<SEC-DOCUMENT>0000869392-20-002418.txt : 20201123
<SEC-HEADER>0000869392-20-002418.hdr.sgml : 20201123
<ACCEPTANCE-DATETIME>20201123153923
ACCESSION NUMBER:		0000869392-20-002418
CONFORMED SUBMISSION TYPE:	NPORT-P
PUBLIC DOCUMENT COUNT:		1
CONFORMED PERIOD OF REPORT:	20200930
FILED AS OF DATE:		20201123
PERIOD START:           	20200930

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PUTNAM MASTER INTERMEDIATE INCOME TRUST
		CENTRAL INDEX KEY:			0000830622
		IRS NUMBER:				046584465
		FISCAL YEAR END:			0930

	FILING VALUES:
		FORM TYPE:		NPORT-P
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		201337075

	BUSINESS ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
		BUSINESS PHONE:		6172921562

	MAIL ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
</SEC-HEADER>
<DOCUMENT>
<TYPE>NPORT-P
<SEQUENCE>1
<FILENAME>primary_doc.xml
<TEXT>
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            <invstOrSec>
                <name>GLOBAL MEDICAL RESPONSE INC</name>
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                <name>BWAY CORP</name>
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                <name>AZEK CO LLC/THE</name>
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                <name>ASCEND LEARNING LLC</name>
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                <name>DIAMOND BC BV</name>
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                <name>NAVISTAR INC</name>
                <lei>4EW4JDYTYMZ6D6T42H76</lei>
                <title>BANK LOAN NOTE</title>
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                <name>RACKSPACE TECHNOLOGY GLOBAL INC</name>
                <lei>549300QTYCKLMFSE8I97</lei>
                <title>BANK LOAN NOTE</title>
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                <name>CALIFORNIA RESOURCES CORP</name>
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                <name>GATES GLOBAL LLC</name>
                <lei>549300XI79MQJV13DW27</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2044102"/>
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                <balance>79529.34</balance>
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                <curCd>USD</curCd>
                <valUSD>78154.12</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-03-31</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>INTELSAT JACKSON HOLDINGS SA</name>
                <lei>8XJ8KF85PBKK1TLMFN29</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XAL5137LAF21"/>
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                <balance>275000</balance>
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                <curCd>USD</curCd>
                <valUSD>275618.75</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
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                    <maturityDt>2023-11-27</maturityDt>
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            <invstOrSec>
                <name>PQ CORP</name>
                <lei>2H1FRGMQKKSWC9PFJY28</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>69353FAX2</cusip>
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                    <other otherDesc="Internal ID" value="2062968"/>
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                <balance>35839.23</balance>
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                <curCd>USD</curCd>
                <valUSD>35014.93</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-07</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>SCIENTIFIC GAMES INTERNATIONAL INC</name>
                <lei>RLTHESQ0RNFQJWPBJN60</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>80875AAP6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2066783"/>
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                <balance>64177.2</balance>
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                <curCd>USD</curCd>
                <valUSD>60398.77</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-14</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.471</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ROBERTSHAW US HOLDING CORP</name>
                <lei>549300NMXRV2JIXFIY04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2069985"/>
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                <balance>159483.43</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>136624.19</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-28</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ROBERTSHAW US HOLDING CORP</name>
                <lei>549300NMXRV2JIXFIY04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2069986"/>
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                <balance>100000</balance>
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                <curCd>USD</curCd>
                <valUSD>60000</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>AIR MEDICAL GROUP HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>00169QAE9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2073473"/>
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                <balance>48009.49</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47754.46</valUSD>
                <pctVal>0.021695625946</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.25</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TITAN ACQUISITION LTD/UNITED KINGDOM</name>
                <lei>213800CPQ6QTUXFE7375</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C8856UAB4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2079954"/>
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                <balance>221065.88</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>208354.59</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.361</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PLY GEM MIDCO LLC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>72431HAB6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2083850"/>
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                <balance>54444.44</balance>
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                <curCd>USD</curCd>
                <valUSD>53457.63</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-12</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.901</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GOLDEN NUGGET LLC</name>
                <lei>91D14OD6M4H1RVBN7R43</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>51508PAG9</cusip>
                <identifiers>
                    <isin value="US51508PAG90"/>
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                <balance>85524.29</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76244.9</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-04</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.081</annualizedRt>
                    <isDefault>N</isDefault>
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            <invstOrSec>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C7052BAF1</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2099758"/>
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                <balance>309119.1</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4</annualizedRt>
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            <invstOrSec>
                <name>ORTHO-CLINICAL DIAGNOSTICS INC</name>
                <lei>5493006VJVVGE5PD4517</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XAL7300KAJ33"/>
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                <balance>215157.74</balance>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2025-06-30</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>PLANTRONICS INC</name>
                <lei>5493006O3W5M472F6668</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>72749DAC0</cusip>
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                    <other otherDesc="Internal ID" value="2108618"/>
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                <invCountry>US</invCountry>
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                    <maturityDt>2025-07-02</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>SOLENIS INTERNATIONAL LLC</name>
                <lei>549300P0XTH2Z2N7QB86</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>83420LAK7</cusip>
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                    <other otherDesc="Internal ID" value="2115735"/>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2025-06-26</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>ASURION LLC</name>
                <lei>549300KNQVXGIOXWK278</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>04649VAW0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2119631"/>
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                <balance>150787.17</balance>
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                <curCd>USD</curCd>
                <valUSD>148067.57</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-03</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>SOLENIS INTERNATIONAL LLC</name>
                <lei>549300P0XTH2Z2N7QB86</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>83420LAN1</cusip>
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                    <isin value="US83420LAN10"/>
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                <balance>85000</balance>
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                <curCd>USD</curCd>
                <valUSD>79050</valUSD>
                <pctVal>0.035913697506</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-26</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>REFINITIV US HOLDINGS INC</name>
                <lei>549300NF240HXJO7N016</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>31740MAC5</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2149214"/>
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                <balance>321277.5</balance>
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                <valUSD>317914.05</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NOURYON USA LLC</name>
                <lei>549300K7VB5G6LULFT41</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N8232NAB3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2149843"/>
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                <balance>115447.15</balance>
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                <curCd>USD</curCd>
                <valUSD>111406.5</valUSD>
                <pctVal>0.050613780408</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                    <maturityDt>2025-10-01</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MESSER INDUSTRIES USA INC</name>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2154316"/>
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                <balance>106454.05</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2026-03-01</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GRAY TELEVISION INC</name>
                <lei>529900TM5726KDN7UU35</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>389376AY0</cusip>
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                    <other otherDesc="Internal ID" value="2165999"/>
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                <balance>81121.68</balance>
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                    <maturityDt>2025-11-02</maturityDt>
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            <invstOrSec>
                <name>TALBOTS INC/THE</name>
                <lei>N/A</lei>
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                    <isin value="US87416DAF33"/>
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                <balance>88007.39</balance>
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                    <maturityDt>2022-11-28</maturityDt>
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            <invstOrSec>
                <name>STAPLES INC</name>
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                    <other otherDesc="Internal ID" value="2232754"/>
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            <invstOrSec>
                <name>NEXSTAR BROADCASTING INC</name>
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                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2261900"/>
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                <invCountry>US</invCountry>
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                    <maturityDt>2026-09-19</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>DIAMOND SPORTS GROUP LLC</name>
                <lei>5493002K6DHWNZH8YA34</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2271914"/>
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                <balance>99000</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-24</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.4</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CLEAR CHANNEL OUTDOOR HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>18452RAD7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2281814"/>
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                <balance>84150</balance>
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                <curCd>USD</curCd>
                <valUSD>76516.42</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-21</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.761</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>HUB INTERNATIONAL LTD</name>
                <lei>549300JQT6ATTUNS5E06</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US44332EAT38"/>
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                <balance>44662.5</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44447.18</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GARDA WORLD SECURITY CORP</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2319236"/>
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                <balance>82447.84</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>

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                <debtSec>
                    <maturityDt>2026-10-30</maturityDt>
                    <couponKind>Floating</couponKind>
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                <name>GENESEE  AND  WYOMING INC</name>
                <lei>G617XSG94Z7G0RMW3L02</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>55316HAB1</cusip>
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                    <other otherDesc="Internal ID" value="2323200"/>
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                <balance>64675</balance>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-05</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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            <invstOrSec>
                <name>TERRIER MEDIA BUYER INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>88145LAB0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339734"/>
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                <balance>99250</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-17</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.99</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>BERRY GLOBAL INC</name>
                <lei>549300AP2Q7ERHX6RI89</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US08579JBF84"/>
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                <balance>197500</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>191218.32</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-07-01</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.899</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>IRB HOLDING CORP</name>
                <lei>549300HVW4WNWYBXN830</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>44988LAF4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2351755"/>
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                <balance>98484.82</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-02-05</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>45174UAF5</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2353676"/>
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                <balance>49625</balance>
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                <curCd>USD</curCd>
                <valUSD>46994.88</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ELANCO ANIMAL HEALTH INC</name>
                <lei>549300SHPNDCE059M934</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2357163"/>
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                <balance>63479.53</balance>
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                <curCd>USD</curCd>
                <valUSD>61643.13</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-04</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.404</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VERTIV GROUP CORP</name>
                <lei>549300ZT8RQ5VK10E643</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>92537EAB4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2360474"/>
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                <balance>408975</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>400897.74</valUSD>
                <pctVal>0.182134347442</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-03-02</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.655</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ZAYO GROUP HOLDINGS INC</name>
                <lei>529900Z6OTS7RT0V0I47</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US98919XAB73"/>
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                <balance>64675</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62622.8</valUSD>
                <pctVal>0.028450554032</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-03-09</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.668</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>87265VAF5</cusip>
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                    <other otherDesc="Internal ID" value="2385143"/>
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                <balance>49875</balance>
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                <curCd>USD</curCd>
                <valUSD>49812.66</valUSD>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                    <maturityDt>2027-04-01</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>SOTERA HEALTH HOLDINGS LLC</name>
                <lei>549300OVT7MBXFLOFU20</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>83600VAD3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2400293"/>
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                <balance>94762.5</balance>
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                <curCd>USD</curCd>
                <valUSD>94312.38</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2026-12-13</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>TERRIER MEDIA BUYER INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>88145LAD6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2406264"/>
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                <balance>25000</balance>
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                <curCd>USD</curCd>
                <valUSD>24187.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-17</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.435</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>VERTICAL US NEWCO INC</name>
                <lei>549300C2AFWPAYWS5574</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2408236"/>
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                <balance>210000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>208087.53</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-30</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.428</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>45174UAG3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2413042"/>
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                <balance>79800</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76807.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>EPICOR SOFTWARE CORP</name>
                <lei>JGNXVGGGXR4O1L5I7S73</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>29426NAN4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2415533"/>
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                <balance>95000</balance>
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                <curCd>USD</curCd>
                <valUSD>94430</valUSD>
                <pctVal>0.042901081031</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-30</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ALPHA 3 BV</name>
                <lei>549300RVASWYF4HCO804</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N0287GAB9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1924839"/>
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                <balance>127783.9</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125507.81</valUSD>
                <pctVal>0.05702023432</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-01-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TIAA REAL ESTATE CDO LTD</name>
                <lei>N/A</lei>
                <title>COLLATERALIZED DEBT OBLIGATION</title>
                <cusip>88631FAA6</cusip>
                <identifiers>
                    <isin value="US88631FAA66"/>
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                <balance>558951.58</balance>
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                <curCd>USD</curCd>
                <valUSD>19237.44</valUSD>
                <pctVal>0.0087398811</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2038-12-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREST 2003-2 LTD</name>
                <lei>549300I5MOJS8SS2K682</lei>
                <title>COLLATERALIZED DEBT OBLIGATION</title>
                <cusip>22608TAB2</cusip>
                <identifiers>
                    <isin value="US22608TAB26"/>
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                <balance>64698.8</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65494.92</valUSD>
                <pctVal>0.029755404745</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2038-12-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MEZZ CAP COMMERCIAL MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORT BACKED SEC IO</title>
                <cusip>59317EAB9</cusip>
                <identifiers>
                    <isin value="US59317EAB92"/>
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                <balance>13486.58</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>0.13</valUSD>
                <pctVal>0.000000059061</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>7.004</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2006-C5</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORT BACKED SEC IO</title>
                <cusip>22545LBR9</cusip>
                <identifiers>
                    <isin value="US22545LBR96"/>
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                <balance>948229.89</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1043.05</valUSD>
                <pctVal>0.000473874537</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-12-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.092</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORT BACKED SEC IO</title>
                <cusip>50179MAQ4</cusip>
                <identifiers>
                    <isin value="US50179MAQ42"/>
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                <balance>787530.58</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3504.67</valUSD>
                <pctVal>0.001592228441</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-09-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>.73</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2006-PWR14</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORT BACKED SEC IO</title>
                <cusip>07388PBS9</cusip>
                <identifiers>
                    <isin value="US07388PBS92"/>
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                <balance>241761.93</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1689.92</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2038-12-11</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>.753</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>COMM 2014-CCRE17 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12631DAJ2</cusip>
                <identifiers>
                    <isin value="US12631DAJ28"/>
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                <balance>647000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>485250</valUSD>
                <pctVal>0.22045694769</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-05-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.009</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10</name>
                <lei>549300P1YQ48837ZOI22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762MBG5</cusip>
                <identifiers>
                    <isin value="US61762MBG50"/>
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                <balance>975000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>474222.94</valUSD>
                <pctVal>0.215447175429</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.218</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BANK 2017-BNK9</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>06540RAU8</cusip>
                <identifiers>
                    <isin value="US06540RAU86"/>
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                <balance>374000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>287245.84</valUSD>
                <pctVal>0.130500445385</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2054-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.8</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16</name>
                <lei>549300PX4QZK7CUM8D08</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>94988XAC0</cusip>
                <identifiers>
                    <isin value="US94988XAC02"/>
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                <balance>889000</balance>
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                <curCd>USD</curCd>
                <valUSD>470959.13</valUSD>
                <pctVal>0.213964373594</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.938</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>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46640LAS1</cusip>
                <identifiers>
                    <isin value="US46640LAS16"/>
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                <balance>1500000</balance>
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                <curCd>USD</curCd>
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                <name>CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C4</name>
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                    <isin value="US20173TAP03"/>
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                    <maturityDt>2039-09-15</maturityDt>
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                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2007-CIBC20</name>
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                <cusip>46631QAT9</cusip>
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                    <isin value="US46631QAT94"/>
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                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2005-PWR7</name>
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                <cusip>07383F4E5</cusip>
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                    <isin value="US07383F4E52"/>
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                <debtSec>
                    <maturityDt>2041-02-11</maturityDt>
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                <name>DBUBS 2011-LC1 MORTGAGE TRUST</name>
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                    <isin value="US233050AG81"/>
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                <debtSec>
                    <maturityDt>2046-11-10</maturityDt>
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                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3</name>
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                <cusip>46635TBG6</cusip>
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                    <isin value="US46635TBG67"/>
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                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C4</name>
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                    <isin value="US23305XAJ00"/>
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                <name>CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2</name>
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                    <isin value="US12527DAG51"/>
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                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6</name>
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                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2006-PWR11</name>
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                <name>COMM 2012-CCRE3 MORTGAGE TRUST</name>
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                    <maturityDt>2045-10-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GS MORTGAGE SECURITIES CORP II</name>
                <lei>5493005BBCF84ICNQ550</lei>
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                <cusip>36192CAQ8</cusip>
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                    <isin value="US36192CAQ87"/>
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                <balance>276000</balance>
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                <valUSD>230748.7</valUSD>
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                    <maturityDt>2046-02-10</maturityDt>
                    <couponKind>Variable</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9</name>
                <lei>549300PFVBG5704L7K74</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762DAG6</cusip>
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                    <isin value="US61762DAG60"/>
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                <balance>350000</balance>
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                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2046-05-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.257</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6</name>
                <lei>549300G1IXWLFE766Q13</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>90349GAN5</cusip>
                <identifiers>
                    <isin value="US90349GAN51"/>
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                <balance>297000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>287768.79</valUSD>
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                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2046-04-10</maturityDt>
                    <couponKind>Variable</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
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                <cusip>46639YAV9</cusip>
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                    <isin value="US46639YAV92"/>
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                <balance>221000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2046-04-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
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                <cusip>46639YAX5</cusip>
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                    <isin value="US46639YAX58"/>
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                <balance>581000</balance>
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                    <maturityDt>2046-04-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10</name>
                <lei>549300P1YQ48837ZOI22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762MBC4</cusip>
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                    <isin value="US61762MBC47"/>
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                <balance>485000</balance>
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                <curCd>USD</curCd>
                <valUSD>288131.08</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.218</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46639NAW1</cusip>
                <identifiers>
                    <isin value="US46639NAW11"/>
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                <balance>266000</balance>
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                <curCd>USD</curCd>
                <valUSD>260120.26</valUSD>
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                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2045-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.236</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11</name>
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                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762TAN6</cusip>
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                    <isin value="US61762TAN63"/>
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                <balance>900000</balance>
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                <curCd>USD</curCd>
                <valUSD>378101.43</valUSD>
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                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2046-08-15</maturityDt>
                    <couponKind>Variable</couponKind>
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            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12</name>
                <lei>549300V2DF3KW9L1CV04</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>94988QAU5</cusip>
                <identifiers>
                    <isin value="US94988QAU58"/>
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                <balance>188000</balance>
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                <curCd>USD</curCd>
                <valUSD>75200</valUSD>
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                <issuerCat>CORP</issuerCat>
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                    <maturityDt>2046-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.41</annualizedRt>
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            <invstOrSec>
                <name>GS MORTGAGE SECURITIES TRUST 2013-GC13</name>
                <lei>549300WF5YRKNHB1FX69</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>36198EBB0</cusip>
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                    <isin value="US36198EBB02"/>
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                <balance>531000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>381390.22</valUSD>
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                <debtSec>
                    <maturityDt>2046-07-10</maturityDt>
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                    <annualizedRt>4.22</annualizedRt>
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            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14</name>
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                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46640LAN2</cusip>
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                    <isin value="US46640LAN29"/>
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                <valUSD>374705.04</valUSD>
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                    <maturityDt>2046-08-15</maturityDt>
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            <invstOrSec>
                <name>CLEAR CHANNEL OUTDOOR HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>COMMON STOCK</title>
                <cusip>18453H106</cusip>
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                    <isin value="US18453H1068"/>
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                <valUSD>15306</valUSD>
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            <invstOrSec>
                <name>TRIBUNE CO INC</name>
                <lei>N/A</lei>
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                    <ticker value="PVT896047917"/>
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                <name>IHEARTMEDIA INC</name>
                <lei>N/A</lei>
                <title>COMMON STOCK</title>
                <cusip>45174J509</cusip>
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                    <isin value="US45174J5092"/>
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                <balance>6510</balance>
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                <curCd>USD</curCd>
                <valUSD>52861.2</valUSD>
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                <assetCat>EC</assetCat>
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                <name>ETSY INC</name>
                <lei>54930089Q7XT501AEA40</lei>
                <title>CONV. NOTE</title>
                <cusip>29786AAJ5</cusip>
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                    <isin value="US29786AAJ51"/>
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                <valUSD>179051.25</valUSD>
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                            <title>COMMON STOCK</title>
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<cusip value="29786A106"/>
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            <invstOrSec>
                <name>ZILLOW GROUP INC</name>
                <lei>2549002XEELQDIR6FU05</lei>
                <title>CONV. NOTE</title>
                <cusip>98954MAG6</cusip>
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                    <isin value="US98954MAG69"/>
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                <balance>120000</balance>
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                <valUSD>286713.15</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.375</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isContngtConvrtbl>N</isContngtConvrtbl>
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                        <dbtSecRefInstrument>
                            <name>ZILLOW GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
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<cusip value="98954M200"/>
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                    <currencyInfos>
                        <currencyInfo convRatio="22.983" curCd="USD"/>
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                    <delta>XXXX</delta>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CONMED CORP</name>
                <lei>Z6C0YCECH9DCU5ZIQW84</lei>
                <title>CONV. NOTE</title>
                <cusip>207410AF8</cusip>
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                    <isin value="US207410AF81"/>
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                <balance>93000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>104117.51</valUSD>
                <pctVal>0.047302273994</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CONMED CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="207410101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.2608" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>8X8 INC</name>
                <lei>254900XWSOC5U1BRW939</lei>
                <title>CONV. NOTE</title>
                <cusip>282914AB6</cusip>
                <identifiers>
                    <isin value="US282914AB63"/>
                </identifiers>
                <balance>86000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>80019.27</valUSD>
                <pctVal>0.036354052593</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>8X8 INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="282914100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="38.9484" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FORTIVE CORP</name>
                <lei>549300MU9YQJYHDQEF63</lei>
                <title>CONV. NOTE</title>
                <cusip>34959JAK4</cusip>
                <identifiers>
                    <isin value="US34959JAK43"/>
                </identifiers>
                <balance>191000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>191362.3</valUSD>
                <pctVal>0.08693899755</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>FORTIVE CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="34959J108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.3777" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EXACT SCIENCES CORP</name>
                <lei>549300VM3X1FYD4N9Z14</lei>
                <title>CONV. NOTE</title>
                <cusip>30063PAB1</cusip>
                <identifiers>
                    <isin value="US30063PAB13"/>
                </identifiers>
                <balance>315000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>368672.68</valUSD>
                <pctVal>0.167493979865</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>EXACT SCIENCES CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="30063P105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.9554" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PLURALSIGHT INC</name>
                <lei>254900B3VHPCKNREOX50</lei>
                <title>CONV. NOTE</title>
                <cusip>72941BAB2</cusip>
                <identifiers>
                    <isin value="US72941BAB27"/>
                </identifiers>
                <balance>74000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64972</valUSD>
                <pctVal>0.029517833705</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PLURALSIGHT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="72941B106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="25.8023" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIVEPERSON INC</name>
                <lei>549300IN2P1JZ20G7N40</lei>
                <title>CONV. NOTE</title>
                <cusip>538146AB7</cusip>
                <identifiers>
                    <isin value="US538146AB76"/>
                </identifiers>
                <balance>69000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>104276.25</valUSD>
                <pctVal>0.047374392152</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIVEPERSON INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="538146101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="25.9182" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MATCH GROUP FINANCECO 2 INC</name>
                <lei>549300IPGK4BWL134U96</lei>
                <title>CONV. NOTE</title>
                <cusip>44932FAA5</cusip>
                <identifiers>
                    <isin value="US44932FAA57"/>
                </identifiers>
                <balance>195000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>278414.4</valUSD>
                <pctVal>0.126488178912</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MATCH GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="57667L107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.4259" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CONV. NOTE</title>
                <cusip>538034AQ2</cusip>
                <identifiers>
                    <isin value="US538034AQ25"/>
                </identifiers>
                <balance>192000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>213862.3</valUSD>
                <pctVal>0.097161112589</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIVE NATION ENTERTAINMENT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="538034109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.7005" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BLACKSTONE MORTGAGE TRUST INC</name>
                <lei>549300OLDJ20R2Y2UW20</lei>
                <title>CONV. NOTE</title>
                <cusip>09257WAC4</cusip>
                <identifiers>
                    <isin value="US09257WAC47"/>
                </identifiers>
                <balance>108000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>101750.88</valUSD>
                <pctVal>0.046227075589</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BLACKSTONE MORTGAGE TRUST INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="09257W100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="27.6052" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GUIDEWIRE SOFTWARE INC</name>
                <lei>549300WXSG0J8IXZCK32</lei>
                <title>CONV. NOTE</title>
                <cusip>40171VAA8</cusip>
                <identifiers>
                    <isin value="US40171VAA89"/>
                </identifiers>
                <balance>107000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>122724.29</valUSD>
                <pctVal>0.055755636024</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>GUIDEWIRE SOFTWARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="40171V100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.7912" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRANSOCEAN INC</name>
                <lei>DOL4HJ22ADYSIWES4H94</lei>
                <title>CONV. NOTE</title>
                <cusip>893830BJ7</cusip>
                <identifiers>
                    <isin value="US893830BJ77"/>
                </identifiers>
                <balance>96000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>17780.7</valUSD>
                <pctVal>0.008078060484</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TRANSOCEAN LTD</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="H8817H100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="97.2976" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AKAMAI TECHNOLOGIES INC</name>
                <lei>OC1LZNN2LF5WTJ5RIL89</lei>
                <title>CONV. NOTE</title>
                <cusip>00971TAJ0</cusip>
                <identifiers>
                    <isin value="US00971TAJ07"/>
                </identifiers>
                <balance>111000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>142731.77</valUSD>
                <pctVal>0.064845358789</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AKAMAI TECHNOLOGIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="00971T101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.515" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JPMORGAN CHASE FINANCIAL CO LLC</name>
                <lei>549300NJFDJOFYVV6789</lei>
                <title>CONV. NOTE</title>
                <cusip>48129KAE0</cusip>
                <identifiers>
                    <isin value="US48129KAE01"/>
                </identifiers>
                <balance>135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>133903.13</valUSD>
                <pctVal>0.060834364402</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>VOYA FINANCIAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="929089100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.822" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEW RELIC INC</name>
                <lei>549300AB8FY2HQILL804</lei>
                <title>CONV. NOTE</title>
                <cusip>64829BAB6</cusip>
                <identifiers>
                    <isin value="US64829BAB62"/>
                </identifiers>
                <balance>94000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89827.69</valUSD>
                <pctVal>0.04081017693</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NEW RELIC INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="64829B100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.0244" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TWILIO INC</name>
                <lei>5493004W8TRGD63APX93</lei>
                <title>CONV. NOTE</title>
                <cusip>90138FAB8</cusip>
                <identifiers>
                    <isin value="US90138FAB85"/>
                </identifiers>
                <balance>33000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>114771.45</valUSD>
                <pctVal>0.052142531786</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TWILIO INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="90138F102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.104" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REDFIN CORP</name>
                <lei>549300HXWD3JEMZU3O57</lei>
                <title>CONV. NOTE</title>
                <cusip>75737FAA6</cusip>
                <identifiers>
                    <isin value="US75737FAA66"/>
                </identifiers>
                <balance>69000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>119542.5</valUSD>
                <pctVal>0.054310097206</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>REDFIN CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="75737F108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="32.7332" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FTI CONSULTING INC</name>
                <lei>549300K17GM8EQD0FQ48</lei>
                <title>CONV. NOTE</title>
                <cusip>302941AP4</cusip>
                <identifiers>
                    <isin value="US302941AP45"/>
                </identifiers>
                <balance>131000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>160480.95</valUSD>
                <pctVal>0.072909099226</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>FTI CONSULTING INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="302941109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.8643" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOCUSIGN INC</name>
                <lei>549300Q7PVDWRZ39JG09</lei>
                <title>CONV. NOTE</title>
                <cusip>256163AB2</cusip>
                <identifiers>
                    <isin value="US256163AB24"/>
                </identifiers>
                <balance>41000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>123783.1</valUSD>
                <pctVal>0.056236670585</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DOCUSIGN INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="256163106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.986" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SYNAPTICS INC</name>
                <lei>549300AJ3LI4FWNRQX29</lei>
                <title>CONV. NOTE</title>
                <cusip>87157DAD1</cusip>
                <identifiers>
                    <isin value="US87157DAD12"/>
                </identifiers>
                <balance>64000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79154.04</valUSD>
                <pctVal>0.035960964566</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SYNAPTICS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="87157D109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.6947" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JAZZ INVESTMENTS I LTD</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>472145AD3</cusip>
                <identifiers>
                    <isin value="US472145AD36"/>
                </identifiers>
                <balance>152000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>153629.94</valUSD>
                <pctVal>0.069796574232</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>JAZZ PHARMACEUTICALS PLC</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="G50871105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.5659" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WORKDAY INC</name>
                <lei>549300J0DYC0N31V7G13</lei>
                <title>CONV. NOTE</title>
                <cusip>98138HAF8</cusip>
                <identifiers>
                    <isin value="US98138HAF82"/>
                </identifiers>
                <balance>89000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>136698.89</valUSD>
                <pctVal>0.062104523528</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WORKDAY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98138H101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.7982" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AIR TRANSPORT SERVICES GROUP INC</name>
                <lei>5493000F3MSFGIXTQE27</lei>
                <title>CONV. NOTE</title>
                <cusip>00922RAB1</cusip>
                <identifiers>
                    <isin value="US00922RAB15"/>
                </identifiers>
                <balance>78000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82183.53</valUSD>
                <pctVal>0.037337311024</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AIR TRANSPORT SERVICES GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="00922R105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="31.3475" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OASIS PETROLEUM INC</name>
                <lei>529900FA4V2YNIKZ0M71</lei>
                <title>CONV. NOTE</title>
                <cusip>674215AJ7</cusip>
                <identifiers>
                    <isin value="US674215AJ77"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7875</valUSD>
                <pctVal>0.003577740264</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.625</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>OASIS PETROLEUM INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="674215108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="76.365" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IH MERGER SUB LLC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>19625XAB8</cusip>
                <identifiers>
                    <isin value="US19625XAB82"/>
                </identifiers>
                <balance>96000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>123976.8</valUSD>
                <pctVal>0.056324671638</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>INVITATION HOMES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="46187W107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="43.7694" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HORIZON GLOBAL CORP</name>
                <lei>549300D1ZZV3IWN54G85</lei>
                <title>CONV. NOTE</title>
                <cusip>44052WAA2</cusip>
                <identifiers>
                    <isin value="US44052WAA27"/>
                </identifiers>
                <balance>21000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>15393.85</valUSD>
                <pctVal>0.006993675805</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>HORIZON GLOBAL CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="44052W104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="40.04" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY MEDIA CORP-LIBERTY FORMULA ONE</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>531229AF9</cusip>
                <identifiers>
                    <isin value="US531229AF93"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>118629.76</valUSD>
                <pctVal>0.053895424616</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY FORMULA ONE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229854"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="27.1091" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VIAVI SOLUTIONS INC</name>
                <lei>5493006K3E3N1QOBF092</lei>
                <title>CONV. NOTE</title>
                <cusip>925550AB1</cusip>
                <identifiers>
                    <isin value="US925550AB17"/>
                </identifiers>
                <balance>99000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>111560.63</valUSD>
                <pctVal>0.050683804167</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>VIAVI SOLUTIONS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="925550105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="75.6229" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENCORE CAPITAL GROUP INC</name>
                <lei>5493000UVC6H49CIH830</lei>
                <title>CONV. NOTE</title>
                <cusip>292554AK8</cusip>
                <identifiers>
                    <isin value="US292554AK82"/>
                </identifiers>
                <balance>82000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88497.45</valUSD>
                <pctVal>0.040205827317</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ENCORE CAPITAL GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="292554102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="21.9467" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NUANCE COMMUNICATIONS INC</name>
                <lei>AEMSOT3SS15TNMJCE605</lei>
                <title>CONV. NOTE</title>
                <cusip>67020YAN0</cusip>
                <identifiers>
                    <isin value="US67020YAN04"/>
                </identifiers>
                <balance>155000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>274551.5</valUSD>
                <pctVal>0.12473320077</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NUANCE COMMUNICATIONS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="67020Y100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="50.7957" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ON SEMICONDUCTOR CORP</name>
                <lei>ZV20P4CNJVT8V1ZGJ064</lei>
                <title>CONV. NOTE</title>
                <cusip>682189AP0</cusip>
                <identifiers>
                    <isin value="US682189AP09"/>
                </identifiers>
                <balance>137000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>180925.63</valUSD>
                <pctVal>0.082197449044</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ON SEMICONDUCTOR CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="682189105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="48.2567" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEUROCRINE BIOSCIENCES INC</name>
                <lei>549300FECER0XBN49756</lei>
                <title>CONV. NOTE</title>
                <cusip>64125CAD1</cusip>
                <identifiers>
