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              <counterpartyName>CME</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRWUQYYR0"/>
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      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Call</putOrCall>
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            <descRefInstrmnt>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="4534040669676"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTQA3PQ0"/>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
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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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            <principalAmt>1420000.00000000</principalAmt>
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        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="EDZ4C"/>
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        <balance>61.00000000</balance>
        <units>NC</units>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CME</counterpartyName>
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            <payOffProf>Short</payOffProf>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <ticker value="EDZ4C"/>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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        <name>N/A</name>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <securityLending>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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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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        <name>N/A</name>
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            </descRefInstrmnt>
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      <invstOrSec>
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        <lei>N/A</lei>
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        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRWQLSPT3"/>
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        <derivativeInfo>
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            <writtenOrPur>Purchased</writtenOrPur>
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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>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <identifiers>
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                    <units>OU</units>
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                  </descRefInstrmnt>
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            <delta>XXXX</delta>
            <unrealizedAppr>8400.58000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
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            <principalAmt>13530000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>56029.92000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW5PE3Z6"/>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Deutsche Bank AG</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
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            <principalAmt>1475000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>30197.23000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <identifiers>
          <isin value="US912828N712"/>
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        <balance>17281543.46400000</balance>
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        <curCd>USD</curCd>
        <valUSD>19143584.84000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRWGPWY54"/>
          <other otherDesc="Internal Identifier" value="BRWGPWY54"/>
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        <balance>2000000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-74413.12000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <other otherDesc="Internal Identifier" value="BRWGPWY54"/>
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                    <balance>2000000.00000000</balance>
                    <units>OU</units>
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                    <assetCat>DIR</assetCat>
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                        <ticker value="US0003M"/>
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                  <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>
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                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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            </descRefInstrmnt>
            <principalAmt>2000000.00000000</principalAmt>
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            <exercisePrice>1.24750000</exercisePrice>
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            <expDt>2022-01-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-27313.12000000</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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          <other otherDesc="Internal Identifier" value="BRTRHZ335"/>
          <other otherDesc="Internal Identifier" value="BRTRHZ335"/>
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        <balance>4870000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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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>
              <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>
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                    <cusip>N/A</cusip>
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                      <other otherDesc="Internal Identifier" value="BRTRHZ335"/>
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                    <balance>4870000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>65981.10000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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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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                  </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>4870000.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>4870000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>2.95000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-153534.15000000</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>Options</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="TYZ1P 131 Comdty"/>
        </identifiers>
        <balance>104.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-86125.00000000</valUSD>
        <pctVal>-0.00571940776</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>CBT</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
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                    <counterpartyName>CBT</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FUTURE</title>
                    <cusip>N/A</cusip>
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                      <ticker value="TYZ1C"/>
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                    <balance>104.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>-86125.00000000</valUSD>
                    <pctVal>-0.00571900</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <payOffProf>Short</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>US 10 Year Note Future; December 2021</issueTitle>
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                        <ticker value="TYZ1C"/>
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                  <expDate>N/A</expDate>
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            <shareNo>104.00000000</shareNo>
            <exercisePrice>131.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-11-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-45658.08000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>New Zealand Government Bond</name>
        <lei>549300237GPHG2AI7C34</lei>
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          <isin value="NZGOVDT541C9"/>
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        <balance>2176000.00000000</balance>
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        <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>
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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRWCWH4Q5"/>
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        <balance>2890000.00000000</balance>
        <units>OU</units>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                        <ticker value="US0003M"/>
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                  </descRefInstrmnt>
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                  <upfrontPmnt>N/A</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
