>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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          <isin value="US912828XL95"/>
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        <balance>63814457.53900000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Options</title>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Capped Options</title>
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        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTUNXJG0"/>
          <other otherDesc="Internal Identifier" value="BRTUNXJG0"/>
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        <balance>53790000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                        <ticker value="5YCMS"/>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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                  <rcptCurCd>N/A</rcptCurCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>19960.57000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Saudi Government International Bond</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>Saudi Government International Bond</title>
        <cusip>80413TAK5</cusip>
        <identifiers>
          <isin value="US80413TAK51"/>
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        <balance>955000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1063679.00000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTYCJKL2"/>
          <other otherDesc="Internal Identifier" value="BRTYCJKL2"/>
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        <balance>3740000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-3283.38000000</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>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                        <ticker value="US0003M"/>
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                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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                  </descRefInstrmnt>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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                    <name>N/A</name>
                    <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <derivativeInfo>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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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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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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            <delta>XXXX</delta>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTGZTNG2"/>
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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>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                        <ticker value="US0003M"/>
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                  </descRefInstrmnt>
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            <principalAmt>1310000.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-22669.95000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW4EBKF2"/>
          <other otherDesc="Internal Identifier" value="BRW4EBKF2"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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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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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Consumer Price All Urban Non-Seasonally Adjusted Index" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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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="BRTY0MEQ4"/>
          <other otherDesc="Internal Identifier" value="BRTY0MEQ4"/>
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        <balance>1100000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <ticker value="US0003M"/>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD LIBOR" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.10000000"/>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW39UAY8"/>
          <other otherDesc="Internal Identifier" value="BRW39UAY8"/>
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        <balance>1341000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH</counterpartyName>
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            <descRefInstrmnt>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>Panama Government International Bond</name>
        <lei>549300SHS4T08CL0LP14</lei>
        <title>Panama Government International Bond</title>
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          <isin value="US698299BM53"/>
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        <balance>255000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>286237.50000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
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          <other otherDesc="Internal Identifier" value="BRW2HHJH8"/>
          <other otherDesc="Internal Identifier" value="BRW2HHJH8"/>
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        <balance>5370000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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      <invstOrSec>
        <name>Japanese Government CPI Linked Bond</name>
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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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        <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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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>Interest Rate Swaps</title>
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          <other otherDesc="Internal Identifier" value="BRW293S39"/>
          <other otherDesc="Internal Identifier" value="BRW293S39"/>
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        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
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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>Impac CMB Trust Series 2005-5</name>
        <lei>N/A</lei>
        <title>Impac CMB Trust Series 2005-5</title>
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          <isin value="US45254NPY75"/>
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        <balance>13007.04000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10756.67000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</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>Colombia Government International Bond</name>
        <lei>549300MHDRBVRF6B9117</lei>
        <title>Colombia Government International Bond</title>
        <cusip>195325DR3</cusip>
        <identifiers>
          <isin value="US195325DR36"/>
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        <balance>4020000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3650200.20000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CO</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>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="EUR#20289-BCI-"/>
          <other otherDesc="Internal Identifier" value="EUR#20289-BCI-"/>
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        <balance>1.00000000</balance>
        <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>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>795000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>861933.91000000</amtCurPur>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
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          <other otherDesc="Internal Identifier" value="BRW35XKB5"/>
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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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            <putOrCall>Put</putOrCall>
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            <descRefInstrmnt>
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        <name>N/A</name>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <title>Interest Rate Swaptions</title>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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        <identifiers>
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          <other otherDesc="Internal Identifier" value="BRTBAAUU2"/>
        </identifiers>
        <balance>2357900000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="107.31500000"/>
        <valUSD>6783.98000000</valUSD>
        <pctVal>0.000418127597</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">
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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="BRTBAAUU2"/>
                    </identifiers>
                    <balance>2357900000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="JPY" exchangeRt="107.31500000"/>
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                    <pctVal>0.00041800</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                      <identifiers>
                        <ticker value="JY0006M"/>
                      </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>2357900000.00000000</notionalAmt>
                  <curCd>JPY</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>2357900000.00000000</principalAmt>
            <curCd>JPY</curCd>