                    <isin value="US64125CAD11"/>
                </identifiers>
                <balance>42000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57750</valUSD>
                <pctVal>0.026236761935</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NEUROCRINE BIOSCIENCES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="64125C109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.1711" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TWITTER INC</name>
                <lei>549300I8RX485XMK6836</lei>
                <title>CONV. NOTE</title>
                <cusip>90184LAD4</cusip>
                <identifiers>
                    <isin value="US90184LAD47"/>
                </identifiers>
                <balance>202000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>200756.94</valUSD>
                <pctVal>0.09120713492</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TWITTER INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="90184L102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.8793" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY MEDIA CORP</name>
                <lei>549300ZKUTPIBZLWLL89</lei>
                <title>CONV. NOTE</title>
                <cusip>531229AB8</cusip>
                <identifiers>
                    <isin value="US531229AB89"/>
                </identifiers>
                <balance>38000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41353.38</valUSD>
                <pctVal>0.018787511451</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY BRAVES</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229706"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY FORMULA ONE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229870"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY SIRIUSXM</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229409"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.29204" curCd="USD"/>
                        <currencyInfo convRatio="5.2714" curCd="USD"/>
                        <currencyInfo convRatio="21.0859" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OMNICELL INC</name>
                <lei>5493008RH0GTKHHPZI77</lei>
                <title>CONV. NOTE</title>
                <cusip>68213NAC3</cusip>
                <identifiers>
                    <isin value="US68213NAC39"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>73806.55</valUSD>
                <pctVal>0.033531513102</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>OMNICELL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="68213N109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.2751" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NCL CORP LTD</name>
                <lei>UNZWILHE4KMRP9K2L524</lei>
                <title>CONV. NOTE</title>
                <cusip>62886HAW1</cusip>
                <identifiers>
                    <isin value="US62886HAW16"/>
                </identifiers>
                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>107702.09</valUSD>
                <pctVal>0.048930806844</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NORWEGIAN CRUISE LINE HOLDINGS LTD</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="G66721104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="53.3333" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LENDINGTREE INC</name>
                <lei>549300ISY5YHUJZTON08</lei>
                <title>CONV. NOTE</title>
                <cusip>52603BAC1</cusip>
                <identifiers>
                    <isin value="US52603BAC19"/>
                </identifiers>
                <balance>97000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94639.17</valUSD>
                <pctVal>0.042996110356</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LENDINGTREE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="52603B107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.1683" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WAYFAIR INC</name>
                <lei>54930027N9ZAVYFDHK53</lei>
                <title>CONV. NOTE</title>
                <cusip>94419LAL5</cusip>
                <identifiers>
                    <isin value="US94419LAL53"/>
                </identifiers>
                <balance>291000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>296001.41</valUSD>
                <pctVal>0.134478242886</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WAYFAIR INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="94419L101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.3972" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENVESTNET INC</name>
                <lei>549300HLWZ5OKIDM8737</lei>
                <title>CONV. NOTE</title>
                <cusip>29404KAD8</cusip>
                <identifiers>
                    <isin value="US29404KAD81"/>
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                <balance>204000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>204871.33</valUSD>
                <pctVal>0.093076369049</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ENVESTNET INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="29404K106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.3682" curCd="USD"/>
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                    <delta>XXXX</delta>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MIDDLEBY CORP/THE</name>
                <lei>JDFO86U9VQRBKW5KYA35</lei>
                <title>CONV. NOTE</title>
                <cusip>596278AA9</cusip>
                <identifiers>
                    <isin value="US596278AA91"/>
                </identifiers>
                <balance>111000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109335</valUSD>
                <pctVal>0.04967266435</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MIDDLEBY CORP/THE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="596278101"/>
                            </identifiers>
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                    <currencyInfos>
                        <currencyInfo convRatio="7.7746" curCd="USD"/>
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                    <delta>XXXX</delta>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CINEMARK HOLDINGS INC</name>
                <lei>549300LL2QMPTYIE0K55</lei>
                <title>CONV. NOTE</title>
                <cusip>17243VAA0</cusip>
                <identifiers>
                    <isin value="US17243VAA08"/>
                </identifiers>
                <balance>61000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>60655.9</valUSD>
                <pctVal>0.027556959451</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CINEMARK HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="17243V102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="69.6767" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PALO ALTO NETWORKS INC</name>
                <lei>549300QXR2YVZV231H43</lei>
                <title>CONV. NOTE</title>
                <cusip>697435AE5</cusip>
                <identifiers>
                    <isin value="US697435AE51"/>
                </identifiers>
                <balance>414000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>438331.19</valUSD>
                <pctVal>0.199140971097</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PALO ALTO NETWORKS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="697435105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.3602" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ROYAL CARIBBEAN CRUISES LTD</name>
                <lei>K2NEH8QNVW44JIWK7Z55</lei>
                <title>CONV. NOTE</title>
                <cusip>780153BA9</cusip>
                <identifiers>
                    <isin value="US780153BA90"/>
                </identifiers>
                <balance>136000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>158703.1</valUSD>
                <pctVal>0.072101393127</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ROYAL CARIBBEAN CRUISES LTD</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="V7780T103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.8672" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OKTA INC</name>
                <lei>549300N8J06I8MRHU620</lei>
                <title>CONV. NOTE</title>
                <cusip>679295AE5</cusip>
                <identifiers>
                    <isin value="US679295AE58"/>
                </identifiers>
                <balance>62000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>70802.74</valUSD>
                <pctVal>0.032166833485</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>OKTA INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="679295105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.1912" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COUPA SOFTWARE INC</name>
                <lei>549300Q95ICR2GFL2K37</lei>
                <title>CONV. NOTE</title>
                <cusip>22266LAE6</cusip>
                <identifiers>
                    <isin value="US22266LAE65"/>
                </identifiers>
                <balance>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>67153.13</valUSD>
                <pctVal>0.030508756451</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>COUPA SOFTWARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="22266L106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.3732" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZENDESK INC</name>
                <lei>549300SLI6BN94BKKO36</lei>
                <title>CONV. NOTE</title>
                <cusip>98936JAC5</cusip>
                <identifiers>
                    <isin value="US98936JAC53"/>
                </identifiers>
                <balance>257000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>304870.83</valUSD>
                <pctVal>0.13850776429</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ZENDESK INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98936J101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.1944" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AMERICAN AIRLINES GROUP INC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>02376RAF9</cusip>
                <identifiers>
                    <isin value="US02376RAF91"/>
                </identifiers>
                <balance>83000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76515.63</valUSD>
                <pctVal>0.034762292098</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AMERICAN AIRLINES GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="02376R102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="61.7284" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PACIRA BIOSCIENCES INC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>695127AE0</cusip>
                <identifiers>
                    <isin value="US695127AE09"/>
                </identifiers>
                <balance>87000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>93780.25</valUSD>
                <pctVal>0.042605889065</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PACIRA BIOSCIENCES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="695127100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.9324" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BOOKING HOLDINGS INC</name>
                <lei>FXM8FAOHMYDIPD38UZ17</lei>
                <title>CONV. NOTE</title>
                <cusip>09857LAM0</cusip>
                <identifiers>
                    <isin value="US09857LAM00"/>
                </identifiers>
                <balance>164000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>210574.2</valUSD>
                <pctVal>0.095667275413</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BOOKING HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="09857L108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio=".5301" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BURLINGTON STORES INC</name>
                <lei>5299003Z37DVGKKC1W09</lei>
                <title>CONV. NOTE</title>
                <cusip>122017AA4</cusip>
                <identifiers>
                    <isin value="US122017AA43"/>
                </identifiers>
                <balance>185000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>220431.99</valUSD>
                <pctVal>0.100145829343</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BURLINGTON STORES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="122017106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.5418" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DICK'S SPORTING GOODS INC</name>
                <lei>529900SSBV5I4LWSK313</lei>
                <title>CONV. NOTE</title>
                <cusip>253393AC6</cusip>
                <identifiers>
                    <isin value="US253393AC63"/>
                </identifiers>
                <balance>93000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>170286.5</valUSD>
                <pctVal>0.077363919676</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DICK'S SPORTING GOODS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="253393102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="28.6375" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREE INC</name>
                <lei>549300OGU88P3AW3TO93</lei>
                <title>CONV. NOTE</title>
                <cusip>225447AC5</cusip>
                <identifiers>
                    <isin value="US225447AC59"/>
                </identifiers>
                <balance>149000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>228063.13</valUSD>
                <pctVal>0.103612780052</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CREE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="225447101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="21.1346" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INPHI CORP</name>
                <lei>549300DCMERAAZFGT726</lei>
                <title>CONV. NOTE</title>
                <cusip>45772FAE7</cusip>
                <identifiers>
                    <isin value="US45772FAE79"/>
                </identifiers>
                <balance>113000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>135256.01</valUSD>
                <pctVal>0.061448999735</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>INPHI CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="45772F107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.0059" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SOUTHWEST AIRLINES CO</name>
                <lei>UDTZ87G0STFETI6HGH41</lei>
                <title>CONV. NOTE</title>
                <cusip>844741BG2</cusip>
                <identifiers>
                    <isin value="US844741BG22"/>
                </identifiers>
                <balance>276000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>360180</valUSD>
                <pctVal>0.163635617556</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SOUTHWEST AIRLINES CO</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="844741108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="25.9909" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CALLAWAY GOLF CO</name>
                <lei>5493005UB0KFRKBPCU72</lei>
                <title>CONV. NOTE</title>
                <cusip>131193AD6</cusip>
                <identifiers>
                    <isin value="US131193AD62"/>
                </identifiers>
                <balance>64000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86901.46</valUSD>
                <pctVal>0.039480743166</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CALLAWAY GOLF CO</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="131193104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="56.7698" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BLOOMIN' BRANDS INC</name>
                <lei>E1UJ2GO305B5FXGV7N04</lei>
                <title>CONV. NOTE</title>
                <cusip>094235AA6</cusip>
                <identifiers>
                    <isin value="US094235AA65"/>
                </identifiers>
                <balance>43000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65474.72</valUSD>
                <pctVal>0.029746227557</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BLOOMIN' BRANDS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="094235108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="84.122" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATIONAL VISION HOLDINGS INC</name>
                <lei>549300JHURCBLI5ROA42</lei>
                <title>CONV. NOTE</title>
                <cusip>63845RAA5</cusip>
                <identifiers>
                    <isin value="US63845RAA59"/>
                </identifiers>
                <balance>68000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96730</valUSD>
                <pctVal>0.043946008346</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NATIONAL VISION HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="63845R107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="32.0783" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEXCOM INC</name>
                <lei>549300YSK3QDSFR5EU59</lei>
                <title>CONV. NOTE</title>
                <cusip>252131AJ6</cusip>
                <identifiers>
                    <isin value="US252131AJ65"/>
                </identifiers>
                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>179243.75</valUSD>
                <pctVal>0.081433343673</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DEXCOM INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="252131107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="1.6655" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PENN NATIONAL GAMING INC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>707569AU3</cusip>
                <identifiers>
                    <isin value="US707569AU31"/>
                </identifiers>
                <balance>53000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>170101.12</valUSD>
                <pctVal>0.077279698534</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PENN NATIONAL GAMING INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="707569109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="42.735" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BIOMARIN PHARMACEUTICAL INC</name>
                <lei>NSLL8ITTRR0J5HEMR848</lei>
                <title>CONV. NOTE</title>
                <cusip>09061GAJ0</cusip>
                <identifiers>
                    <isin value="US09061GAJ04"/>
                </identifiers>
                <balance>64000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62591.44</valUSD>
                <pctVal>0.028436306675</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BIOMARIN PHARMACEUTICAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="09061G101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.2743" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZILLOW GROUP INC</name>
                <lei>2549002XEELQDIR6FU05</lei>
                <title>CONV. NOTE</title>
                <cusip>98954MAH4</cusip>
                <identifiers>
                    <isin value="US98954MAH43"/>
                </identifiers>
                <balance>104000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>179689.38</valUSD>
                <pctVal>0.081635800612</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ZILLOW GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98954M101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                        <dbtSecRefInstrument>
                            <name>ZILLOW GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98954M200"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.881" curCd="USD"/>
                        <currencyInfo convRatio="14.881" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CLOUDFLARE INC</name>
                <lei>5493007DY18BGNLDWU14</lei>
                <title>CONV. NOTE</title>
                <cusip>18915MAA5</cusip>
                <identifiers>
                    <isin value="US18915MAA53"/>
                </identifiers>
                <balance>64000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86166.58</valUSD>
                <pctVal>0.03914687526</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CLOUDFLARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="18915M107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="26.7187" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TANDEM DIABETES CARE INC</name>
                <lei>549300JEPFOD0K4D3I05</lei>
                <title>CONV. NOTE</title>
                <cusip>875372AA2</cusip>
                <identifiers>
                    <isin value="US875372AA29"/>
                </identifiers>
                <balance>64000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82719.16</valUSD>
                <pctVal>0.037580656423</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TANDEM DIABETES CARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="875372203"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.8836" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENVISTA HOLDINGS CORP</name>
                <lei>549300BX623VURJZ5269</lei>
                <title>CONV. NOTE</title>
                <cusip>29415FAA2</cusip>
                <identifiers>
                    <isin value="US29415FAA21"/>
                </identifiers>
                <balance>54000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74937.94</valUSD>
                <pctVal>0.034045521934</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ENVISTA HOLDINGS CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="29415F104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="47.5862" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REALPAGE INC</name>
                <lei>5493001RSFZX4122A604</lei>
                <title>CONV. NOTE</title>
                <cusip>75606NAC3</cusip>
                <identifiers>
                    <isin value="US75606NAC39"/>
                </identifiers>
                <balance>85000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>87443.75</valUSD>
                <pctVal>0.039727114311</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>REALPAGE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="75606N109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.0378" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FIVE9 INC</name>
                <lei>254900MXP6EWY0SFFR59</lei>
                <title>CONV. NOTE</title>
                <cusip>338307AC5</cusip>
                <identifiers>
                    <isin value="US338307AC59"/>
                </identifiers>
                <balance>86000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>103929.82</valUSD>
                <pctVal>0.047217003382</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>FIVE9 INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="338307101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.4437" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TELADOC HEALTH INC</name>
                <lei>549300I2PVFBC9MFAC61</lei>
                <title>CONV. NOTE</title>
                <cusip>87918AAE5</cusip>
                <identifiers>
                    <isin value="US87918AAE55"/>
                </identifiers>
                <balance>58000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>72531.84</valUSD>
                <pctVal>0.032952391668</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TELADOC HEALTH INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="87918A105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.1258" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SILICON LABORATORIES INC</name>
                <lei>4PRDF8Q9TDHRVZKZSZ47</lei>
                <title>CONV. NOTE</title>
                <cusip>826919AC6</cusip>
                <identifiers>
                    <isin value="US826919AC61"/>
                </identifiers>
                <balance>76000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>81300.9</valUSD>
                <pctVal>0.036936317895</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SILICON LABORATORIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="826919102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.1498" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PIONEER NATURAL RESOURCES CO</name>
                <lei>FY8JBF7CCL2VE4F1B628</lei>
                <title>CONV. NOTE</title>
                <cusip>723787AN7</cusip>
                <identifiers>
                    <isin value="US723787AN74"/>
                </identifiers>
                <balance>188000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>206986.7</valUSD>
                <pctVal>0.09403741596</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PIONEER NATURAL RESOURCES CO</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="723787107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.1098" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LYFT INC</name>
                <lei>549300H7I5VN334XVZ52</lei>
                <title>CONV. NOTE</title>
                <cusip>55087PAA2</cusip>
                <identifiers>
                    <isin value="US55087PAA21"/>
                </identifiers>
                <balance>66000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68640</valUSD>
                <pctVal>0.031184265614</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LYFT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="55087P104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="26.0491" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RAPID7 INC</name>
                <lei>549300GNVG5D60KEYN14</lei>
                <title>CONV. NOTE</title>
                <cusip>753422AC8</cusip>
                <identifiers>
                    <isin value="US753422AC83"/>
                </identifiers>
                <balance>62000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>77965</valUSD>
                <pctVal>0.035420764403</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>RAPID7 INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="753422104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="16.3875" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HUBSPOT INC</name>
                <lei>529900BLNVEW0MVKJB37</lei>
                <title>CONV. NOTE</title>
                <cusip>443573AC4</cusip>
                <identifiers>
                    <isin value="US443573AC47"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82396.79</valUSD>
                <pctVal>0.037434198501</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>HUBSPOT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="443573100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.5396" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SPLUNK INC</name>
                <lei>549300XGDSGBP6UEI867</lei>
                <title>CONV. NOTE</title>
                <cusip>848637AE4</cusip>
                <identifiers>
                    <isin value="US848637AE49"/>
                </identifiers>
                <balance>435189</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>468235.67</valUSD>
                <pctVal>0.212727061531</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SPLUNK INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="848637104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.9164" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J2 GLOBAL INC</name>
                <lei>5493008OJYGLHD7MXA18</lei>
                <title>CONV. NOTE</title>
                <cusip>48123VAD4</cusip>
                <identifiers>
                    <isin value="US48123VAD47"/>
                </identifiers>
                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>81348.49</valUSD>
                <pctVal>0.036957938804</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>J2 GLOBAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="48123V102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.9864" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WINNEBAGO INDUSTRIES INC</name>
                <lei>549300B7OYKYJLTE3G11</lei>
                <title>CONV. NOTE</title>
                <cusip>974637AB6</cusip>
                <identifiers>
                    <isin value="US974637AB61"/>
                </identifiers>
                <balance>83000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89748.33</valUSD>
                <pctVal>0.040774122395</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WINNEBAGO INDUSTRIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="974637100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="15.6906" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LUMENTUM HOLDINGS INC</name>
                <lei>549300JLWRRC38DWEF52</lei>
                <title>CONV. NOTE</title>
                <cusip>55024UAC3</cusip>
                <identifiers>
                    <isin value="US55024UAC36"/>
                </identifiers>
                <balance>219000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>233083.44</valUSD>
                <pctVal>0.105893588335</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LUMENTUM HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="55024U109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.0711" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INTEGRA LIFESCIENCES HOLDINGS CORP</name>
                <lei>WB7IJCYY8YFTENS4O147</lei>
                <title>CONV. NOTE</title>
                <cusip>457985AL3</cusip>
                <identifiers>
                    <isin value="US457985AL30"/>
                </identifiers>
                <balance>61000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57092.31</valUSD>
                <pctVal>0.025937962698</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>INTEGRA LIFESCIENCES HOLDINGS CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="457985208"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.5739" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REVANCE THERAPEUTICS INC</name>
                <lei>549300N33TFDZHS81H11</lei>
                <title>CONV. NOTE</title>
                <cusip>761330AA7</cusip>
                <identifiers>
                    <isin value="US761330AA71"/>
                </identifiers>
                <balance>73000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76937.06</valUSD>
                <pctVal>0.034953754584</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>REVANCE THERAPEUTICS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="761330109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="30.8804" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PEGASYSTEMS INC</name>
                <lei>549300FMCOKPL06FYN26</lei>
                <title>CONV. NOTE</title>
                <cusip>705573AA1</cusip>
                <identifiers>
                    <isin value="US705573AA17"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>81640.71</valUSD>
                <pctVal>0.037090699091</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PEGASYSTEMS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="705573103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.4045" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SQUARE INC</name>
                <lei>549300OHIIUWSTIZME52</lei>
                <title>CONV. NOTE</title>
                <cusip>852234AE3</cusip>
                <identifiers>
                    <isin value="US852234AE30"/>
                </identifiers>
                <balance>247000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>375331.66</valUSD>
                <pctVal>0.170519262514</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SQUARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="852234103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.2641" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VONAGE HOLDINGS CORP</name>
                <lei>529900W7N0N4WLN1JY21</lei>
                <title>CONV. NOTE</title>
                <cusip>92886TAJ1</cusip>
                <identifiers>
                    <isin value="US92886TAJ16"/>
                </identifiers>
                <balance>177000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>170522.32</valUSD>
                <pctVal>0.077471056528</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>VONAGE HOLDINGS CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="92886T201"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="59.8256" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>Q2 HOLDINGS INC</name>
                <lei>549300M9RKR9DZXWS696</lei>
                <title>CONV. NOTE</title>
                <cusip>74736LAD1</cusip>
                <identifiers>
                    <isin value="US74736LAD10"/>
                </identifiers>
                <balance>59000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>72266.78</valUSD>
                <pctVal>0.032831970609</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>Q2 HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="74736L109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.2851" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZYNGA INC</name>
                <lei>549300XNQ0U2EL088Z74</lei>
                <title>CONV. NOTE</title>
                <cusip>98986TAB4</cusip>
                <identifiers>
                    <isin value="US98986TAB44"/>
                </identifiers>
                <balance>129000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>163265.63</valUSD>
                <pctVal>0.074174224529</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ZYNGA INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98986T108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="120.3695" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SNAP INC</name>
                <lei>549300JNC0L6VP8A2Q35</lei>
                <title>CONV. NOTE</title>
                <cusip>83304AAB2</cusip>
                <identifiers>
                    <isin value="US83304AAB26"/>
                </identifiers>
                <balance>216000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>299025</valUSD>
                <pctVal>0.135851908878</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SNAP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="83304A106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="43.8481" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IRONWOOD PHARMACEUTICALS INC</name>
                <lei>549300PC8MR6QHH6P296</lei>
                <title>CONV. NOTE</title>
                <cusip>46333XAF5</cusip>
                <identifiers>
                    <isin value="US46333XAF50"/>
                </identifiers>
                <balance>77000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76268.5</valUSD>
                <pctVal>0.034650016929</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>IRONWOOD PHARMACEUTICALS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="46333X108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="74.6687" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IRONWOOD PHARMACEUTICALS INC</name>
                <lei>549300PC8MR6QHH6P296</lei>
                <title>CONV. NOTE</title>
                <cusip>46333XAH1</cusip>
                <identifiers>
                    <isin value="US46333XAH17"/>
                </identifiers>
                <balance>77000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74658.83</valUSD>
                <pctVal>0.033918717733</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>IRONWOOD PHARMACEUTICALS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="46333X108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="74.6687" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AKAMAI TECHNOLOGIES INC</name>
                <lei>OC1LZNN2LF5WTJ5RIL89</lei>
                <title>CONV. NOTE</title>
                <cusip>00971TAL5</cusip>
                <identifiers>
                    <isin value="US00971TAL52"/>
                </identifiers>
                <balance>315000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>364429.23</valUSD>
                <pctVal>0.165566111684</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AKAMAI TECHNOLOGIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="00971T101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.6073" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BLACKLINE INC</name>
                <lei>529900P9N7PK9LV5EK56</lei>
                <title>CONV. NOTE</title>
                <cusip>09239BAB5</cusip>
                <identifiers>
                    <isin value="US09239BAB53"/>
                </identifiers>
                <balance>136000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>187065.5</valUSD>
                <pctVal>0.084986891598</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BLACKLINE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="09239B109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.6244" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROOFPOINT INC</name>
                <lei>529900C5FODDK0WSR085</lei>
                <title>CONV. NOTE</title>
                <cusip>743424AF0</cusip>
                <identifiers>
                    <isin value="US743424AF06"/>
                </identifiers>
                <balance>140000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>139387.5</valUSD>
                <pctVal>0.063326002671</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PROOFPOINT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="743424103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.4941" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INSULET CORP</name>
                <lei>549300TZTYD2PYN92D43</lei>
                <title>CONV. NOTE</title>
                <cusip>45784PAK7</cusip>
                <identifiers>
                    <isin value="US45784PAK75"/>
                </identifiers>
                <balance>118000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>150266.04</valUSD>
                <pctVal>0.068268299886</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>INSULET CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="45784P101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.4105" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SAILPOINT TECHNOLOGIES HOLDINGS INC</name>
                <lei>529900809B15HNZH5H79</lei>
                <title>CONV. NOTE</title>
                <cusip>78781PAB1</cusip>
                <identifiers>
                    <isin value="US78781PAB13"/>
                </identifiers>
                <balance>86000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>131723.13</valUSD>
                <pctVal>0.059843955033</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SAILPOINT TECHNOLOGIES HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="78781P105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="35.1849" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY MEDIA CORP</name>
                <lei>549300ZKUTPIBZLWLL89</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>531229AJ1</cusip>
                <identifiers>
                    <isin value="US531229AJ16"/>
                </identifiers>
                <balance>188000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>182548</valUSD>
                <pctVal>0.082934518056</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SIRIUS XM HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="82968B103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="116.0227" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GCI LIBERTY INC</name>
                <lei>N/A</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>36164VAA5</cusip>
                <identifiers>
                    <isin value="US36164VAA52"/>
                </identifiers>
                <balance>134000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>229609</valUSD>
                <pctVal>0.104315093874</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHARTER COMMUNICATIONS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="16119P108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.6989" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY BROADBAND CORP</name>
                <lei>549300MIX43II8JLN536</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>530307AA5</cusip>
                <identifiers>
                    <isin value="US530307AA53"/>
                </identifiers>
                <balance>34000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36574.77</valUSD>
                <pctVal>0.0166165114</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHARTER COMMUNICATIONS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="16119P108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="1.1661" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MICROCHIP TECHNOLOGY INC</name>
                <lei>5493007PTFULNYZJ1R12</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>595017AF1</cusip>
                <identifiers>
                    <isin value="US595017AF11"/>
                </identifiers>
                <balance>53000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>81655.46</valUSD>
                <pctVal>0.037097400255</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MICROCHIP TECHNOLOGY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="595017104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.5359" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DISH NETWORK CORP</name>
                <lei>529900U350CWHH15G169</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>25470MAB5</cusip>
                <identifiers>
                    <isin value="US25470MAB54"/>
                </identifiers>
                <balance>224000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>205631.22</valUSD>
                <pctVal>0.093421599404</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DISH NETWORK CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="25470M109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="15.3429" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>629377CG5</cusip>
                <identifiers>
                    <isin value="US629377CG50"/>
                </identifiers>
                <balance>129000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>133609.94</valUSD>
                <pctVal>0.060701163428</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NRG ENERGY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="629377508"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="20.9479" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CYBERARK SOFTWARE LTD</name>
                <lei>529900YEXNDM894PWS93</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>23248VAB1</cusip>
                <identifiers>
                    <isin value="US23248VAB18"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>87845.44</valUSD>
                <pctVal>0.039909608595</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CYBERARK SOFTWARE LTD</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>ILS</curCd>
                            <identifiers>
<cusip value="M2682V108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.3478" curCd="ILS"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHEGG INC</name>
                <lei>549300AKX7O8JG0O3G77</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>163092AE9</cusip>
                <identifiers>
                    <isin value="US163092AE90"/>
                </identifiers>
                <balance>111000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>110611.5</valUSD>
                <pctVal>0.05025259901</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHEGG INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="163092109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.2978" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WIX.COM LTD</name>
                <lei>5493008P6N29Q1AG9464</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>92940WAC3</cusip>
                <identifiers>
                    <isin value="US92940WAC38"/>
                </identifiers>
                <balance>132000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>132491.3</valUSD>
                <pctVal>0.060192947127</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WIX.COM LTD</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>ILS</curCd>
                            <identifiers>
<cusip value="M98068105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.4813" curCd="ILS"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SOLAREDGE TECHNOLOGIES INC</name>
                <lei>5493000K6Y58XXPDF853</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>83417MAC8</cusip>
                <identifiers>
                    <isin value="US83417MAC82"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82477.28</valUSD>
                <pctVal>0.037470766414</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SOLAREDGE TECHNOLOGIES INC</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>ILS</curCd>
                            <identifiers>
<cusip value="83417M104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.5997" curCd="ILS"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RINGCENTRAL INC</name>
                <lei>549300C8EH0H1614VE84</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>76680RAE7</cusip>
                <identifiers>
                    <isin value="US76680RAE71"/>
                </identifiers>
                <balance>168000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>178920</valUSD>
                <pctVal>0.081286258796</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>RINGCENTRAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="76680R206"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.7745" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NUTANIX INC</name>
                <lei>549300X7J6E8TKVIXW09</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>67059NAB4</cusip>
                <identifiers>
                    <isin value="US67059NAB47"/>
                </identifiers>
                <balance>97000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90937.5</valUSD>
                <pctVal>0.041314381619</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NUTANIX INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="67059N108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="20.4705" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RH</name>
                <lei>5493008MTS3OGGMHGK69</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>74967XAC7</cusip>
                <identifiers>
                    <isin value="US74967XAC74"/>
                </identifiers>
                <balance>54000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>102929.07</valUSD>
                <pctVal>0.046762346421</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>RH</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="74967X103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.7304" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHC GROUP LLC / CHC FINANCE LTD</name>
                <lei>N/A</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>12550UAB8</cusip>
                <identifiers>
                    <isin value="US12550UAB89"/>
                </identifiers>
                <balance>35887</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5383.05</valUSD>
                <pctVal>0.00244560695</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHC GROUP LLC</name>
                            <title>STOCK UNIT</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="12550E306"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="125" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR REMIC TRUST 2020-HQA3</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35565MBE3</cusip>
                <identifiers>
                    <isin value="US35565MBE30"/>
                </identifiers>
                <balance>430000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>427850</valUSD>
                <pctVal>0.194379196433</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.148</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>1SHARPE MORTGAGE TRUST 2020-1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US68257LAA89"/>
                </identifiers>
                <balance>594000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>595485</valUSD>
                <pctVal>0.270538496641</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.125</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>FREDDIE MAC STACR REMIC TRUST 2020-DNA4</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35565XBE9</cusip>
                <identifiers>
                    <isin value="US35565XBE94"/>
                </identifiers>
                <balance>609000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>618135</valUSD>
                <pctVal>0.280828759114</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.158</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>COLT 2020-2 MORTGAGE LOAN TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>19688JAC1</cusip>
                <identifiers>
                    <isin value="US19688JAC18"/>
                </identifiers>
                <balance>1000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1040000</valUSD>
                <pctVal>0.472488872947</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-03-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.698</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>RMF BUYOUT ISSUANCE TRUST 2020-2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>74969BAD1</cusip>
                <identifiers>
                    <isin value="US74969BAD10"/>
                </identifiers>
                <balance>209000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>209003.04</valUSD>
                <pctVal>0.094953471935</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-06-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.571</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>PRETIUM MORTGAGE CREDIT PARTNERS I 2017-NPL4 LLC</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US74142EAA10"/>
                </identifiers>
                <balance>246804.23</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>247099.41</valUSD>
                <pctVal>0.112261270901</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2060-05-27</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.819</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>FREDDIE MAC STACR TRUST 2019-DNA3</name>
                <lei>549300KB1O80CETXGJ21</lei>
                <title>CORP CMO</title>
                <cusip>35564TBE9</cusip>
                <identifiers>
                    <isin value="US35564TBE91"/>
                </identifiers>
                <balance>135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>112875.97</valUSD>
                <pctVal>0.051281384469</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.298</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>FREDDIE MAC STACR TRUST 2019-HQA2</name>
                <lei>549300NKHCH87PYOHD44</lei>
                <title>CORP CMO</title>
                <cusip>35564MBE4</cusip>
                <identifiers>
                    <isin value="US35564MBE49"/>
                </identifiers>
                <balance>106000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98666.99</valUSD>
                <pctVal>0.044826014329</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>11.398</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>CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20753VBE7</cusip>
                <identifiers>
                    <isin value="US20753VBE74"/>
                </identifiers>
                <balance>504000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>473732.03</valUSD>
                <pctVal>0.215224147051</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.798</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>FREDDIE MAC STACR REMIC TRUST 2020-HQA2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35565LAH9</cusip>
                <identifiers>
                    <isin value="US35565LAH96"/>
                </identifiers>
                <balance>367000</balance>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>STACR TRUST 2018-DNA3</name>
                <lei>549300BL200YC56BUV20</lei>
                <title>CORP CMO</title>
                <cusip>35563WBD5</cusip>
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                    <isin value="US35563WBD56"/>
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                <debtSec>
                    <maturityDt>2048-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.048</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CONNECTICUT AVENUE SECURITIES TRUST 2019-R03</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20753MAE8</cusip>
                <identifiers>
                    <isin value="US20753MAE84"/>
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                <balance>251000</balance>
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                <curCd>USD</curCd>
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                <debtSec>
                    <maturityDt>2031-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MELLO WAREHOUSE SECURITIZATION TRUST 2019-1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>585503AA3</cusip>
                <identifiers>
                    <isin value="US585503AA34"/>
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                <balance>164000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2052-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>.948</annualizedRt>
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            <invstOrSec>
                <name>SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35563PKR9</cusip>
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                    <isin value="US35563PKR90"/>
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                <balance>307000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
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                <debtSec>
                    <maturityDt>2058-08-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2018-HQA2</name>
                <lei>5493005RUXPCBST1N217</lei>
                <title>CORP CMO</title>
                <cusip>35563XBD3</cusip>
                <identifiers>
                    <isin value="US35563XBD30"/>
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                <balance>380000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2048-10-25</maturityDt>
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            <invstOrSec>
                <name>RALI SERIES 2006-QO5 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>75114HAA5</cusip>
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                    <isin value="US75114HAA59"/>
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                <balance>264677.35</balance>
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                <debtSec>
                    <maturityDt>2046-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>.363</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0TH2</cusip>
                <identifiers>
                    <isin value="US3137G0TH25"/>
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                <balance>174399.02</balance>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2030-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.948</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XYW8</cusip>
                <identifiers>
                    <isin value="US30711XYW81"/>
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                <balance>676000</balance>
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                <curCd>USD</curCd>
                <valUSD>626567.5</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2030-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.698</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>RADNOR RE 2018-1 LTD</name>
                <lei>549300ED4YNDE7SVU538</lei>
                <title>CORP CMO</title>
                <cusip>750496AB7</cusip>
                <identifiers>
                    <isin value="US750496AB73"/>
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                <balance>620000</balance>
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                <curCd>USD</curCd>
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                <debtSec>
                    <maturityDt>2028-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0UD9</cusip>
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                    <isin value="US3137G0UD91"/>
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                <debtSec>
                    <maturityDt>2030-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XYX6</cusip>
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                    <isin value="US30711XYX64"/>
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                    <maturityDt>2030-07-25</maturityDt>
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            <invstOrSec>
                <name>WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR14 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>92922F4B1</cusip>
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                    <isin value="US92922F4B15"/>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2035-12-25</maturityDt>
                    <couponKind>Variable</couponKind>
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            <invstOrSec>
                <name>STACR TRUST 2018-DNA2</name>
                <lei>549300L8K4CLYS7FCQ06</lei>
                <title>CORP CMO</title>
                <cusip>35563TAV3</cusip>
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                    <isin value="US35563TAV35"/>
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                <debtSec>
                    <maturityDt>2030-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.848</annualizedRt>
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            <invstOrSec>
                <name>OAKTOWN RE II LTD</name>
                <lei>254900KOPN6EP9T3LD85</lei>
                <title>CORP CMO</title>
                <cusip>67400CAB4</cusip>
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                    <isin value="US67400CAB46"/>
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                <balance>800000</balance>
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                    <maturityDt>2028-07-25</maturityDt>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XJW5</cusip>
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                    <isin value="US30711XJW56"/>