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                  <rcptCurCd>N/A</rcptCurCd>
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            </descRefInstrmnt>
            <principalAmt>2890000.00000000</principalAmt>
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            <exercisePrice>1.25300000</exercisePrice>
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            <expDt>2023-01-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-75913.72000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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          <other otherDesc="Internal Identifier" value="BRWKR60J7"/>
          <other otherDesc="Internal Identifier" value="BRWKR60J7"/>
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        <balance>11590000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
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        <name>N/A</name>
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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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        <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>
        <name>Colombia Government International Bond</name>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Morgan Stanley &amp; Co</counterpartyName>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRW8EA3X5"/>
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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>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
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          <other otherDesc="Internal Identifier" value="BRWULUTV0"/>
          <other otherDesc="Internal Identifier" value="BRWULUTV0"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH</counterpartyName>
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            <descRefInstrmnt>
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                <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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            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ML-CFC Commercial Mortgage Trust 2006-3</name>
        <lei>N/A</lei>
        <title>ML-CFC Commercial Mortgage Trust 2006-3</title>
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        <identifiers>
          <isin value="US60687VBC81"/>
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        <balance>54276.30550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <pctVal>0.000000191919</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-12</maturityDt>
          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <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>
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        <identifiers>
          <isin value="US912810PS15"/>
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        <balance>19242797.40500000</balance>
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        <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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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
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          <other otherDesc="Internal Identifier" value="BRWTL0MD6"/>
          <other otherDesc="Internal Identifier" value="BRWTL0MD6"/>
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        <balance>450000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <ticker value="SOFR"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
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          <other otherDesc="Internal Identifier" value="BRWU9WM21"/>
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        <balance>7530000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CME</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRW2C7SZ5"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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        <name>N/A</name>
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        <title>Interest Rate Swaptions</title>
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                        <ticker value="US0003M"/>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Impac CMB Trust Series 2004-5</name>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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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>
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          <other otherDesc="Internal Identifier" value="BRWULUNL8"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH</counterpartyName>
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      <invstOrSec>
        <name>Mexico Government International Bond</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>Mexico Government International Bond</title>
        <cusip>N/A</cusip>
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          <isin value="XS2289588167"/>
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        <units>PA</units>
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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>
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          <other otherDesc="Internal Identifier" value="BRWCAAJ70"/>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME</counterpartyName>
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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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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Futures</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="TUZ1C"/>
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        <balance>289.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>28093.07000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>CBT</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <expDate>2022-01-03</expDate>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRWHVDFS8"/>
          <other otherDesc="Internal Identifier" value="BRWHVDFS8"/>
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        <balance>8675000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
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        <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>
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                  <ticker value="UKRPI"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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          <other otherDesc="Internal Identifier" value="BRWTULCT6"/>
          <other otherDesc="Internal Identifier" value="BRWTULCT6"/>
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        <balance>13530000.00000000</balance>
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        <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">
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            <putOrCall>Call</putOrCall>
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        <name>N/A</name>
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      <invstOrSec>
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        <name>Impac CMB Trust Series 2005-5</name>
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        <name>Colombia Government International Bond</name>
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            <swapFlag>Y</swapFlag>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <name>N/A</name>
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        <name>United States Treasury Inflation Indexed Bonds</name>
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        <derivativeInfo>
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        <securityLending>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Identifier" value="BRWRBGHF7"/>
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        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                <issuerName>N/A</issuerName>
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                  <ticker value="US0003M"/>
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        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTQA3PR8"/>
          <other otherDesc="Internal Identifier" value="BRTQA3PR8"/>
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        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <invCountry>N/A</invCountry>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>EUX</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Inflation Indexed Bonds</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <other otherDesc="Internal Identifier" value="BRW19ERX2"/>
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        <fairValLevel>2</fairValLevel>