            <exercisePrice>1.10000000</exercisePrice>
            <exercisePriceCurCd>JPY</exercisePriceCurCd>
            <expDt>2022-06-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-313961.69000000</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="BRW33MUE4"/>
          <other otherDesc="Internal Identifier" value="BRW33MUE4"/>
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        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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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="-0.26000000"/>
            <terminationDt>2022-09-22</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>EUR</curCd>
            <unrealizedAppr>-20708.05000000</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="BRTY65GL4"/>
          <other otherDesc="Internal Identifier" value="BRTY65GL4"/>
        </identifiers>
        <balance>4560000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-113227.54000000</valUSD>
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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>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"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.58000000"/>
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            <pmntCurCd>USD</pmntCurCd>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4560000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-113294.27000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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="NZD#20277-WBC-"/>
          <other otherDesc="Internal Identifier" value="NZD#20277-WBC-"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>70666.81000000</valUSD>
        <pctVal>0.004355517477</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>Westpac Banking Corporation</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>8025492.63000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>13198000.00000000</amtCurPur>
            <curPur>NZD</curPur>
            <settlementDt>2020-05-05</settlementDt>
            <unrealizedAppr>70666.81000000</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>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTRGV467"/>
          <other otherDesc="Internal Identifier" value="BRTRGV467"/>
        </identifiers>
        <balance>6300000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-269347.51000000</valUSD>
        <pctVal>-0.01660111426</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="2.43000000"/>
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            <pmntCurCd>USD</pmntCurCd>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-269315.84000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
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          <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="BRW2ZEHW4"/>
          <other otherDesc="Internal Identifier" value="BRW2ZEHW4"/>
        </identifiers>
        <balance>6190000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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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>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>6 Month Euro Interbank Offered Rate</issueTitle>
                <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="-0.38000000"/>
            <terminationDt>2022-06-19</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>EUR</curCd>
            <unrealizedAppr>2522.01000000</unrealizedAppr>
          </swapDeriv>
        </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="BRW48YZE6"/>
          <other otherDesc="Internal Identifier" value="BRW48YZE6"/>
        </identifiers>
        <balance>26230000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-31093.33000000</valUSD>
        <pctVal>-0.00191642359</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>
                  </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="BRW48YZE6"/>
                    </identifiers>
                    <balance>26230000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-31093.33000000</valUSD>
                    <pctVal>-0.00191600</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"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>26230000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>26230000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.55000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-04-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>14940.32000000</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="BRTU9S7Q8"/>
          <other otherDesc="Internal Identifier" value="BRTU9S7Q8"/>
        </identifiers>
        <balance>5880000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
        <valUSD>-1681.69000000</valUSD>
        <pctVal>-0.00010365021</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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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="BRTU9S7Q8"/>
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                    <balance>5880000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
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                    <pctVal>-0.00010400</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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                  </floatingPmntDesc>
                  <terminationDt>N/A</terminationDt>
                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
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                  <rcptCurCd>N/A</rcptCurCd>
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                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>5880000.00000000</principalAmt>
            <curCd>EUR</curCd>
            <exercisePrice>0.00000100</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-06-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>14313.52000000</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>Futures</title>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
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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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          <other otherDesc="Internal Identifier" value="EUR#20291-MSC-"/>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
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        <name>N/A</name>
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      <invstOrSec>
        <name>Mexico Government International Bond</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
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        <identifiers>
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          <other otherDesc="Internal Identifier" value="NZD#20295-WBC-"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Westpac Banking Corporation</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <name>N/A</name>
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            </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="0.72000000"/>
            <terminationDt>2044-03-21</terminationDt>
            <upfrontPmnt>155.45000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>24090000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-19162.62000000</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="BRTR0BH31"/>
          <other otherDesc="Internal Identifier" value="BRTR0BH31"/>
        </identifiers>
        <balance>1295000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>262798.44000000</valUSD>
        <pctVal>0.016197465239</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>JPMorgan Chase</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</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="BRTR0BH31"/>
                    </identifiers>
                    <balance>1295000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>262798.44000000</valUSD>
                    <pctVal>0.01619700</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>1295000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1295000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.86000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2039-02-23</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>198728.31000000</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="BRTYJ8SG2"/>
          <other otherDesc="Internal Identifier" value="BRTYJ8SG2"/>
        </identifiers>
        <balance>1640000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.91253000"/>
        <valUSD>-13461.07000000</valUSD>
        <pctVal>-0.00082966707</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 Euro Interbank Offered Rate</issueTitle>
                <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="-0.17000000"/>
            <terminationDt>2024-11-11</terminationDt>
            <upfrontPmnt>28.84000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1640000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-13489.91000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="It is a policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract." noteItem="C.12.a"/>
      <explntrNote note="Not applicable for derivative asset types" noteItem="C.5.a"/>
      <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"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-06-04</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>
</edgarSubmission>