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                    <maturityDt>2029-10-25</maturityDt>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
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                <cusip>30711XNW0</cusip>
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                    <isin value="US30711XNW01"/>
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                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2007-OA8</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02148GAD5</cusip>
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                    <isin value="US02148GAD51"/>
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                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2047-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>.328</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                <name>CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4</name>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                    <isin value="US30711XSW55"/>
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                <debtSec>
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            <invstOrSec>
                <name>GSR MORTGAGE LOAN TRUST 2007-OA1</name>
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                <title>CORP CMO</title>
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                    <isin value="US3622NAAE07"/>
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                <debtSec>
                    <maturityDt>2037-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>WELLS FARGO MORTGAGE BACKED SECURITIES 2006-AR5 TRUST</name>
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                    <isin value="US94983RAA23"/>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                <cusip>30711XDN1</cusip>
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                    <isin value="US30711XDN12"/>
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                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
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                <title>CORP CMO</title>
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                    <isin value="US3137G0LA53"/>
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                <balance>250000</balance>
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                <curCd>USD</curCd>
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                <debtSec>
                    <maturityDt>2029-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7</name>
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                <title>CORP CMO</title>
                <cusip>86361HAB0</cusip>
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                    <isin value="US86361HAB06"/>
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                <debtSec>
                    <maturityDt>2036-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <name>STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7</name>
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                    <isin value="US86361HAA23"/>
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                    <couponKind>Floating</couponKind>
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                <name>AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1</name>
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                    <isin value="US026932AC79"/>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                    <isin value="US30711XGQ16"/>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                <name>MORTGAGEIT TRUST 2005-3</name>
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                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2005-59</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>12668AEV3</cusip>
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                    <isin value="US12668AEV35"/>
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                <balance>258422.97</balance>
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                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2035-11-20</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>92922F4V7</cusip>
                <identifiers>
                    <isin value="US92922F4V78"/>
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                <balance>190082.02</balance>
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                <curCd>USD</curCd>
                <valUSD>184676.47</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>.638</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>INTELSAT JACKSON HOLDINGS SA</name>
                <lei>8XJ8KF85PBKK1TLMFN29</lei>
                <title>CORP. NOTE</title>
                <cusip>45824TAR6</cusip>
                <identifiers>
                    <isin value="US45824TAR68"/>
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                <balance>6000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6090</valUSD>
                <pctVal>0.002766785804</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GLP CAPITAL LP / GLP FINANCING II INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>361841AH2</cusip>
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                    <isin value="US361841AH26"/>
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                <balance>79000</balance>
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                <curCd>USD</curCd>
                <valUSD>87555.7</valUSD>
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                <assetCat>DBT</assetCat>
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                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>HANESBRANDS INC</name>
                <lei>GX5LWVWZLL5S4W1L2F20</lei>
                <title>CORP. NOTE</title>
                <cusip>410345AJ1</cusip>
                <identifiers>
                    <isin value="US410345AJ12"/>
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                <balance>125000</balance>
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                <curCd>USD</curCd>
                <valUSD>129973.75</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORP. NOTE</title>
                <cusip>629377CA8</cusip>
                <identifiers>
                    <isin value="US629377CA80"/>
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                <balance>94000</balance>
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                <curCd>USD</curCd>
                <valUSD>99992.5</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
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            <invstOrSec>
                <name>AES CORP/THE</name>
                <lei>2NUNNB7D43COUIRE5295</lei>
                <title>CORP. NOTE</title>
                <cusip>00130HBX2</cusip>
                <identifiers>
                    <isin value="US00130HBX26"/>
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                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94538.25</valUSD>
                <pctVal>0.042950260762</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PERTAMINA PERSERO PT</name>
                <lei>254900NDAKGNZ2IBBL45</lei>
                <title>CORP. NOTE</title>
                <cusip>69369EAC3</cusip>
                <identifiers>
                    <isin value="US69369EAC30"/>
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                <balance>925000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>976765.02</valUSD>
                <pctVal>0.443760195609</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-05-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PENSKE AUTOMOTIVE GROUP INC</name>
                <lei>549300W7UTQ0M4C7LB15</lei>
                <title>CORP. NOTE</title>
                <cusip>70959WAE3</cusip>
                <identifiers>
                    <isin value="US70959WAE30"/>
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                <balance>192000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>192000</valUSD>
                <pctVal>0.087228715006</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>INTERNATIONAL LEASE FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>459745GN9</cusip>
                <identifiers>
                    <isin value="US459745GN96"/>
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                <balance>15000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>16053.77</valUSD>
                <pctVal>0.007293488167</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VTB BANK OJSC VIA VTB CAPITAL SA</name>
                <lei>529900Z143LRJYE8LK88</lei>
                <title>CORP. NOTE</title>
                <cusip>92909MAF7</cusip>
                <identifiers>
                    <isin value="US92909MAF77"/>
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                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>211500</valUSD>
                <pctVal>0.096087881373</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-10-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.95</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CINEMARK USA INC</name>
                <lei>54930008H2137JSCPQ09</lei>
                <title>CORP. NOTE</title>
                <cusip>172441AX5</cusip>
                <identifiers>
                    <isin value="US172441AX54"/>
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                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64080</valUSD>
                <pctVal>0.029112583633</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PERTAMINA PERSERO PT</name>
                <lei>254900NDAKGNZ2IBBL45</lei>
                <title>CORP. NOTE</title>
                <cusip>69369EAE9</cusip>
                <identifiers>
                    <isin value="US69369EAE95"/>
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                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>214172.24</valUSD>
                <pctVal>0.09730192336</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.3</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CIT GROUP INC</name>
                <lei>N8O96ZZJQRFYQUJY7K79</lei>
                <title>CORP. NOTE</title>
                <cusip>125581GR3</cusip>
                <identifiers>
                    <isin value="US125581GR39"/>
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                <balance>94000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>97525</valUSD>
                <pctVal>0.044307189744</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SPRINT CORP</name>
                <lei>549300ZTTY7CXOLJ6539</lei>
                <title>CORP. NOTE</title>
                <cusip>85207UAE5</cusip>
                <identifiers>
                    <isin value="US85207UAE55"/>
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                <balance>190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>198787.5</valUSD>
                <pctVal>0.090312386376</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SPRINT CORP</name>
                <lei>549300ZTTY7CXOLJ6539</lei>
                <title>CORP. NOTE</title>
                <cusip>85207UAF2</cusip>
                <identifiers>
                    <isin value="US85207UAF21"/>
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                <balance>433000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>497408.75</valUSD>
                <pctVal>0.225980865078</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>COMMERZBANK AG</name>
                <lei>851WYGNLUQLFZBSYGB56</lei>
                <title>CORP. NOTE</title>
                <cusip>20259BAA9</cusip>
                <identifiers>
                    <isin value="US20259BAA98"/>
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                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>226995.75</valUSD>
                <pctVal>0.103127852001</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ANTERO RESOURCES CORP</name>
                <lei>APVBKPOULHUX7YZLKU17</lei>
                <title>CORP. NOTE</title>
                <cusip>03674PAL7</cusip>
                <identifiers>
                    <isin value="US03674PAL76"/>
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                <balance>182000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>172900</valUSD>
                <pctVal>0.078551275127</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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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>OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>12505FAD3</cusip>
                <identifiers>
                    <isin value="US12505FAD33"/>
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                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>152250</valUSD>
                <pctVal>0.069169645102</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CEMEX FINANCE LLC</name>
                <lei>529900USOXVC2TX3H980</lei>
                <title>CORP. NOTE</title>
                <cusip>12516UAD7</cusip>
                <identifiers>
                    <isin value="US12516UAD72"/>
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                <balance>318000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>324932.4</valUSD>
                <pctVal>0.147622061019</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>48250NAA3</cusip>
                <identifiers>
                    <isin value="US48250NAA37"/>
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                <balance>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>133289</valUSD>
                <pctVal>0.060555355179</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>48250NAB1</cusip>
                <identifiers>
                    <isin value="US48250NAB10"/>
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                <balance>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>135070</valUSD>
                <pctVal>0.061364492374</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>DELL INTERNATIONAL LLC / EMC CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25272KAW3</cusip>
                <identifiers>
                    <isin value="US25272KAW36"/>
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                <balance>152000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>158108.88</valUSD>
                <pctVal>0.07183142934</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORP. NOTE</title>
                <cusip>629377CC4</cusip>
                <identifiers>
                    <isin value="US629377CC47"/>
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                <balance>27000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>28552.5</valUSD>
                <pctVal>0.012971863985</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</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>AXALTA COATING SYSTEMS LLC</name>
                <lei>549300G80QONCHILSF69</lei>
                <title>CORP. NOTE</title>
                <cusip>05453GAA3</cusip>
                <identifiers>
                    <isin value="US05453GAA31"/>
                </identifiers>
                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>152812.5</valUSD>
                <pctVal>0.069425197978</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>BMC EAST LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>055604AA0</cusip>
                <identifiers>
                    <isin value="US055604AA02"/>
                </identifiers>
                <balance>263000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>270232.5</valUSD>
                <pctVal>0.122771008999</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDEN NUGGET INC</name>
                <lei>91D14OD6M4H1RVBN7R43</lei>
                <title>CORP. NOTE</title>
                <cusip>38113YAE9</cusip>
                <identifiers>
                    <isin value="US38113YAE95"/>
                </identifiers>
                <balance>227000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>189545</valUSD>
                <pctVal>0.086113368676</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</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>ENTERCOM MEDIA CORP</name>
                <lei>549300S5JUSXRHNCHD80</lei>
                <title>CORP. NOTE</title>
                <cusip>124847AC8</cusip>
                <identifiers>
                    <isin value="US124847AC84"/>
                </identifiers>
                <balance>102000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86700</valUSD>
                <pctVal>0.03938921662</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</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>LIONS GATE CAPITAL HOLDINGS LLC</name>
                <lei>549300MWJHNLR35C0837</lei>
                <title>CORP. NOTE</title>
                <cusip>53627NAA9</cusip>
                <identifiers>
                    <isin value="US53627NAA90"/>
                </identifiers>
                <balance>181000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>177380</valUSD>
                <pctVal>0.080586611811</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CORP. NOTE</title>
                <cusip>538034AK5</cusip>
                <identifiers>
                    <isin value="US538034AK54"/>
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                <balance>46000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44505</valUSD>
                <pctVal>0.020219343549</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LAMB WESTON HOLDINGS INC</name>
                <lei>5493005SMYID1D2OY946</lei>
                <title>CORP. NOTE</title>
                <cusip>513272AA2</cusip>
                <identifiers>
                    <isin value="US513272AA27"/>
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                <balance>37000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38572.5</valUSD>
                <pctVal>0.01752411255</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LAMB WESTON HOLDINGS INC</name>
                <lei>5493005SMYID1D2OY946</lei>
                <title>CORP. NOTE</title>
                <cusip>513272AB0</cusip>
                <identifiers>
                    <isin value="US513272AB00"/>
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                <balance>157000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>163672.5</valUSD>
                <pctVal>0.074359072171</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LOUISIANA-PACIFIC CORP</name>
                <lei>549300C7E2UAO5BVRR75</lei>
                <title>CORP. NOTE</title>
                <cusip>546347AK1</cusip>
                <identifiers>
                    <isin value="US546347AK18"/>
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                <balance>64000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65768</valUSD>
                <pctVal>0.029879469419</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAS8</cusip>
                <identifiers>
                    <isin value="US71647NAS80"/>
                </identifiers>
                <balance>879000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1041043.65</valUSD>
                <pctVal>0.472963020074</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.375</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>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAR0</cusip>
                <identifiers>
                    <isin value="US71647NAR08"/>
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                <balance>222000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>233655</valUSD>
                <pctVal>0.106153257316</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</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>
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            <invstOrSec>
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                <name>MEG ENERGY CORP</name>
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                <name>NIELSEN CO LUXEMBOURG SARL/THE</name>
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                <name>IHS MARKIT LTD</name>
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                <name>HOWARD HUGHES CORP/THE</name>
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                <name>LPL HOLDINGS INC</name>
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                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
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                <name>BAUSCH HEALTH COS INC</name>
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                <title>CORP. NOTE</title>
                <cusip>91911KAK8</cusip>
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                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264AAR6</cusip>
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                <name>LEVEL 3 FINANCING INC</name>
                <lei>OKXQCBALRQBU7RU5WQ22</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BM4</cusip>
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                <name>TENNANT CO</name>
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                <title>CORP. NOTE</title>
                <cusip>880345AB9</cusip>
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                <name>TEMPO ACQUISITION LLC / TEMPO ACQUISITION FINANCE CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>88023JAA4</cusip>
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                <name>COMSTOCK RESOURCES INC</name>
                <lei>I03QQGEA4SS774AURI46</lei>
                <title>CORP. NOTE</title>
                <cusip>22304LAA8</cusip>
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                <name>ANTERO RESOURCES CORP</name>
                <lei>APVBKPOULHUX7YZLKU17</lei>
                <title>CORP. NOTE</title>
                <cusip>03674XAC0</cusip>
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                <name>CENTENE CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>15135BAD3</cusip>
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                <name>NATWEST GROUP PLC</name>
                <lei>2138005O9XJIJN4JPN90</lei>
                <title>CORP. NOTE</title>
                <cusip>780099CH8</cusip>
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                <name>INTESA SANPAOLO SPA</name>
                <lei>2W8N8UU78PMDQKZENC08</lei>
                <title>CORP. NOTE</title>
                <cusip>46115HAT4</cusip>
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                <invCountry>IT</invCountry>
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                <name>OCCIDENTAL PETROLEUM CORP</name>
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                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORP. NOTE</title>
                <cusip>78454LAK6</cusip>
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                <name>WPX ENERGY INC</name>
                <lei>ZXZE9GCS2BB547GJW219</lei>
                <title>CORP. NOTE</title>
                <cusip>98212BAG8</cusip>
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                <name>PACIFIC GAS  AND  ELECTRIC CO</name>
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                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
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                <name>TRANSOCEAN PONTUS LTD</name>
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                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORP. NOTE</title>
                <cusip>78454LAP5</cusip>
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                <title>CORP. NOTE</title>
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                <name>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORP. NOTE</title>
                <cusip>404121AH8</cusip>
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                <name>ELANCO ANIMAL HEALTH INC</name>
                <lei>549300SHPNDCE059M934</lei>
                <title>CORP. NOTE</title>
                <cusip>28414HAG8</cusip>
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                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.9</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GREAT LAKES DREDGE  AND  DOCK CORP</name>
                <lei>549300H65E3MZ1CX0P05</lei>
                <title>CORP. NOTE</title>
                <cusip>390607AE9</cusip>
                <identifiers>
                    <isin value="US390607AE97"/>
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                <balance>177000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>181508.19</valUSD>
                <pctVal>0.082462115504</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</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>PROVIDENT FUNDING ASSOCIATES LP / PFG FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>74387UAJ0</cusip>
                <identifiers>
                    <isin value="US74387UAJ07"/>
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                <balance>135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>130612.5</valUSD>
                <pctVal>0.059339377806</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LA FINANCIERE ATALIAN SASU</name>
                <lei>969500ICOLJMB33J0L87</lei>
                <title>CORP. NOTE</title>
                <cusip>F5474SAE8</cusip>
                <identifiers>
                    <isin value="XS1605600532"/>
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                <balance>100000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.172449775"/>
                <valUSD>98746.06</valUSD>
                <pctVal>0.044861937113</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCS7</cusip>
                <identifiers>
                    <isin value="US88033GCS75"/>
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                <balance>240000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>241200</valUSD>
                <pctVal>0.109581073226</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>48250NAC9</cusip>
                <identifiers>
                    <isin value="US48250NAC92"/>
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                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>115423</valUSD>
                <pctVal>0.052438541521</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>AKER BP ASA</name>
                <lei>549300NFTY73920OYK69</lei>
                <title>CORP. NOTE</title>
                <cusip>00973RAA1</cusip>
                <identifiers>
                    <isin value="US00973RAA14"/>
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                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>152250</valUSD>
                <pctVal>0.069169645102</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>DIAMONDBACK ENERGY INC</name>
                <lei>549300R22LSX6OHWEN64</lei>
                <title>CORP. NOTE</title>
                <cusip>25278XAH2</cusip>
                <identifiers>
                    <isin value="US25278XAH26"/>
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                <balance>47000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48802.19</valUSD>
                <pctVal>0.022171626683</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>68245XAE9</cusip>
                <identifiers>
                    <isin value="US68245XAE94"/>
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                <balance>175000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>178937.5</valUSD>
                <pctVal>0.08129420933</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PARK-OHIO INDUSTRIES INC</name>
                <lei>5493006LQUO5SLMNYM18</lei>
                <title>CORP. NOTE</title>
                <cusip>700677AR8</cusip>
                <identifiers>
                    <isin value="US700677AR89"/>
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                <balance>171000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>157320</valUSD>
                <pctVal>0.071473028358</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>IRON MOUNTAIN INC</name>
                <lei>SQL3F6CKNNBM3SQGHX24</lei>
                <title>CORP. NOTE</title>
                <cusip>46284VAC5</cusip>
                <identifiers>
                    <isin value="US46284VAC54"/>
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                <balance>268000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>273025</valUSD>
                <pctVal>0.124039687054</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>TRONOX FINANCE PLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89705PAA3</cusip>
                <identifiers>
                    <isin value="US89705PAA30"/>
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                <balance>33000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>32505</valUSD>
                <pctVal>0.014767548861</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TTM TECHNOLOGIES INC</name>
                <lei>549300SC4BDOIS008048</lei>
                <title>CORP. NOTE</title>
                <cusip>87305RAH2</cusip>
                <identifiers>
                    <isin value="US87305RAH21"/>
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                <balance>279000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>284580</valUSD>
                <pctVal>0.129289311022</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAV1</cusip>
                <identifiers>
                    <isin value="US71647NAV10"/>
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                <balance>409000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>446628</valUSD>
                <pctVal>0.202910346487</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.299</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MILLER HOMES GROUP HOLDINGS PLC</name>
                <lei>213800RZPP7QB22XZM09</lei>
                <title>CORP. NOTE</title>
                <cusip>G6126WAB4</cusip>
                <identifiers>
                    <isin value="XS1689521125"/>
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                <balance>100000</balance>
                <units>PA</units>
                <currencyConditional curCd="GBP" exchangeRt="1.29034922"/>
                <valUSD>127049.07</valUSD>
                <pctVal>0.057720453744</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CAESARS RESORT COLLECTION LLC / CRC FINCO INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>12652AAA1</cusip>
                <identifiers>
                    <isin value="US12652AAA16"/>
                </identifiers>
                <balance>215000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>208550</valUSD>
                <pctVal>0.094747648513</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAY5</cusip>
                <identifiers>
                    <isin value="US71647NAY58"/>
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                <balance>169000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>186956.25</valUSD>
                <pctVal>0.084937257551</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.999</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>91911KAN2</cusip>
                <identifiers>
                    <isin value="US91911KAN28"/>
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                <balance>220000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>225775</valUSD>
                <pctVal>0.102573245471</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</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>SCIENTIFIC GAMES INTERNATIONAL INC</name>
                <lei>RLTHESQ0RNFQJWPBJN60</lei>
                <title>CORP. NOTE</title>
                <cusip>80874YAW0</cusip>
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                    <isin value="US80874YAW03"/>
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                <balance>65000</balance>
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                <curCd>USD</curCd>
                <valUSD>65325</valUSD>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>BEACON ROOFING SUPPLY INC</name>
                <lei>549300HDXQWWCBOYXP31</lei>
                <title>CORP. NOTE</title>
                <cusip>073685AD1</cusip>
                <identifiers>
                    <isin value="US073685AD12"/>
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                <balance>87000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85260</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>NAVISTAR INTERNATIONAL CORP</name>
                <lei>WNDD3CRVXJGC8I7GX671</lei>
                <title>CORP. NOTE</title>
                <cusip>63934EAT5</cusip>
                <identifiers>
                    <isin value="US63934EAT55"/>
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                <balance>110000</balance>
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                <curCd>USD</curCd>
                <valUSD>112475</valUSD>
                <pctVal>0.051099217293</pctVal>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FREEDOM MORTGAGE CORP</name>
                <lei>549300LYRWPSYPK6S325</lei>
                <title>CORP. NOTE</title>
                <cusip>35640YAA5</cusip>
                <identifiers>
                    <isin value="US35640YAA55"/>
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                <balance>53000</balance>
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                <curCd>USD</curCd>
                <valUSD>52867.5</valUSD>
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                <debtSec>
                    <maturityDt>2024-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PRECISION DRILLING CORP</name>
                <lei>549300WF2OE8T5BP4B84</lei>
                <title>CORP. NOTE</title>
                <cusip>740212AL9</cusip>
                <identifiers>
                    <isin value="US740212AL91"/>
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                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>32640</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>STARWOOD PROPERTY TRUST INC</name>
                <lei>BUGSFQZERKRBFWIG5267</lei>
                <title>CORP. NOTE</title>
                <cusip>85571BAL9</cusip>
                <identifiers>
                    <isin value="US85571BAL99"/>
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                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>143625</valUSD>
                <pctVal>0.06525116767</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>PQ CORP</name>
                <lei>2H1FRGMQKKSWC9PFJY28</lei>
                <title>CORP. NOTE</title>
                <cusip>693522AH7</cusip>
                <identifiers>
                    <isin value="US693522AH77"/>
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                <balance>203000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>208836.25</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORP. NOTE</title>
                <cusip>629377CE0</cusip>
                <identifiers>
                    <isin value="US629377CE03"/>
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                <balance>145000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>156418.75</valUSD>
                <pctVal>0.071063575861</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>RBS GLOBAL INC / REXNORD LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>75524DAP5</cusip>
                <identifiers>
                    <isin value="US75524DAP50"/>
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                <balance>190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>192612.5</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MERCER INTERNATIONAL INC</name>
                <lei>549300Z5IAG39VRTY874</lei>
                <title>CORP. NOTE</title>
                <cusip>588056AW1</cusip>
                <identifiers>
                    <isin value="US588056AW17"/>
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                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>43200</valUSD>
                <pctVal>0.019626460876</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JELD-WEN INC</name>
                <lei>549300XWE6NM0N1HFW16</lei>
                <title>CORP. NOTE</title>
                <cusip>475795AC4</cusip>
                <identifiers>
                    <isin value="US475795AC41"/>
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                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>70350</valUSD>
                <pctVal>0.031961146358</pctVal>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                    <maturityDt>2025-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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            <invstOrSec>
                <name>ITRON INC</name>
                <lei>24F6LSZD18II6ICG6S41</lei>
                <title>CORP. NOTE</title>
                <cusip>465740AA6</cusip>
                <identifiers>
                    <isin value="US465740AA65"/>
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                <balance>81000</balance>
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                <curCd>USD</curCd>
                <valUSD>83025</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                    <maturityDt>2026-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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            <invstOrSec>
                <name>VALVOLINE INC</name>
                <lei>549300CMHPBEY6VPOT75</lei>
                <title>CORP. NOTE</title>
                <cusip>92047WAB7</cusip>
                <identifiers>
                    <isin value="US92047WAB72"/>
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                <balance>35000</balance>
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                <curCd>USD</curCd>
                <valUSD>36006.25</valUSD>
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                <invCountry>US</invCountry>
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                    <maturityDt>2025-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
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            <invstOrSec>
                <name>NABORS INDUSTRIES INC</name>
                <lei>549300VFQWRKICUFNU92</lei>
                <title>CORP. NOTE</title>
                <cusip>62957HAF2</cusip>
                <identifiers>
                    <isin value="US62957HAF29"/>
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                <balance>50000</balance>
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                <curCd>USD</curCd>
                <valUSD>17000</valUSD>
                <pctVal>0.007723375808</pctVal>
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                    <maturityDt>2025-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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            <invstOrSec>
                <name>CROWN AMERICAS LLC / CROWN AMERICAS CAPITAL CORP VI</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>228187AB6</cusip>
                <identifiers>
                    <isin value="US228187AB66"/>
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                <balance>265000</balance>
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                <curCd>USD</curCd>
                <valUSD>274937.5</valUSD>
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                <invCountry>US</invCountry>
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                    <maturityDt>2026-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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            <invstOrSec>
                <name>MEREDITH CORP</name>
                <lei>549300YC8BC386CCTS24</lei>
                <title>CORP. NOTE</title>
                <cusip>589433AB7</cusip>
                <identifiers>
                    <isin value="US589433AB71"/>
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                <balance>120000</balance>
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                <curCd>USD</curCd>
                <valUSD>99900</valUSD>
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                    <maturityDt>2026-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
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            <invstOrSec>
                <name>BERRY GLOBAL INC</name>
                <lei>549300AP2Q7ERHX6RI89</lei>
                <title>CORP. NOTE</title>
                <cusip>08576PAA9</cusip>
                <identifiers>
                    <isin value="US08576PAA93"/>
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                <balance>39000</balance>
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                <curCd>USD</curCd>
                <valUSD>39390</valUSD>
                <pctVal>0.017895516063</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264AAU9</cusip>
                <identifiers>
                    <isin value="US87264AAU97"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56672</valUSD>
                <pctVal>0.025747009046</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>US CONCRETE INC</name>
                <lei>549300J94Q38BL8BMH45</lei>
                <title>CORP. NOTE</title>
                <cusip>90333LAP7</cusip>
                <identifiers>
                    <isin value="US90333LAP76"/>
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                <balance>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58781.25</valUSD>
                <pctVal>0.026705275541</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MPH ACQUISITION HOLDINGS LLC</name>
                <lei>5493002WXOPRPTXWTU06</lei>
                <title>CORP. NOTE</title>
                <cusip>553283AB8</cusip>
                <identifiers>
                    <isin value="US553283AB86"/>
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                <balance>95000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>97598.25</valUSD>
                <pctVal>0.044340468408</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BB2</cusip>
                <identifiers>
                    <isin value="US893647BB29"/>
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                <balance>86000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86337.98</valUSD>
                <pctVal>0.03922474506</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>87612BBL5</cusip>
                <identifiers>
                    <isin value="US87612BBL53"/>
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                <balance>185000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>192862.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>87612BBN1</cusip>
                <identifiers>
                    <isin value="US87612BBN10"/>
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                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>37439.5</valUSD>
                <pctVal>0.017009372268</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ENERGIZER HOLDINGS INC</name>
                <lei>5493000D6NN0V57UME20</lei>
                <title>CORP. NOTE</title>
                <cusip>29272WAB5</cusip>
                <identifiers>
                    <isin value="US29272WAB54"/>
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                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10925</valUSD>
                <pctVal>0.004963404747</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORP. NOTE</title>
                <cusip>92840VAB8</cusip>
                <identifiers>
                    <isin value="US92840VAB80"/>
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                <balance>68000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>71753.6</valUSD>
                <pctVal>0.03259882461</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCX6</cusip>
                <identifiers>
                    <isin value="US88033GCX60"/>
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                <balance>28000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>28901.88</valUSD>
                <pctVal>0.013130592988</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TRANSOCEAN POSEIDON LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89383JAA6</cusip>
                <identifiers>
                    <isin value="US89383JAA60"/>
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                <balance>88000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>70530.24</valUSD>
                <pctVal>0.032043032314</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LIONS GATE CAPITAL HOLDINGS LLC</name>
                <lei>549300MWJHNLR35C0837</lei>
                <title>CORP. NOTE</title>
                <cusip>53627NAC5</cusip>
                <identifiers>
                    <isin value="US53627NAC56"/>
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                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>113850</valUSD>
                <pctVal>0.051723902101</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GREIF INC</name>
                <lei>54930070FVGKR0Z1FI24</lei>
                <title>CORP. NOTE</title>
                <cusip>397624AH0</cusip>
                <identifiers>
                    <isin value="US397624AH07"/>
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                <balance>179000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>185440.42</valUSD>
                <pctVal>0.084248591389</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BE6</cusip>
                <identifiers>
                    <isin value="US893647BE67"/>
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                <balance>672000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>701766.24</valUSD>
                <pctVal>0.318823788279</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DUN  AND  BRADSTREET CORP/THE</name>
                <lei>RI37BMPWE56BCJ747E14</lei>
                <title>CORP. NOTE</title>
                <cusip>26483EAJ9</cusip>
                <identifiers>
                    <isin value="US26483EAJ91"/>
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                <balance>33000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>35443.65</valUSD>
                <pctVal>0.016102625232</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>COMMSCOPE INC</name>
                <lei>549300Z6K4JXMFE8QY54</lei>
                <title>CORP. NOTE</title>
                <cusip>20338QAB9</cusip>
                <identifiers>
                    <isin value="US20338QAB95"/>
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                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>107894.85</valUSD>
                <pctVal>0.04901838084</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>COMMSCOPE INC</name>
                <lei>549300Z6K4JXMFE8QY54</lei>
                <title>CORP. NOTE</title>
                <cusip>20338QAD5</cusip>
                <identifiers>
                    <isin value="US20338QAD51"/>
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                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20850</valUSD>
                <pctVal>0.00947249327</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
                <lei>5493007X5NC5XI1BB106</lei>
                <title>CORP. NOTE</title>
                <cusip>12543DBC3</cusip>
                <identifiers>
                    <isin value="US12543DBC39"/>
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                <balance>305000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>299815</valUSD>
                <pctVal>0.136210818695</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SS AND C TECHNOLOGIES INC</name>
                <lei>549300KY09TR3J12JU49</lei>
                <title>CORP. NOTE</title>
                <cusip>78466CAC0</cusip>
                <identifiers>
                    <isin value="US78466CAC01"/>
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                <balance>203000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>215180</valUSD>
                <pctVal>0.097759765078</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CLARIOS GLOBAL LP / CLARIOS US FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69867DAA6</cusip>
                <identifiers>
                    <isin value="US69867DAA63"/>
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                <balance>177000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>185593.35</valUSD>
                <pctVal>0.084318069969</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CLARIOS GLOBAL LP / CLARIOS US FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69867DAC2</cusip>
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                    <isin value="US69867DAC20"/>
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                <balance>225000</balance>
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                <curCd>USD</curCd>
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                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>STAPLES INC</name>
                <lei>XQM2JINI1UL7642TU573</lei>
                <title>CORP. NOTE</title>
                <cusip>855030AN2</cusip>
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                <balance>352000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>ENTERCOM MEDIA CORP</name>
                <lei>549300S5JUSXRHNCHD80</lei>
                <title>CORP. NOTE</title>
                <cusip>29365DAA7</cusip>
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                    <isin value="US29365DAA72"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2027-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>451102BT3</cusip>
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                    <isin value="US451102BT32"/>
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                <curCd>USD</curCd>
                <valUSD>108420</valUSD>
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                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>CORP. NOTE</title>
                <cusip>45174HBD8</cusip>
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                    <isin value="US45174HBD89"/>
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                <curCd>USD</curCd>
                <valUSD>267645.19</valUSD>
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                    <maturityDt>2027-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>CORP. NOTE</title>
                <cusip>45174HBC0</cusip>
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                    <isin value="US45174HBC07"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AD9</cusip>
                <identifiers>
                    <isin value="US071734AD90"/>
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                <balance>55000</balance>
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                <curCd>USD</curCd>
                <valUSD>58300</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BERRY GLOBAL INC</name>
                <lei>549300AP2Q7ERHX6RI89</lei>
                <title>CORP. NOTE</title>
                <cusip>085770AB1</cusip>
                <identifiers>
                    <isin value="US085770AB14"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57750</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORP. NOTE</title>
                <cusip>629377CK6</cusip>
                <identifiers>
                    <isin value="US629377CK62"/>
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                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>181034.53</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
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            <invstOrSec>
                <name>AMSTED INDUSTRIES INC</name>
                <lei>N2VLGYMEEBIU3PFSUY86</lei>
                <title>CORP. NOTE</title>
                <cusip>032177AH0</cusip>
                <identifiers>
                    <isin value="US032177AH01"/>
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                <balance>115000</balance>
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                <curCd>USD</curCd>
                <valUSD>122339.3</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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            <invstOrSec>
                <name>BUILDERS FIRSTSOURCE INC</name>
                <lei>549300W0SKP6L3H7DP63</lei>
                <title>CORP. NOTE</title>
                <cusip>12008RAM9</cusip>
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                    <isin value="US12008RAM97"/>
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                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98555</valUSD>
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                <assetCat>DBT</assetCat>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
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            <invstOrSec>
                <name>WASTE PRO USA INC</name>
                <lei>549300BY1QXU5BI3UF28</lei>
                <title>CORP. NOTE</title>
                <cusip>94107JAA1</cusip>
                <identifiers>
                    <isin value="US94107JAA16"/>
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                <balance>223000</balance>
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                <curCd>USD</curCd>
                <valUSD>225673.77</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>WESTERN DIGITAL CORP</name>
                <lei>549300QQXOOYEF89IC56</lei>
                <title>CORP. NOTE</title>
                <cusip>958102AM7</cusip>
                <identifiers>
                    <isin value="US958102AM75"/>
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                <balance>44000</balance>
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                <curCd>USD</curCd>
                <valUSD>47657.72</valUSD>
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                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                <name>INDIGO NATURAL RESOURCES LLC</name>
                <lei>549300F7DOI6H6TA3C86</lei>
                <title>CORP. NOTE</title>
                <cusip>45569LAA9</cusip>
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                    <isin value="US45569LAA98"/>
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                <balance>71000</balance>
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                <curCd>USD</curCd>
                <valUSD>69102.88</valUSD>
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                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>SPRINT CORP</name>
                <lei>549300ZTTY7CXOLJ6539</lei>
                <title>CORP. NOTE</title>
                <cusip>85207UAK1</cusip>
                <identifiers>
                    <isin value="US85207UAK16"/>
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                <balance>125000</balance>
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                <curCd>USD</curCd>
                <valUSD>151048.13</valUSD>
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                    <maturityDt>2026-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.625</annualizedRt>
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            <invstOrSec>
                <name>CIT GROUP INC</name>
                <lei>N8O96ZZJQRFYQUJY7K79</lei>
                <title>CORP. NOTE</title>
                <cusip>125581GW2</cusip>
                <identifiers>
                    <isin value="US125581GW24"/>
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                <balance>242000</balance>
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                <curCd>USD</curCd>
                <valUSD>256036</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-03-07</maturityDt>
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            <invstOrSec>
                <name>FRONTIER COMMUNICATIONS CORP</name>
                <lei>549300ZCZ76HYCS0H445</lei>
                <title>CORP. NOTE</title>
                <cusip>35906ABA5</cusip>
                <identifiers>
                    <isin value="US35906ABA51"/>
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                <balance>51000</balance>
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                <curCd>USD</curCd>
                <valUSD>51408</valUSD>
                <pctVal>0.023355488443</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.5</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ONEMAIN FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORP. NOTE</title>
                <cusip>85172FAM1</cusip>
                <identifiers>
                    <isin value="US85172FAM14"/>
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                <balance>269000</balance>
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                <curCd>USD</curCd>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>AKER BP ASA</name>
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            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
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                <name>GCP APPLIED TECHNOLOGIES INC</name>
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                <name>WYNDHAM HOTELS  AND  RESORTS INC</name>
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                <cusip>98311AAA3</cusip>
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                    <maturityDt>2026-04-15</maturityDt>
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                <name>CORNERSTONE BUILDING BRANDS INC</name>
                <lei>549300IW41QEWQ6T0H29</lei>
                <title>CORP. NOTE</title>
                <cusip>72431PAA0</cusip>
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                <invCountry>US</invCountry>
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                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