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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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        <name>United States Treasury Inflation Indexed Bonds</name>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <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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          <other otherDesc="Internal Identifier" value="BRWM3VFE9"/>
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        <derivativeInfo>
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
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              <nestedDerivInfo>
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                    <lei>N/A</lei>
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                  </derivAddlInfo>
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                  <fixedRecDesc amount="N/A" curCd="N/A" fixedOrFloating="Fixed" fixedRt="N/A"/>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>5280000.00000000</principalAmt>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-2012.76000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Internal Identifier" value="BRTVUHXA2"/>
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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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            <counterparties>
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              <nestedDerivInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <balance>5610000.00000000</balance>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
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                        <ticker value="US0003M"/>
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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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            </descRefInstrmnt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>46020.72000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRW2GF1N9"/>
          <other otherDesc="Internal Identifier" value="BRW2GF1N9"/>
        </identifiers>
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        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month USD LIBOR</issueTitle>
                <identifiers>
                  <ticker value="US0003M"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.25000000"/>
            <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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            </floatingPmntDesc>
            <terminationDt>2050-09-08</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
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            <curCd>USD</curCd>
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          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRWUG7261"/>
          <other otherDesc="Internal Identifier" value="BRWUG7261"/>
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        <balance>13115000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.86505000"/>
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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>Deutsche Bank AG</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>Deutsche Bank AG</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <other otherDesc="Internal Identifier" value="BRWUG7261"/>
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                    <balance>13115000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <currencyConditional curCd="EUR" exchangeRt="0.86505000"/>
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                  <descRefInstrmnt>
                    <otherRefInst>
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                        <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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                  <rcptCurCd>N/A</rcptCurCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>13115000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-66808.68000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
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          <other otherDesc="Internal Identifier" value="BRTGZTNG2"/>
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        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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            <delta>XXXX</delta>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRTR0BH31"/>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                <swapDeriv derivCat="SWP">
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                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
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                    </identifiers>
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                    <units>OU</units>
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                  <pmntCurCd>N/A</pmntCurCd>
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                  <rcptCurCd>N/A</rcptCurCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>4871500.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>339856.89000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRWT31KL8"/>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <payoffProfile>N/A</payoffProfile>
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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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            <swapFlag>Y</swapFlag>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2320000.00000000</notionalAmt>
            <curCd>USD</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>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRWTULCU3"/>
          <other otherDesc="Internal Identifier" value="BRWTULCU3"/>
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        <balance>41060000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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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="BRWTULCU3"/>
                    </identifiers>
                    <balance>41060000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <pctVal>-0.02239600</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
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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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                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>N/A</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
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            </descRefInstrmnt>
            <principalAmt>41060000.00000000</principalAmt>
            <curCd>USD</curCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-04-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-239524.59000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FX Forwards</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="4534040660227"/>
          <other otherDesc="Internal Identifier" value="4534040660227"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>25094000.00000000</amtCurSold>
            <curSold>NZD</curSold>
            <amtCurPur>17412475.66000000</amtCurPur>
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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="BRWK4SJP0"/>
          <other otherDesc="Internal Identifier" value="BRWK4SJP0"/>
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        <balance>35490000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-299248.30000000</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>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Deutsche Bank AG</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <balance>35490000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
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                  <descRefInstrmnt>
                    <otherRefInst>
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                      <issueTitle>3 Month USD LIBOR</issueTitle>
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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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                  <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>35490000.00000000</principalAmt>
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            <expDt>2022-03-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-183905.80000000</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>
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          <other otherDesc="Internal Identifier" value="BRWS9EMQ3"/>
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        <balance>280000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <invCountry>N/A</invCountry>