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            <invstOrSec>
                <name>TOPBUILD CORP</name>
                <lei>5493007YSKHOL4RWII46</lei>
                <title>CORP. NOTE</title>
                <cusip>89055FAA1</cusip>
                <identifiers>
                    <isin value="US89055FAA12"/>
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                <balance>56000</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FAIRFAX FINANCIAL HOLDINGS LTD</name>
                <lei>GLS7OQD0WOEDI8YAP031</lei>
                <title>CORP. NOTE</title>
                <cusip>303901BB7</cusip>
                <identifiers>
                    <isin value="US303901BB79"/>
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                <balance>75000</balance>
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                <curCd>USD</curCd>
                <valUSD>82188.82</valUSD>
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                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.85</annualizedRt>
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            <invstOrSec>
                <name>SYNGENTA FINANCE NV</name>
                <lei>54930042S3BYCEGOCN86</lei>
                <title>CORP. NOTE</title>
                <cusip>87164KAC8</cusip>
                <identifiers>
                    <isin value="US87164KAC80"/>
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                <balance>305000</balance>
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                <curCd>USD</curCd>
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                <invCountry>NL</invCountry>

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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-04-24</maturityDt>
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                <name>CHAMPIONX CORP</name>
                <lei>549300EP2909K6DYYP38</lei>
                <title>CORP. NOTE</title>
                <cusip>03755LAC8</cusip>
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                    <isin value="US03755LAC81"/>
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                    <couponKind>Fixed</couponKind>
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                <name>AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC</name>
                <lei>549300H5GQ4C1BEKG397</lei>
                <title>CORP. NOTE</title>
                <cusip>024747AE7</cusip>
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                    <isin value="US024747AE77"/>
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                <curCd>USD</curCd>
                <valUSD>39425</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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            <invstOrSec>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>CORP. NOTE</title>
                <cusip>44485HAA2</cusip>
                <identifiers>
                    <isin value="US44485HAA23"/>
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                <balance>90000</balance>
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                <curCd>USD</curCd>
                <valUSD>94837.5</valUSD>
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                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
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                <name>GLP CAPITAL LP / GLP FINANCING II INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>361841AJ8</cusip>
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                    <isin value="US361841AJ81"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2025-06-01</maturityDt>
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                <name>WPX ENERGY INC</name>
                <lei>ZXZE9GCS2BB547GJW219</lei>
                <title>CORP. NOTE</title>
                <cusip>98212BAH6</cusip>
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                    <isin value="US98212BAH69"/>
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                <name>CENTENE CORP</name>
                <lei>549300Z7JJ4TQSQGT333</lei>
                <title>CORP. NOTE</title>
                <cusip>15137TAA8</cusip>
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                    <isin value="US15137TAA88"/>
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                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                <name>ONEMAIN FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORP. NOTE</title>
                <cusip>85172FAN9</cusip>
                <identifiers>
                    <isin value="US85172FAN96"/>
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                <balance>60000</balance>
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                <curCd>USD</curCd>
                <valUSD>67032</valUSD>
                <pctVal>0.030453725126</pctVal>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
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            <invstOrSec>
                <name>BAUSCH HEALTH AMERICAS INC</name>
                <lei>KOO0397YRO83WY5MGD97</lei>
                <title>CORP. NOTE</title>
                <cusip>91911XAW4</cusip>
                <identifiers>
                    <isin value="US91911XAW48"/>
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                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>164625</valUSD>
                <pctVal>0.074791808374</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CARRIAGE SERVICES INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>143905AN7</cusip>
                <identifiers>
                    <isin value="US143905AN72"/>
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                <balance>55000</balance>
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                <curCd>USD</curCd>
                <valUSD>57612.5</valUSD>
                <pctVal>0.026174293454</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TMX FINANCE LLC / TITLEMAX FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>87261NAJ9</cusip>
                <identifiers>
                    <isin value="US87261NAJ90"/>
                </identifiers>
                <balance>83000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>75115</valUSD>
                <pctVal>0.034125963165</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>11.125</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>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
                <lei>5493004T21MOAFINJP35</lei>
                <title>CORP. NOTE</title>
                <cusip>88167AAL5</cusip>
                <identifiers>
                    <isin value="US88167AAL52"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>204000</valUSD>
                <pctVal>0.092680509693</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</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>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
                <lei>5493004T21MOAFINJP35</lei>
                <title>CORP. NOTE</title>
                <cusip>88167AAK7</cusip>
                <identifiers>
                    <isin value="US88167AAK79"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>209000</valUSD>
                <pctVal>0.094952090813</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</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>BOYD GAMING CORP</name>
                <lei>254900787YGRYS2A1Z35</lei>
                <title>CORP. NOTE</title>
                <cusip>103304BQ3</cusip>
                <identifiers>
                    <isin value="US103304BQ38"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>61875</valUSD>
                <pctVal>0.028110816359</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</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>ENERGIZER HOLDINGS INC</name>
                <lei>5493000D6NN0V57UME20</lei>
                <title>CORP. NOTE</title>
                <cusip>29272WAA7</cusip>
                <identifiers>
                    <isin value="US29272WAA71"/>
                </identifiers>
                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>75264</valUSD>
                <pctVal>0.034193656282</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</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>NATIONSTAR MORTGAGE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>93369KAB1</cusip>
                <identifiers>
                    <isin value="US93369KAB17"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>134062.5</valUSD>
                <pctVal>0.060906768778</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.125</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>VALVOLINE INC</name>
                <lei>549300CMHPBEY6VPOT75</lei>
                <title>CORP. NOTE</title>
                <cusip>92047WAD3</cusip>
                <identifiers>
                    <isin value="US92047WAD39"/>
                </identifiers>
                <balance>145000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>147900</valUSD>
                <pctVal>0.067193369528</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</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>BUCKEYE PARTNERS LP</name>
                <lei>549300C1PQJLVEIUBK50</lei>
                <title>CORP. NOTE</title>
                <cusip>118230AU5</cusip>
                <identifiers>
                    <isin value="US118230AU55"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>43368.75</valUSD>
                <pctVal>0.019703126739</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</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>MATTAMY GROUP CORP</name>
                <lei>5493008TNY7A82WCXU31</lei>
                <title>CORP. NOTE</title>
                <cusip>57701RAM4</cusip>
                <identifiers>
                    <isin value="US57701RAM43"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>126575</valUSD>
                <pctVal>0.057505076051</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</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>ZAYO GROUP HOLDINGS INC</name>
                <lei>529900Z6OTS7RT0V0I47</lei>
                <title>CORP. NOTE</title>
                <cusip>98919VAA3</cusip>
                <identifiers>
                    <isin value="US98919VAA35"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54132.38</valUSD>
                <pctVal>0.024593218477</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</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>YUM! BRANDS INC</name>
                <lei>549300JE8XHZZ7OHN517</lei>
                <title>CORP. NOTE</title>
                <cusip>988498AM3</cusip>
                <identifiers>
                    <isin value="US988498AM33"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27726.25</valUSD>
                <pctVal>0.012596485205</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.75</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>CARNIVAL CORP</name>
                <lei>F1OF2ZSX47CR0BCWA982</lei>
                <title>CORP. NOTE</title>
                <cusip>143658BC5</cusip>
                <identifiers>
                    <isin value="US143658BC57"/>
                </identifiers>
                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56032.25</valUSD>
                <pctVal>0.025456360242</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>11.5</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>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264ABC8</cusip>
                <identifiers>
                    <isin value="US87264ABC80"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>140267.5</valUSD>
                <pctVal>0.063725800948</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</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>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDE7</cusip>
                <identifiers>
                    <isin value="US88033GDE70"/>
                </identifiers>
                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>32250</valUSD>
                <pctVal>0.014651698224</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</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>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BK2</cusip>
                <identifiers>
                    <isin value="US893647BK28"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27187.5</valUSD>
                <pctVal>0.01235172234</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</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>DELL INTERNATIONAL LLC / EMC CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>24703DBB6</cusip>
                <identifiers>
                    <isin value="US24703DBB64"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46607.68</valUSD>
                <pctVal>0.021174625186</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.85</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>WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>983133AB5</cusip>
                <identifiers>
                    <isin value="US983133AB53"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>37067.98</valUSD>
                <pctVal>0.016840584704</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.75</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>NORDSTROM INC</name>
                <lei>549300S3IZB5P35KNV16</lei>
                <title>CORP. NOTE</title>
                <cusip>655664AU4</cusip>
                <identifiers>
                    <isin value="US655664AU44"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>126023.19</valUSD>
                <pctVal>0.057254379816</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <name>MASONITE INTERNATIONAL CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>575385AD1</cusip>
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                <name>LOXAM SAS</name>
                <lei>969500BNA2YRNE1R5K91</lei>
                <title>CORP. NOTE</title>
                <cusip>F5837PAU0</cusip>
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                <name>DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO</name>
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                <title>CORP. NOTE</title>
                <cusip>25277LAA4</cusip>
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                <name>DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO</name>
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                <title>CORP. NOTE</title>
                <cusip>25277LAC0</cusip>
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                <name>TAYLOR MORRISON COMMUNITIES INC</name>
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                <title>CORP. NOTE</title>
                <cusip>87724RAB8</cusip>
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                <name>ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC</name>
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                <title>CORP. NOTE</title>
                <cusip>03969AAN0</cusip>
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                <name>OCCIDENTAL PETROLEUM CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>674599CW3</cusip>
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                <name>CLEAR CHANNEL WORLDWIDE HOLDINGS INC</name>
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                <title>CORP. NOTE</title>
                <cusip>18453HAA4</cusip>
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                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCY4</cusip>
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                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDA5</cusip>
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            <invstOrSec>
                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>451102BW6</cusip>
                <identifiers>
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                <balance>65000</balance>
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                <name>OCCIDENTAL PETROLEUM CORP</name>
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                <name>BEACON ROOFING SUPPLY INC</name>
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                <title>CORP. NOTE</title>
                <cusip>073685AF6</cusip>
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                <curCd>USD</curCd>
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                <name>ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER</name>
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                <cusip>01883LAA1</cusip>
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                <name>SCOTTS MIRACLE-GRO CO/THE</name>
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                <title>CORP. NOTE</title>
                <cusip>810186AS5</cusip>
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                <name>VIPER ENERGY PARTNERS LP</name>
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                <title>CORP. NOTE</title>
                <cusip>92763MAA3</cusip>
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                <name>AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC</name>
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                <title>CORP. NOTE</title>
                <cusip>024747AF4</cusip>
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                <name>GARDA WORLD SECURITY CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>36257BAA7</cusip>
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                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BL0</cusip>
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                <name>ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC</name>
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                <cusip>013092AC5</cusip>
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                <name>SCIENTIFIC GAMES INTERNATIONAL INC</name>
                <lei>RLTHESQ0RNFQJWPBJN60</lei>
                <title>CORP. NOTE</title>
                <cusip>80874YBE9</cusip>
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                <name>GOEASY LTD</name>
                <lei>5493009DJVZG2P8YV435</lei>
                <title>CORP. NOTE</title>
                <cusip>380355AD9</cusip>
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                    <isin value="US380355AD93"/>
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                <name>REFINITIV US HOLDINGS INC</name>
                <lei>549300NF240HXJO7N016</lei>
                <title>CORP. NOTE</title>
                <cusip>31740LAA1</cusip>
                <identifiers>
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                <balance>98000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>STEVENS HOLDING CO INC</name>
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            <invstOrSec>
                <name>GRAY TELEVISION INC</name>
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                <name>TRONOX INC</name>
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                <name>JELD-WEN INC</name>
                <lei>549300XWE6NM0N1HFW16</lei>
                <title>CORP. NOTE</title>
                <cusip>475795AE0</cusip>
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                    <maturityDt>2025-05-15</maturityDt>
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                <name>AVIENT CORP</name>
                <lei>SM8L9RZYIB34LNTWO040</lei>
                <title>CORP. NOTE</title>
                <cusip>73179PAM8</cusip>
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                <name>HANESBRANDS INC</name>
                <lei>GX5LWVWZLL5S4W1L2F20</lei>
                <title>CORP. NOTE</title>
                <cusip>410345AN2</cusip>
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                <curCd>USD</curCd>
                <valUSD>47475</valUSD>
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                <name>TEMPO ACQUISITION LLC / TEMPO ACQUISITION FINANCE CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>88023JAD8</cusip>
                <identifiers>
                    <isin value="US88023JAD81"/>
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                <balance>45000</balance>
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                <curCd>USD</curCd>
                <valUSD>47137.5</valUSD>
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                    <couponKind>Fixed</couponKind>
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                <name>KRAFT HEINZ FOODS CO</name>
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                <title>CORP. NOTE</title>
                <cusip>50077LBA3</cusip>
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                <name>BWAY HOLDING CO</name>
                <lei>549300DNGHXL0OMHW304</lei>
                <title>CORP. NOTE</title>
                <cusip>57763RAA5</cusip>
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                <curCd>USD</curCd>
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                    <maturityDt>2024-04-15</maturityDt>
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                <name>WOLVERINE WORLD WIDE INC</name>
                <lei>549300OVC7PK14LQ8D87</lei>
                <title>CORP. NOTE</title>
                <cusip>978097AF0</cusip>
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                <name>OWENS-BROCKWAY GLASS CONTAINER INC</name>
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                <title>CORP. NOTE</title>
                <cusip>69073TAT0</cusip>
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                <name>LAMB WESTON HOLDINGS INC</name>
                <lei>5493005SMYID1D2OY946</lei>
                <title>CORP. NOTE</title>
                <cusip>513272AC8</cusip>
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                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AK3</cusip>
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                    <couponKind>Fixed</couponKind>
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                <name>ONEMAIN FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORP. NOTE</title>
                <cusip>85172FAS8</cusip>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.875</annualizedRt>
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            <invstOrSec>
                <name>MATCH GROUP HOLDINGS II LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>57665RAN6</cusip>
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                    <isin value="US57665RAN61"/>
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                <balance>60000</balance>
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                <curCd>USD</curCd>
                <valUSD>61800</valUSD>
                <pctVal>0.028076742642</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CLARIOS GLOBAL LP</name>
                <lei>549300474L1ZLXZY2P98</lei>
                <title>CORP. NOTE</title>
                <cusip>18060TAA3</cusip>
                <identifiers>
                    <isin value="US18060TAA34"/>
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                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>84200</valUSD>
                <pctVal>0.03825342606</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CORP. NOTE</title>
                <cusip>538034AV1</cusip>
                <identifiers>
                    <isin value="US538034AV10"/>
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                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64754.4</valUSD>
                <pctVal>0.029418974495</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>AES CORP/THE</name>
                <lei>2NUNNB7D43COUIRE5295</lei>
                <title>CORP. NOTE</title>
                <cusip>00130HCB9</cusip>
                <identifiers>
                    <isin value="US00130HCB96"/>
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                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>42614.4</valUSD>
                <pctVal>0.019360413295</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.3</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>IRB HOLDING CORP</name>
                <lei>549300HVW4WNWYBXN830</lei>
                <title>CORP. NOTE</title>
                <cusip>44988MAC9</cusip>
                <identifiers>
                    <isin value="US44988MAC91"/>
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                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63975</valUSD>
                <pctVal>0.02906488043</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DIAMONDBACK ENERGY INC</name>
                <lei>549300R22LSX6OHWEN64</lei>
                <title>CORP. NOTE</title>
                <cusip>25278XAP4</cusip>
                <identifiers>
                    <isin value="US25278XAP42"/>
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                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64724.27</valUSD>
                <pctVal>0.029405285947</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NEWELL BRANDS INC</name>
                <lei>549300LWGYFM1TVO1Z12</lei>
                <title>CORP. NOTE</title>
                <cusip>651229BB1</cusip>
                <identifiers>
                    <isin value="US651229BB19"/>
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                <balance>66000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>71197.5</valUSD>
                <pctVal>0.032346179357</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>JAGUAR HOLDING CO II / PPD DEVELOPMENT LP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>47010LAB8</cusip>
                <identifiers>
                    <isin value="US47010LAB80"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25750</valUSD>
                <pctVal>0.011698642768</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>JAGUAR HOLDING CO II / PPD DEVELOPMENT LP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>47010LAA0</cusip>
                <identifiers>
                    <isin value="US47010LAA08"/>
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                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36531.25</valUSD>
                <pctVal>0.016596739558</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MICROCHIP TECHNOLOGY INC</name>
                <lei>5493007PTFULNYZJ1R12</lei>
                <title>CORP. NOTE</title>
                <cusip>595017AS3</cusip>
                <identifiers>
                    <isin value="US595017AS32"/>
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                <balance>119000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>123469.5</valUSD>
                <pctVal>0.056094197018</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MACY'S INC</name>
                <lei>529900NZQ81TIOW3CW52</lei>
                <title>CORP. NOTE</title>
                <cusip>55616PAA2</cusip>
                <identifiers>
                    <isin value="US55616PAA21"/>
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                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>31017.9</valUSD>
                <pctVal>0.014091935204</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DIVERSIFIED HEALTHCARE TRUST</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25525PAA5</cusip>
                <identifiers>
                    <isin value="US25525PAA57"/>
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                <balance>230000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>255578.76</valUSD>
                <pctVal>0.116113577175</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WESCO DISTRIBUTION INC</name>
                <lei>549300I2CEZJG9N4AH67</lei>
                <title>CORP. NOTE</title>
                <cusip>95081QAN4</cusip>
                <identifiers>
                    <isin value="US95081QAN43"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59911.5</valUSD>
                <pctVal>0.027218766453</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WESCO DISTRIBUTION INC</name>
                <lei>549300I2CEZJG9N4AH67</lei>
                <title>CORP. NOTE</title>
                <cusip>95081QAP9</cusip>
                <identifiers>
                    <isin value="US95081QAP90"/>
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                <balance>115000</balance>
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                <curCd>USD</curCd>
                <valUSD>126002.63</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
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            <invstOrSec>
                <name>ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>29260FAF7</cusip>
                <identifiers>
                    <isin value="US29260FAF71"/>
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                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>118162.5</valUSD>
                <pctVal>0.053683140817</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SERVICE PROPERTIES TRUST</name>
                <lei>529900IS770AG1K9QG27</lei>
                <title>CORP. NOTE</title>
                <cusip>81761LAA0</cusip>
                <identifiers>
                    <isin value="US81761LAA08"/>
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                <balance>41000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>43570.7</valUSD>
                <pctVal>0.0197948759</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WPX ENERGY INC</name>
                <lei>ZXZE9GCS2BB547GJW219</lei>
                <title>CORP. NOTE</title>
                <cusip>98212BAM5</cusip>
                <identifiers>
                    <isin value="US98212BAM54"/>
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                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>188100</valUSD>
                <pctVal>0.085456881732</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>68245XAJ8</cusip>
                <identifiers>
                    <isin value="US68245XAJ81"/>
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                <balance>77000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78524.6</valUSD>
                <pctVal>0.035674999762</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PRESTIGE BRANDS INC</name>
                <lei>549300JBVP4J6D42I235</lei>
                <title>CORP. NOTE</title>
                <cusip>74112BAL9</cusip>
                <identifiers>
                    <isin value="US74112BAL99"/>
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                <balance>95000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98087.5</valUSD>
                <pctVal>0.04456274262</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-01-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MATTEL INC</name>
                <lei>549300VELLG24KHTJ564</lei>
                <title>CORP. NOTE</title>
                <cusip>577081BD3</cusip>
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                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>BOYD GAMING CORP</name>
                <lei>254900787YGRYS2A1Z35</lei>
                <title>CORP. NOTE</title>
                <cusip>103304BU4</cusip>
                <identifiers>
                    <isin value="US103304BU40"/>
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                <balance>55000</balance>
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                <curCd>USD</curCd>
                <valUSD>53968.75</valUSD>
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                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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            <invstOrSec>
                <name>ALLEGHENY TECHNOLOGIES INC</name>
                <lei>ZW1LRE7C3H17O2ZN9B45</lei>
                <title>CORP. NOTE</title>
                <cusip>01741RAH5</cusip>
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                    <isin value="US01741RAH57"/>
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                <balance>10000</balance>
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                <curCd>USD</curCd>
                <valUSD>9609.5</valUSD>
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                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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            <invstOrSec>
                <name>MATTAMY GROUP CORP</name>
                <lei>5493008TNY7A82WCXU31</lei>
                <title>CORP. NOTE</title>
                <cusip>57701RAJ1</cusip>
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                    <isin value="US57701RAJ14"/>
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                <balance>160000</balance>
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                <curCd>USD</curCd>
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                <invCountry>CA</invCountry>
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                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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            <invstOrSec>
                <name>COMPASS MINERALS INTERNATIONAL INC</name>
                <lei>2549008X9G8XP7YJGC47</lei>
                <title>CORP. NOTE</title>
                <cusip>20451NAG6</cusip>
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                    <isin value="US20451NAG60"/>
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                <balance>175000</balance>
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                <curCd>USD</curCd>
                <valUSD>189000</valUSD>
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                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>HESS MIDSTREAM OPERATIONS LP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>428104AA1</cusip>
                <identifiers>
                    <isin value="US428104AA14"/>
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                <balance>102000</balance>
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                <curCd>USD</curCd>
                <valUSD>101808.24</valUSD>
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                <assetCat>DBT</assetCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCG4</cusip>
                <identifiers>
                    <isin value="US45031UCG40"/>
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                <balance>122000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>113840.64</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>CORP. NOTE</title>
                <cusip>36168QAF1</cusip>
                <identifiers>
                    <isin value="US36168QAF19"/>
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                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>118749</valUSD>
                <pctVal>0.053949597282</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORP. NOTE</title>
                <cusip>131347CM6</cusip>
                <identifiers>
                    <isin value="US131347CM64"/>
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                <balance>270000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>276517.8</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>HESS MIDSTREAM OPERATIONS LP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>428102AC1</cusip>
                <identifiers>
                    <isin value="US428102AC14"/>
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                <balance>267000</balance>
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                <curCd>USD</curCd>
                <valUSD>272000.91</valUSD>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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            <invstOrSec>
                <name>NABORS INDUSTRIES LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>629571AA8</cusip>
                <identifiers>
                    <isin value="US629571AA86"/>
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                <balance>55000</balance>
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                <curCd>USD</curCd>
                <valUSD>27087.5</valUSD>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2026-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>NABORS INDUSTRIES LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>629571AB6</cusip>
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                    <isin value="US629571AB69"/>
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                <balance>130000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
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            <invstOrSec>
                <name>AKER BP ASA</name>
                <lei>549300NFTY73920OYK69</lei>
                <title>CORP. NOTE</title>
                <cusip>00973RAF0</cusip>
                <identifiers>
                    <isin value="US00973RAF01"/>
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                <balance>150000</balance>
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                <curCd>USD</curCd>
                <valUSD>145687.5</valUSD>
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                    <maturityDt>2030-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
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            <invstOrSec>
                <name>NATIONSTAR MORTGAGE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>63861CAA7</cusip>
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                    <isin value="US63861CAA71"/>
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                <balance>60000</balance>
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                <curCd>USD</curCd>
                <valUSD>61161.6</valUSD>
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                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
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            <invstOrSec>
                <name>LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>505742AM8</cusip>
                <identifiers>
                    <isin value="US505742AM88"/>
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                <balance>115000</balance>
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                <curCd>USD</curCd>
                <valUSD>99475</valUSD>
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                <assetCat>DBT</assetCat>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
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            <invstOrSec>
                <name>PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>74166MAE6</cusip>
                <identifiers>
                    <isin value="US74166MAE66"/>
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                <balance>115000</balance>
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                <curCd>USD</curCd>
                <valUSD>116437.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
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            <invstOrSec>
                <name>HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP</name>
                <lei>549300HLPTRASHS0E726</lei>
                <title>CORP. NOTE</title>
                <cusip>435765AH5</cusip>
                <identifiers>
                    <isin value="US435765AH53"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>53625</valUSD>
                <pctVal>0.024362707511</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CENTENE CORP</name>
                <lei>549300Z7JJ4TQSQGT333</lei>
                <title>CORP. NOTE</title>
                <cusip>15135BAM3</cusip>
                <identifiers>
                    <isin value="US15135BAM37"/>
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                <balance>89000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94266.58</valUSD>
                <pctVal>0.042826836674</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</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>CENTENE CORP</name>
                <lei>549300Z7JJ4TQSQGT333</lei>
                <title>CORP. NOTE</title>
                <cusip>15135BAL5</cusip>
                <identifiers>
                    <isin value="US15135BAL53"/>
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                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>77943.75</valUSD>
                <pctVal>0.035411110183</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</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>STATION CASINOS LLC</name>
                <lei>5493004E7Q60TX54WL62</lei>
                <title>CORP. NOTE</title>
                <cusip>857691AG4</cusip>
                <identifiers>
                    <isin value="US857691AG41"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105800</valUSD>
                <pctVal>0.048066656498</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</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>AG ISSUER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>00119LAA9</cusip>
                <identifiers>
                    <isin value="US00119LAA98"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>104475</valUSD>
                <pctVal>0.047464687501</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</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>WEEKLEY HOMES LLC / WEEKLEY FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>948565AD8</cusip>
                <identifiers>
                    <isin value="US948565AD85"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25250</valUSD>
                <pctVal>0.011471484656</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>US CONCRETE INC</name>
                <lei>549300J94Q38BL8BMH45</lei>
                <title>CORP. NOTE</title>
                <cusip>90333LAT9</cusip>
                <identifiers>
                    <isin value="US90333LAT98"/>
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                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>45112.5</valUSD>
                <pctVal>0.020495340655</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</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>HUDBAY MINERALS INC</name>
                <lei>549300WI524AL577IX21</lei>
                <title>CORP. NOTE</title>
                <cusip>443628AH5</cusip>
                <identifiers>
                    <isin value="US443628AH54"/>
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                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29700</valUSD>
                <pctVal>0.013493191852</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</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>BIG RIVER STEEL LLC / BRS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>08949LAB6</cusip>
                <identifiers>
                    <isin value="US08949LAB62"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116282.25</valUSD>
                <pctVal>0.052828912737</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</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>NIELSEN FINANCE LLC / NIELSEN FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>65409QBD3</cusip>
                <identifiers>
                    <isin value="US65409QBD34"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82744</valUSD>
                <pctVal>0.037591941638</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NEXSTAR BROADCASTING INC</name>
                <lei>5493006PK6I4I2OOT688</lei>
                <title>CORP. NOTE</title>
                <cusip>65336YAN3</cusip>
                <identifiers>
                    <isin value="US65336YAN31"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56020.25</valUSD>
                <pctVal>0.025450908447</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</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>DELTA AIR LINES INC / SKYMILES IP LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>830867AB3</cusip>
                <identifiers>
                    <isin value="US830867AB33"/>
                </identifiers>
                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>176507.45</valUSD>
                <pctVal>0.08019019819</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</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>PM GENERAL PURCHASER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69356MAA4</cusip>
                <identifiers>
                    <isin value="US69356MAA45"/>
                </identifiers>
                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>176324</valUSD>
                <pctVal>0.080106853878</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.5</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>GLOBAL PARTNERS LP / GLP FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>37954FAH7</cusip>
                <identifiers>
                    <isin value="US37954FAH73"/>
                </identifiers>
                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20200</valUSD>
                <pctVal>0.009177187725</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</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>PENNYMAC FINANCIAL SERVICES INC</name>
                <lei>549300W1D516HBDEU871</lei>
                <title>CORP. NOTE</title>
                <cusip>70932MAA5</cusip>
                <identifiers>
                    <isin value="US70932MAA53"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>91125</valUSD>
                <pctVal>0.041399565911</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GLOBAL MEDICAL RESPONSE INC</name>
                <lei>549300ZFWD4ZFCEJCQ87</lei>
                <title>CORP. NOTE</title>
                <cusip>37960BAA3</cusip>
                <identifiers>
                    <isin value="US37960BAA35"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54593</valUSD>
                <pctVal>0.024802485616</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</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>FREEPORT-MCMORAN INC</name>
                <lei>549300IRDTHJQ1PVET45</lei>
                <title>CORP. NOTE</title>
                <cusip>35671DCG8</cusip>
                <identifiers>
                    <isin value="US35671DCG88"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62037.3</valUSD>
                <pctVal>0.028184551882</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</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>BOISE CASCADE CO</name>
                <lei>549300Z8B8LSRHC7XA55</lei>
                <title>CORP. NOTE</title>
                <cusip>09739DAD2</cusip>
                <identifiers>
                    <isin value="US09739DAD21"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96750</valUSD>
                <pctVal>0.043955094671</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>MASTEC INC</name>
                <lei>549300TMDIT8WREDOF45</lei>
                <title>CORP. NOTE</title>
                <cusip>576323AP4</cusip>
                <identifiers>
                    <isin value="US576323AP42"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116150</valUSD>
                <pctVal>0.052768829416</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</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>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORP. NOTE</title>
                <cusip>131347CP9</cusip>
                <identifiers>
                    <isin value="US131347CP95"/>
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            <invstOrSec>
                <name>NATIONSTAR MORTGAGE HOLDINGS INC</name>
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                <cusip>63861CAC3</cusip>
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                    <isin value="US63861CAC38"/>
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                <curCd>USD</curCd>
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            <invstOrSec>
                <name>APACHE CORP</name>
                <lei>72ZZ1XRHOOU9P9X16K08</lei>
                <title>CORP. NOTE</title>
                <cusip>037411BH7</cusip>
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                    <isin value="US037411BH70"/>
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                <curCd>USD</curCd>
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            <invstOrSec>
                <name>APACHE CORP</name>
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                <title>CORP. NOTE</title>
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                    <maturityDt>2027-11-15</maturityDt>
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                    <annualizedRt>4.875</annualizedRt>
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            <invstOrSec>
                <name>PENSKE AUTOMOTIVE GROUP INC</name>
                <lei>549300W7UTQ0M4C7LB15</lei>
                <title>CORP. NOTE</title>
                <cusip>70959WAJ2</cusip>
                <identifiers>
                    <isin value="US70959WAJ27"/>
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                <balance>25000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2025-09-01</maturityDt>
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            <invstOrSec>
                <name>PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>74166MAF3</cusip>
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                    <isin value="US74166MAF32"/>
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                <curCd>USD</curCd>
                <valUSD>52758.48</valUSD>
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                    <maturityDt>2027-08-31</maturityDt>
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            <invstOrSec>
                <name>LEVEL 3 FINANCING INC</name>
                <lei>OKXQCBALRQBU7RU5WQ22</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BS1</cusip>
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                    <isin value="US527298BS18"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2029-01-15</maturityDt>
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            <invstOrSec>
                <name>QVC INC</name>
                <lei>549300WBLU5NKPX5X472</lei>
                <title>CORP. NOTE</title>
                <cusip>747262AZ6</cusip>
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                    <isin value="US747262AZ65"/>
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                <balance>100000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2028-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
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            <invstOrSec>
                <name>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCJ8</cusip>
                <identifiers>
                    <isin value="US45031UCJ88"/>
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                <curCd>USD</curCd>
                <valUSD>84348</valUSD>
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                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>TRI POINTE GROUP INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>87265HAG4</cusip>
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                    <isin value="US87265HAG48"/>
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                <balance>55000</balance>
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                <curCd>USD</curCd>
                <valUSD>60225</valUSD>
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                    <maturityDt>2028-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.7</annualizedRt>
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                <name>UNIVISION COMMUNICATIONS INC</name>
                <lei>549300YQDE2JSGTL8V47</lei>
                <title>CORP. NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US914906AU68"/>
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                <balance>115000</balance>
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                <curCd>USD</curCd>
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                <name>L BRANDS INC</name>
                <lei>GR3KVMWVCR54YWQNXU90</lei>
                <title>CORP. NOTE</title>
                <cusip>501797AS3</cusip>
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                <name>L BRANDS INC</name>
                <lei>GR3KVMWVCR54YWQNXU90</lei>
                <title>CORP. NOTE</title>
                <cusip>501797AU8</cusip>
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                <name>LEVEL 3 FINANCING INC</name>
                <lei>OKXQCBALRQBU7RU5WQ22</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BR3</cusip>
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                    <isin value="US527298BR35"/>
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                    <maturityDt>2028-07-01</maturityDt>
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                    <annualizedRt>4.25</annualizedRt>
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                <name>AMERICAN AXLE  AND  MANUFACTURING INC</name>
                <lei>RY5TAKFOBLDUGX31MS24</lei>
                <title>CORP. NOTE</title>
                <cusip>02406PBA7</cusip>
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                    <isin value="US02406PBA75"/>
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                <balance>10000</balance>
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                <curCd>USD</curCd>
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                <name>WR GRACE  AND  CO/CONNECTICUT</name>
                <lei>549300GJVOEHHLSO6K25</lei>
                <title>CORP. NOTE</title>
                <cusip>383909AG3</cusip>
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                    <isin value="US383909AG38"/>
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                    <maturityDt>2027-06-15</maturityDt>
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            <invstOrSec>
                <name>FORD MOTOR CREDIT CO LLC</name>
                <lei>UDSQCVRUX5BONN0VY111</lei>
                <title>CORP. NOTE</title>
                <cusip>345397A60</cusip>
                <identifiers>
                    <isin value="US345397A605"/>
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                <curCd>USD</curCd>
                <valUSD>206250</valUSD>
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                    <maturityDt>2025-06-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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                <name>PACIFIC GAS  AND  ELECTRIC CO</name>
                <lei>1HNPXZSMMB7HMBMVBS46</lei>
                <title>CORP. NOTE</title>
                <cusip>694308JF5</cusip>
                <identifiers>
                    <isin value="US694308JF52"/>
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                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>43540.65</valUSD>
                <pctVal>0.019781223698</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.1</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DCP MIDSTREAM OPERATING LP</name>
                <lei>549300Y6CTBSE0QIPL28</lei>
                <title>CORP. NOTE</title>
                <cusip>23311VAJ6</cusip>
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                    <isin value="US23311VAJ61"/>
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            <invstOrSec>
                <name>GARTNER INC</name>
                <lei>PP55B5R38BFB8O8HH686</lei>
                <title>CORP. NOTE</title>
                <cusip>366651AC1</cusip>
                <identifiers>
                    <isin value="US366651AC11"/>
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                <balance>25000</balance>
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                <curCd>USD</curCd>
                <valUSD>26281.25</valUSD>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-07-01</maturityDt>
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            <invstOrSec>
                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORP. NOTE</title>
                <cusip>78454LAT7</cusip>
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                    <isin value="US78454LAT70"/>
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                <balance>30000</balance>
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                <curCd>USD</curCd>
                <valUSD>28500</valUSD>
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                    <maturityDt>2025-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>10</annualizedRt>
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            <invstOrSec>
                <name>MEREDITH CORP</name>
                <lei>549300YC8BC386CCTS24</lei>
                <title>CORP. NOTE</title>
                <cusip>589433AC5</cusip>
                <identifiers>
                    <isin value="US589433AC54"/>
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                <balance>110000</balance>
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                <curCd>USD</curCd>
                <valUSD>113025</valUSD>
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                    <maturityDt>2025-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>TRIPADVISOR INC</name>
                <lei>549300XVG45PT5BART17</lei>
                <title>CORP. NOTE</title>
                <cusip>896945AA0</cusip>
                <identifiers>
                    <isin value="US896945AA07"/>
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                <balance>59000</balance>
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                <curCd>USD</curCd>
                <valUSD>61507.5</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>RATTLER MIDSTREAM LP</name>
                <lei>549300I45NRVEEN9M219</lei>
                <title>CORP. NOTE</title>
                <cusip>75419TAA1</cusip>
                <identifiers>
                    <isin value="US75419TAA16"/>
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                <balance>80000</balance>
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                <curCd>USD</curCd>
                <valUSD>80600</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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            <invstOrSec>
                <name>CINEMARK USA INC</name>
                <lei>54930008H2137JSCPQ09</lei>
                <title>CORP. NOTE</title>
                <cusip>172441BC0</cusip>
                <identifiers>
                    <isin value="US172441BC09"/>
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                <balance>25000</balance>
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                <curCd>USD</curCd>
                <valUSD>26500</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.75</annualizedRt>
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            <invstOrSec>
                <name>SABRE GLBL INC</name>
                <lei>F2TJC7HPPHLHU1AQMP98</lei>
                <title>CORP. NOTE</title>
                <cusip>78573NAC6</cusip>
                <identifiers>
                    <isin value="US78573NAC65"/>
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                <balance>278000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>305958.46</valUSD>
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                <assetCat>DBT</assetCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.25</annualizedRt>
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            <invstOrSec>
                <name>MARRIOTT INTERNATIONAL INC/MD</name>
                <lei>225YDZ14ZO8E1TXUSU86</lei>
                <title>CORP. NOTE</title>
                <cusip>571903BD4</cusip>
                <identifiers>
                    <isin value="US571903BD44"/>
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                <balance>40000</balance>
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                <curCd>USD</curCd>
                <valUSD>44640.81</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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            <invstOrSec>
                <name>SIX FLAGS THEME PARKS INC</name>
                <lei>5493003MX0ZXTM8EVY68</lei>
                <title>CORP. NOTE</title>
                <cusip>83001WAC8</cusip>
                <identifiers>
                    <isin value="US83001WAC82"/>
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                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>122331.25</valUSD>
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                <invCountry>US</invCountry>
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                    <maturityDt>2025-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
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            <invstOrSec>
                <name>FORD MOTOR CO</name>
                <lei>20S05OYHG0MQM4VUIC57</lei>
                <title>CORP. NOTE</title>
                <cusip>345370CW8</cusip>
                <identifiers>
                    <isin value="US345370CW84"/>
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                <balance>152000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>174269.52</valUSD>
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                    <maturityDt>2025-04-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9</annualizedRt>
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                <name>NAVISTAR INTERNATIONAL CORP</name>
                <lei>WNDD3CRVXJGC8I7GX671</lei>
                <title>CORP. NOTE</title>
                <cusip>63934EAW8</cusip>
                <identifiers>
                    <isin value="US63934EAW84"/>
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                <balance>13000</balance>
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                <curCd>USD</curCd>
                <valUSD>14648.01</valUSD>
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                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.5</annualizedRt>
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            <invstOrSec>
                <name>UNIVISION COMMUNICATIONS INC</name>
                <lei>549300YQDE2JSGTL8V47</lei>
                <title>CORP. NOTE</title>
                <cusip>914906AT9</cusip>
                <identifiers>
                    <isin value="US914906AT95"/>
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                <balance>65000</balance>
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                <curCd>USD</curCd>
                <valUSD>69550</valUSD>
                <pctVal>0.031597693378</pctVal>
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                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>GAP INC/THE</name>
                <lei>T2ZG1WRWZ4BUCMQL9224</lei>
                <title>CORP. NOTE</title>
                <cusip>364760AL2</cusip>
                <identifiers>
                    <isin value="US364760AL21"/>
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                <balance>78000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86190</valUSD>
                <pctVal>0.039157515345</pctVal>
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                    <maturityDt>2023-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>ARD FINANCE SA</name>
                <lei>6354006P6QPGGPVJW880</lei>
                <title>CORP. PIK BOND</title>
                <cusip>00191AAD8</cusip>
                <identifiers>
                    <isin value="US00191AAD81"/>
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                <balance>200000</balance>
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                <curCd>USD</curCd>
                <valUSD>198960</valUSD>
                <pctVal>0.090390755925</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-06-30</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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            <invstOrSec>
                <name>HUSKY III HOLDING LTD</name>
                <lei>N/A</lei>
                <title>CORP. PIK BOND</title>
                <cusip>44810RAA6</cusip>
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                    <isin value="US44810RAA68"/>
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                <balance>150000</balance>
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                <curCd>USD</curCd>
                <valUSD>155250</valUSD>
                <pctVal>0.070532593774</pctVal>
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                <assetCat>DBT</assetCat>
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                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-02-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>13</annualizedRt>
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            <invstOrSec>
                <name>YUM! BRANDS INC</name>
                <lei>549300JE8XHZZ7OHN517</lei>
                <title>CORPORATE BONDS</title>
                <cusip>988498AL5</cusip>
                <identifiers>
                    <isin value="US988498AL59"/>
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                <balance>55000</balance>
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                <curCd>USD</curCd>
                <valUSD>59400</valUSD>
                <pctVal>0.026986383705</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SPECTRUM BRANDS INC</name>
                <lei>549300VU3EH2E73C1Q04</lei>
                <title>CORPORATE BONDS</title>
                <cusip>84762LAV7</cusip>
                <identifiers>
                    <isin value="US84762LAV71"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57062.5</valUSD>
                <pctVal>0.025924419531</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</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>WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>983133AA7</cusip>
                <identifiers>
                    <isin value="US983133AA70"/>
                </identifiers>
                <balance>145000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>138112.5</valUSD>
                <pctVal>0.062746749485</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</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>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAV8</cusip>
                <identifiers>
                    <isin value="US64110LAV80"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>39900</valUSD>
                <pctVal>0.018127217337</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>ONEMAIN FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORPORATE BONDS</title>
                <cusip>85172FAR0</cusip>
                <identifiers>
                    <isin value="US85172FAR01"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>124800</valUSD>
                <pctVal>0.056698664754</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</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>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAX4</cusip>
                <identifiers>
                    <isin value="US64110LAX47"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>73800</valUSD>
                <pctVal>0.03352853733</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</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>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71654QCP5</cusip>
                <identifiers>
                    <isin value="US71654QCP54"/>
                </identifiers>
                <balance>432000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>387435.74</valUSD>
                <pctVal>0.176018342435</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</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>OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>69007TAC8</cusip>
                <identifiers>
                    <isin value="US69007TAC80"/>
                </identifiers>
                <balance>36000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34560</valUSD>
                <pctVal>0.015701168701</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</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>TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87612BBP6</cusip>
                <identifiers>
                    <isin value="US87612BBP67"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>35036.75</valUSD>
                <pctVal>0.015917763961</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</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>SINCLAIR TELEVISION GROUP INC</name>
                <lei>549300CQGEN0CH65UD62</lei>
                <title>CORPORATE BONDS</title>
                <cusip>829259AY6</cusip>
                <identifiers>
                    <isin value="US829259AY67"/>
                </identifiers>
                <balance>95000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88112.5</valUSD>
                <pctVal>0.040030938286</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</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>CENTENE CORP</name>
                <lei>549300Z7JJ4TQSQGT333</lei>
                <title>CORPORATE BONDS</title>
                <cusip>15135BAT8</cusip>
                <identifiers>
                    <isin value="US15135BAT89"/>
                </identifiers>
                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>269375</valUSD>
                <pctVal>0.122381432837</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</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>AMSTED INDUSTRIES INC</name>
                <lei>N2VLGYMEEBIU3PFSUY86</lei>
                <title>CORPORATE BONDS</title>
                <cusip>032177AJ6</cusip>
                <identifiers>
                    <isin value="US032177AJ66"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36137.5</valUSD>
                <pctVal>0.016417852544</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</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>WPX ENERGY INC</name>
                <lei>ZXZE9GCS2BB547GJW219</lei>
                <title>CORPORATE BONDS</title>
                <cusip>98212BAL7</cusip>
                <identifiers>
                    <isin value="US98212BAL71"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44241.08</valUSD>
                <pctVal>0.020099440411</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</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>NOVELIS CORP</name>
                <lei>549300G5F3W3B52WYL23</lei>
                <title>CORPORATE BONDS</title>
                <cusip>670001AE6</cusip>
                <identifiers>
                    <isin value="US670001AE60"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78577.6</valUSD>
                <pctVal>0.035699078522</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</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>ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>013092AE1</cusip>
                <identifiers>
                    <isin value="US013092AE14"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36487.5</valUSD>
                <pctVal>0.016576863223</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71654QDE9</cusip>
                <identifiers>
                    <isin value="US71654QDE98"/>
                </identifiers>
                <balance>1420000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1199190</valUSD>
                <pctVal>0.544811472643</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.95</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>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPCE1</cusip>
                <identifiers>
                    <isin value="US1248EPCE15"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57752.48</valUSD>
                <pctVal>0.02623788864</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</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>MATCH GROUP HOLDINGS II LLC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>57665RAL0</cusip>
                <identifiers>
                    <isin value="US57665RAL06"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25289</valUSD>
                <pctVal>0.011489202988</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</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>YUM! BRANDS INC</name>
                <lei>549300JE8XHZZ7OHN517</lei>
                <title>CORPORATE BONDS</title>
                <cusip>988498AN1</cusip>
                <identifiers>
                    <isin value="US988498AN16"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55000</valUSD>
                <pctVal>0.024987392319</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.625</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>GARTNER INC</name>
                <lei>PP55B5R38BFB8O8HH686</lei>
                <title>CORPORATE BONDS</title>
                <cusip>366651AE7</cusip>
                <identifiers>
                    <isin value="US366651AE76"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>45506.25</valUSD>
                <pctVal>0.020674227668</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</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>QORVO INC</name>
                <lei>254900YAUJV2EUEVBR11</lei>
                <title>CORPORATE BONDS</title>
                <cusip>74736KAJ0</cusip>
                <identifiers>
                    <isin value="US74736KAJ07"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55893.75</valUSD>
                <pctVal>0.025393437444</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</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>L BRANDS INC</name>
                <lei>GR3KVMWVCR54YWQNXU90</lei>
                <title>CORPORATE BONDS</title>
                <cusip>501797AW4</cusip>
                <identifiers>
                    <isin value="US501797AW48"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55962.5</valUSD>
                <pctVal>0.025424671685</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</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>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>68245XAM1</cusip>
                <identifiers>
                    <isin value="US68245XAM11"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55424.05</valUSD>
                <pctVal>0.025180045114</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</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>CENTENE CORP</name>
                <lei>549300Z7JJ4TQSQGT333</lei>
                <title>CORPORATE BONDS</title>
                <cusip>15135BAW1</cusip>
                <identifiers>
                    <isin value="US15135BAW19"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56111</valUSD>
                <pctVal>0.025492137644</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</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>SPRINT CAPITAL CORP</name>
                <lei>549300L17W0GQBR1PO80</lei>
                <title>CORPORATE BONDS</title>
                <cusip>852060AD4</cusip>
                <identifiers>
                    <isin value="US852060AD48"/>
                </identifiers>
                <balance>260000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>325000</valUSD>
                <pctVal>0.147652772796</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</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>CROWN CORK  AND  SEAL CO INC</name>
                <lei>7HLDMDH0ZXNUH6PT7Z42</lei>
                <title>CORPORATE BONDS</title>
                <cusip>228255AH8</cusip>
                <identifiers>
                    <isin value="US228255AH83"/>
                </identifiers>
                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>177937.5</valUSD>
                <pctVal>0.080839893106</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.375</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>SMURFIT KAPPA TREASURY FUNDING DAC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>832724AB4</cusip>
                <identifiers>
                    <isin value="US832724AB40"/>
                </identifiers>
                <balance>234000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>285187.5</valUSD>
                <pctVal>0.129565308128</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</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>DEVON ENERGY CORP</name>
                <lei>54930042348RKR3ZPN35</lei>
                <title>CORPORATE BONDS</title>
                <cusip>25179SAD2</cusip>
                <identifiers>
                    <isin value="US25179SAD27"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>77325</valUSD>
                <pctVal>0.03513000202</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</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>FREEPORT-MCMORAN INC</name>
                <lei>549300IRDTHJQ1PVET45</lei>
                <title>CORPORATE BONDS</title>
                <cusip>35671DCH6</cusip>
                <identifiers>
                    <isin value="US35671DCH61"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63087</valUSD>
                <pctVal>0.028661447623</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</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>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORPORATE BONDS</title>
                <cusip>131347CQ7</cusip>
                <identifiers>
                    <isin value="US131347CQ78"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25482.5</valUSD>
                <pctVal>0.011577113178</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</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>SERVICE CORP INTERNATIONAL/US</name>
                <lei>549300RKVM2ME20JHZ15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>817565CF9</cusip>
                <identifiers>
                    <isin value="US817565CF96"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>40050</valUSD>
                <pctVal>0.018195364771</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</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>EMERGENT BIOSOLUTIONS INC</name>
                <lei>549300YW6TUOX8BE5103</lei>
                <title>CORPORATE BONDS</title>
                <cusip>29089QAC9</cusip>
                <identifiers>
                    <isin value="US29089QAC96"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>35137.55</valUSD>
                <pctVal>0.015963559036</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</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>WMG ACQUISITION CORP</name>
                <lei>549300NAS11NXI33CP80</lei>
                <title>CORPORATE BONDS</title>
                <cusip>92933BAR5</cusip>
                <identifiers>
                    <isin value="US92933BAR50"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24306.25</valUSD>
                <pctVal>0.011042723719</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</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>STANDARD INDUSTRIES INC/NJ</name>
                <lei>54930064UHXCIUWVI755</lei>
                <title>CORPORATE BONDS</title>
                <cusip>853496AH0</cusip>
                <identifiers>
                    <isin value="US853496AH04"/>
                </identifiers>
                <balance>95000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>93764.53</valUSD>
                <pctVal>0.042598747214</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</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>PACIFIC GAS  AND  ELECTRIC CO</name>
                <lei>1HNPXZSMMB7HMBMVBS46</lei>
                <title>CORPORATE BONDS</title>
                <cusip>694308JG3</cusip>
                <identifiers>
                    <isin value="US694308JG36"/>
                </identifiers>
                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>171264.55</valUSD>
                <pctVal>0.077808263659</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</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>TAYLOR MORRISON COMMUNITIES INC</name>
                <lei>549300O1Z08HI2MRK572</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87724RAJ1</cusip>
                <identifiers>
                    <isin value="US87724RAJ14"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>26625</valUSD>
                <pctVal>0.012096169464</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</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>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORPORATE BONDS</title>
                <cusip>404119BT5</cusip>
                <identifiers>
                    <isin value="US404119BT57"/>
                </identifiers>
                <balance>363000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>423507.9</valUSD>
                <pctVal>0.192406509957</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</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>NEWELL BRANDS INC</name>
                <lei>549300LWGYFM1TVO1Z12</lei>
                <title>CORPORATE BONDS</title>
                <cusip>651229AW6</cusip>
                <identifiers>
                    <isin value="US651229AW64"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>111825</valUSD>
                <pctVal>0.050803911747</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.7</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>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPBR3</cusip>
                <identifiers>
                    <isin value="US1248EPBR37"/>
                </identifiers>
                <balance>266000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>276307.5</valUSD>
                <pctVal>0.125530980059</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</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>KRAFT HEINZ FOODS CO</name>
                <lei>5493003STKEZ2S0RNU91</lei>
                <title>CORPORATE BONDS</title>
                <cusip>50077LAD8</cusip>
                <identifiers>
                    <isin value="US50077LAD82"/>
                </identifiers>
                <balance>171000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>175706.22</valUSD>
                <pctVal>0.079826186401</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS DE VENEZUELA SA (PDVSA)</name>
                <lei>549300YWR8TN1OFD4P06</lei>
                <title>CORPORATE BONDS</title>
                <cusip>P7807HAC9</cusip>
                <identifiers>
                    <isin value="XS0294364954"/>
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                <balance>824000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24720</valUSD>
                <pctVal>0.011230697057</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-12</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEWFIELD EXPLORATION CO</name>
                <lei>T8W3X1PFLPW2YE0UIP44</lei>
                <title>CORPORATE BONDS</title>
                <cusip>651290AP3</cusip>
                <identifiers>
                    <isin value="US651290AP34"/>
                </identifiers>
                <balance>96000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95958.51</valUSD>
                <pctVal>0.043595507923</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</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>CONTINENTAL RESOURCES INC/OK</name>
                <lei>XXRTID9RYWOZ0UPIVR53</lei>
                <title>CORPORATE BONDS</title>
                <cusip>212015AH4</cusip>
                <identifiers>
                    <isin value="US212015AH47"/>
                </identifiers>
                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29700</valUSD>
                <pctVal>0.013493191852</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NEWFIELD EXPLORATION CO</name>
                <lei>T8W3X1PFLPW2YE0UIP44</lei>
                <title>CORPORATE BONDS</title>
                <cusip>651290AQ1</cusip>
                <identifiers>
                    <isin value="US651290AQ17"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24187.5</valUSD>
                <pctVal>0.010988773668</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</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>QUEBECOR MEDIA INC</name>
                <lei>5493006O1E1TBNKPQW25</lei>
                <title>CORPORATE BONDS</title>
                <cusip>74819RAP1</cusip>
                <identifiers>
                    <isin value="US74819RAP10"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>42900</valUSD>
                <pctVal>0.019490166009</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</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>CONTINENTAL RESOURCES INC/OK</name>
                <lei>XXRTID9RYWOZ0UPIVR53</lei>
                <title>CORPORATE BONDS</title>
                <cusip>212015AL5</cusip>
                <identifiers>
                    <isin value="US212015AL58"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>100065</valUSD>
                <pctVal>0.045461152953</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</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>CINEMARK USA INC</name>
                <lei>54930008H2137JSCPQ09</lei>
                <title>CORPORATE BONDS</title>
                <cusip>172441AZ0</cusip>
                <identifiers>
                    <isin value="US172441AZ03"/>
                </identifiers>
                <balance>190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>162212.5</valUSD>
                <pctVal>0.073695770484</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>ALLEGHENY TECHNOLOGIES INC</name>
                <lei>ZW1LRE7C3H17O2ZN9B45</lei>
                <title>CORPORATE BONDS</title>
                <cusip>01741RAF9</cusip>
                <identifiers>
                    <isin value="US01741RAF91"/>
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                <balance>151000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>154775</valUSD>
                <pctVal>0.070316793568</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</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>PETROLEOS DE VENEZUELA SA (PDVSA)</name>
                <lei>549300YWR8TN1OFD4P06</lei>
                <title>CORPORATE BONDS</title>
                <cusip>P7807HAR6</cusip>
                <identifiers>
                    <isin value="USP7807HAR68"/>
                </identifiers>
                <balance>399000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>11970</valUSD>
                <pctVal>0.005438165201</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</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>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORPORATE BONDS</title>
                <cusip>131347CK0</cusip>
                <identifiers>
                    <isin value="US131347CK09"/>
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                <balance>86000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89343.68</valUSD>
                <pctVal>0.040590283335</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WOLVERINE WORLD WIDE INC</name>
                <lei>549300OVC7PK14LQ8D87</lei>
                <title>CORPORATE BONDS</title>
                <cusip>978097AD5</cusip>
                <identifiers>
                    <isin value="US978097AD55"/>
                </identifiers>
                <balance>101000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>101252.5</valUSD>
                <pctVal>0.046000653469</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORPORATE BONDS</title>
                <cusip>78454LAN0</cusip>
                <identifiers>
                    <isin value="US78454LAN01"/>
                </identifiers>
                <balance>49000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>21805</valUSD>
                <pctVal>0.009906365264</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NOVELIS CORP</name>
                <lei>549300G5F3W3B52WYL23</lei>
                <title>CORPORATE BONDS</title>
                <cusip>670001AC0</cusip>
                <identifiers>
                    <isin value="US670001AC05"/>
                </identifiers>
                <balance>145000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>148987.5</valUSD>
                <pctVal>0.067687438421</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</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>VISTRA CORP</name>
                <lei>549300KP43CPCUJOOG15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>882ESCAM8</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1890885"/>
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                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>135</valUSD>
                <pctVal>0.00006133269</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>3</fairValLevel>
                <debtSec>
                    <maturityDt>2021-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>11.5</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>BUCKEYE PARTNERS LP</name>
                <lei>549300C1PQJLVEIUBK50</lei>
                <title>CORPORATE BONDS</title>
                <cusip>118230AQ4</cusip>
                <identifiers>
                    <isin value="US118230AQ44"/>
                </identifiers>
                <balance>29000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27022.2</valUSD>
                <pctVal>0.012276623868</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.95</annualizedRt>
                    <isDefault>N</isDefault>
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                    <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>VIRGIN MEDIA SECURED FINANCE PLC</name>
                <lei>213800X3RLP4NOTPY579</lei>
                <title>CORPORATE BONDS</title>
                <cusip>G9372GAT5</cusip>
                <identifiers>
                    <isin value="XS1555173365"/>
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                <balance>115000</balance>
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                <currencyConditional curCd="GBP" exchangeRt="1.29034922"/>
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                <pctVal>0.070463519535</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>EQUINIX INC</name>
                <lei>549300EVUN2BTLJ3GT74</lei>
                <title>CORPORATE BONDS</title>
                <cusip>29444UAR7</cusip>
                <identifiers>
                    <isin value="US29444UAR77"/>
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                <balance>84000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>91528.78</valUSD>
                <pctVal>0.041583009716</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87264AAT2</cusip>
                <identifiers>
                    <isin value="US87264AAT25"/>
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                <balance>19000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20280.6</valUSD>
                <pctVal>0.009213805612</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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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>
                <name>VIDEOTRON LTD</name>
                <lei>549300LW4GNJRBECSD81</lei>
                <title>CORPORATE BONDS</title>
                <cusip>92660FAK0</cusip>
                <identifiers>
                    <isin value="US92660FAK03"/>
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                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78900</valUSD>
                <pctVal>0.035845550073</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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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>CSC HOLDINGS LLC</name>
                <lei>3HG2WD2W22M120IUNG49</lei>
                <title>CORPORATE BONDS</title>
                <cusip>126307AH0</cusip>
                <identifiers>
                    <isin value="US126307AH04"/>
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                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>128700</valUSD>
                <pctVal>0.058470498027</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>COMPASS MINERALS INTERNATIONAL INC</name>
                <lei>2549008X9G8XP7YJGC47</lei>
                <title>CORPORATE BONDS</title>
                <cusip>20451NAE1</cusip>
                <identifiers>
                    <isin value="US20451NAE13"/>
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                <balance>63000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64732.5</valUSD>
                <pctVal>0.029409024969</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WR GRACE  AND  CO/CONNECTICUT</name>
                <lei>549300GJVOEHHLSO6K25</lei>
                <title>CORPORATE BONDS</title>
                <cusip>383909AF5</cusip>
                <identifiers>
                    <isin value="US383909AF54"/>
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                <balance>121000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>128562.5</valUSD>
                <pctVal>0.058408029546</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CBRE SERVICES INC</name>
                <lei>549300CTE3HOMEUMM603</lei>
                <title>CORPORATE BONDS</title>
                <cusip>12505BAC4</cusip>
                <identifiers>
                    <isin value="US12505BAC46"/>
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                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85999.73</valUSD>
                <pctVal>0.039071072598</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PENSKE AUTOMOTIVE GROUP INC</name>
                <lei>549300W7UTQ0M4C7LB15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>70959WAF0</cusip>
                <identifiers>
                    <isin value="US70959WAF05"/>
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                <balance>124000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125923.24</valUSD>
                <pctVal>0.057208970909</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NEWFIELD EXPLORATION CO</name>
                <lei>T8W3X1PFLPW2YE0UIP44</lei>
                <title>CORPORATE BONDS</title>
                <cusip>651290AR9</cusip>
                <identifiers>
                    <isin value="US651290AR99"/>
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                <balance>19000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>17843.47</valUSD>
                <pctVal>0.008106577913</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORPORATE BONDS</title>
                <cusip>91831AAC5</cusip>
                <identifiers>
                    <isin value="US91831AAC53"/>
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                <balance>160000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>163800</valUSD>
                <pctVal>0.074416997489</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>AES CORP/THE</name>
                <lei>2NUNNB7D43COUIRE5295</lei>
                <title>CORPORATE BONDS</title>
                <cusip>00130HBW4</cusip>
                <identifiers>
                    <isin value="US00130HBW43"/>
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                <balance>665000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>683287.5</valUSD>
                <pctVal>0.310428596898</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>COMMSCOPE TECHNOLOGIES LLC</name>
                <lei>M4TWC4QDOKW45N7T6Y12</lei>
                <title>CORPORATE BONDS</title>
                <cusip>20337YAA5</cusip>
                <identifiers>
                    <isin value="US20337YAA55"/>
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                <balance>88000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89192.4</valUSD>
                <pctVal>0.040521554376</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>LEVI STRAUSS  AND  CO</name>
                <lei>MB0UERO0RDFKU8258G77</lei>
                <title>CORPORATE BONDS</title>
                <cusip>52736RBG6</cusip>
                <identifiers>
                    <isin value="US52736RBG65"/>
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                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51156.25</valUSD>
                <pctVal>0.023241114333</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>IHS MARKIT LTD</name>
                <lei>549300HLPTRASHS0E726</lei>
                <title>CORPORATE BONDS</title>
                <cusip>44962LAF4</cusip>
                <identifiers>
                    <isin value="US44962LAF40"/>
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                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>77187.5</valUSD>
                <pctVal>0.035067533539</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>APACHE CORP</name>
                <lei>72ZZ1XRHOOU9P9X16K08</lei>
                <title>CORPORATE BONDS</title>
                <cusip>037411BE4</cusip>
                <identifiers>
                    <isin value="US037411BE40"/>
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                <balance>36000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>32940</valUSD>
                <pctVal>0.014965176418</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS PLC</name>
                <lei>213800LBQA1Y9L22JB70</lei>
                <title>CORPORATE BONDS</title>
                <cusip>06738EAW5</cusip>
                <identifiers>
                    <isin value="US06738EAW57"/>
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                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>215075.65</valUSD>
                <pctVal>0.09771235718</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-09</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.836</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>WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>983130AX3</cusip>
                <identifiers>
                    <isin value="US983130AX35"/>
                </identifiers>
                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>139500</valUSD>
                <pctVal>0.063377113246</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</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>CHENIERE CORPUS CHRISTI HOLDINGS LLC</name>
                <lei>549300I7CIEWU1BBLQ53</lei>
                <title>CORPORATE BONDS</title>
                <cusip>16412XAG0</cusip>
                <identifiers>
                    <isin value="US16412XAG07"/>
                </identifiers>
                <balance>160000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>178102.64</valUSD>
                <pctVal>0.080914918887</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</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>SIRIUS XM RADIO INC</name>
                <lei>WP5O65E6BMU84LNO4227</lei>
                <title>CORPORATE BONDS</title>
                <cusip>82967NBA5</cusip>
                <identifiers>
                    <isin value="US82967NBA54"/>
                </identifiers>
                <balance>367000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>383056.25</valUSD>
                <pctVal>0.174028669075</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</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>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPBX0</cusip>
                <identifiers>
                    <isin value="US1248EPBX05"/>
                </identifiers>
                <balance>199000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>208950</valUSD>
                <pctVal>0.094929375002</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</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>HILTON WORLDWIDE FINANCE LLC / HILTON WORLDWIDE FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>432891AK5</cusip>
                <identifiers>
                    <isin value="US432891AK52"/>
                </identifiers>
                <balance>88000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89401.4</valUSD>
                <pctVal>0.040616506467</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>AES CORP/THE</name>
                <lei>2NUNNB7D43COUIRE5295</lei>
                <title>CORPORATE BONDS</title>
                <cusip>00130HBY0</cusip>
                <identifiers>
                    <isin value="US00130HBY09"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63906</valUSD>
                <pctVal>0.02903353261</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</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>TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87470LAD3</cusip>
                <identifiers>
                    <isin value="US87470LAD38"/>
                </identifiers>
                <balance>162000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>146610</valUSD>
                <pctVal>0.066607301599</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</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>ALLISON TRANSMISSION</name>
                <lei>MWKQ3I0U1GXP2YDSZW75</lei>
                <title>CORPORATE BONDS</title>
                <cusip>019736AE7</cusip>
                <identifiers>
                    <isin value="US019736AE70"/>
                </identifiers>
                <balance>234000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>240727.5</valUSD>
                <pctVal>0.10936640881</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</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>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAS5</cusip>
                <identifiers>
                    <isin value="US64110LAS51"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>134100</valUSD>
                <pctVal>0.060923805637</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>MATCH GROUP HOLDINGS II LLC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>57665RAG1</cusip>
                <identifiers>
                    <isin value="US57665RAG11"/>
                </identifiers>
                <balance>118000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>124490</valUSD>
                <pctVal>0.056557826724</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</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>ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>29260FAE0</cusip>
                <identifiers>
                    <isin value="US29260FAE07"/>
                </identifiers>
                <balance>226000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>227130</valUSD>
                <pctVal>0.103188843954</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</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>JELD-WEN INC</name>
                <lei>549300XWE6NM0N1HFW16</lei>
                <title>CORPORATE BONDS</title>
                <cusip>475795AD2</cusip>
                <identifiers>
                    <isin value="US475795AD24"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>66238.25</valUSD>
                <pctVal>0.030093111624</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>STANDARD INDUSTRIES INC/NJ</name>
                <lei>54930064UHXCIUWVI755</lei>
                <title>CORPORATE BONDS</title>
                <cusip>853496AD9</cusip>
                <identifiers>
                    <isin value="US853496AD99"/>
                </identifiers>
                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10375</valUSD>
                <pctVal>0.004713530824</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</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>IRON MOUNTAIN INC</name>
                <lei>SQL3F6CKNNBM3SQGHX24</lei>
                <title>CORPORATE BONDS</title>
                <cusip>46284VAE1</cusip>
                <identifiers>
                    <isin value="US46284VAE11"/>
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                <balance>194000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>202002.5</valUSD>
                <pctVal>0.091773013036</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</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>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87264AAV7</cusip>
                <identifiers>
                    <isin value="US87264AAV70"/>
                </identifiers>
                <balance>148000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>158321.52</valUSD>
                <pctVal>0.071928035142</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</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>DELL INTERNATIONAL LLC / EMC CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>25272KAK9</cusip>
                <identifiers>
                    <isin value="US25272KAK97"/>
                </identifiers>
                <balance>570000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>669282.28</valUSD>
                <pctVal>0.304065798231</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.02</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>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAU0</cusip>
                <identifiers>
                    <isin value="US64110LAU08"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>70719</valUSD>
                <pctVal>0.032128789044</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</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>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORPORATE BONDS</title>
                <cusip>629377CH3</cusip>
                <identifiers>
                    <isin value="US629377CH34"/>
                </identifiers>
                <balance>49000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>53287.5</valUSD>
                <pctVal>0.024209375786</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</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>SERVICE CORP INTERNATIONAL/US</name>
                <lei>549300RKVM2ME20JHZ15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>817565CE2</cusip>
                <identifiers>
                    <isin value="US817565CE22"/>
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                <balance>155000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>171760.15</valUSD>
                <pctVal>0.07803342278</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2029-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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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>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORPORATE BONDS</title>
                <cusip>071734AF4</cusip>
                <identifiers>
                    <isin value="US071734AF49"/>
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                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>113137.5</valUSD>
                <pctVal>0.051400201791</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-05-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
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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>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPCB7</cusip>
                <identifiers>
                    <isin value="US1248EPCB75"/>
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                <balance>1045000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1132518.75</valUSD>
                <pctVal>0.514521642095</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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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>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORPORATE BONDS</title>
                <cusip>629377CL4</cusip>
                <identifiers>
                    <isin value="US629377CL46"/>
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                <balance>145000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>159768.29</valUSD>
                <pctVal>0.072585326226</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.45</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAT3</cusip>
                <identifiers>
                    <isin value="US64110LAT35"/>
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                <balance>230000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>274437.15</valUSD>
                <pctVal>0.12468124971</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CONTINENTAL RESOURCES INC/OK</name>
                <lei>XXRTID9RYWOZ0UPIVR53</lei>
                <title>CORPORATE BONDS</title>
                <cusip>212015AS0</cusip>
                <identifiers>
                    <isin value="US212015AS02"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47643.75</valUSD>
                <pctVal>0.021645328597</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORPORATE BONDS</title>
                <cusip>404119CA5</cusip>
                <identifiers>
                    <isin value="US404119CA57"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56038.4</valUSD>
                <pctVal>0.025459154286</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87264ABE4</cusip>
                <identifiers>
                    <isin value="US87264ABE47"/>
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                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56731</valUSD>
                <pctVal>0.025773813703</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORPORATE BONDS</title>
                <cusip>92840VAE2</cusip>
                <identifiers>
                    <isin value="US92840VAE20"/>
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                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54576.1</valUSD>
                <pctVal>0.024794807672</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.3</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CLEAN HARBORS INC</name>
                <lei>5493000SJVZVZJKHJF48</lei>
                <title>CORPORATE BONDS</title>
                <cusip>184496AP2</cusip>
                <identifiers>
                    <isin value="US184496AP20"/>
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                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48819.15</valUSD>
                <pctVal>0.022179331886</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2419282"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>2604498.73</valUSD>
                <pctVal>1.183266028394</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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                        <amtCurSold>2604498.73</amtCurSold>
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                        <amtCurPur>2601440.18</amtCurPur>
                        <curPur>JPY</curPur>
                        <settlementDt>2020-11-18</settlementDt>
                        <unrealizedAppr>3058.55</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2419286"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>467826.8</valUSD>
                <pctVal>0.212541305256</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <amtCurPur>465245.63</amtCurPur>
                        <curPur>JPY</curPur>
                        <settlementDt>2020-11-18</settlementDt>
                        <unrealizedAppr>2581.17</unrealizedAppr>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2419289"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>301388.72</valUSD>
                <pctVal>0.136925785223</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
                            <counterpartyLei>EN5TNI6CI43VEPAMHL14</counterpartyLei>
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                        <amtCurPur>301388.72</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-11-18</settlementDt>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2419291"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>775866.67</valUSD>
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                <assetCat>DFE</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <settlementDt>2020-11-18</settlementDt>
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                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2419294"/>
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                <curCd>N/A</curCd>
                <valUSD>1128867.95</valUSD>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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                        <curPur>JPY</curPur>
                        <settlementDt>2020-11-18</settlementDt>
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                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2428775"/>
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                <curCd>N/A</curCd>
                <valUSD>321029.05</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                        <amtCurPur>338145.83</amtCurPur>
                        <curPur>CZK</curPur>
                        <settlementDt>2020-12-16</settlementDt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2428789"/>
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                <name>NATWEST MARKETS PLC</name>
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                <name>STATE STREET B AND T CO</name>
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                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>NATWEST MARKETS PLC</name>
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                <name>FANNIE MAE POOL</name>
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                <name>GINNIE MAE I POOL</name>
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                    <isin value="US38375BM666"/>
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                <balance>3332526.55</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>147297.67</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2063-02-20</maturityDt>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RAE6</cusip>
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                    <isin value="US38376RAE62"/>
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                <balance>2596059.22</balance>
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                <curCd>USD</curCd>
                <valUSD>224315.09</valUSD>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-04-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.011</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UVA5</cusip>
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                    <isin value="US38375UVA59"/>
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                <balance>1990617.33</balance>
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                <curCd>USD</curCd>
                <valUSD>143332.41</valUSD>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2065-03-20</maturityDt>
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                    <annualizedRt>1.805</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379MAY0</cusip>
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                    <isin value="US38379MAY03"/>
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                <balance>906221.96</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24777.92</valUSD>
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                <invCountry>US</invCountry>
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                    <maturityDt>2039-01-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379LWF9</cusip>
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                    <isin value="US38379LWF92"/>
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                <balance>1822808.6</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>118482.56</valUSD>
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                <debtSec>
                    <maturityDt>2040-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RCY0</cusip>
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                    <isin value="US38376RCY09"/>
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                <balance>2381164.06</balance>
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                <curCd>USD</curCd>
                <valUSD>208304.23</valUSD>
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                <debtSec>
                    <maturityDt>2065-06-20</maturityDt>