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        <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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                  <ticker value="EUR006M"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 Month Euro Interbank Offered Rate" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <curCd>EUR</curCd>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Chile Government International Bond</name>
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        <curCd>USD</curCd>
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        <invCountry>CL</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>New Zealand Government Inflation Linked Bond</name>
        <lei>549300237GPHG2AI7C34</lei>
        <title>New Zealand Government Inflation Linked Bond</title>
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          <isin value="NZIIBDT005C5"/>
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        <currencyConditional curCd="NZD" exchangeRt="1.39548000"/>
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        <invCountry>NZ</invCountry>
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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>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Identifier" value="BRWKM1X81"/>
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        <balance>2025000.00000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.73070000"/>
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        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>LCH</counterpartyName>
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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="BRWUDQ0Z0"/>
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        <balance>3790000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>11174.51000000</valUSD>
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        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Impac CMB Trust Series 2005-1</name>
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      <invstOrSec>
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            <swapFlag>Y</swapFlag>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
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        <lei>N/A</lei>
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                    <lei>N/A</lei>
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        </derivativeInfo>
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        <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="BRWQ0LJ01"/>
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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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            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <units>OU</units>
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                  <upfrontRcpt>N/A</upfrontRcpt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>28927.25000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
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          <other otherDesc="Internal Identifier" value="BRWNBU014"/>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
                    <title>Interest Rate Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
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                    <descOthUnits>Notional Amount</descOthUnits>
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                    <issuerConditional desc="Other - OTC" issuerCat="OTHER"/>
                  </derivAddlInfo>
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                  </descRefInstrmnt>
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                  <rcptCurCd>N/A</rcptCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>23300.97000000</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>
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          <other otherDesc="Internal Identifier" value="BRWUSGRP9"/>
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        <balance>3570000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
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        <invCountry>N/A</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>LCH</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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                  <ticker value="UKRPI"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="United Kingdom Retail Prices Index" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>Impac CMB Trust Series 2004-6</name>
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        <lei>N/A</lei>
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            <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="0.90000000"/>
            <terminationDt>2024-04-20</terminationDt>
            <upfrontPmnt>16.60000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3785000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>6271.08000000</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>Options</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="TYZ1C 136 Comdty"/>
        </identifiers>
        <balance>52.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-812.50000000</valUSD>
        <pctVal>-0.00005395667</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>CBT</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>CBT</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="TYZ1C"/>
                    </identifiers>
                    <balance>52.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>-812.50000000</valUSD>
                    <pctVal>-0.00005400</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>US 10 Year Note Future; December 2021</issueTitle>
                      <identifiers>
                        <ticker value="TYZ1C"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>N/A</expDate>
                  <notionalAmt>52000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>52.00000000</shareNo>
            <exercisePrice>136.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-11-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>13733.46000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Interest Rate Swaptions</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRWK1YCG7"/>
          <other otherDesc="Internal Identifier" value="BRWK1YCG7"/>
        </identifiers>
        <balance>18130000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-153775.45000000</valUSD>
        <pctVal>-0.01021195358</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="BRWK1YCG7"/>
                    </identifiers>
                    <balance>18130000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>USD</curCd>
                    <valUSD>-153775.45000000</valUSD>
                    <pctVal>-0.01021200</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>18130000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>18130000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.56200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-03-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-92813.32000000</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 Swaps</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BRTY2ZBH6"/>
          <other otherDesc="Internal Identifier" value="BRTY2ZBH6"/>
        </identifiers>
        <balance>9745000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.73070000"/>
        <valUSD>3160997.73000000</valUSD>
        <pctVal>0.209916225999</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Other - Exchange" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>United Kingdom Retail Prices Index</issueTitle>
                <identifiers>
                  <ticker value="UKRPI"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="United Kingdom Retail Prices Index" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.16000000"/>
            <terminationDt>2049-10-15</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>136378.88000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>9745000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>3297376.61000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Returns shown in Item B.5.a have been calculated without deducting any applicable sales loads or redemption fees" noteItem="B.5.a"/>
      <explntrNote note="Not applicable for derivative asset types" noteItem="C.5.a"/>
      <explntrNote note="Currency code CNY stands for the Yuan Renminbi traded within mainland China. CNH stands for the Yuan Renminbi traded offshore such as Hong Kong." noteItem="C.11.e.i"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2021-11-29</ncom:dateSigned>
      <ncom:nameOfApplicant>Principal Funds, Inc</ncom:nameOfApplicant>
      <ncom:signature>Megan Hoffmann</ncom:signature>
      <ncom:signerName>/s/ Megan Hoffmann</ncom:signerName>
      <ncom:title>Vice President and Controller</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