                    <couponKind>Variable</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RFK7</cusip>
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                    <isin value="US38376RFK77"/>
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                <curCd>USD</curCd>
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                <debtSec>
                    <maturityDt>2065-08-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.181</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RFF8</cusip>
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                    <isin value="US38376RFF82"/>
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                <curCd>USD</curCd>
                <valUSD>289481.47</valUSD>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2065-08-20</maturityDt>
                    <couponKind>Variable</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RHE9</cusip>
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                    <isin value="US38376RHE99"/>
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                <curCd>USD</curCd>
                <valUSD>281525.6</valUSD>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2065-09-20</maturityDt>
                    <couponKind>Variable</couponKind>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO PO</title>
                <cusip>38374DDJ5</cusip>
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                    <isin value="US38374DDJ54"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2036-07-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H0326A3</cusip>
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                <curCd>USD</curCd>
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            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H0406A6</cusip>
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                    <isin value="US21H0406A63"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2050-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>M1487WCY9</cusip>
                <identifiers>
                    <isin value="XS1953057061"/>
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                <balance>1400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
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                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
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                    <maturityDt>2029-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>REPUBLIC OF KENYA</name>
                <lei>549300VVURQQYU45PR87</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V50249AC1</cusip>
                <identifiers>
                    <isin value="XS1843435840"/>
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                <balance>390000</balance>
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                <curCd>USD</curCd>
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                <invCountry>KE</invCountry>
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                    <maturityDt>2027-05-22</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>REPUBLIC OF KENYA</name>
                <lei>549300VVURQQYU45PR87</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V50249AD9</cusip>
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                    <isin value="XS1843435766"/>
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                <balance>713000</balance>
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                <curCd>USD</curCd>
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                <invCountry>KE</invCountry>
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                    <maturityDt>2032-05-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
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            <invstOrSec>
                <name>SULTANATE OF OMAN</name>
                <lei>549300SZ20F0QTKNQC75</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>N/A</cusip>
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                    <isin value="XS1944412748"/>
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                <balance>499000</balance>
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                <curCd>USD</curCd>
                <valUSD>455951.27</valUSD>
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                <issuerCat>NUSS</issuerCat>
                <invCountry>OM</invCountry>
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                    <maturityDt>2029-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
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            <invstOrSec>
                <name>UNITED MEXICAN STATES</name>
                <lei>254900EGTWEU67VP6075</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>91087BAH3</cusip>
                <identifiers>
                    <isin value="US91087BAH33"/>
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                <balance>1009000</balance>
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                <curCd>USD</curCd>
                <valUSD>1033528.79</valUSD>
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                <issuerCat>NUSS</issuerCat>
                <invCountry>MX</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-04-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780CQ7</cusip>
                <identifiers>
                    <isin value="US455780CQ75"/>
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                <balance>379000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>398009.27</valUSD>
                <pctVal>0.180822068658</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-14</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.85</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>25714PED6</cusip>
                <identifiers>
                    <isin value="US25714PED69"/>
                </identifiers>
                <balance>260000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>255450</valUSD>
                <pctVal>0.116055079418</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</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>STATE OF QATAR</name>
                <lei>52990074F6OJOAXK4P65</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>74727PBC4</cusip>
                <identifiers>
                    <isin value="US74727PBC41"/>
                </identifiers>
                <balance>270000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>295914.6</valUSD>
                <pctVal>0.134438803695</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>QA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.4</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>STATE OF QATAR</name>
                <lei>52990074F6OJOAXK4P65</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>74727PBD2</cusip>
                <identifiers>
                    <isin value="US74727PBD24"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>463436.8</valUSD>
                <pctVal>0.210546857033</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>QA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-04-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</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>KINGDOM OF BAHRAIN</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>05675M2C7</cusip>
                <identifiers>
                    <isin value="US05675M2C79"/>
                </identifiers>
                <balance>960000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1046366.4</valUSD>
                <pctVal>0.475381231755</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>BH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-05-14</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.375</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>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>03846JX47</cusip>
                <identifiers>
                    <isin value="US03846JX477"/>
                </identifiers>
                <balance>520000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>531494.08</valUSD>
                <pctVal>0.241466383497</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-29</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</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>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579ECB1</cusip>
                <identifiers>
                    <isin value="USP3579ECB13"/>
                </identifiers>
                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>193501.8</valUSD>
                <pctVal>0.087911007111</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-07-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</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>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>M1487WBP9</cusip>
                <identifiers>
                    <isin value="XS1245432742"/>
                </identifiers>
                <balance>600000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>614256</valUSD>
                <pctVal>0.279066466482</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</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>PROVINCIA DE CORDOBA</name>
                <lei>5299006CLM2Z97AATT29</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P79171AE7</cusip>
                <identifiers>
                    <isin value="USP79171AE79"/>
                </identifiers>
                <balance>1460000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>814051.32</valUSD>
                <pctVal>0.369836721834</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.45</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>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P1910WNY1</cusip>
                <identifiers>
                    <isin value="XS1566193295"/>
                </identifiers>
                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29029.69</valUSD>
                <pctVal>0.013188659144</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>25714PCV8</cusip>
                <identifiers>
                    <isin value="US25714PCV85"/>
                </identifiers>
                <balance>725000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>770312.5</valUSD>
                <pctVal>0.34996546629</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</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>IVORY COAST</name>
                <lei>254900ICW11T82O6H590</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V73789AD7</cusip>
                <identifiers>
                    <isin value="XS1196517434"/>
                </identifiers>
                <balance>1025000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1023698.25</valUSD>
                <pctVal>0.465082723443</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</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>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EBD8</cusip>
                <identifiers>
                    <isin value="USP3579EBD87"/>
                </identifiers>
                <balance>380000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>403750</valUSD>
                <pctVal>0.183430175435</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</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>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>Y20721BG3</cusip>
                <identifiers>
                    <isin value="USY20721BG36"/>
                </identifiers>
                <balance>360000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>401843.52</valUSD>
                <pctVal>0.18256403064</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</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>SOCIALIST REPUBLIC OF VIETNAM</name>
                <lei>5493008AE7RS4XK4BZ08</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>Y9384RAA8</cusip>
                <identifiers>
                    <isin value="USY9384RAA87"/>
                </identifiers>
                <balance>910000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1012487.51</valUSD>
                <pctVal>0.459989502378</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>VN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.8</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>REPUBLIC OF EL SALVADOR</name>
                <lei>529900AKDMUSFSDOM949</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P01012AT3</cusip>
                <identifiers>
                    <isin value="USP01012AT38"/>
                </identifiers>
                <balance>378000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>324513</valUSD>
                <pctVal>0.147431520795</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>SV</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-18</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</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>REPUBLIC OF SENEGAL</name>
                <lei>549300NP14ZLQGWIUZ97</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V7691DAA4</cusip>
                <identifiers>
                    <isin value="XS1090161875"/>
                </identifiers>
                <balance>2670000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2740087.5</valUSD>
                <pctVal>1.244866206395</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>SN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</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>IVORY COAST</name>
                <lei>254900ICW11T82O6H590</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V73789AC9</cusip>
                <identifiers>
                    <isin value="XS1089413089"/>
                </identifiers>
                <balance>1300000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1304875</valUSD>
                <pctVal>0.592825882776</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</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>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>11943AAC8</cusip>
                <identifiers>
                    <isin value="XS0584497175"/>
                </identifiers>
                <balance>341333.33</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>138008.37</valUSD>
                <pctVal>0.062699441537</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-01-26</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>10.875</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF SOUTH AFRICA</name>
                <lei>549300KEVMSOSY8T8R35</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>836205AR5</cusip>
                <identifiers>
                    <isin value="US836205AR58"/>
                </identifiers>
                <balance>670000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>716082.6</valUSD>
                <pctVal>0.325327942895</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ZA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</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>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780BL9</cusip>
                <identifiers>
                    <isin value="US455780BL97"/>
                </identifiers>
                <balance>560000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>590794.4</valUSD>
                <pctVal>0.268407480961</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</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>REPUBLIC OF EL SALVADOR</name>
                <lei>529900AKDMUSFSDOM949</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P01012AS5</cusip>
                <identifiers>
                    <isin value="USP01012AS54"/>
                </identifiers>
                <balance>300000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>263250</valUSD>
                <pctVal>0.119598745965</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>SV</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</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>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EAH0</cusip>
                <identifiers>
                    <isin value="USP3579EAH01"/>
                </identifiers>
                <balance>56666.67</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58508.34</valUSD>
                <pctVal>0.026581288101</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-05-06</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</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>BOLIVARIAN REPUBLIC OF VENEZUELA</name>
                <lei>529900XM8PJTJK5OJI77</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P97497TZ7</cusip>
                <identifiers>
                    <isin value="XS0217249126"/>
                </identifiers>
                <balance>371000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>28752.5</valUSD>
                <pctVal>0.01306272723</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.65</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EAG2</cusip>
                <identifiers>
                    <isin value="USP3579EAG28"/>
                </identifiers>
                <balance>235000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>273775</valUSD>
                <pctVal>0.124380424222</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.625</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>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780BV7</cusip>
                <identifiers>
                    <isin value="US455780BV79"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>232001.6</valUSD>
                <pctVal>0.105402090871</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-08</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</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>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>Y20721BN8</cusip>
                <identifiers>
                    <isin value="USY20721BN86"/>
                </identifiers>
                <balance>1020000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1183200</valUSD>
                <pctVal>0.537546956222</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-08</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</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>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EBK2</cusip>
                <identifiers>
                    <isin value="USP3579EBK21"/>
                </identifiers>
                <balance>661000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>732057.5</valUSD>
                <pctVal>0.332585599142</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-29</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</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>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>744080AK8</cusip>
                <identifiers>
                    <isin value="XS1380327368"/>
                </identifiers>
                <balance>1635000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>636569.76</valUSD>
                <pctVal>0.289203969668</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.125</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE CORDOBA</name>
                <lei>5299006CLM2Z97AATT29</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>74408DAC8</cusip>
                <identifiers>
                    <isin value="US74408DAC83"/>
                </identifiers>
                <balance>547000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>333670</valUSD>
                <pctVal>0.151591694458</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-06-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</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>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P1910WMG1</cusip>
                <identifiers>
                    <isin value="XS1433314314"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>154333.32</valUSD>
                <pctVal>0.070116131178</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>744080AJ1</cusip>
                <identifiers>
                    <isin value="XS1433314587"/>
                </identifiers>
                <balance>2140000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>825683.26</valUSD>
                <pctVal>0.375121300893</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EBV8</cusip>
                <identifiers>
                    <isin value="USP3579EBV85"/>
                </identifiers>
                <balance>284000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>303525</valUSD>
                <pctVal>0.137896331886</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.95</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>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780BX3</cusip>
                <identifiers>
                    <isin value="US455780BX36"/>
                </identifiers>
                <balance>650000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>744269.5</valUSD>
                <pctVal>0.338133708869</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-08</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.35</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>REPUBLIC OF SOUTH AFRICA</name>
                <lei>549300KEVMSOSY8T8R35</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>836205AW4</cusip>
                <identifiers>
                    <isin value="US836205AW44"/>
                </identifiers>
                <balance>360000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>355053.6</valUSD>
                <pctVal>0.161306610865</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ZA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.85</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>IVORY COAST</name>
                <lei>254900ICW11T82O6H590</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V73789BE4</cusip>
                <identifiers>
                    <isin value="XS1793329225"/>
                </identifiers>
                <balance>1345000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.172449775"/>
                <valUSD>1424533.22</valUSD>
                <pctVal>0.647188553455</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
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            <invstOrSec>
                <name>BOLIVARIAN REPUBLIC OF VENEZUELA</name>
                <lei>529900XM8PJTJK5OJI77</lei>
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                <cusip>P17625AA5</cusip>
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                    <isin value="USP17625AA59"/>
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                <balance>798000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>61845</valUSD>
                <pctVal>0.028097186873</pctVal>
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                <issuerCat>NUSS</issuerCat>
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                    <maturityDt>2023-05-07</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9</annualizedRt>
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                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BOLIVARIAN REPUBLIC OF VENEZUELA</name>
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                <title>GOVERNMENT BOND</title>
                <cusip>P97475AP5</cusip>
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                    <isin value="USP97475AP55"/>
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                <balance>1292000</balance>
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                <curCd>USD</curCd>
                <valUSD>100130</valUSD>
                <pctVal>0.045490683508</pctVal>
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                <assetCat>DBT</assetCat>
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                <invCountry>VE</invCountry>
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                <debtSec>
                    <maturityDt>2024-10-13</maturityDt>
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                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES, LLC.</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <identifiers>
                    <ticker value="WNZ0COMDTY"/>
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                <balance>6</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <fairValLevel>1</fairValLevel>
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                            <counterpartyName>J.P. MORGAN SECURITIES, LLC.</counterpartyName>
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                        <payOffProf>Short</payOffProf>
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                            <otherRefInst>
<issuerName>UNITED STATES OF AMERICA</issuerName>
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    <cusip value="912810FT0"/>
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                    <isLoanByFund>N</isLoanByFund>
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                <name>J.P. MORGAN SECURITIES, LLC.</name>
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                    <ticker value="TUZ0COMDTY"/>
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                            <counterpartyName>J.P. MORGAN SECURITIES, LLC.</counterpartyName>
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<issuerName>UNITED STATES OF AMERICA</issuerName>
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    <cusip value="912828YF1"/>
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                    <isLoanByFund>N</isLoanByFund>
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                <name>J.P. MORGAN SECURITIES, LLC.</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                    <ticker value="RXZ0COMDTY"/>
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                <currencyConditional curCd="EUR" exchangeRt="1.172449775"/>
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                            <counterpartyName>J.P. MORGAN SECURITIES, LLC.</counterpartyName>
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<issuerName>FEDERAL REPUBLIC OF GERMANY</issuerName>
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    <cusip value="D2R8H4EF2"/>
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                        <expDate>2020-01-10</expDate>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES, LLC.</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
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                    <ticker value="FVZ0COMDTY"/>
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                <curCd>USD</curCd>
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                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>1</fairValLevel>
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                            <counterpartyName>J.P. MORGAN SECURITIES, LLC.</counterpartyName>
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                        <payOffProf>Short</payOffProf>
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<issuerName>UNITED STATES OF AMERICA</issuerName>
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    <cusip value="912828ZC7"/>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>N/A</lei>
                <title>GOVT CMO</title>
                <cusip>31394FAB1</cusip>
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                    <isin value="US31394FAB13"/>
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                <balance>25633.99</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36496.15</valUSD>
                <pctVal>0.016580793058</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
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                <cusip>31396FLW1</cusip>
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                    <isin value="US31396FLW13"/>
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                <units>PA</units>
                <curCd>USD</curCd>
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                <pctVal>0.039713016879</pctVal>
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                    <maturityDt>2035-11-15</maturityDt>
                    <couponKind>Floating</couponKind>
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                <name>FANNIE MAE REMICS</name>
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                    <isin value="US31394FG741"/>
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                <name>FREDDIE MAC REMICS</name>
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                    <isin value="US31397EDS19"/>
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                    <maturityDt>2036-12-15</maturityDt>
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                <name>FANNIE MAE REMICS</name>
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                    <isin value="US31397LDE65"/>
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                <name>FREDDIE MAC REMICS</name>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
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                <cusip>31397PUB4</cusip>
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                    <isin value="US31397PUB48"/>
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                <name>FANNIE MAE REMICS</name>
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                    <isin value="US31395N7D33"/>
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                    <maturityDt>2036-07-25</maturityDt>
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                <name>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
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                    <isin value="ARPBUE3204J9"/>
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                <balance>7745000</balance>
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                <currencyConditional curCd="ARS" exchangeRt=".013127236"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                <name>BARCLAYS CAPITAL, INC.</name>
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                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                    <other otherDesc="Internal ID" value="2078029"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>99HK149O0</cusip>
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                    <other otherDesc="Internal ID" value="2080790"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2145797"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2145916"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2428344"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2428812"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                    <other otherDesc="Internal ID" value="2431193"/>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
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                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                    <other otherDesc="Internal ID" value="2373756"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                    <other otherDesc="Internal ID" value="2376033"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
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                    <other otherDesc="Internal ID" value="2392957"/>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
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                    <other otherDesc="Internal ID" value="2392975"/>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2431841"/>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2433273"/>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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            <invstOrSec>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2365237"/>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <securityLending>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>MERRILL LYNCH INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
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                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2348173"/>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
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                    <other otherDesc="Internal ID" value="2348185"/>
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                <assetCat>DCR</assetCat>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
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                    <other otherDesc="Internal ID" value="2348236"/>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2353214"/>
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                <payoffProfile>N/A</payoffProfile>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2353674"/>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2357595"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2358416"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                <name>BANK OF AMERICA N.A.</name>
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                <name>BANK OF AMERICA N.A.</name>
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                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-24.17" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>4616.66</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>29000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>8301.87</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2138774"/>
                </identifiers>
                <balance>229000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>58532.4</valUSD>
                <pctVal>0.026592218949</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-114.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>14539.4</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>229000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>43878.5</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2420054"/>
                </identifiers>
                <balance>7000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7</valUSD>
                <pctVal>0.000003180214</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    03.0000 10/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0306A1"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>105.5625</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>4368</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2438931"/>
                </identifiers>
                <balance>33000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>89166</valUSD>
                <pctVal>0.040509560428</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    02.5000 11/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0226B6"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>104.703125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-37603.5</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2438930"/>
                </identifiers>
                <balance>33000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>107217</valUSD>
                <pctVal>0.048710422587</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    02.5000 11/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0226B6"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>104.703125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>55654.5</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2438336"/>
                </identifiers>
                <balance>29000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>38483</valUSD>
                <pctVal>0.017483451248</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    03.0000 11/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0306B9"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>104.703125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-20358</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2438335"/>
                </identifiers>
                <balance>29000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>62263</valUSD>
                <pctVal>0.028287091054</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    03.0000 11/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0306B9"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>104.703125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>44138</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2420056"/>
                </identifiers>
                <balance>7000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>55776</valUSD>
                <pctVal>0.025339941709</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    03.0000 10/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0306A1"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>105.5625</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>51401</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2438311"/>
                </identifiers>
                <balance>48000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>180000</valUSD>
                <pctVal>0.081776920318</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    02.0000 11/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0206B0"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>103.0625</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>88125</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2424414"/>
                </identifiers>
                <balance>27000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>32238</valUSD>
                <pctVal>0.014646246429</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    02.5000 10/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0226A8"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>104.984375</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6456.75</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2424413"/>
                </identifiers>
                <balance>27000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17469</valUSD>
                <pctVal>0.007936450117</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    02.5000 10/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0226A8"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>104.984375</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-7843.5</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2422853"/>
                </identifiers>
                <balance>41000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6601</valUSD>
                <pctVal>0.002998941395</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    02.0000 10/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F0206A2"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>102.625</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>66836.5</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
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                    <optionSwaptionWarrantDeriv derivCat="OPT">
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                        <putOrCall>Call</putOrCall>
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<issuerName>FNMA  FN30   TBA      UMBS    02.0000 10/01/2050</issuerName>
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                <securityLending>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
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                        <putOrCall>Put</putOrCall>
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<issuerName>FNMA  FN30   TBA      UMBS    02.0000 11/01/2050</issuerName>
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            <invstOrSec>
                <name>TERVITA CORP</name>
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            <invstOrSec>
                <name>ADVANZ PHARMA CORP LTD</name>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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                        <unrealizedAppr>-67398.15</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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                <derivativeInfo>
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                        <putOrCall>Call</putOrCall>
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<issuerName>EUR/USD CALL 1.26 20210127 BANKAM</issuerName>
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                            </otherRefInst>
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                <securityLending>
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            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
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                        <putOrCall>Call</putOrCall>
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                            </otherRefInst>
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                <securityLending>
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            <invstOrSec>
                <name>UBS AG</name>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2425206"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                            <otherRefInst>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
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                    <other otherDesc="Internal ID" value="2428316"/>
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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                            <otherRefInst>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
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                    <other otherDesc="Internal ID" value="2428317"/>
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>USD/MXN PUT 21.00 20201130 GSFX</issuerName>
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</identifiers>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
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                    <other otherDesc="Internal ID" value="2428819"/>
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                    <optionSwaptionWarrantDeriv derivCat="OPT">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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                            <otherRefInst>
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</identifiers>
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                        <unrealizedAppr>11769.94</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2428820"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                            <otherRefInst>
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    <other otherDesc="Internal ID" value="EUR/USD CALL 1.23 20210301 MSCIL"/>
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                        <unrealizedAppr>-55179.02</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
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                    <other otherDesc="Internal ID" value="2428836"/>
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                    <optionSwaptionWarrantDeriv derivCat="OPT">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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<identifiers>
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                        <unrealizedAppr>-4724.63</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2428837"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <delta>XXXX</delta>
                        <unrealizedAppr>28841.88</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
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                    <other otherDesc="Internal ID" value="2431861"/>
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                            <counterpartyName>HSBC BANK USA</counterpartyName>
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<identifiers>
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                        <shareNo>1</shareNo>
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                        <expDt>2021-03-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-45865.83</unrealizedAppr>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
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                    <other otherDesc="Internal ID" value="2431862"/>
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                            <otherRefInst>
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                        <shareNo>1</shareNo>
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                        <delta>XXXX</delta>
                        <unrealizedAppr>16090.17</unrealizedAppr>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                    <other otherDesc="Internal ID" value="2437033"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                            <otherRefInst>
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                        <unrealizedAppr>-10251.38</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2437034"/>
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                <balance>3072034</balance>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <putOrCall>Put</putOrCall>
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                            <otherRefInst>
<issuerName>USD/MXN PUT 19.75 20210322 MSCIL</issuerName>
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<identifiers>
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                        <shareNo>1</shareNo>
                        <exercisePrice>19.75</exercisePrice>
                        <exercisePriceCurCd>MXN</exercisePriceCurCd>
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                        <delta>XXXX</delta>
                        <unrealizedAppr>3038.24</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437035"/>
                </identifiers>
                <balance>4608034</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>46974.3</valUSD>
                <pctVal>0.0213411866</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>USD/KRW PUT 1130.00 20210322 HSBCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="USD/KRW PUT 1130.00 20210322 HSBCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1130</exercisePrice>
                        <exercisePriceCurCd>KRW</exercisePriceCurCd>
                        <expDt>2021-03-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-3944.48</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437036"/>
                </identifiers>
                <balance>4608034</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13446.24</valUSD>
                <pctVal>0.006108844984</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>USD/KRW PUT 1085.00 20210322 HSBCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="USD/KRW PUT 1085.00 20210322 HSBCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1085</exercisePrice>
                        <exercisePriceCurCd>KRW</exercisePriceCurCd>
                        <expDt>2021-03-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>953.87</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437121"/>
                </identifiers>
                <balance>3933768</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>35209.12</valUSD>
                <pctVal>0.015996074448</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL (FX)</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/NOK PUT 10.45 20210323 CSI-FX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/NOK PUT 10.45 20210323 CSI-FX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>10.45</exercisePrice>
                        <exercisePriceCurCd>NOK</exercisePriceCurCd>
                        <expDt>2021-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2946.82</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437122"/>
                </identifiers>
                <balance>5245034</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>71894.27</valUSD>
                <pctVal>0.032662733273</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/USD CALL 1.20 20210323 HSBCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/USD CALL 1.20 20210323 HSBCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.2</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1016.29</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437123"/>
                </identifiers>
                <balance>5245034</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>25680.48</valUSD>
                <pctVal>0.011667058704</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/USD CALL 1.25 20210323 HSBCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/USD CALL 1.25 20210323 HSBCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.25</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>106.83</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437124"/>
                </identifiers>
                <balance>2950334</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>26818.55</valUSD>
                <pctVal>0.012184102369</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL (FX)</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/SEK PUT 10.25 20210323 CSI-FX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/SEK PUT 10.25 20210323 CSI-FX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>10.25</exercisePrice>
                        <exercisePriceCurCd>SEK</exercisePriceCurCd>
                        <expDt>2021-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-4090.92</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437125"/>
                </identifiers>
                <balance>2950334</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>6970.12</valUSD>
                <pctVal>0.003166638599</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL (FX)</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/SEK PUT 9.90 20210323 CSI-FX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/SEK PUT 9.90 20210323 CSI-FX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>9.9</exercisePrice>
                        <exercisePriceCurCd>SEK</exercisePriceCurCd>
                        <expDt>2021-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1407.67</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437126"/>
                </identifiers>
                <balance>3456034</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9117.02</valUSD>
                <pctVal>0.0041420101</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>USD/SGD PUT 1.31 20210323 HSBCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="USD/SGD PUT 1.31 20210323 HSBCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.31</exercisePrice>
                        <exercisePriceCurCd>SGD</exercisePriceCurCd>
                        <expDt>2021-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2066.71</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437148"/>
                </identifiers>
                <balance>3456034</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>27599.89</valUSD>
                <pctVal>0.012539077807</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>USD/SGD PUT 1.345 20210323 HSBCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="USD/SGD PUT 1.345 20210323 HSBCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.345</exercisePrice>
                        <exercisePriceCurCd>SGD</exercisePriceCurCd>
                        <expDt>2021-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>3805.1</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437151"/>
                </identifiers>
                <balance>6945034</balance>
                <units>NC</units>
                <currencyConditional curCd="NZD" exchangeRt=".66155"/>
                <valUSD>64878.75</valUSD>
                <pctVal>0.029475468717</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>NZD/USD CALL 0.685 20210323 HSBCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="NZD/USD CALL 0.685 20210323 HSBCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.685</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-3070.84</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437154"/>
                </identifiers>
                <balance>6945034</balance>
                <units>NC</units>
                <currencyConditional curCd="NZD" exchangeRt=".66155"/>
                <valUSD>17812.83</valUSD>
                <pctVal>0.008092657664</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>NZD/USD CALL 0.725 20210323 HSBCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="NZD/USD CALL 0.725 20210323 HSBCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.725</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1108.98</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437661"/>
                </identifiers>
                <balance>4275200</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.29035"/>
                <valUSD>22066.02</valUSD>
                <pctVal>0.010024950885</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>GBP/USD PUT 1.20 20201218 BANKAM</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="GBP/USD PUT 1.20 20201218 BANKAM"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.2</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-12-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>15898.43</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2437696"/>
                </identifiers>
                <balance>4275200</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.29035"/>
                <valUSD>38703.79</valUSD>
                <pctVal>0.017583759727</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>GBP/USD PUT 1.23 20201218 BANKAM</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="GBP/USD PUT 1.23 20201218 BANKAM"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.23</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-12-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-23521.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2399426"/>
                </identifiers>
                <balance>10182000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>30847.5</valUSD>
                <pctVal>0.014014519719</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL (FX)</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/CHF CALL 1.10 20201209 CSI-FX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/CHF CALL 1.10 20201209 CSI-FX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.1</exercisePrice>
                        <exercisePriceCurCd>CHF</exercisePriceCurCd>
                        <expDt>2020-12-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-49112.95</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2393673"/>
                </identifiers>
                <balance>5375725</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8407.63</valUSD>
                <pctVal>0.003819722714</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>USD/JPY PUT 100.00 20201124 GSFX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="USD/JPY PUT 100.00 20201124 GSFX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>100</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2020-11-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>20578.28</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2393655"/>
                </identifiers>
                <balance>5375725</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>54101.3</valUSD>
                <pctVal>0.024579098329</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>USD/JPY PUT 105.00 20201124 GSFX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="USD/JPY PUT 105.00 20201124 GSFX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>105</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2020-11-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-16256.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2393654"/>
                </identifiers>
                <balance>5375725</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8407.63</valUSD>
                <pctVal>0.003819722714</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>USD/JPY PUT 100.00 20201124 BANKAM</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="USD/JPY PUT 100.00 20201124 BANKAM"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>100</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2020-11-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>21024.46</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2393653"/>
                </identifiers>
                <balance>5375725</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>54101.3</valUSD>
                <pctVal>0.024579098329</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>USD/JPY PUT 105.00 20201124 BANKAM</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="USD/JPY PUT 105.00 20201124 BANKAM"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>105</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2020-11-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-16729.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2422060"/>
                </identifiers>
                <balance>9497010</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>21066.98</valUSD>
                <pctVal>0.009571070804</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/USD CALL 1.27 20210215 BANKAM</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/USD CALL 1.27 20210215 BANKAM"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.27</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-02-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>37667.41</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TEXAS COMPETITIVE ELECTRIC HOLDINGS CO LLC / TCEH FINANCE INC</name>
                <lei>N/A</lei>
                <title>RIGHTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="PVT931ESA903"/>
                </identifiers>
                <balance>9820</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>10802</valUSD>
                <pctVal>0.004907523852</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>State Street Institutional U.S. Government Money Market Fund, Premier Class</name>
                <lei>N/A</lei>
                <title>SHORT TERM INV FUND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="715802"/>
                </identifiers>
                <balance>1843000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>1843000</valUSD>
                <pctVal>0.837304800809</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>RF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PUTNAM SHORT TERM INVESTMENT FUND</name>
                <lei>5493003MK0Q7JP8CPP42</lei>
                <title>SHORT TERM INV FUND</title>
                <cusip>74676P664</cusip>
                <identifiers>
                    <isin value="US74676P6640"/>
                </identifiers>
                <balance>12804784</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>12804784</valUSD>
                <pctVal>5.817421115854</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>PF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MWO HOLDINGS LLC</name>
                <lei>N/A</lei>
                <title>STOCK UNIT</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="PVT59870W912"/>
                </identifiers>
                <balance>73</balance>
                <units>OU</units>
                <curCd>USD</curCd>
                <valUSD>0</valUSD>
                <pctVal>0</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>3</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHC GROUP LLC</name>
                <lei>N/A</lei>
                <title>STOCK UNIT</title>
                <cusip>12550E306</cusip>
                <identifiers>
                    <isin value="US12550E3062"/>
                </identifiers>
                <balance>697</balance>
                <units>OU</units>
                <curCd>USD</curCd>
                <valUSD>6.97</valUSD>
                <pctVal>0.000003166584</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2376046"/>
                </identifiers>
                <balance>1940600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".71625"/>
                <valUSD>3433.19</valUSD>
                <pctVal>0.001559753917</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.445"/>
    <terminationDt>2040-03-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1940600</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.445</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2030-03-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>3433.19</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2376048"/>
                </identifiers>
                <balance>1940600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".71625"/>
                <valUSD>-15734.29</valUSD>
                <pctVal>-0.00714834322</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.445"/>
    <floatingPmntDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2040-03-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1940600</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.445</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2030-03-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-15734.29</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2376050"/>
                </identifiers>
                <balance>2134700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>58213.27</valUSD>
                <pctVal>0.026447233012</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".85"/>
    <terminationDt>2040-03-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2134700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.85</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>58213.27</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2376052"/>
                </identifiers>
                <balance>2134700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-52236.11</valUSD>
                <pctVal>-0.023731712251</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".85"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2040-03-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2134700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.85</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-52236.11</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2377354"/>
                </identifiers>
                <balance>1114500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-20228.18</valUSD>
                <pctVal>-0.009189990356</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".902"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2035-04-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1114500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.902</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-04-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-20228.18</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2377356"/>
                </identifiers>
                <balance>1114500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12393.24</valUSD>
                <pctVal>0.00563045</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".902"/>
    <terminationDt>2035-04-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1114500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.902</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-04-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>12393.24</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2377362"/>
                </identifiers>
                <balance>3715100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11776.87</valUSD>
                <pctVal>0.005350423109</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".983"/>
    <terminationDt>2032-04-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3715100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.983</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-04-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>11776.87</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2377364"/>
                </identifiers>
                <balance>3715100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-16829.4</valUSD>
                <pctVal>-0.00764586946</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".983"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-04-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3715100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.983</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-04-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-16829.4</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2378317"/>
                </identifiers>
                <balance>9287700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>835.89</valUSD>
                <pctVal>0.000379758388</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".87"/>
    <terminationDt>2028-04-08</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>9287700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.87</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-04-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>835.89</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2378319"/>
                </identifiers>
                <balance>9287700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-15974.84</valUSD>
                <pctVal>-0.007257628988</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".87"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2028-04-08</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>9287700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.87</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-04-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-15974.84</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2379268"/>
                </identifiers>
                <balance>2786300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-25633.96</valUSD>
                <pctVal>-0.011645923913</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".8925"/>
    <terminationDt>2028-04-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2786300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.8925</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-04-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-25633.96</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2379270"/>
                </identifiers>
                <balance>2786300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>640.85</valUSD>
                <pctVal>0.000291148552</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".8925"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2028-04-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2786300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.8925</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-04-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>640.85</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2387413"/>
                </identifiers>
                <balance>2229000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8291.88</valUSD>
                <pctVal>0.003767135611</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".958"/>
    <terminationDt>2030-05-08</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2229000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.958</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-05-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>8291.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2387433"/>
                </identifiers>
                <balance>2229000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>490.38</valUSD>
                <pctVal>0.00022278759</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".958"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-05-08</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2229000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.958</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-05-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>490.38</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2388213"/>
                </identifiers>
                <balance>118190600</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".009481819"/>
                <valUSD>5760.2</valUSD>
                <pctVal>0.002616952313</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 month JPY-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt=".005"/>
    <terminationDt>2030-11-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>118190600</notionalAmt>
    <curCd>JPY</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.005</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2020-11-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>5760.2</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2388215"/>
                </identifiers>
                <balance>118190600</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".009481819"/>
                <valUSD>2824.07</valUSD>
                <pctVal>0.001283020819</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt=".005"/>
    <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 month JPY-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-11-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>118190600</notionalAmt>
    <curCd>JPY</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.005</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2020-11-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2824.07</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2388249"/>
                </identifiers>
                <balance>1122800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-10689.06</valUSD>
                <pctVal>-0.004856213377</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".688"/>
    <terminationDt>2030-11-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1122800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.688</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-10689.06</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2388293"/>
                </identifiers>
                <balance>1122800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-14517.8</valUSD>
                <pctVal>-0.006595672077</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".688"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-11-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1122800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.688</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-14517.8</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2402473"/>
                </identifiers>
                <balance>2822300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-8438.68</valUSD>
                <pctVal>-0.003833829233</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.232"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-06-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2822300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.232</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-06-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-8438.68</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2402475"/>
                </identifiers>
                <balance>2822300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>23171.08</valUSD>
                <pctVal>0.010526997571</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.232"/>
    <terminationDt>2037-06-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2822300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.232</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-06-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>23171.08</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2403173"/>
                </identifiers>
                <balance>2238000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>26945.52</valUSD>
                <pctVal>0.0122417869</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.204"/>
    <terminationDt>2040-06-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2238000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.204</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-06-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>26945.52</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2403175"/>
                </identifiers>
                <balance>2238000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-18239.7</valUSD>
                <pctVal>-0.008286591631</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.204"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2040-06-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2238000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.204</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-06-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-18239.7</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2406155"/>
                </identifiers>
                <balance>2588400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>28601.82</valUSD>
                <pctVal>0.012994270862</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.168"/>
    <terminationDt>2037-06-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2588400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.168</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-06-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>28601.82</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2406157"/>
                </identifiers>
                <balance>2588400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-15944.54</valUSD>
                <pctVal>-0.007243863206</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.168"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-06-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2588400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.168</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-06-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-15944.54</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2406159"/>
                </identifiers>
                <balance>6471000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-13524.39</valUSD>
                <pctVal>-0.006144349797</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".462"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2026-06-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6471000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.462</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-06-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-13524.39</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2406161"/>
                </identifiers>
                <balance>6471000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-24136.83</valUSD>
                <pctVal>-0.010965753465</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".462"/>
    <terminationDt>2026-06-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6471000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.462</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-06-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-24136.83</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2407979"/>
                </identifiers>
                <balance>18054200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>22567.75</valUSD>
                <pctVal>0.010252894964</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="0"/>
    <terminationDt>2024-07-05</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>48746.34</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18054200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-06-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>26178.59</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2407985"/>
                </identifiers>
                <balance>18054200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>56509.65</valUSD>
                <pctVal>0.025673250807</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".3"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2024-07-05</terminationDt>
    <upfrontPmnt>-88465.58</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18054200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-06-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-31955.93</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2408053"/>
                </identifiers>
                <balance>18054200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24914.8</valUSD>
                <pctVal>0.011319197857</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".6"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2024-07-05</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>45135.5</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18054200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.6</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-06-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>20220.7</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2408780"/>
                </identifiers>
                <balance>929600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".71625"/>
                <valUSD>-2436.92</valUSD>
                <pctVal>-0.001107132293</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.441"/>
    <terminationDt>2045-07-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>929600</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.441</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2025-07-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2436.92</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2408782"/>
                </identifiers>
                <balance>929600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".71625"/>
                <valUSD>-4068.2</valUSD>
                <pctVal>-0.001848249262</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.441"/>
    <floatingPmntDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2045-07-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>929600</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.441</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2025-07-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-4068.2</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2408878"/>
                </identifiers>
                <balance>818000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-6863.02</valUSD>
                <pctVal>-0.003117981332</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.177"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2040-07-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>818000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.177</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-07-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6863.02</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2408880"/>
                </identifiers>
                <balance>818000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11631.96</valUSD>
                <pctVal>0.005284588145</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.177"/>
    <terminationDt>2040-07-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>818000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.177</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-07-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>11631.96</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2413433"/>
                </identifiers>
                <balance>4513500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>45180.14</valUSD>
                <pctVal>0.020526070604</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".6225"/>
    <terminationDt>2030-10-19</terminationDt>
    <upfrontPmnt>-51905.25</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4513500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.6225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6725.11</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2413435"/>
                </identifiers>
                <balance>4513500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15210.5</valUSD>
                <pctVal>0.006910376925</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".7225"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-10-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>32497.2</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4513500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.7225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>17286.7</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2413453"/>
                </identifiers>
                <balance>4513500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3701.07</valUSD>
                <pctVal>0.001681456147</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".8225"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-10-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>19408.05</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4513500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.8225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>15706.98</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2421747"/>
                </identifiers>
                <balance>89742200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>108588.06</valUSD>
                <pctVal>0.049333317389</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
        <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".359"/>
    <terminationDt>2025-10-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>279240.83</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>89742200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.359</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>170652.77</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2421753"/>
                </identifiers>
                <balance>89742200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>67306.65</valUSD>
                <pctVal>0.030578503077</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
        <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".359"/>
    <terminationDt>2025-10-15</terminationDt>
    <upfrontPmnt>-279247.81</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>89742200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.359</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-211941.16</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2431034"/>
                </identifiers>
                <balance>11576800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-22806.3</valUSD>
                <pctVal>-0.010361272099</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".344"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2025-10-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11576800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.344</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-22806.3</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2431036"/>
                </identifiers>
                <balance>11576800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-19564.79</valUSD>
                <pctVal>-0.008888601516</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".344"/>
    <terminationDt>2025-10-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11576800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.344</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-19564.79</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2431821"/>
                </identifiers>
                <balance>40484000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>142098.84</valUSD>
                <pctVal>0.064557808422</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".71827"/>
    <terminationDt>2030-10-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>267194.4</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>40484000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.71827</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>125095.56</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2431829"/>
                </identifiers>
                <balance>40484000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>125905.24</valUSD>
                <pctVal>0.057200793217</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".71827"/>
    <terminationDt>2030-10-15</terminationDt>
    <upfrontPmnt>-267194.4</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>40484000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.71827</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-141289.16</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2434762"/>
                </identifiers>
                <balance>2347000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-6548.13</valUSD>
                <pctVal>-0.002974921696</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".765"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-09-23</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2347000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.765</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-09-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6548.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2434768"/>
                </identifiers>
                <balance>2347000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7134.88</valUSD>
                <pctVal>0.00324149174</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".765"/>
    <terminationDt>2031-09-23</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2347000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.765</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-09-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>7134.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2434775"/>
                </identifiers>
                <balance>5687100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>32132.11</valUSD>
                <pctVal>0.014598138884</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.241"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2050-10-23</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>24738.89</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5687100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.241</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-7393.22</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2436713"/>
                </identifiers>
                <balance>10862200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43666.04</valUSD>
                <pctVal>0.019838190409</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".523"/>
    <terminationDt>2030-12-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>49423.01</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10862200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.523</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-12-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>5756.97</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2436715"/>
                </identifiers>
                <balance>10862200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>57243.79</valUSD>
                <pctVal>0.02600678252</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".923"/>
    <terminationDt>2030-12-24</terminationDt>
    <upfrontPmnt>-48879.9</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10862200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.923</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-12-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>8363.89</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2438658"/>
                </identifiers>
                <balance>11576800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>22458.99</valUSD>
                <pctVal>0.010203483531</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".635"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-10-30</terminationDt>
    <upfrontPmnt>-25468.96</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11576800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.635</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-28</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-3009.97</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2438680"/>
                </identifiers>
                <balance>5788400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25063.77</valUSD>
                <pctVal>0.011386877345</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".705"/>
    <terminationDt>2030-10-30</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>25758.38</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5788400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.705</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-28</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>694.61</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2296496"/>
                </identifiers>
                <balance>5920000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>89676.48</valUSD>
                <pctVal>0.040741479774</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".153"/>
    <terminationDt>2029-09-12</terminationDt>
    <upfrontPmnt>-139440.47</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5920000</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.153</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-09-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-49763.99</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297262"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1257599.76</valUSD>
                <pctVal>0.571347974251</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <terminationDt>2049-02-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>794190.63</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3150300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-01-31</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-463409.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297276"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1277352.14</valUSD>
                <pctVal>0.580321800947</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <terminationDt>2048-04-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>798601.05</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3150300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-04-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-478751.09</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313676"/>
                </identifiers>
                <balance>37998200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>419500.13</valUSD>
                <pctVal>0.190585715024</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.316"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2021-10-15</terminationDt>
    <upfrontPmnt>-106394.96</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>37998200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.316</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>313105.17</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313678"/>
                </identifiers>
                <balance>37998200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>38</valUSD>
                <pctVal>0.000017264017</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.316"/>
    <terminationDt>2021-10-15</terminationDt>
    <upfrontPmnt>-106394.96</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>37998200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.316</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-106356.96</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313714"/>
                </identifiers>
                <balance>3799800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>188660.07</valUSD>
                <pctVal>0.08571133062</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.865"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-10-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>244707.12</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3799800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.865</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-10-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>56047.05</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313716"/>
                </identifiers>
                <balance>3799800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>340158.1</valUSD>
                <pctVal>0.154539343551</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.865"/>
    <terminationDt>2039-10-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>244707.12</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3799800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.865</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-10-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-95450.98</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317138"/>
                </identifiers>
                <balance>39518100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>510573.85</valUSD>
                <pctVal>0.231961983599</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.5025"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2021-10-21</terminationDt>
    <upfrontPmnt>-105330.94</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>39518100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.5025</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>405242.91</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317140"/>
                </identifiers>
                <balance>39518100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>39.52</valUSD>
                <pctVal>0.000017954577</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.5025"/>
    <terminationDt>2021-10-21</terminationDt>
    <upfrontPmnt>-105330.94</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>39518100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.5025</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-105291.42</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317158"/>
                </identifiers>
                <balance>4407800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>420900.82</valUSD>
                <pctVal>0.191222071216</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.9875"/>
    <terminationDt>2036-10-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>244708.9</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4407800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.9875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-176191.92</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317160"/>
                </identifiers>
                <balance>4407800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>145677.79</valUSD>
                <pctVal>0.066183783472</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.9875"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-10-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>244708.9</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4407800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.9875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>99031.11</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2341954"/>
                </identifiers>
                <balance>3771900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-53108.35</valUSD>
                <pctVal>-0.024127985034</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.13"/>
    <terminationDt>2030-12-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3771900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.13</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-12-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-53108.35</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343503"/>
                </identifiers>
                <balance>11760300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1176.03</valUSD>
                <pctVal>0.000534289509</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.975"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2023-12-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11760300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.975</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1176.03</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343511"/>
                </identifiers>
                <balance>11760300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-14347.57</valUSD>
                <pctVal>-0.006518333826</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.162"/>
    <terminationDt>2033-12-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11760300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.162</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-14347.57</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343513"/>
                </identifiers>
                <balance>11760300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1713358.11</valUSD>
                <pctVal>0.778406386873</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.162"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2033-12-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11760300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.162</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1713358.11</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343514"/>
                </identifiers>
                <balance>11760300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-510279.42</valUSD>
                <pctVal>-0.231828219273</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.975"/>
    <terminationDt>2023-12-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11760300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.975</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-510279.42</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343516"/>
                </identifiers>
                <balance>11760300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>88202.25</valUSD>
                <pctVal>0.040071713167</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.229"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2033-12-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11760300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.229</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>88202.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343535"/>
                </identifiers>
                <balance>11760300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1137103.41</valUSD>
                <pctVal>-0.516604527514</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.229"/>
    <terminationDt>2033-12-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11760300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.229</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1137103.41</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343774"/>
                </identifiers>
                <balance>8291900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>241625.97</valUSD>
                <pctVal>0.109774598308</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.3"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2026-09-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8291900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>241625.97</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343776"/>
                </identifiers>
                <balance>8291900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-288143.52</valUSD>
                <pctVal>-0.130908275973</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.3"/>
    <terminationDt>2026-09-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8291900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-288143.52</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343784"/>
                </identifiers>
                <balance>3902100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-168297.57</valUSD>
                <pctVal>-0.076460316509</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.6125"/>
    <terminationDt>2034-08-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3902100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.6125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-168297.57</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343788"/>
                </identifiers>
                <balance>3902100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>180355.06</valUSD>
                <pctVal>0.081938229836</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.6125"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2034-08-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3902100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.6125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>180355.06</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347171"/>
                </identifiers>
                <balance>2378300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>72834</valUSD>
                <pctVal>0.033089667858</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.01"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2040-01-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2378300</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.01</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2030-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>72834</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347173"/>
                </identifiers>
                <balance>2378300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>-143381.47</valUSD>
                <pctVal>-0.06514052804</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.01"/>
    <terminationDt>2040-01-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2378300</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.01</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2030-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-143381.47</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347195"/>
                </identifiers>
                <balance>1981900</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.29035"/>
                <valUSD>63729.03</valUSD>
                <pctVal>0.028953132268</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt="1.175"/>
    <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2040-01-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1981900</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.175</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2030-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>63729.03</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347197"/>
                </identifiers>
                <balance>1981900</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.29035"/>
                <valUSD>-46262.36</valUSD>
                <pctVal>-0.021017740708</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt="1.175"/>
    <terminationDt>2040-01-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1981900</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.175</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2030-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-46262.36</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347758"/>
                </identifiers>
                <balance>7362900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>770527.49</valUSD>
                <pctVal>0.350063139735</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.805"/>
    <terminationDt>2031-01-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>161983.8</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7362900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.805</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-608543.69</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347760"/>
                </identifiers>
                <balance>7362900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2208.87</valUSD>
                <pctVal>0.001003525478</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.805"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-01-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>161983.8</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7362900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.805</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>159774.93</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347762"/>
                </identifiers>
                <balance>7362900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7.36</valUSD>
                <pctVal>0.000003343767</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.629"/>
    <terminationDt>2026-01-19</terminationDt>
    <upfrontPmnt>-82832.63</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7362900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.629</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-82825.27</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347764"/>
                </identifiers>
                <balance>7362900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>459886.73</valUSD>
                <pctVal>0.208934002636</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.629"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2026-01-19</terminationDt>
    <upfrontPmnt>-82832.63</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7362900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.629</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>377054.1</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347809"/>
                </identifiers>
                <balance>7362900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>320359.78</valUSD>
                <pctVal>0.145544645567</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.996"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-01-20</terminationDt>
    <upfrontPmnt>-82832.63</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7362900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.996</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>237527.15</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2347811"/>
                </identifiers>
                <balance>7362900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8467.34</valUSD>
                <pctVal>0.003846849936</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.996"/>
    <terminationDt>2031-01-20</terminationDt>
    <upfrontPmnt>-82832.63</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7362900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.996</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-74365.29</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2348101"/>
                </identifiers>
                <balance>1589500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>230700.03</valUSD>
                <pctVal>0.104810766503</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.032"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2055-01-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1589500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.032</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>230700.03</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2348171"/>
                </identifiers>
                <balance>1589500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-84783.93</valUSD>
                <pctVal>-0.038518714932</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.032"/>
    <terminationDt>2055-01-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1589500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.032</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-84783.93</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2350263"/>
                </identifiers>
                <balance>1382700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>158623.34</valUSD>
                <pctVal>0.072065156865</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.727"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2055-01-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1382700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.727</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-01-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>158623.34</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2350276"/>
                </identifiers>
                <balance>1382700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-87829.1</valUSD>
                <pctVal>-0.039902185068</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.727"/>
    <terminationDt>2055-01-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1382700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.727</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-01-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-87829.1</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2353434"/>
                </identifiers>
                <balance>1387400</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".71625"/>
                <valUSD>12987.99</valUSD>
                <pctVal>0.005900654574</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.692"/>
    <floatingPmntDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2035-01-30</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1387400</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.692</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2025-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>12987.99</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2353436"/>
                </identifiers>
                <balance>1387400</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".71625"/>
                <valUSD>-15820.11</valUSD>
                <pctVal>-0.007187332638</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.692"/>
    <terminationDt>2035-01-30</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1387400</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.692</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2025-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-15820.11</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2354098"/>
                </identifiers>
                <balance>29451700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>183189.57</valUSD>
                <pctVal>0.083225993716</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".83"/>
    <terminationDt>2021-11-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>16198.44</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>29451700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.83</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-166991.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2354104"/>
                </identifiers>
                <balance>29451700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>330448.07</valUSD>
                <pctVal>0.150127919386</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.33"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2021-11-03</terminationDt>
    <upfrontPmnt>-54632.9</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>29451700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.33</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>275815.17</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2354118"/>
                </identifiers>
                <balance>4270500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>44242.38</valUSD>
                <pctVal>0.020100031022</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.333"/>
    <terminationDt>2024-02-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>19217.25</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4270500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.333</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-01-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-25025.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2354120"/>
                </identifiers>
                <balance>4270500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>939.51</valUSD>
                <pctVal>0.000426834636</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.333"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2024-02-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>19217.25</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4270500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.333</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-01-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>18277.74</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2364882"/>
                </identifiers>
                <balance>119698500</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".009481819"/>
                <valUSD>-6446.57</valUSD>
                <pctVal>-0.00292878134</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt=".003"/>
    <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 month JPY-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-02-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>119698500</notionalAmt>
    <curCd>JPY</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.003</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2021-02-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6446.57</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2364884"/>
                </identifiers>
                <balance>119698500</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".009481819"/>
                <valUSD>-2167.77</valUSD>
                <pctVal>-0.000984853081</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 month JPY-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt=".003"/>
    <terminationDt>2031-02-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>119698500</notionalAmt>
    <curCd>JPY</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.003</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2021-02-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2167.77</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2368193"/>
                </identifiers>
                <balance>14550100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>243568.67</valUSD>
                <pctVal>0.110657198436</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".7785"/>
    <terminationDt>2031-03-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>194001.33</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>14550100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.7785</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-03-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-49567.34</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2368195"/>
                </identifiers>
                <balance>7275100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>284383.66</valUSD>
                <pctVal>0.129200110575</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.101"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-03-04</terminationDt>
    <upfrontPmnt>-194002.67</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7275100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.101</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-03-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>90380.99</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2369483"/>
                </identifiers>
                <balance>2128300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-21985.34</valUSD>
                <pctVal>-0.009988296652</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.275"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2050-03-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2128300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.275</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-21985.34</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2369485"/>
                </identifiers>
                <balance>2128300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11833.35</valUSD>
                <pctVal>0.005376082889</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.275"/>
    <terminationDt>2050-03-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2128300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.275</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>11833.35</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2371058"/>
                </identifiers>
                <balance>5944600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-9630.25</valUSD>
                <pctVal>-0.004375178816</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.764"/>
    <terminationDt>2031-02-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5944600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.764</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-02-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-9630.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2371233"/>
                </identifiers>
                <balance>241000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>30544.34</valUSD>
                <pctVal>0.013876789213</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
        <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.17"/>
    <terminationDt>2055-03-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>32133.33</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>241000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.17</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-03-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1588.99</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2371315"/>
                </identifiers>
                <balance>482100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>71534</valUSD>
                <pctVal>0.032499056767</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
        <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.17"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2055-03-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>73654.17</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>482100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.17</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-03-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2120.17</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2372394"/>
                </identifiers>
                <balance>5944600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>14802.05</valUSD>
                <pctVal>0.006724811463</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.764"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-02-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5944600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.764</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-02-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>14802.05</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2373634"/>
                </identifiers>
                <balance>2639000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>67241.72</valUSD>
                <pctVal>0.030549004325</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.07"/>
    <terminationDt>2032-03-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>85503.6</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2639000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.07</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>18261.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2373636"/>
                </identifiers>
                <balance>2639000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>90121.85</valUSD>
                <pctVal>0.040943818591</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.07"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-03-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>85503.6</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2639000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.07</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-4618.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2373670"/>
                </identifiers>
                <balance>588000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>97943.16</valUSD>
                <pctVal>0.044497166617</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
        <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.04"/>
    <terminationDt>2055-03-24</terminationDt>
    <upfrontPmnt>-89600</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>588000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.04</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-03-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>8343.16</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2373714"/>
                </identifiers>
                <balance>7756000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>50414</valUSD>
                <pctVal>0.022903898116</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
        <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.05"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2027-03-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>89600</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7756000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.05</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-03-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>39186</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2373760"/>
                </identifiers>
                <balance>1653100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>103963.46</valUSD>
                <pctVal>0.04723228658</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".968"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2035-03-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>96954.32</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1653100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.968</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-03-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-7009.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2373774"/>
                </identifiers>
                <balance>1653100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>66289.31</valUSD>
                <pctVal>0.03011630901</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".968"/>
    <terminationDt>2035-03-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>96954.32</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1653100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.968</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-03-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>30665.01</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2374094"/>
                </identifiers>
                <balance>1596200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-250954.56</valUSD>
                <pctVal>-0.114012728092</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.3075"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2052-06-22</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1596200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.3075</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-06-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-250954.56</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2374097"/>
                </identifiers>
                <balance>1596200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-7007.32</valUSD>
                <pctVal>-0.003183539163</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.3075"/>
    <terminationDt>2052-06-22</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1596200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.3075</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-06-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-7007.32</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2375542"/>
                </identifiers>
                <balance>3493100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>60039.81</valUSD>
                <pctVal>0.027277059768</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".555"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2040-03-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3493100</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.555</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2030-03-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>60039.81</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2375550"/>
                </identifiers>
                <balance>4191700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-86223.27</valUSD>
                <pctVal>-0.039172630446</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".925"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2040-03-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4191700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.925</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-86223.27</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2375552"/>
                </identifiers>
                <balance>4191700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>102612.82</valUSD>
                <pctVal>0.046618668915</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt=".925"/>
    <terminationDt>2040-03-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4191700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.925</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>102612.82</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2375599"/>
                </identifiers>
                <balance>3493100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>-60244.59</valUSD>
                <pctVal>-0.027370094644</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".555"/>
    <terminationDt>2040-03-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3493100</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.555</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2030-03-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-60244.59</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1931699"/>
                </identifiers>
                <balance>3698000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-493719.98</valUSD>
                <pctVal>-0.224304997021</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8325"/>
    <terminationDt>2052-02-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3698000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8325</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-02-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-493719.98</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1931705"/>
                </identifiers>
                <balance>3698000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1119680.44</valUSD>
                <pctVal>0.508688989573</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8325"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2052-02-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3698000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8325</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-02-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1119680.44</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1947545"/>
                </identifiers>
                <balance>739600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-69418.86</valUSD>
                <pctVal>-0.031538114349</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8175"/>
    <terminationDt>2047-03-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>739600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8175</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-69418.86</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1947556"/>
                </identifiers>
                <balance>739600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>120362.5</valUSD>
                <pctVal>0.05468263651</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8175"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2047-03-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>739600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8175</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>120362.5</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2040959"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>205937.66</valUSD>
                <pctVal>0.093560820068</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.902"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-11-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>934000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.902</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>205937.66</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2040972"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-81183.28</valUSD>
                <pctVal>-0.036882881221</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.902"/>
    <terminationDt>2049-11-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>934000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.902</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-81183.28</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041350"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>191488.68</valUSD>
                <pctVal>0.086996414034</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.689"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-11-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>934000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.689</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>191488.68</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041356"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-96183.32</valUSD>
                <pctVal>-0.043697642753</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.689"/>
    <terminationDt>2049-11-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>934000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.689</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-96183.32</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041548"/>
                </identifiers>
                <balance>1556600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-106020.03</valUSD>
                <pctVal>-0.048166619697</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.5"/>
    <terminationDt>2039-11-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1556600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.5</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-11-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-106020.03</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041600"/>
                </identifiers>
                <balance>1556600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>113709.63</valUSD>
                <pctVal>0.051660129733</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.5"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-11-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1556600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.5</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-11-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>113709.63</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2042283"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>178954.4</valUSD>
                <pctVal>0.081301887274</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.505"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-11-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>934000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.505</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>178954.4</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2042285"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-113574.4</valUSD>
                <pctVal>-0.05159869255</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.505"/>
    <terminationDt>2049-11-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>934000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.505</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-113574.4</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055075"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>65851.82</valUSD>
                <pctVal>0.029917550205</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7575"/>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-181900.6</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3169000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7575</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-116048.78</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055141"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>469423.97</valUSD>
                <pctVal>0.2132669255</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7575"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-181900.6</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3169000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7575</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>287523.37</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055223"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>478392.24</valUSD>
                <pctVal>0.217341356062</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.795"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-181742.15</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3169000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.795</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>296650.09</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055229"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>63887.04</valUSD>
                <pctVal>0.029024918775</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.795"/>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-181742.15</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3169000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.795</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-117855.11</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2089576"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1304255.7</valUSD>
                <pctVal>0.592544524738</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2048-04-17</terminationDt>
    <upfrontPmnt>-357716.57</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3150300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2047-04-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>946539.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2137405"/>
                </identifiers>
                <balance>119084000</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".009481819"/>
                <valUSD>120252.66</valUSD>
                <pctVal>0.054632734416</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
        <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt="1.11125"/>
    <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 month JPY-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2043-08-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>119084000</notionalAmt>
    <curCd>JPY</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.11125</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2023-08-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>120252.66</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2137407"/>
                </identifiers>
                <balance>119084000</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".009481819"/>
                <valUSD>-58568.13</valUSD>
                <pctVal>-0.026608451668</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
        <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 month JPY-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt="1.11125"/>
    <terminationDt>2043-08-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>119084000</notionalAmt>
    <curCd>JPY</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.11125</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2023-08-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-58568.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2159700"/>
                </identifiers>
                <balance>1191600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>506155.93</valUSD>
                <pctVal>0.229954850866</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.27"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2053-10-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1191600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.27</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-10-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>506155.93</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2159706"/>
                </identifiers>
                <balance>1191600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-122949.29</valUSD>
                <pctVal>-0.055857857175</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.27"/>
    <terminationDt>2053-10-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1191600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.27</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-10-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-122949.29</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2160196"/>
                </identifiers>
                <balance>1230800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>413405.38</valUSD>
                <pctVal>0.187816771218</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.921"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2048-10-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1230800</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.921</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-10-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>413405.38</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2160206"/>
                </identifiers>
                <balance>1230800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>-133655.43</valUSD>
                <pctVal>-0.060721830273</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.921"/>
    <terminationDt>2048-10-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1230800</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.921</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-10-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-133655.43</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2196204"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1286298.99</valUSD>
                <pctVal>0.584386500056</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-02-02</terminationDt>
    <upfrontPmnt>-383391.51</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3150300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2048-02-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>902907.48</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207604"/>
                </identifiers>
                <balance>4509200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>894317.04</valUSD>
                <pctVal>0.40630274066</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.667"/>
    <terminationDt>2036-02-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>286559.66</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4509200</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.667</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2026-02-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-607757.38</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207634"/>
                </identifiers>
                <balance>4509200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>54559.9</valUSD>
                <pctVal>0.024787447749</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.667"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-02-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>286559.66</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4509200</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.667</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2026-02-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>231999.76</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207918"/>
                </identifiers>
                <balance>1621300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>276853.19</valUSD>
                <pctVal>0.12577889588</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.97"/>
    <terminationDt>2036-02-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>82956.52</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1621300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.97</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-193896.67</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207976"/>
                </identifiers>
                <balance>1621300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>18612.52</valUSD>
                <pctVal>0.008455969805</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.97"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-02-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>82956.52</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1621300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.97</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>64344</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2211875"/>
                </identifiers>
                <balance>3156500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>516782.18</valUSD>
                <pctVal>0.234782528642</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.988"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-02-28</terminationDt>
    <upfrontPmnt>-172818.38</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3156500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.988</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>343963.8</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2211881"/>
                </identifiers>
                <balance>3156500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>64392.6</valUSD>
                <pctVal>0.029254602885</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.988"/>
    <terminationDt>2039-02-28</terminationDt>
    <upfrontPmnt>-172818.38</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3156500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.988</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-108425.78</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2211896"/>
                </identifiers>
                <balance>2049600</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.29035"/>
                <valUSD>330058.73</valUSD>
                <pctVal>0.149951035908</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt="1.722"/>
    <terminationDt>2039-02-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>172576.4</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2049600</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.722</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-157482.33</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2211902"/>
                </identifiers>
                <balance>2049600</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.29035"/>
                <valUSD>82170.87</valUSD>
                <pctVal>0.03733155938</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt="1.722"/>
    <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-02-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>172576.4</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2049600</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.722</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>90405.53</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212176"/>
                </identifiers>
                <balance>5944600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1177446.92</valUSD>
                <pctVal>0.53493323864</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7725"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-03-02</terminationDt>
    <upfrontPmnt>-179148.63</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5944600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7725</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>998298.29</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212203"/>
                </identifiers>
                <balance>5944600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>178.34</valUSD>
                <pctVal>0.000081022755</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7725"/>
    <terminationDt>2031-03-02</terminationDt>
    <upfrontPmnt>-179148.63</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5944600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7725</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-178970.29</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212213"/>
                </identifiers>
                <balance>1621300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>18109.92</valUSD>
                <pctVal>0.008227630471</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.01"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-03-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>83226.73</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1621300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.01</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>65116.81</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212214"/>
                </identifiers>
                <balance>1621300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>281927.86</valUSD>
                <pctVal>0.128084400792</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.01"/>
    <terminationDt>2036-03-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>83226.73</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1621300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.01</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-198701.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2246958"/>
                </identifiers>
                <balance>25327500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>743108.85</valUSD>
                <pctVal>0.337606406744</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.2275"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2024-05-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>25327500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.2275</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>743108.85</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2246960"/>
                </identifiers>
                <balance>25327500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-231999.9</valUSD>
                <pctVal>-0.105401318533</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.2275"/>
    <terminationDt>2024-05-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>25327500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.2275</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-231999.9</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251134"/>
                </identifiers>
                <balance>22032800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4186.23</valUSD>
                <pctVal>0.001901872206</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.823"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2027-05-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>236065.71</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>22032800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.823</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>231879.48</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251136"/>
                </identifiers>
                <balance>5508200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>33820.35</valUSD>
                <pctVal>0.015365133706</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.983"/>
    <terminationDt>2052-05-25</terminationDt>
    <upfrontPmnt>-232131.29</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5508200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.983</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-198310.94</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251197"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1040575.59</valUSD>
                <pctVal>0.472750372822</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.75"/>
    <terminationDt>2049-05-27</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>296128.2</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3150300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-05-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-744447.39</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251496"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1121002.75</valUSD>
                <pctVal>0.509289736459</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.75"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-05-24</terminationDt>
    <upfrontPmnt>-352833.6</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3150300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2048-05-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>768169.15</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251556"/>
                </identifiers>
                <balance>9442600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9.44</valUSD>
                <pctVal>0.000004288745</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.664"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2026-05-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>72629.33</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>9442600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.664</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-05-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>72619.89</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251578"/>
                </identifiers>
                <balance>2360700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2950.88</valUSD>
                <pctVal>0.001340632659</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.904"/>
    <terminationDt>2051-05-26</terminationDt>
    <upfrontPmnt>-73103.01</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2360700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.904</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-05-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-70152.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2255579"/>
                </identifiers>
                <balance>8236000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-654267.84</valUSD>
                <pctVal>-0.297244494545</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.39"/>
    <terminationDt>2034-06-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8236000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.39</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-06-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-654267.84</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2255589"/>
                </identifiers>
                <balance>1132450</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>337843.7</valUSD>
                <pctVal>0.153487874082</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.053"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2054-06-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1132450</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.053</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-06-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>337843.7</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2255591"/>
                </identifiers>
                <balance>1132450</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>-95052.98</valUSD>
                <pctVal>-0.043184110952</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.053"/>
    <terminationDt>2054-06-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1132450</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.053</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-06-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-95052.98</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2255594"/>
                </identifiers>
                <balance>8236000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>336605.32</valUSD>
                <pctVal>0.152925257956</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.39"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2034-06-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8236000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.39</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-06-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>336605.32</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256068"/>
                </identifiers>
                <balance>2141400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>702564.82</valUSD>
                <pctVal>0.319186596129</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.304"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2054-06-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2141400</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.304</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-06-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>702564.82</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256176"/>
                </identifiers>
                <balance>2141400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>-127894.26</valUSD>
                <pctVal>-0.058104437273</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.304"/>
    <terminationDt>2054-06-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2141400</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.304</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-06-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-127894.26</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286844"/>
                </identifiers>
                <balance>848500</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.29035"/>
                <valUSD>-11419.41</valUSD>
                <pctVal>-0.005188023231</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".762"/>
    <terminationDt>2039-08-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>848500</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.762</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-11419.41</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286848"/>
                </identifiers>
                <balance>789300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>-2035.91</valUSD>
                <pctVal>-0.000924946944</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".43"/>
    <terminationDt>2039-08-22</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>789300</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.43</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2035.91</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286894"/>
                </identifiers>
                <balance>848500</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.29035"/>
                <valUSD>-9109.25</valUSD>
                <pctVal>-0.004138480063</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".762"/>
    <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-08-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>848500</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.762</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-9109.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286900"/>
                </identifiers>
                <balance>789300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>13150.14</valUSD>
                <pctVal>0.00597432195</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".43"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-08-22</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>789300</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.43</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>13150.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2289398"/>
                </identifiers>
                <balance>17729300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-166478.13</valUSD>
                <pctVal>-0.075633715398</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.245"/>
    <terminationDt>2024-08-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>17729300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.245</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-166478.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2289414"/>
                </identifiers>
                <balance>17729300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>155663.25</valUSD>
                <pctVal>0.070720339954</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.245"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2024-08-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>17729300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.245</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>155663.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290319"/>
                </identifiers>
                <balance>3902100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>287467.71</valUSD>
                <pctVal>0.130601244526</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.613"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2034-08-29</terminationDt>
    <upfrontPmnt>-201055.7</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3902100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.613</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>86412.01</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290321"/>
                </identifiers>
                <balance>3902100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>116828.87</valUSD>
                <pctVal>0.053077251071</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.613"/>
    <terminationDt>2034-08-29</terminationDt>
    <upfrontPmnt>-201055.7</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3902100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.613</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-84226.83</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290327"/>
                </identifiers>
                <balance>3902100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>55292.76</valUSD>
                <pctVal>0.025120397937</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.512"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-09-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>163497.99</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3902100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.512</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>108205.23</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290329"/>
                </identifiers>
                <balance>3902100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>273186.02</valUSD>
                <pctVal>0.124112841053</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.512"/>
    <terminationDt>2032-09-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>163497.99</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3902100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.512</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-109688.03</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2296494"/>
                </identifiers>
                <balance>5920000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.17245"/>
                <valUSD>194622.95</valUSD>
                <pctVal>0.088420363745</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".153"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2029-09-12</terminationDt>
    <upfrontPmnt>-156870.53</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5920000</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.153</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-09-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>37752.42</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>TREASURY- INFLATION PROTECTED</title>
                <cusip>912828Q60</cusip>
                <identifiers>
                    <isin value="US912828Q608"/>
                </identifiers>
                <balance>19671.3</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>19767.6278971875</valUSD>
                <pctVal>0.008980754063</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99EI699I5</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1792005"/>
                </identifiers>
                <balance>95482.94</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12681.33</valUSD>
                <pctVal>0.005761333961</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="1.01">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3.50%/Synthetic TRS Index 3.50% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="-176.38">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2043-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>12696.25</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-160.45</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>99EK249B0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1798307"/>
                </identifiers>
                <balance>316840.22</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>39208.98</valUSD>
                <pctVal>0.01781327574</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3.50%/Synthetic TRS Index 3.50% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="585.27">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-3.1">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2045-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>38911.94</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>879.21</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99EK959A2</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1801565"/>
                </identifiers>
                <balance>494443.33</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>556248.75</valUSD>
                <pctVal>0.252712831698</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="5.00%/Synthetic MBX Index 5.00% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="1304.78">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-44.47">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2040-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>557484.85</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>24.21</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99EL209K6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1803281"/>
                </identifiers>
                <balance>4017670.04</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4561938.78</valUSD>
                <pctVal>2.072562800591</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="5.00%/Synthetic MBX Index 5.00% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="10602.18">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-362.07">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2041-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4539339.38</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>32839.51</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99EL509W7</cusip>
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                </identifiers>
                <balance>2490105.5</balance>
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                <curCd>USD</curCd>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        <rcptCurCd>USD</rcptCurCd>
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                        <curCd>USD</curCd>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>99ER589P2</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1828699"/>
                </identifiers>
                <balance>137178.95</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>19719.47</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                            <rtResetTenors>
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                        </floatingPmntDesc>
                        <terminationDt>2041-01-12</terminationDt>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>19848.08</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-159.41</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99EX389W6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1861820"/>
                </identifiers>
                <balance>1622199</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>216969.12</valUSD>
                <pctVal>0.09857259132</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Total Return Swap</title>
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                <units>NC</units>
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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99FB009O1</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1877935"/>
                </identifiers>
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                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>79353.17</valUSD>
                <pctVal>0.036051432556</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        </floatingRecDesc>
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                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-679.12</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99FB009S2</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1881612"/>
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                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.098409687152</pctVal>
                <payoffProfile>N/A</payoffProfile>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                        </floatingPmntDesc>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-4182.19</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>Total Return Swap</title>
                <cusip>99904P9M7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1302443"/>
                </identifiers>
                <balance>168493.72</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>206562.77</valUSD>
                <pctVal>0.093844817683</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
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                        </floatingRecDesc>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
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                        <rcptCurCd>USD</rcptCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-1720.04</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99621Q9P0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1303812"/>
                </identifiers>
                <balance>337735.15</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>366600.95</valUSD>
                <pctVal>0.166552759314</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        </floatingRecDesc>
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                        <unrealizedAppr>-318.97</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99850Q9S6</cusip>
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                    <other otherDesc="Internal ID" value="1310458"/>
                </identifiers>
                <balance>255435.97</balance>
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                <assetCat>DIR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-22.49">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2040-01-12</terminationDt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>664</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99849Q9M3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1311996"/>
                </identifiers>
                <balance>49968.09</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>56737.2</valUSD>
                <pctVal>0.025776630464</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="5.00%/Synthetic MBX Index 5.00% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="131.86">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-4.5">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2041-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>56456.13</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>408.43</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>99008R9T3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1314783"/>
                </identifiers>
                <balance>213996.11</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>242985.9</valUSD>
                <pctVal>0.11039243657</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="5.00%/Synthetic MBX Index 5.00% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="564.71">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
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                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2041-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
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                        <notionalAmt>241782.17</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1749.15</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99471R9O2</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1324981"/>
                </identifiers>
                <balance>37910.77</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>41150.96</valUSD>
                <pctVal>0.018695548761</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="4.00%/Synthetic MBX Index 4.00% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="80.03">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-3.29">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2040-01-12</terminationDt>
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                        <notionalAmt>41263.5</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-35.8</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99620R9L8</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1330400"/>
                </identifiers>
                <balance>249626.47</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>283443.06</valUSD>
                <pctVal>0.128772780735</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2041-01-12</terminationDt>
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                        <notionalAmt>282038.91</notionalAmt>
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                        <unrealizedAppr>2040.39</unrealizedAppr>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
                <cusip>99620R9O2</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1331407"/>
                </identifiers>
                <balance>534990.28</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>607464.74</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99342T9A5</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1363095"/>
                </identifiers>
                <balance>115776.25</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2038-01-12</terminationDt>
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                        <notionalAmt>141138.48</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1181.89</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99342T9I8</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1364131"/>
                </identifiers>
                <balance>43492.44</balance>
                <units>NC</units>
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                <valUSD>53319.01</valUSD>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                    <other otherDesc="Internal ID" value="1373485"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99337U9A9</cusip>
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                    <other otherDesc="Internal ID" value="1384813"/>
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                <isRestrictedSec>N</isRestrictedSec>
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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                <cusip>99478U9A8</cusip>
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                <isRestrictedSec>N</isRestrictedSec>
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                <derivativeInfo>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                <payoffProfile>N/A</payoffProfile>
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                <derivativeInfo>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <assetCat>DIR</assetCat>
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                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                    <other otherDesc="Internal ID" value="1442734"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                    <other otherDesc="Internal ID" value="1443034"/>
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                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99AB839H7</cusip>
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                    <other otherDesc="Internal ID" value="1444612"/>
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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                    <other otherDesc="Internal ID" value="1447995"/>
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                <isRestrictedSec>N</isRestrictedSec>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99AM159F9</cusip>
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                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99BD339J3</cusip>
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                    <other otherDesc="Internal ID" value="1480281"/>
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                <derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                <derivativeInfo>
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                </derivativeInfo>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                </identifiers>
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                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                    <other otherDesc="Internal ID" value="1484138"/>
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                <isRestrictedSec>N</isRestrictedSec>
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                <derivativeInfo>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                </derivativeInfo>
                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99BI079D9</cusip>
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                    <other otherDesc="Internal ID" value="1484141"/>
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                <assetCat>DIR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                </derivativeInfo>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99BQ039J7</cusip>
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                    <other otherDesc="Internal ID" value="1501520"/>
                </identifiers>
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                <units>NC</units>
                <curCd>USD</curCd>
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                <assetCat>DIR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        </floatingRecDesc>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <unrealizedAppr>-918.13</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>99CA019D8</cusip>
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                    <other otherDesc="Internal ID" value="1534961"/>
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                <derivativeInfo>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                </derivativeInfo>
                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>99CA019E6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1534964"/>
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                <derivativeInfo>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
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                    <other otherDesc="Internal ID" value="1560200"/>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>Total Return Swap</title>
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                    <other otherDesc="Internal ID" value="1645742"/>
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                <derivativeInfo>
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
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                <derivativeInfo>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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            <invstOrSec>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
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                <name>NATWEST GROUP PLC</name>
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                            <counterpartyName>STEARNS HOLDINGS LLC</counterpartyName>
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        <signature>
            <ncom:dateSigned>2020-11-23</ncom:dateSigned>
            <ncom:nameOfApplicant>Putnam Investments Inc</ncom:nameOfApplicant>
            <ncom:signature>Janet C. Smith</ncom:signature>
            <ncom:signerName>NPORT</ncom:signerName>
            <ncom:title>Principal Financial Officer</ncom:title>
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</edgarSubmission>
</XML>
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
